/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/120729.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 29, 2012, Vol. 16, No. 209 Headlines AAMES MORTGAGE: Moody's Confirms 'B1' Rating on Cl. M5 Tranche ACAS BUSINESS 2005-1: Fitch Holds Bsf Rating on $90MM Cl. D Notes ACAS BUSINESS 2006-1: Fitch Keeps Junk Rating on $35MM Cl. D Notes ACAS BUSINESS 2007-1: Fitch Holds Bsf Rating on $36MM Cl. D Notes ACAS BUSINESS 2007-2: Fitch Affirms CCC Rating on $39MM E Notes ACCREDITED MORTGAGE: Moody's Lifts Rating on A-3 Tranche From Ba2 ACE SECURITIES: Moody's Raises Rating on A-2D Tranche to 'Caa2' ADVANTA BUSINESS: S&P Lowers Rating on Class B(2006-B1) to 'D' AIRCRAFT CERTIFICATE 2003-A: S&P Affirms 'BB' Ratings on 2 Classes AMERICAN CREDIT 2012-2: S&P Gives Prelim BB Rating on Cl. D Notes ANSONIA 2006-1: S&P Lowers Ratings on 10 Debt Classes to 'D' ANTHRACITE 2006-HY3: S&P Lowers Ratings on 7 Debt Classes to 'D' BANC OF AMERICA: Fitch Affirms Rating on $18.9-Mil. Notes at 'Dsf' BANC OF AMERICA: Moody's Cuts Ratings on 2 Cert. Classes to 'C' BAYVIEW FINANCIAL: Moody's Cuts Ratings on 2 Sec. Tranches to B3 BEAR STEARNS 1999-C1: Moody's Affirms 'Ca' Rating on Cl. I Certs BEAR STEARNS 2004-PWR6: Moody's Affirms 'Ca' Rating on P Certs. BEAR STEARNS 2004-TOP14: Moody's Affirms Ca Rating on Cl. O Certs BUSINESS LOAN 2001-2: Fitch Affirms Junk Rating on 2 Note Classes C-BASS CBO: Fitch Affirms Junk Rating on Three Note Classes C-BASS MORTGAGE: Moody's Cuts Rating on Cl. IIM-2 Notes to 'Ba1' CANYON CAPITAL: Moody's Raises Rating on Class D Notes From Ba1 CAPITAL ONE: Fitch Affirms 'BB' Rating on Class 2002-1D Securities CIFC FUNDING 2012-I: S&P Rates Class B-3L Notes 'B(sf)' COMM 2005-FL11: Fitch Affirms Junk Rating on 2 Note Classes COMM 2006-C8: Moody's Cuts Ratings on 2 Certificates to 'C' CREDIT SUISSE 1998-C2: Fitch Affirms D Rating on Cl. I Securities CREDIT SUISSE 2002-CP5: Fitch Lowers Rating on Five Note Classes CREST G-STAR: Moody's Corrects May 23 Ratings Release CSAM FUNDING II: S&P Raises Ratings on Two Note Classes From 'BB+' CSAM FUNDING III: S&P Affirms 'BB+' Rating on Class C Notes CT CDO III: S&P Lowers Ratings on 3 Classes to 'CCC-'; Off Watch CTX CDO I: S&P Lowers Ratings on 11 Classes to 'D'; Off Watch Neg CWABS 2005-12: Moody's Takes Action on $107-Mil. Subprime RMBS CWABS 2007-4: Moody's Lowers Rating on A-3 Tranche to 'Ca' CWMBS REPERFORMING: Moody's Cuts Rating on 1A-PO Secs. to 'Ba3' DLJ MORTGAGE: Moody's Affirms 'Caa2' Rating on Cl. S Securities EDUCATION FUNDING 2006-1: S&P Cuts Rating on Class B Notes to 'D' FM LEVERAGED I: S&P Affirms 'B+' Rating on Class D Notes GE-WMC 2005-2: Moody's Takes Action on $184-Mil. Subprime RMBS GE BUSINESS: Moody's Downgrades Ratings on 4 Securities to 'B1' GMACM MORTGAGE 2005-AR6: Moody's Cuts Ratings on 4 Secs. to 'C' GRAMERCY PARK: S&P Rates $27.5-Mil. Class D Notes 'BB' GREENWICH CAPITAL 2007-GG9: Moody's Cuts Ratings on 3 Certs to C GS MORTGAGE 2003-C1: Fitch Affirms 'CCCsf' Rating on Class P Certs GS MORTGAGE 2007-EOP: Fitch Affirms Low-B Rating on 2 Sec Classes GSAA HOME 2004-11: Moody's Confirms 'Caa3' Rating on M-1 Tranche GSAMP TRUST 2007-HSBC1: Moody's Hikes Rating on M-2 Tranche to Ca HELLER 1998-1: Fitch Affirms Low-B Rating on 2 Certificate Classes HEWETT'S ISLAND: S&P Affirms 'CCC-' Rating on Class D Notes IMPAC SECURED: Moody's Lowers Rating on One Tranche to 'Caa1' INDYMAC LOAN 2004-L1: Moody's Withdraws 'C' Rating on Cl. B Loan JER CRE 2006-2: S&P Cuts Ratings on 8 Note Classes to 'D' JFIN CLO 2012: S&P Gives 'BB' Rating on Class D Deferrable Notes JPMORGAN 2001-CIBC3: Fitch Junks Rating on Two Note Classes JPMORGAN 2002-CIBC5: Fitch Cuts Rating on Cl. M Securities to Csf JPMORGAN 2002-CIBC5: Moody's Raises Rating on K Notes to 'Caa2' JPMORGAN 2004-C2: Fitch Lowers Rating on 6 Certificate Classes KEY COMMERCIAL: Moody's Cuts Rating on Cl. F Certificates to 'C' KKR FINANCIAL 2005-2: S&P Raises Rating on Class F Notes From 'B-' LB-UBS 2000-C5: Moody's Cuts Rating on Cl. X Certificates to Caa3 LCM XI: S&P Rates $19.5MM Class E Deferrable Notes 'BB' LONDON WALL 2006-1: Fitch Affirms Ratings on 6 Note Classes MLMS 2005-ACR1: S&P Lowers Rating on Class M-6 Securities to 'CC' MORGAN STANLEY 2004-TOP13: Moody's Cuts Rating on M Certs to Caa2 MORGAN STANLEY 2006-37: Moody's Cuts Rating on US$5MM Notes to Ca NAAC 2004-R1: Moody's Cuts Rating on Class PT Certs. to 'Ba3' NAVIGATOR CDO 2004: S&P Raises Ratings on 2 Note Classes to 'BB' NYLIM FLATIRON 2005-1: S&P Cuts Rating on Class D Notes From 'BB-' OMAHA 2008-A: S&P Rates Certificates 'BBsf' PASADENA CDO: Fitch Affirms Junk Rating on Two Note Classes PROTECTIVE FINANCE: Moody's Affirms 'Ba1' Rating 3 Cert. Classes QUEST TRUST: Moody's Reviews Ba1 Rating on Cl. M-2 for Downgrade RAMP SERIES: Moody's Lifts Ratings on 2 Securities Tranches to Ca RFC 2007-1: Fitch Junks Rating on Six Note Classes SOUNDVIEW 2007-WMC1: Moody's Cuts Rating on III-A-1 Tranche to Ca SILVERADO CLO 2006-II: S&P Raises Rating on Class D Notes to 'BB-' STRUCTURED ASSET 2003-8: Moody's Cuts Rating on 1-A5 Secs. to Ba2 STRUCTURED ASSET 2007-4: Moody's Cuts Ratings on 4 Bonds to 'B1' TABERNA PREFERRED VIII: S&P Cuts Rating on Cl. E Secs. to 'CC' TIERS 1997-5: S&P Raises Rating on Certificates to 'BB+' TRIMARAN VI: Moody's Upgrades Rating on Class B-2L Notes to 'Ba2' VENTURE III: S&P Affirms 'BB-' Rating on Class C Notes; Off Watch WACHOVIA 2005-C18: Moody's Affirms 'C' Ratings on 6 Cert. Classes WACHOVIA 2006-C27: Moody's Cuts Ratings on 4 Note Classes to 'C' WACHOVIA BANK 2007-WHALE 8: Moody's Cuts Ratings on 2 Certs to C WAMU 2003-C1: Moody's Raises Rating on Cl. O Certificates to 'B3' * Fitch Cuts Rating on 38 Bonds in 26 US CMBS Transactions to 'D' * Moody's Takes Rating Actions on $159 Million Second Lien RMBS * S&P Raises Ratings on 8 Tranches From 2 CLO Transactions * S&P Lowers Ratings on 4 Certificate Classes to 'D' * S&P Cuts Ratings on 8 Classes From 5 JC Penney Deals to 'B+' ********* AAMES MORTGAGE: Moody's Confirms 'B1' Rating on Cl. M5 Tranche -------------------------------------------------------------- Moody's Investors Service has confirmed the ratings of 3 tranches from Aames Mortgage Investment Trust 2005-3, backed by Scratch and Dent loans. 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 this rating 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. Moody's adjusts the methodologies noted above for Moody's current view on loan modifications. 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 the 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 June 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: Aames Mortgage Investment Trust 2005-3 Cl. A2, Confirmed at Aa2 (sf); previously on Apr 19, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. M4, Confirmed at Ba3 (sf); previously on Apr 19, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. M5, Confirmed at B1 (sf); previously on Apr 19, 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_SF292736 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 ACAS BUSINESS 2005-1: Fitch Holds Bsf Rating on $90MM Cl. D Notes ----------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed one class of notes issued by ACAS Business Loan Trust 2005-1 (ACAS BLT 2005-1) as follows: -- $76,093,456 class C notes upgraded to 'AAsf' from 'BBsf', Outlook Stable; -- $90,000,000 class D notes affirmed at 'Bsf', Outlook to Positive from Stable. The upgrade of the class C notes is the result of the increased credit enhancement levels and the improved performance of the notes since Fitch's last review in August 2011. As of the April 2012 payment date, the class B notes were paid in full and approximately 47.5% of the original class C note balance was paid down. Fitch expects an additional $64.4 million to be paid on the upcoming July 25 payment date, decreasing the class C note balance to approximately $11.7 million. The amortization of the class B and class C notes was largely driven by loan prepayments and excess spread used to pay the Additional Principal Amount (APA). Excess spread plays a significant role in the transaction, as the class C notes are likely to perform under higher rating stresses. Approximately $23.5 million of the total $64.4 million expected to pay down the class C notes on the upcoming payment date is from excess spread and recoveries on defaulted assets used to pay the APA (i.e. amortize the class C notes). The Outlook on the class C remains Stable to reflect Fitch's expectation that the notes will be able to perform as expected in the near term. The affirmation and revised Outlook of the class D notes is also based on the improving performance of the notes, amid the growing concentration risks of the portfolio. As with the class C notes, the class D notes are likely to perform under modeled stresses above their current rating category. However, the underlying loan portfolio has become more concentrated in low-rated second lien and subordinated loans. The portfolio on the July 2012 payment date is expected to contain 13 performing obligors, represented by 95.1% of second lien or subordinated loans, which have low recovery prospects upon default. The concentration risks may limit the benefit of excess spread in the long term, which would introduce more volatility in the notes' performance. As a result, Fitch views the notes to be more in line with a 'Bsf' rating due to the concentration risks and portfolio quality supporting the notes. The Outlook on the class D notes was revised to Positive to reflect Fitch's expectation that the notes will be able to perform under higher stresses in the near term. The notes of ACAS BLT 2005-1 benefit from credit enhancement in the form of collateral coverage, note subordination, and the application of excess spread via the APA feature. Upon the occurrence of a default, the APA feature directs part or all of the excess interest otherwise available to the equity to pay down the senior-most notes in an amount equal to the aggregate balance of defaulted assets in the portfolio. Since Fitch's last rating action the servicer has considered an additional $81.5 million of loans as defaulted, while approximately $92.5 million of excess spread has been used to pay principal to the senior-most notes. The APA stands at approximately $12.3 million after the July 2012 payment date, compared to $23.3 million in the July 2011 payment date. This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. These default and recovery levels were then utilized in Fitch's cash flow model under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs. As mentioned above, both classes of notes passed in various stress scenarios in rating categories above their current ratings. However, Fitch's rating actions deviated from these modeling results due to the concentration risks stated above. ACAS BLT 2005-1 is a collateralized debt obligation (CDO) that closed on Oct. 4, 2005 and is managed and serviced by American Capital Strategies, Ltd (ACAS). The transaction's reinvestment period ended in January 2009. ACAS BLT 2005-1 is secured by a portfolio of middle-market loans. The majority of these loans are not publicly rated; instead, Fitch establishes model-based credit opinions for the performing loans. Information for the credit opinions was gathered from financial statements provided to Fitch by ACAS. The performing loan portfolio as of the July 2012 trustee report consists of $169.36 million from 13 unique obligors, with the three largest obligors comprising approximately 41.3% of the total portfolio. Fitch considers approximately 15.1% of the performing portfolio to be rated 'CCC' or below, compared to 37.9% in the last review, while 18.7% is rated 'BB-' and the remaining obligors are rated in the 'B' category. ACAS BUSINESS 2006-1: Fitch Keeps Junk Rating on $35MM Cl. D Notes ------------------------------------------------------------------ Fitch Ratings has upgraded one and affirmed two classes of notes issued by ACAS Business Loan Trust 2006-1 (ACAS BLT 2006-1) as follows: -- $23,785,013 class B notes upgraded to 'AAsf' from 'BBBsf', Outlook Stable; -- $72,500,000 class C notes affirmed at 'Bsf', Outlook Stable; -- $35,500,000 class D notes affirmed at 'CCCsf'; RE 100%. The upgrade of the class B notes is the result of the increased credit enhancement levels and the improved performance of the notes since Fitch's last review in August 2011. As of the May 2012 payment date, approximately 35.7% of the original class B notes have paid down, driven by loan prepayments and the excess spread used to pay down the Additional Payment Amount (APA). The affirmations of the class C and D notes are based on the overall improvement of the notes' performance, countered by the growing concentration risks of the portfolio. The current performing portfolio is concentrated in 12 obligors, composed entirely of low-rated second lien loans or subordinated loans, which indicate low recovery prospects upon default. The rating actions reflect these concentration risks, which are expected to increase over the longer term, and subsequently introduce more volatility to the notes' performance. The Outlooks indicate the notes' stable performance under their current rating stresses and Fitch's expectation that the ratings of the notes will remain stable for the near term. The notes of ACAS BLT 2006-1 benefit from credit enhancement in the form of collateral coverage, note subordination, and the application of excess spread via the APA. Upon the occurrence of a default in the portfolio, the APA feature directs part or all of the excess interest otherwise available to the equity to pay down the senior-most notes in an amount equal to the aggregate balance of defaulted assets in the portfolio. Since Fitch's last rating action the servicer has considered an additional $30 million of loans as defaulted, while approximately $32.3 million of excess spread has been used to pay down the rated notes. The APA stands at approximately $53.1 million after the May 2012 payment date, compared to $55.4 million in May 2011. The Recovery Estimate (RE) on the class D notes was revised to 100% from 95%. Recovery Ratings are designed to provide a forward- looking estimate of Fitch's expectations of principal recoveries on currently distressed or defaulted structured finance securities rated 'CCCsf' or below. For further details on Recovery Estimates, please see Fitch's reports 'Structured Finance Recovery Estimates for Distressed Securities'. This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. These default and recovery levels were then utilized in Fitch's cash flow model under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The class B, class C and class D notes passed modeled scenarios at rating levels above their current ratings. However, the rating actions deviated from the modeling results due to the concentration risks stated above. ACAS BLT 2006-1 is a collateralized debt obligation (CDO) that closed on July 28, 2006 and is managed and serviced by American Capital Strategies, Ltd (ACAS). The transaction's reinvestment period ended in August 2009. ACAS BLT 2006-1 is secured by a portfolio of middle-market loans. The majority of these loans are not publicly rated, but Fitch establishes model-based credit opinions for the performing loans. Information for the credit opinions was gathered from financial statements provided to Fitch by ACAS. The performing loan portfolio consists of $145.2 million from 12 unique obligors, with the three largest obligors comprising approximately 33.6% of the total portfolio. Fitch considers approximately 20.8% of the portfolio to be rated 'CCC', compared to 48.8% in the last review, while 6.7% is rated 'BB-' and the remaining obligors are rated in the 'B' category. ACAS BUSINESS 2007-1: Fitch Holds Bsf Rating on $36MM Cl. D Notes ----------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed two classes of notes issued by ACAS Business Loan Trust 2007-1 (ACAS BLT 2007-1) as follows: -- $20,635,582 class B notes upgraded to 'AAsf' from 'Asf'; Outlook Stable; -- $64,971,520 class C notes affirmed at 'BBsf'; Outlook to Stable from Negative; -- $36,095,289 class D notes affirmed at 'Bsf'; Outlook to Stable from Negative. The upgrade and affirmations are based on the continued amortization and the resulting increases in credit enhancement available to the notes since Fitch's last rating action in August 2011. Since that time, the class A notes have been paid in full ($72.2 million outstanding at Fitch's last review) and the class B notes have received over $15.4 million of principal proceeds. While the transaction has experienced additional defaults over this time, excess spread continues to be used to repay note principal, helping mitigate the impact of increased defaults. The portfolio's high degree of concentration in relatively low- rated second lien and subordinated loans led to Fitch affirming the class C and D notes. However, the Outlook on these notes has been revised to Stable from Negative to reflect their improved performance in Fitch's cash flow analysis since the last rating action. While the class B notes currently benefit from a significant degree of collateral coverage and are of very high credit quality, the upgrade on these notes was limited to one category to account for the degree of obligor concentration in the portfolio. Fitch considers the performing portfolio balance to consist of approximately $160.7 million of loans across 15 obligors as of the May 15, 2012 servicer report. Each of the five largest obligors accounts for 11.2% of the performing portfolio. Over 97% of the performing portfolio represents junior secured or unsecured loans, which would be expected to achieve low recoveries upon default. The notes of ACAS BLT 2007-1 benefit from credit enhancement in the form of collateral coverage, note subordination, and the application of excess spread via the additional principal amount (APA). Upon the occurrence of a default in the portfolio, the APA feature directs part or all of the excess interest otherwise available to the equity to pay down the senior-most notes in an amount equal to the aggregate balance of defaulted assets in the portfolio. Since Fitch's last rating action the servicer has considered an additional $36 million of loans as defaulted, while over $30.7 million of excess interest proceeds has been used to pay principal on the notes. The outstanding APA was reported as approximately $41.6 million after the May 15, 2012 payment, compared to $36.3 million in May 2011. This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs' using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. These default and recovery levels were then utilized in Fitch's cash flow model under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The class B and C notes passed the various stress scenarios at rating levels above their current ratings, while the class D notes passed at levels in line with their current rating. Fitch accounted for other factors such as obligor concentration in its rating decisions. ACAS BLT 2007-1 is a collateralized debt obligation (CDO) that closed on April 24, 2007 and is managed and serviced by American Capital Strategies, Ltd (ACAS). The transaction's reinvestment period ended in November 2007. ACAS BLT 2007-1 is secured by a portfolio of middle-market loans. The majority of these loans are not publicly rated; instead, Fitch establishes model-based credit opinions for the performing loans. Information for the credit opinions was gathered from financial statements provided to Fitch by ACAS. ACAS BUSINESS 2007-2: Fitch Affirms CCC Rating on $39MM E Notes --------------------------------------------------------------- Fitch Ratings has affirmed five classes of notes issued by ACAS Business Loan Trust 2007-2 (ACAS BLT 2007-2) as follows: -- $26,487,704 class A notes at 'AAsf'; Outlook Stable; -- $34,874,179 class B notes at 'Asf'; Outlook Stable; -- $58,588,620 class C notes at 'BBsf'; Outlook Negative; -- $29,294,310 class D notes at 'Bsf'; Outlook Negative; -- $39,524,069 class E notes at 'CCC', recovery estimate (RE) 0%. The affirmations are based on the continued amortization and the resulting increases in credit enhancement available to all of the notes except for class E since Fitch's last rating action in August 2011. Since that time, the class A notes have received over $51.7 million of principal proceeds. While the transaction has experienced additional defaults over this time, excess spread continues to be used to repay note principal, helping mitigate the impact of increased defaults. Significant obligor concentration in the underlying portfolio remains a risk to the lower-rated tranches in particular. The class A and class B notes currently benefit from a greater degree of credit enhancement as compared to Fitch's last rating action. Fitch projects these to continue to perform in line with their current ratings and maintains the Stable Outlook to reflect their strong performance in Fitch's cash flow analysis of the transaction. The class C and class D notes also are projected to perform in line with their current ratings; however, the Outlook remains Negative on these classes due to their susceptibility to potential negative rating migration in the highly concentrated loan portfolio. Fitch currently considers the class E notes to be undercollateralized based on Fitch's estimate of a performing portfolio balance consisting of approximately $165.7 million of loans across 13 obligors as of the May 15, 2012 servicer report. Default is a real possibility for these notes, although they may ultimately be paid in full in a benign credit environment and if the defaulted assets currently held in the transaction experience relatively strong recoveries. The notes of ACAS BLT 2007-2 benefit from credit enhancement in the form of collateral coverage, note subordination, and the application of excess spread via the additional principal amount (APA). Upon the occurrence of a default in the portfolio, the APA feature directs part or all of the excess interest otherwise available to the equity to pay down the senior-most notes in an amount equal to the aggregate balance of defaulted assets in the portfolio. Since Fitch's last rating action the servicer has considered an additional $16.2 million of loans as defaulted, while over $15.8 million of excess interest proceeds has been used to pay principal to the class A notes. The APA stands at approximately $62.8 million after the May 15, 2012 payment, compared to $62.4 million in May 2011. This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs' using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. These default and recovery levels were then utilized in Fitch's cash flow model under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The class A and B notes passed the various stress scenarios at rating levels above their current ratings, while the class C and D notes passed at levels in line with their current ratings. The class E notes are highly sensitive to the future performance of each of the underlying loans and future recovery amounts, and their rating is reflective of this substantial credit risk. ACAS BLT 2007-2 is a collateralized debt obligation (CDO) that closed on Aug. 7, 2007 and is managed and serviced by American Capital Strategies, Ltd (ACAS). The transaction's reinvestment period ended in February 2008. ACAS BLT 2007-2 is secured by a portfolio of middle-market loans. The majority of these loans are not publicly rated; instead, Fitch establishes model-based credit opinions for the performing loans. Information for the credit opinions was gathered from financial statements provided to Fitch by ACAS. Approximately 81.6% of the performing portfolio represents junior secured or unsecured loans, which would be expected to achieve low recoveries upon default. Fitch affirms the rating and Recovery Estimate (RE) of following pooled certificate: ACCREDITED MORTGAGE: Moody's Lifts Rating on A-3 Tranche From Ba2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one tranche from Accredited Mortgage Loan Trust 2006-2. The collateral backing the transactions are subprime residential mortgages. Complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2006-2 Cl. A-3, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Ratings Rationale The actions are a result of the recent performance of Subprime pools originated after 2005 and reflect Moody's updated loss expectations on these pools.The upgrades in the rating action are a result of improving performance and/or structural features resulting in lower expected losses for certain bonds than previously anticipated. 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 unemployment rate fell from 9.0% in April 2011 to 8.2% in June 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_SF290557 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 ACE SECURITIES: Moody's Raises Rating on A-2D Tranche to 'Caa2' --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on five tranches from two subprime RMBS transactions issued by ACE. The collateral backing the transactions are subprime residential mortgages. Complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- HE7 Cl. A-1B2, Upgraded to Ba3 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. A-2D, Upgraded to Ba3 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- NC1 Cl. A-1, Upgraded to Ba1 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. A-2C, Upgraded to Ba1 (sf); previously on May 30, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. A-2D, Upgraded to Caa2 (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Ratings Rationale The actions are a result of the recent performance of Subprime pools originated after 2005 and reflect Moody's updated loss expectations on these pools.The upgrades in the rating action are a result of improving performance and/or structural features resulting in lower expected losses for certain bonds than previously anticipated. The methodologies used in these 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 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 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 subprime 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 subprime pools, Moody's first applies a baseline delinquency rate of 10% for 2005, 19% for 2006 and 21% for 2007. 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 2005 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 0.80 to 1.8 for current delinquencies that range from 10% to greater than 50% 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 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 unemployment rate fell from 9.0% in April 2011 to 8.2% in June 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_SF290556 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 ADVANTA BUSINESS: S&P Lowers Rating on Class B(2006-B1) to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class B(2006-B1) notes from Advanta Business Card Master Trust to 'D (sf)' from 'CC (sf)'. "We lowered our rating to 'D (sf)' to reflect the nonpayment of full principal to the investors of the class B(2006-B1) notes on the July 20, 2012, final maturity date," S&P said. As of the July 20, 2012, distribution date, the transaction repaid approximately 81% of the class B(2006-B1) notes invested amount, leaving $19,157,223 outstanding or unpaid on the legal final maturity date. AIRCRAFT CERTIFICATE 2003-A: S&P Affirms 'BB' Ratings on 2 Classes ------------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its 'BB (sf)' ratings on Aircraft Certificate Owner Trust 2003-A's class D and E notes. Aircraft Certificate Owner Trust 2003-A is an asset-backed securities transaction originally backed by four series of US Airways class G pass-through aircraft certificates. Currently, only three series of underlying securities remain. The ratings on the class D and E notes reflect the lowest of the ratings on the remaining three underlying US Airways class G pass- through aircraft securities: UNDERLYING AIRCRAFT CERTIFICATES US Airways Class G Pass-Through Certificates Series Rating CUSIP Original bal. Original (mil. $) issue date 2000-2G BBB- 90332UAK9 362.414 July 2000 2000-3G BBB (sf) 90332UAL7 491.135 October 2000 2001-1G BB (sf) 90332UAN3 458.047 January 2001 "The transaction has separate interest and principal waterfalls. Interest collections from the underlying securities are allocated to pay transaction fees and then interest pro rata among all classes of rated notes and nonrated certificates. Principal collections from the underlying securities are allocated to amortize the rated notes and nonrated certificates pro rata based on 97% and 3% allocation. However, the amount allocated among the rated notes is applied sequentially. If an event of default occurs, as defined in the indenture, principal collections will be allocated to amortize the rated notes in full sequentially and then to amortize the nonrated certificates," S&P said. "If any underlying security fails to pay interest, the class D and E notes would not be able to receive their full interest payment on the payment date. Therefore, the ratings on the class D and E notes are linked to the lowest of the ratings on the underlying securities," S&P said. "We will continue to monitor the transaction and take rating actions as appropriate," 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 RATINGS AFFIRMED Aircraft Certificate Owner Trust - Series 2003-A Class Rating D BB (sf) E BB (sf) AMERICAN CREDIT 2012-2: S&P Gives Prelim BB Rating on Cl. D Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2012-2's $211.39 million asset-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 July 20, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: - The availability of approximately 44.45%, 41.11%, 34.67%, and 29.68% of credit support for the class A, B, C, and D notes based on break-even stressed cash flow scenarios (including excess spread), which provide coverage of approximately 2.0x, 1.80x, 1.50x, and 1.25x of S&P's expected net loss range of 21.50%-22.00% for the class A, B, C, and D notes. - The timely interest and principal payments made to the preliminary rated notes by the assumed legal final maturity dates under S&P's stressed cash flow modeling scenarios that it believes is appropriate for the assigned preliminary ratings. - S&P's expectation that under a moderate, or 'BBB', stress scenario the ratings on the class A, B, and C notes would remain within one rating category of the rating agency's preliminary 'A+ (sf)', 'A (sf)', and 'BBB (sf)' ratings. These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bound of credit deterioration equal to a two-category downgrade within the first year for 'A through 'BB' rated securities under moderate stress conditions. - The collateral characteristics of the subprime automobile loans securitized in this transaction, including the four months of seasoning. - The backup servicing arrangement with Wells Fargo Bank N.A. - The transaction's payment and credit enhancement structures, which include performance triggers. - The transaction's legal structure. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111731.pdf PRELIMINARY RATINGS ASSIGNED American Credit Acceptance Receivables Trust 2012-2 Class Rating Type Interest Amount rate (mil. $)(i) A A+ (sf) Senior Fixed 158.55 B A (sf) Subordinate Fixed 9.86 C BBB (sf) Subordinate Fixed 21.49 D BB (sf) Subordinate Fixed 21.49 (i) The actual size of these tranches will be determined on the pricing date. ANSONIA 2006-1: S&P Lowers Ratings on 10 Debt Classes to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 13 classes from Ansonia CDO 2006-1 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. The criteria include revisions to our assumptions on correlations, recovery rates, and default patterns and timings of the collateral. It also includes supplemental stress tests (the largest obligor default test and the 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 H through T to 'D (sf)' because we determined that the classes are unlikely to be repaid in full," S&P said. "According to the June 25, 2012, trustee report, the transaction's collateral totaled $502.6 million, while the transaction's liabilities (including capitalized and defaulted interest) totaled $822.6 million, up from $806.7 million at issuance," S&P said. The transaction is collateralized by 100 CMBS classes ($455.1 million, 90.5%) from 31 distinct transactions issued between 1998 and 2006. The current assets also include seven real estate investment trust (REIT) securities ($40 million, 8.0%) and two classes ($7.5 million, 1.5%) from GS Mortgage Securities Corp. II's series 2006-CC1, which is a CMBS resecuritization transaction. Ansonia 2006-1 has exposure to these transactions that Standard & Poor's has downgraded: * CS First Boston Mortgage Securities Corp. series 2005-C6 (classes L, M, N, and O; $29.8 million; 14.9%); * Wachovia Bank Commercial Mortgage Trust series 2005-C19 (classes K, L, M, N, and O; $24.2 million; 12.1%); and * Merrill Lynch Mortgage Trust series 2005-MKB2 (classes F, K, L, M, N, and P; $23.2 million; 11.6%). 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111738.pdf RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE Ansonia CDO 2006-1 Ltd. Rating Class To From A-FL CCC- (sf) CCC+ (sf)/Watch Neg A-FX CCC- (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 L D (sf) CCC- (sf)/Watch Neg M D (sf) CCC- (sf)/Watch Neg N D (sf) CCC- (sf)/Watch Neg O D (sf) CCC- (sf)/Watch Neg P D (sf) CCC- (sf)/Watch Neg Q D (sf) CCC- (sf)/Watch Neg S D (sf) CCC- (sf)/Watch Neg T D (sf) CCC- (sf)/Watch Neg ANTHRACITE 2006-HY3: S&P Lowers Ratings on 7 Debt Classes to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes from Anthracite CRE CDO 2006-HY3 Ltd., a U.S. commercial real estate collateralized debt obligation (CRE CDO) transaction. "At the same time, we affirmed our 'CCC- (sf)' ratings on two classes. 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. "We lowered our ratings on the classes C-FL and C-FX through G to 'D (sf)' based on our expectation that the classes will be unlikely to be repaid in full," S&P sid. According to the July 23, 2012, trustee report, Anthracite 2006- HY3 was collateralized by 28 CMBS classes ($150.3 million, 61.4%) from 14 distinct transactions issued between 2002 and 2006, as well as three subordinate commercial real estate loans (CREL) securities ($94.3 million, 38.6%). The transaction has exposure to 16 CMBS classes from nine distinct transactions comprising 30.9% of the collateral pool that Standard & Poor's has downgraded. These three transactions represent 18.4% of the downgraded collateral:: * GE Commercial Mortgage Corporation series 2005-C3 (classes K, L, M and P; $20.4 million, 8.4%); * ML-CFC Commercial Mortgage Trust series 2006-1 (classes H, J and K; $12.5 million, 5.1%); and * Merrill Lynch Mortgage Trust series 2005-MCP1 (class H; $12.0 million, 4.9%). 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 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 Anthracite CRE CDO 2006-HY3 Ltd. Rating Class To From A CCC- (sf) B- (sf) / Watch Neg C-FL D (sf) CCC- (sf) / Watch Neg C-FX D (sf) CCC- (sf) / Watch Neg D D (sf) CCC- (sf) / Watch Neg E-FL D (sf) CCC- (sf) / Watch Neg E-FX D (sf) CCC- (sf) / Watch Neg F D (sf) CCC- (sf) / Watch Neg G D (sf) CCC- (sf) / Watch Neg RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE Anthracite CRE CDO 2006-HY3 Ltd. Rating Class To From B-FL CCC- (sf) CCC- (sf) / Watch Neg B-FX CCC- (sf) CCC- (sf) / Watch Neg BANC OF AMERICA: Fitch Affirms Rating on $18.9-Mil. Notes at 'Dsf' ------------------------------------------------------------------ Fitch Ratings has affirmed Banc of America Large Loan, Inc commercial mortgage pass-through certificates, series 2006-BIX1 due to stable performance of the remaining loans. The revision of the class E outlook to positive reflects continued paydown and increased credit enhancement. The rating actions reflect Fitch's base case loss expectation of 9.2%. Fitch's performance expectation incorporates prospective views regarding commercial real estate values and cash flow declines. Under Fitch's updated analysis, 100% of the pool is modeled to default in the base case stress scenario, defined as the 'B' stress, as all the remaining loans are currently in special servicing. In this scenario, the modeled average cash flow decline is 10% from trailing 12 month March 2012 financials, from appraisal values or Fitch estimates of value. In its review, Fitch analyzed servicer-reported operating statements and rent rolls, updated property valuations, and recent lease and sales comparisons. Fitch estimates the average recoveries on the pooled notes will be approximately 90.8% in the base case. Although the transaction has seen increased credit enhancement due to loan payoffs, the pool has become increasingly concentrated. The transaction is collateralized by three loans, two of which are secured by office (82%) and one by retail (18%). All of the final maturity dates including all extension options and modified extension or forbearance periods are in 2012 or 2013. Fitch expects losses on one of the remaining loans, the Ballantyne Village (18%). The Ballantyne Village interest-only loan is collateralized by a 166,041 sf retail center located in Charlotte, NC, approximately 14 miles south of downtown Charlotte, in the neighborhood known as Ballantyne. It is located in the Outer Southeast retail submarket of Charlotte. The property was built in 2005 and the subject loan refinanced a construction loan. The collateral does not include a 480-space parking deck; however, an easement agreement provides access and use of the parking deck. The loan transferred to special servicing in July 2009 due to imminent default. The special servicer and the borrower completed negotiations and executed a forbearance agreement in March 2011. The agreement included cash management, strict payment waterfall compliance, and required the borrower to contribute cash under certain conditions. The borrower pays interest on $14 million of principal; interest accrues on the total principal balance of the loan and is deferred. The borrower has been given the opportunity to release the collateral by paying 100% of the fair market value based on a predetermined valuation procedure which involved the special servicer's participation. A final value was reached in March 2012 and the borrower has until Oct. 1, 2012 to pay off the loan or surrender the property to the special servicer. The largest loan in the transaction is the CarrAmerica National Pool (62.6%). The loan was originally secured by fee, leasehold, and cash flow interests in a portfolio of 73 office properties located throughout the U.S. Following releases of collateral, the portfolio currently consists of 24 properties totaling 5.8 million sf. The loan transferred to special servicing in February 2011 for imminent maturity default, with the borrower seeking an extension. The loan was modified with terms that include an extension to August 2013, $40 million in paydown to the A notes, additional paydown after the release of one property, scheduled amortization during the extended maturity period and all fees paid by the borrower. The remaining loan in the transaction is the JER Denver Office Portoflio (19.4%). The loan was originally collateralized by six office properties totaling over 900,000 sf located in Greenwood Village and Englewood, CO, within the Denver MSA. Two properties have been released, resulting in paydown of approximately $12 million. The remaining four properties contain 721,734 sf and are located in Greenwood Village, CO. The loan transferred to special servicing in May 2011 after the borrower requested an extension and modification due to uncertainty in refinancing the debt. Fitch affirms the ratings and revises the Outlooks of the following pooled certificates as indicated: -- $6.8 million class D at 'AAAsf'; Outlook Stable; -- $28.3 million class E at 'AAsf'; Outlook revised to Positive from Stable; -- $28.3 million class F at 'A+sf'; Outlook Stable; -- $28.3 million class G at 'Asf'; Outlook Stable; -- $28.3 million class H at 'A-sf'; Outlook Stable; -- $11.3 million class J at 'BBBsf' Outlook Stable; -- $11.8 million class K at 'Bsf'; Outlook Stable. Fitch affirms the rating and Recovery Estimate (RE) of following pooled certificate: -- $18.9 million class L at 'Dsf'; RE 0%. Fitch affirms the ratings and revises the Outlooks the following non-pooled certificates: -- $4 million class J-CP at 'BBB+sf'; Outlook Stable; -- $5.9 million class K-CP at 'BBBsf'; Outlook Stable; -- $11.5 million class L-CP at 'BBB-sf'; Outlook Stable. Classes X-1B, X-2, X-3, X-4 and X-5 were previously withdrawn. Classes A-1 through C, X-1A, J-CA, K-CA, L-CA, M-MC and L-SC have paid in full. BANC OF AMERICA: Moody's Cuts Ratings on 2 Cert. Classes to 'C' --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 classes and downgraded ten classes of Banc of America Commercial Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series 2008-1 as follows: Cl. A-1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. 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-1A, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-M, Downgraded to Aa3 (sf); previously on Nov 11, 2010 Downgraded to Aa2 (sf) Cl. A-J, Downgraded to Baa2 (sf); previously on Nov 11, 2010 Downgraded to Baa1 (sf) Cl. B, Downgraded to Ba1 (sf); previously on Nov 11, 2010 Downgraded to Baa2 (sf) Cl. C, Downgraded to Ba3 (sf); previously on Nov 11, 2010 Downgraded to Baa3 (sf) Cl. D, Downgraded to B1 (sf); previously on Nov 11, 2010 Downgraded to Ba1 (sf) Cl. E, Downgraded to B3 (sf); previously on Nov 11, 2010 Downgraded to Ba3 (sf) Cl. F, Downgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to B2 (sf) Cl. G, Downgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa1 (sf) Cl. H, Affirmed at Caa3 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Cl. J, Downgraded to C (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. K, Downgraded to C (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. L, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. P, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. Q, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. XW, 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. The downgrades are due to higher than expected realized and anticipated losses from specially serviced and troubled loans. Moody's rating action reflects a cumulative base expected loss of 9.2% of the current balance compared to 8.4% at last review. Base expected loss plus realized losses to date totals 9.7% compared to 8.9% 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 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 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 30, down from 31 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 September 29, 2011. Deal Performance As of the July 10, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 3% to $1.23 billion from $1.27 billion at securitization. The Certificates are collateralized by 103 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans representing 48% of the pool. No loans have defeased and there are no loans with credit assessments. There are thirty-two loans, representing 17% of the pool, on the master servicer's watchlist, compared to 34 loans, representing 38% 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. Four loans have been liquidated from the pool since securitization resulting in an aggregate realized loss totaling $10.6 million. There are currently twelve loans, representing 10% of the pool, in special servicing. Moody's has estimated an aggregate $71.3 million loss (57% expected loss overall) for 11 of the specially serviced loans. Moody's has assumed a high default probability for 17 poorly performing loans representing 10% of the pool and has estimated an $18.9 million aggregate loss (15% 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 99% and 96% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 110% compared to 112% at last full review. Moody's net cash flow reflects a weighted average haircut of 11.4% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.8%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.29X and 0.99X, respectively, compared to 1.25X and 0.97X, 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 loans represent 23% of the pool balance. The largest loan is the Apple Hotel Portfolio Loan ($109.3 million -- 8.9% of the pool), which is secured by a portfolio of 27 limited service and extended stay hotels located across 14 states. The loan represents a 32% pari-passu interest in a $341.6 million loan. Performance has improved since last review due to an approximate 4.3% increase in RevPAR. In 2011, the pool's revenue per available room (RevPAR) was $78.53 compared to $75.29 in 2010. The loan had been on the watchlist due to net cash flow DSCR dropping below a 1.4X threshold; however, in 2011 the DSCR improved to 1.38X from 1.30X in 2010 and 1.24X in 2009. Moody's LTV and stressed DSCR are 123% and 0.99X, respectively, compared to 129% and 0.94X at last review. The second largest loan is the 550 West Jackson Loan ($97.5 million -- 7.9% of the pool), which is secured by a 402,000 square foot (SF) office building located in Chicago, Illinois. The property was 97% leased as of December 2011 compared to 98% as of July 2011. The property's performance has improved since last review due to higher revenues. Moody's LTV and stressed DSCR are 109% and 0.87X, respectively, compared to 113% and 0.83X at last review. The third largest loan is the IBP Loan ($75.0 million -- 6.1% of the pool), which is secured by 813,000 SF multi-building business park located in Plato and Carrollton, Texas. The loan represents a 73% pari-passu interest in a $102.6 million loan. The property was 96% leased as of December 2011 compared to 94% as of June 2011. Financial performance continues to increase in concert with increased occupancy. At last review, Moody's analysis reflected a stabilized net cash flow which has been achieved. Moody's LTV and stressed DSCR are 111% and 0.95X, respectively, compared to 120% and 0.88X at last review. BAYVIEW FINANCIAL: Moody's Cuts Ratings on 2 Sec. Tranches to B3 ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 6 tranches, upgraded the ratings of 2 tranches, and confirmed the ratings of 2 tranches from three RMBS transactions, backed by Scratch and Dent loans, sponsored by BV Legacy, LP, formerly known as Bayview Financial LP. 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 six downgrades. The upgrades are due to an increase in the available credit enhancement. The downgrade is primarily due to deteriorating collateral performance. 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 the 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 June 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: Bayview Financial Mortgage Pass-Through Trust, Series 2004-A Cl. A, Downgraded to Aa1 (sf); previously on Apr 19, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. M-3, Downgraded to Ba3 (sf); previously on Apr 19, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M-4, Downgraded to B3 (sf); previously on Apr 19, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. B-1, Confirmed at Caa1 (sf); previously on Apr 19, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Bayview Financial Mortgage Pass-Through Trust 2005-C Cl. M-1, Upgraded to Baa3 (sf); previously on Apr 19, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to Ba3 (sf); previously on Apr 19, 2012 B2 (sf) Placed Under Review for Possible Upgrade Issuer: Bayview Financial Mortgage Pass-Through Trust 2005-D Cl. AF-3, Confirmed at Aaa (sf); previously on Apr 19, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. AF-4, Downgraded to Ba3 (sf); previously on Apr 19, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. A-PO, Downgraded to Ba3 (sf); previously on Jul 7, 2011 Downgraded to Ba1 (sf) Cl. M-1, Downgraded to B3 (sf); previously on Apr 19, 2012 B2 (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_SF292168 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 BEAR STEARNS 1999-C1: Moody's Affirms 'Ca' Rating on Cl. I Certs ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes and affirmed six classes of Bear Stearns Commercial Mortgage Securities Inc., Commercial Mortgage Pass-Through Certificates, Series 1999-C1 as follows: Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. E, Upgraded to Aaa (sf); previously on Sep 1, 2011 Upgraded to Aa1 (sf) Cl. G, Upgraded to Baa1 (sf); previously on Sep 1, 2011 Upgraded to Ba1 (sf) Cl. H, Affirmed at B2 (sf); previously on Feb 9, 2005 Downgraded to B2 (sf) Cl. I, Affirmed at Ca (sf); previously on Dec 2, 2010 Downgraded to Ca (sf) Cl. X, Affirmed at B1 (sf); previously on Feb 22, 2012 Downgraded to B1 (sf) Ratings Rationale The upgrades are due primarily to paydowns, amortization and an increased share of defeased loans in the pool. The upgrades also reflect Moody's assumption that many of the maturing loans in the pool are well-positioned for refinance. Of the pool's loans slated to mature in the next 24 months, 96% have debt yields, DSCRs and LTVs which meet or exceed levels typically required for financing in the current marketplace. The affirmations are due to key parameters, including Moody's LTV ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of approximately 1.2% of the current deal balance. At last review, Moody's cumulative base expected loss was approximately 2.2%. Realized losses have remained the same at 1.5% since last 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 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 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 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 a Herf of 18 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 September 1, 2011. Deal Performance As of the July 16, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 84% to $77 million from $478 million at securitization. The Certificates are collateralized by 28 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans (excluding defeasance) representing 50% of the pool. The pool contains no loans with investment-grade credit assessments. Nine loans, representing approximately 31% of the pool, are defeased and are collateralized by U.S. Government securities. Three loans, representing 12% 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. Seven loans have liquidated from the pool, resulting in an aggregate realized loss of $7.3 million (30% average loan loss severity). Currently, there are no loans in special servicing. Moody's has assumed a high default probability for one poorly- performing loan representing 4% of the pool. Moody's was provided with full-year 2010 and partial year 2011 operating results for 95% and 95% of the performing pool, respectively. Excluding troubled loans, Moody's weighted average LTV is 48% compared to 52% at last full review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.0%. Excluding the troubled loan, Moody's actual and stressed DSCRs are 2.23X and 3.30X, respectively, compared to 2.17X and 2.83X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 19% of the pool. The largest loan is the Eden Center Loan ($5 million -- 7% of the pool). The loan is secured by a 206,000 square-foot retail center located in Falls Church, Virginia, a western suburb of Washington, DC. The center's 100+ businesses include restaurants and stores offering primarily Asian -- and particularly Vietnamese -- cuisine and products. The property was 74% leased as of year-end 2011 reporting. The property has experienced significant lease rollover in the past 12 months, though new leasing activity has been strong. The two largest tenants at the center, Planet Fitness and Ngon Restaurant, recently signed lease extensions for five and ten years, respectively. Moody's current LTV and stressed DSCR are 15% and >4.00X, respectively, compared to 17% and >4.00X at last review. The second-largest loan is the Stoneridge Corporate Park Loan ($5 million -- 6% of the pool). The loan is secured by a 107,000 square-foot, three-building, Class B office complex located in the suburban Philadelphia township of Uwchlan, Pennsylvania. The property is part of the Exton office submarket. Occupancy was 74% as of year-end 2011 reporting, compared to 60% at Moody's last review. The loan sponsor is Liberty Property Trust, a REIT which specializes in industrial and suburban office properties. Moody's current LTV and stressed DSCR are 77% and 1.48X, respectively, compared to 108% and 1.05X at last review. The third-largest loan is the Airport Thruway Plaza Loan ($5 million -- 6% of the pool). The loan is secured by a 128,000 square-foot retail center located in Columbus, Georgia. Tenants include Office Depot as well as other, primarily local and regional tenants. Occupancy was 72% as of March 2012. Moody's current LTV and stressed DSCR are 65% and, 1.62X respectively, compared to 72% and 1.45X at last review. BEAR STEARNS 2004-PWR6: Moody's Affirms 'Ca' Rating on P Certs. --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 18 classes of Bear Stearns Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2004-PWR6 as follows: Cl. A-5, Affirmed at Aaa (sf); previously on Jan 14, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-6, Affirmed at Aaa (sf); previously on Jan 14, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed at Aaa (sf); previously on Jan 14, 2005 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Jan 14, 2005 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed at Aa3 (sf); previously on Jan 14, 2005 Definitive Rating Assigned Aa3 (sf) Cl. D, Affirmed at A2 (sf); previously on Jan 14, 2005 Definitive Rating Assigned A2 (sf) Cl. E, Affirmed at A3 (sf); previously on Jan 14, 2005 Definitive Rating Assigned A3 (sf) Cl. F, Affirmed at Baa1 (sf); previously on Jan 14, 2005 Definitive Rating Assigned Baa1 (sf) Cl. G, Affirmed at Baa3 (sf); previously on Nov 11, 2010 Downgraded to Baa3 (sf) Cl. H, Affirmed at Ba2 (sf); previously on Nov 11, 2010 Downgraded to Ba2 (sf) Cl. J, Affirmed at Ba3 (sf); previously on Nov 11, 2010 Downgraded to Ba3 (sf) Cl. K, Affirmed at B2 (sf); previously on Nov 11, 2010 Downgraded to B2 (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 Caa3 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Cl. P, Affirmed at Ca (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. X-2, Affirmed at Aaa (sf); previously on Jan 14, 2005 Definitive Rating Assigned Aaa (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 2.4% of the current balance. At last review, Moody's cumulative base expected loss was 2.8%. Realized losses have increased from 0.2% of the original balance to 0.4% 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 27 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 September 15, 2011. DEAL PERFORMANCE As of the July 11, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 28% to $767 million from $1.07 billion at securitization. The Certificates are collateralized by 85 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten non-defeased loans representing 42% of the pool. Five loans, representing 13% of the pool, have defeased and are secured by U.S. Government securities. Defeasance at last review represented 8% of the pool. The pool contains two loans with investment grade credit assessments, representing 8% of the pool. Twenty loans, representing 10% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two retail loans have been liquidated from the pool, resulting in an aggregate realized loss of $4.5 million (78% loss severity on average). Currently three loans, representing 2% of the pool, are in special servicing. Moody's estimates an aggregate $6.3 million loss for the specially serviced loans (41% expected loss on average). Moody's has assumed a high default probability for two poorly performing loans representing less than 1% of the pool and has estimated an aggregate $1.2 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 97% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 81% compared to 85% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 8% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.47X and 1.33X, respectively, compared to 1.47X and 1.25X 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 Hilton Sandestin Beach Golf Resort & Spa Loan ($44.9 million -- 5.8% of the pool), which is secured by a 598-room, full service hotel located in Destin, Florida. The hotel's performance improved since the last review due to higher revenues from increased occupancy at the property. The loan has amortized by 2% since the last review and 17% since securitization. Moody's credit assessment and stressed DSCR are A2 and 2.24X, respectively, compared to A3 and 2.00X at last review. The second largest loan with a credit assessment is the Berry Plastics Portfolio Loan ($15.8 million -- 2.1% of the pool), which is secured by a portfolio of four industrial buildings containing a total of 862,866 square feet (SF). The properties are located in New York (3) and Arizona. The properties are 100% net leased to Berry Plastics (Moody's LT Corporate Family Rating B3; stable outlook) through November 2023. The loan has benefited from 240- month amortization schedule and has amortized 3% since the last review and 25% since securitization. Moody's credit assessment and stressed DSCR are A3 and 1.71X, respectively, compared to Baa1 and 1.57X at last review. Moody's removed credit assessments on two loans since the prior review. The loans include the Pine Gates Apartments Loan ($15.8 million -- 2.3% of the pool) and the Shaklee Corporation Loan ($14.0 million -- 1.8% of the pool). Moody's removed the credit assessment for the Pine Gates Apartments Loan due to declining performance while removing the credit assessment for the Shaklee Corporation Loan for outstanding real estate taxes due on three land parcels associated with the property. The top three performing conduit loans represent 20% of the pool balance. The largest conduit loan is the Highland Village Loan ($78.9 million -- 10.3% of the pool), which is secured by a 331,000 (SF) retail center located in Houston, Texas. The property was 89% leased as of December 2011 compared to 85% at last review. Moody's LTV and stressed DSCR are 76% and 1.28X, respectively, compared to 90% and 1.09X at last review. The second largest loan is Eton Collection Loan ($50.2 million -- 6.5% of the pool), which is secured by a 287,000 SF retail center located in Woodmere, Ohio. The property was 92% leased as of December 2011 compared to 88% at last review. Overall, performance is below securitization levels but has steadily improved since 2009. Moody's LTV and stressed DSCR are 108% and 0.90X, respectively, compared to 123% and 0.77X at last review. The third largest loan is BAMC Building Loan ($27.5 million -- 3.6% of the pool), which is secured by a 199,231 SF office building located in San Antonio, Texas. The property is 100% leased to GSA tenants through 2021. Performance is stable and the loan is benefitting from amortization. Moody's LTV and stressed DSCR are 79% and 1.30X, respectively, compared to 83% and 1.24X at last review. BEAR STEARNS 2004-TOP14: Moody's Affirms Ca Rating on Cl. O Certs ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 16 classes of Bear Stearns Commercial Mortgage Securities Trust 2004-TOP 14, Commercial Mortgage Pass-Through Certificates, Series 2004-TOP14 as follows: Cl. A-3, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa1 (sf); previously on Jan 28, 2011 Upgraded to Aa1 (sf) Cl. C, Affirmed at Aa3 (sf); previously on May 10, 2004 Definitive Rating Assigned Aa3 (sf) Cl. D, Affirmed at A2 (sf); previously on Nov 12, 2009 Confirmed at A2 (sf) Cl. E, Affirmed at A3 (sf); previously on Nov 12, 2009 Confirmed at A3 (sf) Cl. F, Affirmed at Baa1 (sf); previously on Nov 12, 2009 Confirmed at Baa1 (sf) Cl. G, Affirmed at Baa3 (sf); previously on Nov 12, 2009 Downgraded to Baa3 (sf) Cl. H, Affirmed at B1 (sf); previously on Sep 1, 2011 Downgraded to B1 (sf) Cl. J, Affirmed at B2 (sf); previously on Sep 1, 2011 Downgraded to B2 (sf) Cl. K, Affirmed at B3 (sf); previously on Sep 1, 2011 Downgraded to B3 (sf) Cl. L, Affirmed at Caa1 (sf); previously on Jan 28, 2011 Downgraded to Caa1 (sf) Cl. M, Affirmed at Caa2 (sf); previously on Jan 28, 2011 Downgraded to Caa2 (sf) Cl. N, Affirmed at Caa3 (sf); previously on Jan 28, 2011 Downgraded to Caa3 (sf) Cl. O, Affirmed at Ca (sf); previously on Jan 28, 2011 Downgraded to Ca (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 3.4% of the current balance. At last review, Moody's cumulative base expected loss was 3.9%. 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 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 26 compared to 30 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 September 1, 2011. Deal Performance As of the July 12, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 38% to $557.3 million from $894.5 million at securitization. The Certificates are collateralized by 93 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten non--defeased loans representing 38% of the pool. The pool contains one loan with investment grade credit assessment which represents 2% of the pool. Eight loans, representing 15% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty-two 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. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $3.2 million (3% loss severity overall). There are no loans in special servicing at this time. Moody's has assumed a high default probability for four poorly performing loans representing 14% of the pool and has estimated a $12.1 million aggregate loss (16% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 operating results for 96% of the pool's non-defeased loans. Excluding troubled loans, Moody's weighted average LTV is 77% compared to 85% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.68X and 1.51X, respectively, compared to 1.68X and 1.39X 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 12 E 22nd Street Loan ($11.7 million -- 2.1% of the pool), which is secured by an 89- unit apartment building located in New York City. The property was 100% leased as of December 2011 compared to 99% at last review. Moody's credit assessment and stressed DSCR are Aa2 and 1.72X, respectively, compared to Aa2 and 1.76X at last review. The top three performing conduit loans represent 22% of the pool. The largest loan is the U.S. Bank Tower Loan ($65.0 million -- 11.5% of the pool), which represents a pari passu interest in a $260 million first mortgage loan. The loan is secured by a 1.4 million square foot (SF) office tower and accompanying parking garage located in downtown Los Angeles, California. The loan sponsor is Maguire Properties. The loan was in special servicing due to imminent default but returned to the master servicer in November 2011. The loan remains current and is interest-only for the entire term. The property was 55% leased as of December 2011, essentially the same as at last review. Performance has declined since last review. Year-end 2011 net operating income (NOI) has decreased by 31% compared to year-end 2010. The current reported NOI DSCR is 1.07X. Due to poor performance and concerns about refinancing risk (the loan matures in July 2013), Moody's has recognized this loan as a troubled loan. Moody's LTV and stressed DSCR are 141% and 0.71X, respectively, compared to 135% and 0.74X at last review. The second largest loan is the 840 Memorial Drive Loan ($37.6 million -- 6.7% of the pool), which is secured by a 129,000 SF biotech lab/office building located in Cambridge, Massachusetts. The property was 59% leased as of March 2012 compared to 70% at last review. Although, occupancy has decreased, performance is inline with the expectations. Moody's LTV and stressed DSCR are 124% and 0.83X, respectively, compared to 127% and 0.81X at last review. The third largest loan is the 1401 & 1501 Nolan Ryan Expressway Loan ($19.2 million -- 3.5% of the pool), which is secured by a three-story Class A office building and a single story R&D facility, totaling 234,000 SF, located in Arlington, Texas. The property is 100% leased to the Siemens Dematic Postal Automation L.P (SDPA), a member of the Siemens AG family, through January 2014. The loan matures in February 2014. Moody's analysis reflects a downward adjustment to the property's net operating income due to concerns about single tenant occupancy. Moody's LTV and stressed DSCR are 80% and 1.22X, respectively, essentially the same as at last review. BUSINESS LOAN 2001-2: Fitch Affirms Junk Rating on 2 Note Classes ----------------------------------------------------------------- Fitch Ratings affirms two Business Loan Express (BLX) transactions as follows: Business Loan Express SBA loan-backed adjustable-rate notes, series 2001-2 -- Class A at CCsf, RE 85%; -- Class M at CCsf, RE 0%. Business Loan Express SBA loan-backed adjustable-rate notes, series 2002-1 -- Class A at 'BBBsf'; Outlook Negative; -- Class M at 'BBsf'; Outlook Negative. The rating affirmations reflect stable performance within the transaction. Since Fitch's last review, delinquencies have remained at or below prior levels. As of July 2012 reporting, total delinquencies for 2001-2 and 2002-1, represent 29.17% and 3.93%, respectively. Additionally, cumulative net losses have remained stable and currently total 10.39% and 6.86%, respectively. Though performance has remained stable, Fitch remains concerned with the historically high delinquency rates within the pools, particularly in 2001-2. The 2001-2 transaction continues to experience high delinquency roll rates which may lead to further reduction of credit support for the notes as losses realized. Furthermore, under Fitch's stress assumptions, recovery expectations are expected to be limited for the notes, in particular for the class M note due to its subordinate nature in the event of continued deterioration. The Negative Outlook designation for the 2002-1 transaction reflects Fitch's continued concern for growing concentrations within the pool which may ultimately impact the ratings on the outstanding notes. Fitch will continue to monitor the series 2001-2 and 2002-1 as the transactions continue to amortize. As obligor counts for the pools continue to decline and tail risk increases, Fitch will review the transactions for potential ratings action or withdrawals. In reviewing the transactions, Fitch took into account analytical considerations outlined in Fitch's 'Global Structured Finance Rating Criteria', dated June 6, 2012, including asset quality, credit enhancement, financial structure, legal structure, and originator and servicer quality. Fitch's analysis incorporated a review of collateral characteristics, in particular, focusing on delinquent and defaulted loans within the pool. All loans over 60 days delinquent were deemed defaulted loans. The defaulted loans were applied loss and recovery expectations based on collateral type and historical recovery performance to establish an expected net loss assumption for the transaction. Fitch stressed the cashflows generated by the underlying assets by applying its expected net loss assumption. Furthermore, Fitch applied a loss multiplier to evaluate break-even cash flow runs to determine the level of expected cumulative losses the structure can withstand at a given rating level. The loss multiplier scale utilized is consistent with that of other commercial ABS transactions. Additionally, to review possible concentration risks within the pool, Fitch evaluated the impact of the default of the largest performing obligors. Similar to the analysis detailed above, Fitch applied loss and recovery expectations to the performing obligors based on collateral type and historical recovery performance. The expected loss assumption was then compared to the credit support available to the outstanding notes given Fitch's expected losses on the currently defaulted loans. Consistent with the obligor approach detailed in 'Rating U.S. Equipment Lease and Loan Securitizations', dated Jan. 12, 2012, Fitch applied losses from the largest performing obligors commensurate with the individual rating category. The number of obligors ranges from 20 at 'AAA' to five at 'B'. Fitch will continue to closely monitor these transactions and may take additional rating action in the event of changes in performance and credit enhancement measures. C-BASS CBO: Fitch Affirms Junk Rating on Three Note Classes ----------------------------------------------------------- Fitch Ratings has affirmed four classes of notes issued by C-BASS CBO X, Ltd./Corp. (C-BASS X) as follows: -- $13,115,098 class A notes at 'Bsf'; Outlook Stable; -- $25,000,000 class B notes at 'CCsf'; -- $20,000,000 class C notes at 'Csf'; -- $15,201,519 class D 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 Fitch's last rating action in July 2011, the credit quality of the collateral has deteriorated with approximately 37.8% of the portfolio being downgraded and 3.2% upgraded a weighted average of 2.4 and 4 notches, respectively. Currently, 88.3% of the portfolio has a Fitch-derived rating below investment grade and 74.7% is rated in the 'CCC' category or lower, compared to 84% and 72%, respectively, at last rating action. The class A notes have received approximately $13.3 million since the last rating action and now only 3.7% of the original class balance remains. As evidenced by the increase in the notes' credit enhancement level, these paydowns effectively offset the deterioration in the portfolio. The breakeven rates in Fitch's cash flow model for the notes are generally consistent with the rating assigned above. The Stable Outlook on the class A notes reflects cushions in the notes' passing ratings in some scenarios that should offset potential further deterioration in the underlying portfolio. Fitch does not assign Outlooks to classes rated 'CCC' and below. Breakeven levels for the class B through D 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 probable for the class B notes and inevitable for the class C through D notes at or prior to maturity. C-BASS X is a cash flow structured finance collateralized debt obligation (SF CDO) that closed on May 27, 2004. The portfolio is currently monitored by NIC Management LLC, an affiliate of Newcastle Investment Corp., who became the substitute collateral manager for Credit-Based Asset Servicing & Securitization, LLC on Feb. 10, 2011. The portfolio is comprised of 96% residential mortgage-backed securities, 2.5% consumer asset-backed securities, and 1.5% commercial mortgage-backed securities from 1995 through 2005 vintage transactions. C-BASS MORTGAGE: Moody's Cuts Rating on Cl. IIM-2 Notes to 'Ba1' ---------------------------------------------------------------- Moody's Investors Service has corrected the watch status of two tranches and downgraded the rating of one of these tranches from C-BASS Mortgage Loan Asset Backed Notes, Series 2001-CB4, backed by closed end second lien loans. Ratings Rationale The action corrects the ratings of the Class IIM-2 and Class IIB-1 bonds which were mistakenly placed on watch for upgrade on January 31, 2012. The Class IIM-2 and Class IIB-1 bonds are backed by closed end second loans, but the January rating actions were based on the application of the first lien subprime parameters outlined in the "Pre-2005 US RMBS Surveillance Methodology," published in January 2012. The bonds have been reviewed under the methodology applicable to closed end second loans, and the downgrade on the rating of the Class IIM-2 bond reflects Moody's updated loss projections and the application of the parameters outlined in that methodology, the Second Lien RMBS Loss Projection Methodology: April 2010. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008 and "Second Lien RMBS Loss Projection Methodology: April 2010" published in April 2010. When assigning the final ratings to the bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 9.1% in June 2011 to 8.2% in June 2012. Moody's forecasts a further drop to 7.8% by the end of 2Q 2013. Moody's expects housing prices to remain stable through the remainder of 2012 before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. Complete rating actions are as follows: Issuer: C-Bass Mortgage Loan Asset Backed Notes, Series 2001-CB4 Cl. IIM-2, Downgraded to Ba1 (sf); previously on Nov 3, 2010 Downgraded to Baa1 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292169 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 CANYON CAPITAL: Moody's Raises Rating on Class D Notes From Ba1 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Canyon Capital CLO 2006-1 Ltd: U.S.$22,800,000 Class C Floating Rate Deferrable Notes Due 2020, Upgraded to A1 (sf); previously on July 27, 2011 Upgraded to A2 (sf); U.S.$22,800,000 Class D Floating Rate Deferrable Notes Due 2020, Upgraded to Baa3 (sf); previously on July 27, 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 September, 2012. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive "cushion" relative to certain covenant requirements. In particular, the deal is assumed to benefit from a higher spread level compared to the level assumed at the last rating action in July 2011. Moody's modeled a WAS of 3.79% compared to 3.25% at the time of 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 $348 million, defaulted par of $10 million, a weighted average default probability of 19.83% implying a WARF of 2963, a weighted average recovery rate upon default of 49.18%, and a diversity score of 47. 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. Canyon Capital 2006-1, Ltd., issued in August 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2371) Class A1: 0 Class A2: 0 Class B: +1 Class C: +3 Class D: +2 Class E: +1 Moody's Adjusted WARF + 20% (3556) Class A1: 0 Class A2: 0 Class B: -1 Class C: -2 Class D: -1 Class E: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2014 and 2016 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 after the end of the reinvestment period 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. CAPITAL ONE: Fitch Affirms 'BB' Rating on Class 2002-1D Securities ------------------------------------------------------------------ Fitch Ratings has affirmed all classes of Capital One Multi-asset Execution Trust and Rating Outlooks as follows: -- 2004-1A at 'AAAsf; Outlook Stable; -- 2004-4A at 'AAAsf'; Outlook Stable; -- 2005-6A at 'AAAsf'; Outlook Stable; -- 2005-7A at 'AAAsf'; Outlook Stable; -- 2005-9A at 'AAAsf'; Outlook Stable; -- 2005-10A at 'AAAsf'; Outlook Stable; -- 2006-1A at 'AAAsf'; Outlook Stable; -- 2006-3A at 'AAAsf'; Outlook Stable; -- 2006-5A at 'AAAsf'; Outlook Stable; -- 2006-8A at 'AAAsf'; Outlook Stable; -- 2006-11A at 'AAAsf'; Outlook Stable; -- 2006-12A at 'AAAsf'; Outlook Stable; -- 2007-1A at 'AAAsf'; Outlook Stable; -- 2007-2A at 'AAAsf'; Outlook Stable; -- 2007-5A at 'AAAsf'; Outlook Stable; -- 2007-7A at 'AAAsf'; Outlook Stable; -- 2007-8A at 'AAAsf'; Outlook Stable; -- 2008-3A at 'AAAsf'; Outlook Stable; -- 2004-3B at 'Asf'; Outlook Stable; -- 2004-7B at 'Asf'; Outlook Stable; -- 2005-1B at 'Asf'; Outlook Stable; -- 2005-3B at 'Asf'; Outlook Stable -- 2006-1B at 'Asf'; Outlook Stable; -- 2007-1B at 'Asf'; Outlook Stable; -- 2009-C (B) at 'Asf'; Outlook Stable; -- 2003-3C at 'BBBsf'; Outlook Stable; -- 2004-2C at 'BBBsf'; Outlook Stable; -- 2004-3C at 'BBBsf'; Outlook Stable; -- 2007-1C at 'BBBsf'; Outlook Stable; -- 2007-4C at 'BBBsf'; Outlook Stable; -- 2002-1D at 'BBsf'; Outlook Stable; -- 2009-AC at 'BBBsf'; Outlook Stable. The affirmations are based on continued positive trust performance. Sixty-plus day delinquency numbers have steadily decreased since the peak of 4.96% in January 2010 to 2.06% in the June 2012 reporting period. As a result, Fitch expects charge- offs to improve in the coming months. Charge-off numbers have continued to decrease from the peak of 12.66% in April 2010. A year ago, the 12-month average gross charge-off was 9.16% compared to 6.03% as of June 2012. Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debts, has improved over the past year to a 12-month average of 22.99% compared to 20.31% in June 2011. MPR has not been below 21% since the March 2011 reporting period. Excess spread has grown substantially in the past year, reaching historical levels. The three-month average excess spread has not caused the spread account to trap since August 2010. Fitch runs cash flow breakeven analysis by applying stress scenarios to three- and 12-month averages performances to test that under the stressed conditions, the transaction can withstand a level of losses commensurate with the risk associated with a rating level with the available credit enhancement. The variables that Fitch stresses are the gross yield, monthly payment rate, gross charge-off, and purchase rates. For further information, please review the U.S. Credit Card ABS Issuance updates published on a monthly basis. The affirmations are based on the performance of the trusts in line with expectations. The Stable Outlook indicates that, as a result of the continued positive performance trend for these trusts, Fitch expects the ratings will remain stable for the next two years. Fitch's analysis included a comparison of observed performance trends over the past few months to Fitch's base case expectations for each outstanding rating category. As part of its ongoing surveillance efforts, Fitch will continue to monitor the performance of these trusts. CIFC FUNDING 2012-I: S&P Rates Class B-3L Notes 'B(sf)' ------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to CIFC Funding 2012-I Ltd./CIFC Funding 2012-I LLC's $423.0 million floating- and fixed-rate notes. The note issuance is a collateralized loan obligation transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of July 25, 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 (excluding excess spread) and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. * The transaction's legal structure, which is expected to be bankruptcy remote. * The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. * The portfolio manager's experienced management team. * "Our projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest rate scenarios, including LIBOR ranging from 0.30%-11.36%," S&P said. * The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the preliminary rated notes outstanding. * The transaction's principal proceeds recapture feature, which requires reclassifying excess interest proceeds as principal proceeds in an amount equal to the principal proceeds used to make interest payments on the deferrable notes. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111740.pdf PRELIMINARY RATINGS ASSIGNED CIFC Funding 2012-I Ltd./CIFC Funding 2012-I LLC Class Rating Amount (mil. $) A-1L AAA (sf) 280.0 A-1F AAA (sf) 18.0 A-2L (deferrable) AA (sf) 34.0 A-3L (deferrable) A (sf) 34.0 B-1L (deferrable) BBB (sf) 24.0 B-2L (deferrable) BB- (sf) 23.0 B-3L (deferrable) B (sf) 10.0 Subordinated notes NR 41.00 NR-Not rated. COMM 2005-FL11: Fitch Affirms Junk Rating on 2 Note Classes ----------------------------------------------------------- Fitch Ratings has affirmed 12 pooled and non-pooled classes and downgraded two non-pooled classes of COMM 2005-FL11. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. Since Fitch's last review, one loan has paid in full with proceeds paid to the outstanding classes per the deal's modified pro rata structure. The Negative rating Outlooks reflect the nontraditional nature of the collateral and the uncertainty regarding the disposition of the final two portfolios. Under Fitch's updated analysis, both remaining loans are modeled to default in the base case stress scenario, defined as the 'B' stress, as the remaining loans are currently in special servicing. In its review, Fitch analyzed servicer-reported operating statements and rent rolls, updated property valuations, and recent lease and sales comparisons. Fitch estimates the average recoveries on the pooled notes will be approximately 93.9% in the base case. With respect to the pooled classes, one loan was modeled to take a loss in the base case: DDR/Macquarie Mervyn's Portfolio (10.8% of the pooled balance) The DDR/Macquarie Mervyn's Portfolio was originally collateralized by 35 retail stores, 31 fee and four leasehold, located in California, Nevada, Arizona and Texas, of which 24 remain. The collateral was previously 100% occupied by Mervyn's which is no longer in operation. The total debt includes three A notes: two fixed rate, pari passu notes with an outstanding balance of approximately $71 million each, and the floating rate component in this transaction with an outstanding balance of $11.4 million. Several vacant boxes have been fully or partially leased. The special servicer continues to pursue leasing opportunities on the remaining properties, 15 of which are vacant. There have been no collateral sales since Fitch's prior review. The Whitehall/Starwood Golf Portfolio (89.2%) recently transferred back to special servicing for maturity default (the modified maturity date was in July 2012). The loan is backed by fee golf courses and leasehold or managed golf courses throughout the U.S. The loan remains current as of July 2012. Fitch did not model a loss on the pooled portion in the base case scenario, however, the loan remains of concern due to the unique nature of the collateral and the inability to refinance or sell properties since the last Fitch review. Fitch downgrades the following non-pooled classes as indicated: -- $27.9 million class S-GP to 'BBsf' from 'BBB-sf'; Outlook Negative; -- $31.9 million class T-GP to 'Bsf' from 'BBsf'; Outlook Negative. Fitch affirms the following pooled and non-pooled classes and revises the rating Outlooks as indicated: -- $12.3 million class B at 'AAAsf'; Outlook Stable; -- $14 million class C at 'AAAsf'; Outlook Stable; -- $9.5 million class D at 'AAAsf'; Outlook Stable; -- $12.3 million class E at 'AAAsf'; Outlook Stable; -- $11.2 million class F at 'AA+sf'; Outlook Stable; -- $9.5 million class G at 'AA-sf'; Outlook Stable; -- $8.4 million class H at 'Asf'; Outlook to Negative from Stable; -- $9.5 million class J at 'BBBsf'; Outlook Negative; -- $10.1 million class K at 'B-sf'; Outlook Negative. -- $32.4 million class U-GP at 'CCCsf'; RE 0%'; -- $13.4 million class V-GP at 'CCsf'; RE0%. The $8.4 million class L remains at 'Dsf', RE 25%. Classes A-1, A-J, X-1, X-2-SG, X-3-SG, M-SHI, M-COP, M-GP, N-GP, O-GP, P-GP, Q-GP, and R-GP have paid in full. Classes X-2-CB, X- 2-DB, X-3-CB and X-3-DB were previously withdrawn. COMM 2006-C8: Moody's Cuts Ratings on 2 Certificates to 'C' ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of ten classes and downgraded seven classes of COMM Commercial Mortgage Pass-Through Certificates, Series 2006-C8 as follows: Cl. A-2B, Affirmed at Aaa (sf); previously on Dec 22, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Dec 22, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed at Aaa (sf); previously on Dec 22, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Dec 17, 2010 Confirmed at Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Dec 17, 2010 Confirmed at Aaa (sf) Cl. A-M, Affirmed at Aa3 (sf); previously on Dec 17, 2010 Downgraded to Aa3 (sf) Cl. A-J, Downgraded to B3 (sf); previously on Dec 17, 2010 Downgraded to Ba3 (sf) Cl. B, Downgraded to Caa1 (sf); previously on Dec 17, 2010 Downgraded to B2 (sf) Cl. C, Downgraded to Caa2 (sf); previously on Dec 17, 2010 Downgraded to B3 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Dec 17, 2010 Downgraded to Caa1 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Dec 17, 2010 Downgraded to Caa2 (sf) Cl. F, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded to Caa3 (sf) Cl. G, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded to Ca (sf) Cl. H, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. XP, Affirmed at Aaa (sf); previously on Dec 22, 2006 Definitive Rating Assigned Aaa (sf) Cl. XS, 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. Moody's rating action reflects a cumulative base expected loss of 9.6% of the current balance compared to 8.7% at last review. Base expected loss plus realized losses to date totals 12.6% compared to 11.3% 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 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 35, down from 39 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 September 1, 2011. Deal Performance As of the July 12, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $3.02 billion from $3.78 billion at securitization. The Certificates are collateralized by 148 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans, excluding defeasance, representing 36% of the pool. One loan, representing 8% of the pool, has defeased and is secured by U.S. government securities. There is one loan representing 3% of the pool with an investment grade credit assessment. There are twenty-eight loans, representing 16% of the pool, on the master servicer's watchlist, compared to forty-one loans, representing 31% 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. Twenty loans have been liquidated from the pool since securitization resulting in an aggregate realized loss totaling $188.1 million (average loss severity of 48%). There are currently twenty-three loans, representing 14% of the pool, in special servicing. The largest specially serviced loan is the 369 Lexington Avenue Loan ($59.6 million -- 2.0% of the pool), which is secured by the borrower's interest in a 150,387 square foot (SF) office building located in the Grand Central office submarket of New York, New York. The loan was transferred to special servicing in February 2012 due to a maturity default on a cross- collateralized loan located at 2 West 46th Street in the Fifth Avenue/Diamond District office submarket of Midtown Manhattan. Moody's has estimated an aggregate $139.1 million loss (35% expected loss) for the twenty-three specially serviced loans. Moody's has assumed a high default probability for twenty-five poorly performing loans representing 22% of the pool and has estimated a $97.9 million aggregate loss (15% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2011 operating results for 98% of the performing pool. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 102% compared to 120% at last full review. Moody's net cash flow reflects a weighted average haircut of 11.6% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.39X and 1.02X, respectively, compared to 1.22X and 0.88X, 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 estimate is the First City Tower Loan ($93 million -- 3.1% of the pool), which is secured by a 1.3 million (SF) office building located in downtown Houston, Texas. The building's major tenant is Vinson & Elkins which leases 29% of the property's office space through 2021. The property was 92% leased as of December 2011 compared to 93% at last review. Performance has improved since last review. Moody's current credit estimate and stressed DSCR are A3 and 1.87X, respectively, compared to A3 and 1.78X at last review. The top three performing conduit loans represent 18% of the pool balance. The largest loan is the Mall of America Loan ($345 million -- 10.2% of the pool), which represents a 45.7% pari-passu interest in a first mortgage loan totaling $755 million. The loan is secured by the borrower's interest in a 2.8 million SF enclosed super-regional shopping mall/entertainment complex located in Bloomington, Minnesota. The mall is anchored by Macy's, Nordstrom and Sears and a variety of entertainment venues. Mall financial and leasing performance improved between 2010 and 2011; however, Bloomingdales closed its store at this mall in March 2012 along with three other Bloomingdales stores throughout the U.S. Moody's LTV and stressed DSCR are 90% and 0.96X, respectively, the same as last review. The second largest loan is the EZ Storage Portfolio Loan ($150.0 million -- 5.0% of the pool), which represents a 50.0% pari-passu interest in a $300 million first mortgage loan. The loan is secured by 48 self storage properties located in six states. Approximately 50% of the properties are located in the Detroit, Michigan metro area with the balance in the Boston, Massachusetts and Minneapolis/St. Paul, Minnesota metro areas. The portfolio's performance has been weak but stable since last review. Moody's LTV and stressed DSCR are 177% and 0.58X, respectively, compared to 175% and 0.59X at last review. The third largest loan is the JQH Hotel Portfolio Loan ($118.1 million -- 3.9% of the pool), which is secured by five hotels located in five states (VA, TX, AR, MI, and KS). As of September 2011, the portfolio's weighted average occupancy and RevPar were 70% and $76.43, respectively. Performance has improved slightly since last review due to higher revenues. Moody's LTV and stressed DSCR are 111% and 1.08X, respectively, compared to 124% and 0.96X at last review. CREDIT SUISSE 1998-C2: Fitch Affirms D Rating on Cl. I Securities ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Credit Suisse First Boston Mortgage Securities Corp (CSFB), series 1998-C2. The affirmations are a result of the pool stable performance following Fitch's prospective review of the potential stresses to the transaction. Fitch modeled losses of 3.69% of the remaining pool; expected losses of the original pool are at 3.06% (which includes 2.58% in realized losses). Fitch has designated five loans (20.94%) as Fitch Loans of Concern, which includes two specially serviced loans (16.33%). As of the July 2012 distribution date, the pool's aggregate principal balance has been reduced approximately 84.6% (which includes realized losses) to $244 million from $1.9 billion at issuance. There are 49 of the original 222 loans remaining in the transaction. Twelve loans (22.9%) are defeased. Interest shortfalls are affecting classes H, I and J. The largest specially serviced loan (12.90% of the pool balance) is secured by two retail properties and one industrial property located in Irving and North Richland, TX. The loan had transferred to special servicing in December 2009 due to imminent default. A loan modification was completed in November 2010, and the loan remains current under the modified terms as of the July 2012 payment date. The special servicer continues to monitor the loan to ensure it is in compliance with the loan modification. The second specially serviced loan (3.43%) is secured by a 221,508 square foot (sf) retail property located in Opelousas, LA. The properties largest tenants include Stage Store (19.4% of the net rentable area [NRA]), Brown's Furniture (18% NRA), and Dales Food Store (13.5% NRA). The March 2012 rent roll reported occupancy at 65%. The loan had transferred to special servicing in April 2011 due to monetary default as a result of cash flow issues from occupancy declines. The servicer is working with the Borrower to cure the default, and is also considering a deed-in-lieu of foreclosure. Fitch affirms the following classes, and assigns Recovery Estimates (RE) on class I as indicated: -- $36.85 million class D at 'AAAsf'; Outlook Stable; -- $28.8 million class E at 'AAAsf'; Outlook Stable; -- $105.6 million class F at 'AAAsf'; Outlook Stable; -- $19.2 million class G at 'A+sf'; Outlook Stable. -- $8.1 million class I at 'Dsf'; RE 0%. Fitch does not rate class J, which has been reduced to zero due to realized losses, or class H. Classes A-1, A-2, B and C paid in full. Fitch previously withdrew the rating on the interest-only class AX. CREDIT SUISSE 2002-CP5: Fitch Lowers Rating on Five Note Classes ---------------------------------------------------------------- Fitch Ratings has downgraded five classes of Credit Suisse First Boston Mortgage Securities Corp., series 2002-CP5 (CSFB 2002-CP5). The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 6.38% of the remaining pool; modeled losses of the original pool are at 5.73%, including losses already incurred to date. Fitch has designated 16 loans (22.7%) as Fitch Loans of Concern, which includes 13 specially-serviced loans (16.8%). As of the July 2012 distribution date, the pool's aggregate principal balance has reduced by 51.5% to $575.2 million from $1.19 billion at issuance. In addition, 13 loans (53.2%) have been fully defeased. Interest shortfalls totaling $2,296,304 are currently affecting classes J through Q. The largest contributor to modeled losses is a specially serviced loan (1.73%) secured by one office building located in Farmington Hills, MI totaling 89,759 square feet (sf). The loan transferred to special servicing in March 2012 due to imminent default. The sole tenant has terminated its lease as of May 2012, leaving the property unoccupied. Counsel has been retained for possible foreclosure and/or appointment of property receiver, while discussions with the borrower continue regarding other resolutions. The second largest contributor to modeled losses is a loan (1.71%) secured by a 273 unit apartment complex located in San Antonio, TX. The loan was previously in special servicing but transferred back to the master servicer in March 2011. The servicer-reported occupancy has decreased to 69% as of April 2012, and the debt service coverage ratio (DSCR) is .70 times (x) as of year-end (YE) 2011. An inspection in November 2011 found the property to be in poor condition with some units not being occupied due to mold issues. The third largest contributor to modeled losses is a specially serviced REO portfolio (1.33%) originally consisting of six industrial properties located in Michigan, Ohio, and Indiana totaling 612,000 square feet (sf). The loan transferred to special servicing in August 2010 due to imminent default. The six properties were foreclosed, three of which were sold in November 2011. The sale proceeds were used reduce the outstanding debt. The remaining three have yet to be sold. Fitch downgrades and assigns Recovery Estimates (REs) and revises Rating Outlooks as indicated: -- $16.3 million class G to 'BBBsf' from 'Asf'; Outlook Stable; -- $14.8 million class H to 'BBsf' from 'BBB-sf'; Outlook to Negative from Stable; -- $22.2 million class J to 'CCCsf' from 'B-sf'; RE 40%; -- $5.9 million class K to 'CCsf' from 'B-sf'; RE 0%; -- $8.9 million class L to 'Csf' from 'CCCsf'; RE 0%. Fitch also affirms the following classes and assigns Recovery Estimates (REs) as indicated: -- $394.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $41.5 million class B at 'AAAsf'; Outlook Stable; -- $22.2 million class C at 'AAAsf'; Outlook Stable; -- $14.8 million class D at 'AAAsf'; Outlook Stable. -- $17.8 million class E at 'AA+sf'; Outlook Stable; -- $8.9 million class F at 'AA'sf; Outlook Stable; -- $7.3 million class M at 'D'; RE 0%; -- $0.0 million class N at 'D'; RE 0%; -- $0.0 million class O at 'D'; RE 0%; -- $0.0 million class P at 'D'; RE 0%. Class Q, which is not rated by Fitch has been reduced to zero from 14.8 million at issuance due to realized losses. Class A-1 and A- SP have paid in full. CREST G-STAR: Moody's Corrects May 23 Ratings Release ----------------------------------------------------- Moody's Investors Service issued a correction the May 23, 2012, rating release of Crest G-Star 2001-1, LP. Moody's affirmed the ratings of four classes of Notes issued by Crest G-Star 2001-1, LP. The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-remic) transactions. Class B-1 Second Priority Fixed Rate Term Notes, Due 2035, Affirmed at Ba1 (sf); previously on Jul 20, 2011 Downgraded to Ba1 (sf) Class B-2 Second Priority Floating Rate Term Notes, Due 2035, Affirmed at Ba1 (sf); previously on Jul 20, 2011 Downgraded to Ba1 (sf) Class C Third Priority Fixed Rate Term Notes, Due 2035, Affirmed at Caa3 (sf); previously on Jul 20, 2011 Downgraded to Caa3 (sf) Class D Fourth Priority Fixed Rate Term Notes, Due 2035, Affirmed at Ca (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) Ratings Rationale Crest G-Star 2001-1, LP is a static cash CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (99.5% of the pool balance) and one whole loan (0.5%). As of the April 30, 2012 Trustee report, the aggregate Note balance of the transaction, including preferred shares, has decreased to $120.4 million from $500.4 million at issuance, with the paydown directed to the Class A Notes, as a result of amortization of the underlying collateral and failure of certain par value tests. There are 15 assets with a par balance of $84.7 million (82.0% of the current pool balance) that are considered Defaulted Securities as of the April 30, 2012 Trustee report. While there have been limited realized losses on the underlying collateral to date, Moody's does expect significant losses on the Defaulted Securities to occur once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated credit estimates for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 5,034 compared to 5,212 at last review. The distribution of current ratings and credit estimates is as follows: Aaa-Aa3 (17.5% compared to 16.6% at last review), A1-A3 (0.0%, the same as that at last review), Baa1-Baa3 (7.7% compared to 1.8% at last review), Ba1-Ba3 (7.1% compared to 14.9% at last review), B1-B3 (11.3% compared to 16.1% at last review), and Caa1- C (56.3% compared to 50.7% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 2.2 years compared to 2.0 years at last review. The greater WAL incorporates Moody's view on the current pool composition and extension risk. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a variable WARR with a mean of 13.8% compared to a mean of 13.4% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 16.0% compared to 13.6% 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. In general, the rated Notes are particularly sensitive to rating changes within the collateral pool. Holding all other key parameters static, changing the current ratings and credit estimates of the collateral by one notch downward or by one notch upward would result in an average modeled rating movement on the rated tranches of 0 to 2 notches downward and 1 to 2 notches upward respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of 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. CSAM FUNDING II: S&P Raises Ratings on Two Note Classes From 'BB+' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A, B-1, B-2, C-1, and C-2 notes from CSAM Funding II, a U.S. collateralized loan obligation (CLO) transaction managed by CSFB Alternative Capital Inc. "At the same time, we removed our rating on the class A notes from CreditWatch with positive implications, where we placed it on April 18, 2012. Concurrently, we affirmed our rating on the class D notes," S&P said. "The upgrades mainly reflect paydowns to the class A notes and a subsequent improvement in the credit enhancement available to support the notes since February 2011, when we upgraded all of the notes. Since that time, the transaction has paid down the class A notes by approximately $101.3 million, reducing their outstanding note balance to 44.03% of their original balance at issuance," S&P said. The upgrades also reflect an improvement in the overcollateralization (O/C) available to support the notes, primarily due to the aforementioned paydowns. The trustee reported these O/C ratios in the July 2012 monthly report: The class A O/C ratio was 148.97%, compared with a reported ratio of 135.53% in January 2011; The class B O/C ratio was 118.76%,; The class C O/C ratio was 109.17%; and The class D O/C ratio was 102.82%. "Although the coverage levels to support the notes have increased since our last review, the transaction has reported a slight decline in the values of the class B, C, and D O/C ratios through the same period. This is due to the long dated securities that the transaction is holding and a haircut that is being applied to the par amount of said assets when calculating the coverage tests. In the July 2012 report, the trustee reported approximately $50.9 million or 20.2% in underlying collateral that matures after the legal final maturity of the transaction. Exposure to these long- dated assets leaves the transaction subject to potential market value risks. The rating actions reflect this potentially negative exposure," S&P said. "We affirmed our rating on the class D 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 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 CSAM Funding II Rating Rating Class To From A AAA (sf) AA+ (sf)/Watch Pos B-1 AA+ (sf) A+ (sf) B-2 AA+ (sf) A+ (sf) C-1 BBB+ (sf) BB+ (sf) C-2 BBB+ (sf) BB+ (sf) RATING AFFIRMED CSAM Funding II Class Rating D B+ (sf) TRANSACTION INFORMATION Issuer: CSAM Funding II Coissuer: CSAM Funding II (Delaware) Corp. Collateral manager: CSFB Alternative Capital Inc. Underwriter: Credit Suisse AG Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO CSAM FUNDING III: S&P Affirms 'BB+' Rating on Class C Notes ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2 and B notes from CSAM Funding III, a U.S. collateralized loan obligation (CLO) transaction managed by CSFB Alternative Capital Inc. "At the same time, we affirmed our ratings on the class A-1 and C notes and removed our ratings on the class A-2, B, and C notes from CreditWatch with positive implications, where we placed them on April 18, 2012," S&P said. "The upgrades mainly reflect paydowns to the class A-1 notes and a subsequent improvement in the credit enhancement available to support the notes since April 2011, when we upgraded all of the notes. Since that time, the transaction has paid down the class A- 1 notes by approximately $145.4 million, reducing their outstanding note balance to 33.78% of their original balance at issuance. We affirmed our ratings on the class A-1 and C notes to reflect the availability of credit support at the current rating levels," S&P said. The upgrades also reflect an improvement in the overcollateralization (O/C) available to support the notes since our April 2011 rating actions, driven predominantly by the aforementioned pay downs. The trustee reported these O/C ratios in the May 2012 monthly report: The class A O/C ratio was 144.87%, compared with a reported ratio of 128.69 in February 2011; The class B O/C ratio was 129.19%, compared with a reported ratio of 119.86% in February 2011; The class C O/C ratio was 117.65%, compared with a reported ratio of 112.84% in February 2011; and The class D O/C ratio was 114.40%, compared with a reported ratio of 110.78% in February 2011. "It's important to note that this transaction has exposure to a number of long-dated assets, securities held in the collateral pool that mature after the transaction matures. Exposure to these long-dated assets leaves the transaction subject to potential market value risks. The May 2012 trustee report noted approximately $82.7 million, or 32.0%, in underlying collateral that matures after the legal final maturity of the transaction. This potentially negative exposure has been reflected in 's rating actions," 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 CSAM Funding III Rating Class To From A-2 AAA (sf) AA+ (sf)/Watch Pos B A+ (sf) A- (sf)/Watch Pos C BB+ (sf) BB+ (sf)/Watch Pos RATING AFFIRMED CSAM Funding III Class Rating A-1 AAA (sf) TRANSACTION INFORMATION Issuer: CSAM Funding III Coissuer: CSAM Funding III (Delaware) Corp. Collateral manager: CSFB Alternative Capital Inc. Underwriter: Credit Suisse AG Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO CT CDO III: S&P Lowers Ratings on 3 Classes to 'CCC-'; Off Watch ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes from CT CDO III Ltd., a U.S. commercial real estate collateralized debt obligation (CRE CDO) transaction. "At the same time, we affirmed our ratings on 22 classes from CT CDO III Ltd. and CT CDO IV Ltd., another U.S. CRE CDO transaction. We removed all of the ratings from CreditWatch with negative implications," S&P said. "The downgrades and affirmations reflect our analysis of the transactions' liability structures and the credit characteristics of the underlying collateral using our criteria for rating global CDOs of pooled structured finance assets. 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. The lowered ratings on classes A-2 through D from CT CDO III Ltd. are a result of the application of the largest obligor test," 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 (the largest obligor default test and the largest industry default test) in our analysis," S&P said. CT CDO III Ltd. "According to the June 25, 2012, trustee report, CT CDO III Ltd. was collateralized by 16 commercial mortgage-backed securities (CMBS) classes ($225.6 million, 100.0%) from 10 distinct transactions, issued between 1997 and 1999. The transaction's liabilities totaled $230.2 million, which included accumulated deferred interest on the class O notes," S&P said. CT CDO IV Ltd. "According to the June 20, 2012, trustee report, CT CDO IV Ltd. was collateralized by 27 commercial mortgage-backed securities (CMBS) classes ($197.9 million, 72.8%) from 21 distinct transactions, issued between 1998 and 2006, and six CRE CDO securities ($45.2 million, 16.6%). Additionally, the transaction holds two subordinate mortgage interests ($28.8 million, 10.6%): one is backed by the Richmond Square Mall retail property in Richmond, Ind., and the other is backed by the Sotheby's office property in New York, N.Y. The transaction's liabilities, including capitalized interest, totaled $270.9 million, which includes accumulated deferred interest. Class A-2 and all classes subordinate to it are currently deferring interest payments, and all interest proceeds are currently being used to pay down the class A-1 principal balance after fees and hedge payments subsequent to event-of-default and acceleration of payments," 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 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111738.pdf RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE CT CDO III Ltd. Rating Class To From A-2 BB- (sf) BBB- (sf)/Watch Neg B CCC- (sf) B (sf)/Watch Neg C CCC- (sf) CCC+ (sf)/Watch Neg D CCC- (sf) CCC (sf)/Watch Neg RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE CT CDO III Ltd. Rating Class To From E CCC- (sf) CCC- (sf)/Watch Neg F CCC- (sf) CCC- (sf)/Watch Neg G CCC- (sf) CCC- (sf)/Watch Neg H CCC- (sf) CCC- (sf)/Watch Neg J CCC- (sf) CCC- (sf)/Watch Neg K CCC- (sf) CCC- (sf)/Watch Neg L CCC- (sf) CCC- (sf)/Watch Neg M CCC- (sf) CCC- (sf)/Watch Neg N CCC- (sf) CCC- (sf)/Watch Neg CT CDO IV Ltd. Rating Class To From A-1 B+ (sf) B+ (sf)/Watch Neg C CCC- (sf) CCC- (sf)/Watch Neg D-FL CCC- (sf) CCC- (sf)/Watch Neg D-FX CCC- (sf) CCC- (sf)/Watch Neg E CCC- (sf) CCC- (sf)/Watch Neg F-FL CCC- (sf) CCC- (sf)/Watch Neg F-FX CCC- (sf) CCC- (sf)/Watch Neg G CCC- (sf) CCC- (sf)/Watch Neg H CCC- (sf) CCC- (sf)/Watch Neg J CCC- (sf) CCC- (sf)/Watch Neg K CCC- (sf) CCC- (sf)/Watch Neg L CCC- (sf) CCC- (sf)/Watch Neg M CCC- (sf) CCC- (sf)/Watch Neg CTX CDO I: S&P Lowers Ratings on 11 Classes to 'D'; Off Watch Neg ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 11 classes from CTX CDO I Ltd., a commercial real estate collateralized debt obligation (CRE CDO) transaction. "We removed all of the lowered ratings from CreditWatch negative," S&P said. "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," S&P said. "Our criteria for rating global CDOs of pooled structured finance assets include revisions to our assumptions on correlations, recovery rates, and the collateral's default patterns and timings. The criteria also include supplemental stress tests (the largest obligor default test and the largest industry default test) in our analysis," S&P said. "The downgrades also reflect our analysis of CTX CDO I Ltd. using our criteria for CDOs that have triggered an event of default (EOD) after we assessed the market value of the collateral in a liquidation scenario. Using market values from the trustee report and third-party sources, we applied our criteria for CDOs that have triggered EODs to determine an assessment of the fair market value of the collateral pool in the event of liquidation. The transaction experienced an EOD on March 26, 2010, because the par value coverage ratio fell below 100%. We determined that at any point after the EOD, the super-senior counterparty can direct the sale or liquidation of the collateral. Based on our expectation of the derived market value of the collateral, we believe the full repayment of principal for classes A through K is unlikely," S&P said. "According to the July 3, 2012, trustee report, CTX CDO I Ltd. was collateralized by credit default swaps referencing 28 commercial mortgage-backed securities (CMBS) classes ($364.7 million, 90.3%) from 26 distinct transactions. The collateral also includes three CMBS classes ($18.3 million, 4.5%), one CRE CDO class ($5.7 million, 3.3%), and one real estate investment trust (REIT) security ($15 million, 1.4%). The reference and cash collateral was issued between 2005 and 2007. Approximately 60.1% of the collateral is either rated or credit estimated to be 'D'. The transaction's liabilities totaled $488.8 million, which includes accumulated deferred interest. Class C and all classes subordinate to it are currently deferring interest," 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 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111738.pdf RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE CTX CDO I Ltd. Rating Class To From Super-Senior CCC- (sf) CCC (sf)/Watch Neg A D (sf) CCC- (sf)/Watch Neg B D (sf) CCC- (sf)/Watch Neg C D (sf) CCC- (sf)/Watch Neg D D (sf) CCC- (sf)/Watch Neg 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 CWABS 2005-12: Moody's Takes Action on $107-Mil. Subprime RMBS -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on one tranche and confirmed the ratings on six tranches from CWABS Asset-Backed Certificates Trust 2005-12 backed by subprime loans. The collateral backing the transactions are subprime residential mortgages. Complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2005-12 Cl. 1-A-4, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-5, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-6, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-4, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-5, Confirmed at Ba3 (sf); previously on May 30, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 4-A, Confirmed at B2 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Ratings Rationale The actions are a result of the recent performance of Subprime pools originated after 2005 and reflect Moody's updated loss expectations on these pools. The upgrades in the rating action are a result of improving performance and/or structural features resulting in lower expected losses for certain bonds than previously anticipated. 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 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 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 subprime 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 subprime pools, Moody's first applies a baseline delinquency rate of 10% for 2005, 19% for 2006 and 21% for 2007. 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 2005 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 0.80 to 1.8 for current delinquencies that range from 10% to greater than 50% 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. 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 unemployment rate fell from 9.0% in April 2011 to 8.2% in June 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://moodys.com/viewresearchdoc.aspx?docid=PBS_SF292364 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 CWABS 2007-4: Moody's Lowers Rating on A-3 Tranche to 'Ca' ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings on six tranches, upgraded the ratings on three tranches and confirmed the ratings on five tranches from five subprime RMBS transactions issued by Countrywide. The collateral backing the transactions are subprime residential mortgages. Ratings Rationale The actions are a result of the recent performance of Subprime pools originated after 2005 and reflect Moody's updated loss expectations on these pools. The upgrades/downgrades in the rating action are a result of improving/deteriorating performance and/or structural features resulting in lower/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 "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications 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. 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 security 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. 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 unemployment rate fell from 9.0% in April 2011 to 8.2% in June 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: CWABS Asset-Backed Certificates Trust 2005-11 Cl. AF-3, Downgraded to Caa1 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-8 Cl. M-1, Upgraded to Baa2 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to B3 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Cl. M-3, Confirmed at C (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: CWABS Asset-Backed Certificates Trust 2005-BC5 Cl. 2-A-1, Confirmed at Baa2 (sf); previously on May 30, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-2, Confirmed at Baa3 (sf); previously on May 30, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Confirmed at Baa3 (sf); previously on May 30, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on Mar 9, 2009) Cl. 3-A-3, Upgraded to A2 (sf); previously on May 30, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Confirmed at C (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: CWABS Asset-Backed Certificates Trust 2006-15 Cl. A-2, Downgraded to B2 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: CWABS Asset-Backed Certificates Trust 2007-4 Cl. A-1A, Downgraded to B1 (sf); previously on May 30, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. A-1B, Downgraded to B1 (sf); previously on May 30, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. A-2, Downgraded to Caa1 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. A-3, Downgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292158 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 CWMBS REPERFORMING: Moody's Cuts Rating on 1A-PO Secs. to 'Ba3' --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches from CWMBS Reperforming Loan REMIC Trust 2003-R4. The collateral backing this deal consists of first-lien fixed and adjustable rate mortgage loans insured by the Federal Housing Administration (FHA) an agency of the U.S. Department of Urban Development (HUD) or guaranteed by the Veterans Administration (VA). Complete rating actions are as follows: Issuer: Reperforming Loan REMIC Trust 2003-R4 Cl. 1A-4, Downgraded to Ba2 (sf); previously on Aug 25, 2011 Downgraded to Baa3 (sf) Cl. 1A-PO, Downgraded to Ba3 (sf); previously on Aug 25, 2011 Downgraded to Baa3 (sf) Cl. 2A, Downgraded to Ba2 (sf); previously on Aug 25, 2011 Downgraded to Baa3 (sf) Ratings Rationale The actions are a result of the recent performance of FHA-VA portfolio and reflect Moody's updated loss expectations on these pools and structural nuances of the transactions. The downgrades are a result of higher than expected losses and the erosion credit enhancement supporting some of these bonds. These are shifting interest structures and the subordinate bonds are paying down principal exposing the bonds to tail- end losses. A FHA guarantee covers 100% of a loan's outstanding principal and a large portion of its outstanding interest and foreclosure- related expenses in the event that the loan defaults. A VA guarantee covers only a portion of the principal based on the lesser of either the sum of the current loan amount, accrued and unpaid interest, and foreclosure expenses, or the original loan amount. HUD usually pays claims on defaulted FHA loans when servicers submit the claims, but can impose significant penalties on servicers if it finds irregularities in the claim process later during the servicer audits. This can prompt servicers to push more expenses to the trust that they deem reasonably incurred than submit them to HUD and face significant penalty. The rating actions consider the portion of a defaulted loan normally not covered by the FHA or VA guarantee and other servicer expenses they deemed reasonably incurred and passed on to the trust. Moody's final rating actions are based on current levels of credit enhancement, collateral performance, and updated pool-level loss expectations. Moody's took into account credit enhancement provided by seniority, and other structural features within the senior note waterfalls. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "FHA-VA US RMBS Surveillance Methodology" published in July 2011. The methodology used in rating Interest- Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast. The unemployment rate fell from 9.1% in June 2011 to 8.2% in June 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. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292172 A list of updated estimated pool losses and sensitivity analysis may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF256626 DLJ MORTGAGE: Moody's Affirms 'Caa2' Rating on Cl. S Securities --------------------------------------------------------------- Moody's Investors Service (Moody's) affirmed the ratings of five classes of DLJ Mortgage Corporation, Series 2000-CKP1 as follows: Cl. B-1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B-2, Affirmed at A3 (sf); previously on Nov 11, 2010 Upgraded to A3 (sf) Cl. B-3, Affirmed at Ba2 (sf); previously on Apr 28, 2010 Downgraded to Ba2 (sf) Cl. B-5, Affirmed at C (sf); previously on Apr 28, 2010 Downgraded to C (sf) Cl. S, Affirmed at Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (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 16% of the current balance. At last review, Moody's cumulative base expected loss was 12%. The current cumulative base expected loss represents a higher percentage of the pool than at last review because of significant paydowns. However, the dollar amount of expected loss ($16.0 million) is essentially the same. 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 5 compared to 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 July 28, 2011. Deal Performance As of the July 10, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $97.7 million from $1.29 billion at securitization. The Certificates are collateralized by 17 mortgage loans ranging in size from less than 1% to 42% of the pool, with the top ten loans representing 90% of the pool. There are no loans that have defeased and no loans have an investment grade credit assessment. Three loans, representing 21% 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. Fifty-nine loans have been liquidated from the pool, of which 46 have resulted in a realized loss of $63 million (26% loss severity). Currently 11 loans, representing 35% of the pool, are in special servicing. The largest specially serviced loan is the Crystal Mountain and Lake Pointe Center Portfolio Loan ($8.1 million -- 8.4% of the pool), which is secured by two cross collateralized office properties with an aggregate 97,600 square feet located in Austin Texas. The loan transferred to special servicing on September 2009 due to imminent payment default. An overall decline in NOI since securitization can be directly attributed to the decrease in rental income from several vacancies at the property, as well as an increase in taxes and repairs and maintenance. Per the borrower, the market conditions in Austin are poor and the occupancy for the market stands at 80%. The remaining ten specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $13 million loss for the specially serviced loans (55% expected loss on average). Moody's has assumed a high default probability for two poorly performing loans representing 14% of the pool and has estimated a $2 million loss (15% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2011 operating results for 80% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 68% compared to 76% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.28X and 1.50X, respectively, compared to 1.24X and 1.44X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 58% of the pool. The largest loan is the Valencia Marketplace Power Center Loan ($41 million -- 42% of the pool), which is secured by a 530,000 square foot (SF) power retail center located in Valencia, California. The largest tenants are Wal-Mart (28% of the gross leasable area (GLA), lease expiration October 2016) and Toys 'R' Us (9% of the GLA; lease expiration January 2022). The property was 98% leased as of December 2011 compared to 100% at last review. Performance remains stable at the property and the loan matures on September 2013. Moody's LTV and stressed DSCR are 65% and 1.49X, respectively, compared to 66% and 1.49X, at last review. The second largest loan is the Kent Hill Plaza Loan ($7.7 million -- 8% of the pool), which is secured by a 108,000 SF retail center located in Kent, Washington. The property was 68% leased as of March 2011. The loan was transferred to special servicing in September 2010 for maturity default and was extended to September 2011 with an additional one year extension option until September 2012. There is a large amount of near term lease roll over, as 60% of the GLA expires within the next year. The loan is on the watchlist for a low DSCR and occupancy, as well as the upcoming maturity in two months. Due to the refinance risk associated with this loan, as well as the large amount of near term lease roll over, Moody's has classified this as a troubled loan. Moody's LTV and stressed DSCR are 116% and 0.89X, respectively, compared to 97% and 1.06X at last review. The third largest loan is the Streetsboro Market Square Loan ($7.3 million -- 8% of the pool), which is secured by a 135,400 square foot unanchored retail center located in Streetsboro Ohio, about 35 miles south east of Cleveland. The property was 87% leased as of March 2012 compared to 85% at last review. Near term lease roll over represents 11% within the next year, and an additional 25% within one to two years. Moodys analysis reflects a stressed cash flow to reflect potential income volatility due to lease expirations. The loan matures on July 2014. Moody's LTV and stressed DSCR are 84% and 1.23X, respectively, compared to 78% and 1.31X at last review. EDUCATION FUNDING 2006-1: S&P Cuts Rating on Class B Notes to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class B notes from Education Funding 2006-1 LLC to 'D (sf)' from 'CC (sf)'. "We lowered our rating to 'D (sf)' because the affected class did not receive an interest payment on the July 25, 2012, distribution date. This transaction breached its subordinate note interest trigger because it failed its cumulative default and senior asset percentage tests. It failed the cumulative default test because its cumulative defaults of 27.9% are above the current test threshold of 27.0% as of July 25, 2012. The senior asset percentage test failed because the senior asset percentage (total trust asset value divided by principal amount of senior notes outstanding) has fallen below 100%. The senior asset percentage was 92.9% as of July 25, 2012. The increase in defaults and declines in the senior asset percentage reflect the effect that the continuing poor collateral performance has had on this transaction," S&P said. "The subordinate note interest trigger is tested quarterly, and the transaction can cure the breach if it passes the appropriate performance tests on subsequent distribution dates," S&P said. "However, we believe this transaction will continue to breach its subordinate note interest trigger for the foreseeable future due to the continued adverse performance trends of the underlying pool of private student loans, including the accelerated pace at which the transaction has been realizing defaults. The breach of the subordinate note interest trigger, as well as the resulting reprioritization of interest to pay down senior bonds, resulted in an interest shortfall to the class B notes on the July 25, 2012, distribution date," S&P said. Standard & Poor's will continue to monitor the performance of the student loan receivables backing this trust relative to its cumulative default expectations and available credit enhancement. 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 FM LEVERAGED I: S&P Affirms 'B+' Rating on Class D Notes -------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B and C notes from FM Leveraged Capital Fund I Ltd., a collateralized loan obligation (CLO) transaction managed by GSO/Blackstone Debt Funds Management LLC. "We removed the ratings from CreditWatch positive. At the same time, we affirmed our ratings on the class D and E notes, and removed the rating on the class D notes from CreditWatch with positive implications," S&P said. "The rating actions follow our performance review of the transaction and primarily reflect a cumulative $153.7 million paydown on the class A and B notes, resulting in increased overcollateralization (O/C) available to support the notes since our January 2011 rating actions, when we raised our ratings on the class A, B, C, and D notes. The affirmations on the class D and E notes reflect the availability of sufficient credit support at the current rating levels," S&P said. "The amount of defaulted obligations held in the transaction's underlying portfolio declined during this period. As of June 2012, the transaction held $15.1 million in defaulted assets, down from $24.9 million in defaulted assets in the December 2010 trustee report, which we referenced for our January 2011 rating actions. Other positive factors in our analysis include the reduction of the weighted-average life and the increase of the weighted-average spread as the asset profile changes as a result of amortization," S&P said. "Despite significant increases in the class A/B, C, and D O/C ratios since our last rating actions, the class D and E principle coverage tests were failing as of the June 2012 trustee report, causing excess interest to be redirected to pay down the senior notes, and causing the class E notes to accumulate deferred interest. In addition, the class D notes pass our largest obligor supplemental test, which measures concentration risk, at the 'B' rating category or lower, while the E notes fail the largest obligor test at the 'CCC' rating category," 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 Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS FM Leveraged Capital Fund I Ltd. Rating Class To From B AAA (sf) AA/Watch Pos (sf) C AA+ (sf) A/Watch Pos (sf) D B+ (sf) B+/Watch Pos (sf) RATING AFFIRMED FM Leveraged Capital Fund I Ltd. Class Rating E CCC- (sf) GE-WMC 2005-2: Moody's Takes Action on $184-Mil. Subprime RMBS -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on one tranche and confirmed the ratings on two tranches from GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2. The collateral backing the transactions are subprime residential mortgages. Complete rating actions are as follows: Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2 Cl. A-1, Upgraded to Ba3 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. A-2c, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. A-2d, Confirmed at Ca (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Ratings Rationale The actions are a result of the recent performance of Subprime pools originated after 2005 and reflect Moody's updated loss expectations on these pools. The upgrades in the rating action are a result of improving performance and/or structural features resulting in lower expected losses for certain bonds than previously anticipated. 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 unemployment rate fell from 9.0% in April 2011 to 8.2% in June 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://moodys.com/viewresearchdoc.aspx?docid=PBS_SF292365 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 GE BUSINESS: Moody's Downgrades Ratings on 4 Securities to 'B1' --------------------------------------------------------------- Moody's Investors Service downgraded 27 tranches in nine securitizations and confirmed five tranches in two securitizations issued by GE Business Loan Trusts and secured by commercial real estate loans. As the outlook for commercial real estate prices remains subdued, the refinancing risk for balloons loans has been rising and severities on liquidated loans are expected to remain relatively high. Loans with balloon payments at maturity comprise approximately 40% to 70% of each deal's outstanding pool balance. Ratings Rationale Three factors promoted the downgrades: 1) an increase in refinancing risk on significant balloon loan concentrations, 2) an increase in average severities on liquidated loans, and 3) substantially reduced commercial property prices that are expected to remain at low levels for two more years. Large balloon loan concentrations of 40% to 70% exist in the deals impacted by the rating actions. About 10 years after origination, approximately 15% to 35% of a pool's outstanding balance may mature in a single year due to concentrated balloon maturities. The large concentrations of balloon loans maturing in a single year subject the deals to refinancing risk, which would lead to higher defaults. For loans that had a substantial decrease in property prices, refinancing risk is particularly heightened. As discussed below, these loans are now expected to remain at depressed prices for several more years. Lower property prices increase the loan-to-value ratio (LTV), in some cases to over 100%, lowering the likelihood of obtaining refinancing. Average severities on liquidated loans in the securitizations have increased from approximately 15% in 2009 to 45% to 55% in 2011 through 2012 because of weakened commercial property prices. These severities for GE small business loans are higher than Moody's had expected, in light of the weakened property market, but are still generally lower than those for the majority of small business loan deals, which have average severities upwards of 65%. Given the outlook for commercial property prices discussed below, Moody's now believes that severities may remain at or near 45% to 55% for several years, although severities will vary based on the particular attributes of any given loan. Commercial property prices currently are at low levels, as property prices are slowly recovering from the recession. Moody's expects property prices to remain in the area of these levels over the next two years. Continued low commercial property prices increase the refinancing risk on upcoming balloon maturities and therefore increase the likelihood of default. Low commercial property prices also will cause severities to remain relatively high, owing to low recoveries on the sale of foreclosed properties. For the 2003 and 2004 securitizations, balloon loans comprising approximately 35% to 50% of the outstanding pool balance will mature in 2012 through 2014 and will be most affected by this period of low commercial property prices. For the 2005, 2006, and 2007 securitizations, commercial property prices are expected to gradually improve between now and when the majority of the balloon loans mature in each securitization. However, many of these loans, particularly in the 2006 and 2007 securitizations, were originated when commercial property prices were at or near peak levels. It is unlikely that property prices will return to these levels by the time a majority of the balloon loans mature. For example, non- major market commercial property prices in 2006 were approximately 30% higher than current prices, and prices are unlikely to return to the levels seen in 2006 when balloon loans mature in 2016. As of the June 2012 distribution date, loans 60 days or more past due (including REO), range between approximately 1.4% to 7.4% of the outstanding pool balance, with the exception of the 2003-1 securitization. Loans 60 days or more past due in the 2003-1 securitization are approximately 18% of the outstanding pool balance, owing to the delinquency status of the largest loan which comprises approximately 14% of the outstanding pool. For the Class A tranches, credit enhancement from subordination and a reserve account ranges from approximately 15% to 26% of the outstanding pool balance. Methodology For the actions, Moody's evaluated the sufficiency of credit enhancement by first analyzing the loans to determine an expected lifetime net loss for each collateral pool. Moody's compared these net losses with the available credit enhancement, consisting of subordination, a reserve account, and excess spread. Moody's evaluated the sufficiency of loss coverage provided by credit enhancement in light of the magnitude and projected variability of losses on the collateral. In forecasting expected losses, Moody's determined the expected losses on the fully amortizing loans and the balloons loans separately, using different approaches for each portion. In order to determine the portion of the fully amortizing loans that will default, Moody's assessed the past 12 months of monthly roll rate behavior for loans according to their delinquency status and applied these roll rates for a 15 month stress period, the amount of time Moody's projects a continued stressful environment for these loans. After the stress period, Moody's then decreased the monthly roll rates to more stable historical norms for the remainder of the period over which Moody's calculates the loss, typically until the pool of fully amortizing loans pays down to 5% to 10% of its original balance. To determine the expected loss from balloon loans, Moody's assumed that the majority of loans that are currently 60 days or more past due will default with 60% severity. The remaining loans are projected to either pay off or default at their balloon maturity dates. To evaluate whether the loan will default, Moody's estimated the LTV at each loan's maturity date based on future amortization of the loan and forecasted property prices, and predicted whether each loan would achieve refinancing and, if not, what degree of loss it would experience. To estimate the current market value of the properties, Moody's applied the change in the non-major market Moody's/RCA Commercial Property Price Index (CPPI) from the date of the most recent appraised value or broker's price opinion to July 26. To forecast future property prices at the time of balloon maturity, Moody's assumed that property prices will remain flat for the next two years and then will steadily increase. At balloon loan maturity, Moody's assumed that all balloon loans with less than 65% LTV will be able to refinance and pay in full. For balloon loans with expected LTVs at maturity between 65% to 105%, a portion are assumed to default. Additionally, all loans with expected LTVs greater than 105% at the balloon maturity date are assumed to be unable to get refinancing and to default. Loss severities are based on the expected LTV at maturity, and assumptions generally range from 20% for loans with less than 75% LTV to 60% for loans with greater than 105% LTV. The lifetime net expected losses, including losses from both the fully amortizing and the balloon loans, are 2.3%, 2.3%, 2.6%, 2.5%, 3.1%, 4.5%, 6.3%, 6.3%, and 6.3% as a percent of the original pool balances for the 2003-1, 2003-2, 2004-1, 2004-2, 2005-1, 2005-2, 2006-1, 2006-2, and 2007-1 securitizations, respectively. Because the ultimate refinance rate of the balloon loans is unknown and the balloon maturities are concentrated, Moody's considers the potential volatility of expected losses for these pools to be higher than pools without balloon loans. In order to capture this volatility, Moody's has applied higher Aaa volatility proxies to the GE small business ABS deals impacted by the rating actions. The higher Aaa volatility proxies in these transactions will have the most impact on the senior tranches and lesser impact on the subordinate tranches. The Aaa volatility proxies are 30%, 28%, 29%, 27%, 30%, 31%, 27%, 29%, and 29% for the 2003-1, 2003-2, 2004-1, 2004-2, 2005-1, 2005-2, 2006-1, 2006-2, and 2007-1 securitizations, respectively. The Aaa volatility proxy is the level of credit enhancement that would be consistent with a Aaa (sf) rating for the given transaction. The primary factors for assumption uncertainty are the general economic environment, commercial property values, and the ability of small businesses to recover from the recession. If the remaining expected losses increase by 20%, then the tranches may be further downgraded. Other methodologies and factors that Moody's may have considered in the process of rating these transactions appear on Moody's website. More information on Moody's analysis of this transaction is available at www.moodys.com. The complete rating actions are as follows: Issuer: GE Business Loan Trust 2003-1 Class A, Downgraded to Aa2 (sf); previously on Mar 1, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Class B, Downgraded to Ba1 (sf); previously on Mar 1, 2012 A3 (sf) Placed Under Review for Possible Downgrade Issuer: GE Business Loan Trust 2003-2 Cl. A, Downgraded to Aa1 (sf); previously on Mar 1, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B, Confirmed at A2 (sf); previously on Mar 1, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. C, Confirmed at Baa2 (sf); previously on Mar 1, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: GE Business Loan Trust 2004-1 Cl. A, Downgraded to Aa2 (sf); previously on Mar 1, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B, Downgraded to A3 (sf); previously on Mar 1, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. C, Downgraded to Ba1 (sf); previously on Mar 1, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: GE Business Loan Trust 2004-2 Cl. A, Downgraded to Aa1 (sf); previously on Mar 1, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B, Confirmed at A2 (sf); previously on Mar 1, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. C, Confirmed at Baa2 (sf); previously on Mar 1, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. D, Confirmed at Ba2 (sf); previously on Mar 1, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: GE Business Loan Trust 2005-1 Cl. A-3, Downgraded to Aa3 (sf); previously on Mar 1, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B, Downgraded to Baa3 (sf); previously on Mar 1, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. C, Downgraded to Ba2 (sf); previously on Mar 1, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. D, Downgraded to B1 (sf); previously on Mar 1, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: GE Business Loan Trust 2005-2 Cl. A, Downgraded to A1 (sf); previously on Mar 1, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B, Downgraded to Ba1 (sf); previously on Mar 1, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. C, Downgraded to Ba3 (sf); previously on Mar 1, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. D, Downgraded to B1 (sf); previously on Mar 1, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: GE Business Loan Trust 2006-1 Cl. A, Downgraded to Aa3 (sf); previously on Mar 1, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B, Downgraded to A3 (sf); previously on Mar 1, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. C, Downgraded to Baa3 (sf); previously on Mar 1, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. D, Downgraded to B1 (sf); previously on Mar 1, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: GE Business Loan Trust 2006-2 Cl. A, Downgraded to Aa3 (sf); previously on Mar 1, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B, Downgraded to Baa1 (sf); previously on Mar 1, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. C, Downgraded to Ba1 (sf); previously on Mar 1, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. D, Downgraded to Ba3 (sf); previously on Mar 1, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: GE Business Loan Trust 2007-1 Cl. A, Downgraded to Aa3 (sf); previously on Jul 19, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. B, Downgraded to Baa1 (sf); previously on Jul 19, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. C, Downgraded to Ba1 (sf); previously on Jul 19, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. D, Downgraded to B1 (sf); previously on Jul 19, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade GMACM MORTGAGE 2005-AR6: Moody's Cuts Ratings on 4 Secs. to 'C' --------------------------------------------------------------- Moody's Investors Service has downgraded five tranches issued by GMACM Mortgage Loan Trust 2005-AR6. The collateral backing these deals primarily consists of first-lien, adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $103 million of RMBS issued from 2005. Complete rating actions are as follows: Issuer: GMACM Mortgage Loan Trust 2005-AR6 Cl. 1-A-2, Downgraded to C (sf); previously on May 21, 2009 Downgraded to Ca (sf) Cl. 2-A-2, Downgraded to C (sf); previously on May 21, 2009 Downgraded to Ca (sf) Cl. 3-A-2, Downgraded to C (sf); previously on May 21, 2009 Downgraded to Ca (sf) Cl. 4-A-1, Downgraded to Caa1 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-2, Downgraded to C (sf); previously on May 21, 2009 Downgraded to Ca (sf) Ratings Rationale The actions are a result of the recent performance of Prime jumbo pools originated on or after 2005 and reflect Moody's updated loss expectations on these pools. The downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for certain bonds than previously anticipated. 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. 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 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 prime jumbo 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 prime jumbo pools, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. 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 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. 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 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% 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 bonds, in addition to the approach 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 June 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_SF292441 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_SF196023 GRAMERCY PARK: S&P Rates $27.5-Mil. Class D Notes 'BB' ------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Gramercy Park CLO Ltd./Gramercy Park CLO Corp.'s $455.45 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by a revolving pool consisting primarily of broadly syndicated senior-secured loans. The preliminary ratings are based on information as of July 24, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: * The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. * The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. * The transaction's legal structure, which is expected to be bankruptcy remote. * The diversified collateral portfolio, which primarily comprises broadly syndicated speculative-grade senior- secured term loans. * The collateral manager's experienced management team. * "Our projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-12.53%," S&P said. * The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. * The transaction's interest diversion 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; collateral manager incentive fees; and subordinated note payments into 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/1111738.pdf PRELIMINARY RATINGS ASSIGNED Gramercy Park CLO Ltd./Gramercy Park CLO Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 327.5 A-2 AA (sf) 33.70 B (deferrable) A (sf) 42.50 C (deferrable) BBB (sf) 24.50 D (deferrable) BB (sf) 27.50 Subordinated notes NR 58.15 NR-Not rated. GREENWICH CAPITAL 2007-GG9: Moody's Cuts Ratings on 3 Certs to C ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of eleven classes, confirmed one class and affirmed nine classes of Greenwich Capital Commercial Funding Corp., Commercial Mortgage Trust 2007-GG9, Commercial Mortgage Pass-Through Certificates, Series 2007-GG9 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed at Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Downgraded to Aa3 (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-1-A, Downgraded to Aa3 (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-M, Downgraded to Baa3 (sf); previously on Apr 26, 2012 Downgraded to A1 (sf) and Remained On Review for Possible Downgrade Cl. A-MFL, Downgraded to Baa3 (sf); previously on Apr 26, 2012 Downgraded to A1 (sf) and Remained On Review for Possible Downgrade Cl. A-J, Downgraded to Caa1 (sf); previously on Apr 26, 2012 Downgraded to Ba2 (sf) and Remained On Review for Possible Downgrade Cl. B, Downgraded to Caa2 (sf); previously on Apr 26, 2012 Downgraded to Ba3 (sf) and Remained On Review for Possible Downgrade Cl. C, Downgraded to Caa3 (sf); previously on Apr 26, 2012 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade Cl. D, Downgraded to Ca (sf); previously on Apr 26, 2012 Downgraded to B3 (sf) and Remained On Review for Possible Downgrade Cl. E, Downgraded to C (sf); previously on Apr 26, 2012 Downgraded to Caa1 (sf) and Remained On Review for Possible Downgrade Cl. F, Downgraded to C (sf); previously on Apr 26, 2012 Downgraded to Caa2 (sf) and Remained On Review for Possible Downgrade Cl. G, Downgraded to C (sf); previously on Apr 26, 2012 Downgraded to Ca (sf) Cl. H, Affirmed at C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. X, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Ratings Rationale The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and troubled loans and increased interest shortfalls. Interest shortfalls are currently affecting Class C and are expected to increase as a result of the loan modifications for some of the largest loans in special servicing. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed are sufficient to maintain their current ratings. The rating of the IO class, Class X, is consistent with the credit profile of its referenced classes and thus is confirmed. On April 26, 2012 Moody's placed eight classes on review for possible downgrade. This action concludes Moody's review. Moody's rating action reflects a cumulative base expected loss of 13.4% of the current balance. At last full review, Moody's cumulative base expected loss was 11.2%. 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 32, which is the same as at 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 April 26, 2012. Deal Performance As of the July 12, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 10% to $5.90 billion from $6.58 billion at securitization. The Certificates are collateralized by 172 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 43% of the pool. Two loans, representing 9% of the pool, have investment grade credit assessments. Forty-six 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. Twenty-one loans have been liquidated from the pool since securitization, resulting in an aggregate $126.7 million loss (40% loss severity on average). Currently 33 loans, representing 26% of the pool, are in special servicing. The largest loan in special servicing is the Schron Industrial Portfolio loan ($305 million -- 5.2% of the pool). The loan is secured by 36 industrial properties located on Long Island, New York. The loan transferred into special servicing in December 2010 due to payment default. The loan was modified in July 2012 and split into an A/B note structure with a temporary rate reduction on the A-note and deferral of interest on the B-note. This is expected to cause an increase in interest shortfalls beginning with the next remittance statement. The portfolio was 64% leased as of May 2012 compared to 79% as of August 2011, with a significant amount of leases due to mature within the next 12 months. The portfolio was valued at $191 million as of February 1, 2012. The second and third specially serviced loans are the Peachtree Center Loan and Hyatt Regency - Bethesda Loan, representing 3.5% and 2.4%, respectively, of the pool. The Peachtree Center Loan ($207.6 million) was modified into a $140.0 million A-note and $67.6 million B-note with the B-note having 0% coupon. The reduction of interest on the B-note will contribute to future interest shortfalls. A foreclosure sale date is set in August 2012 for the Hyatt Regency Loan ($140.0 million). The remaining specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $442.2 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $554.9 million (51% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 46 poorly performing loans representing 17% of the pool and has estimated a $149.2 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 and partial year 2011 operating results for 100% of the performing pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 108% compared to 111% at last full review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.37X and 0.92X, respectively, compared to 1.32X and 0.88X 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 590 Madison Avenue Loan ($350 million -- 5.9% of the pool), which is secured by a 1.0 million square foot (SF) Class A office building located in Midtown Manhattan. The loan is interest only for its entire ten year term. The property was 91% leased as of December 2011, the same as at last review. Property performance is in line with last review. Moody's current credit assessment and stressed DSCR are Aa3 and 1.54X, the same as at last review. The second loan with a credit assessment is the Merchandise Mart Loan ($175 million -- 3.0% of the pool), which represents a pari- passu interest in a $350 million loan. The loan is interest only for its entire ten year term. There is additional mezzanine debt of $300 million. The loan is secured by 3.4 million SF mixed-use office and design showroom building located in Chicago, Illinois. The property was 92% leased as of December 2011, same as at last review. Property performance is in line with last review. Moody's current credit estimate and stressed DSCR are Baa3 and 1.39X, same as at last review. The top three performing conduit loans represent 19% of the pool balance. The largest loan is the John Hancock Tower & Garage at Clarendon Loan ($640.5 million -- 10.9% of the pool), which is secured by a 1.7 million SF Class A office building and 2,013 space garage located in Boston, Massachusetts. The loan is interest only for its entire ten year term. The property was 98% leased as of December 2011, same as at last review. Boston Properties purchased the property in December 2010 and has improved property performance by increasing occupancy and decreasing expenses. Bain Capital recently expanded its space from 208,000 SF (12% of the net rentable area (NRA)) to 270,000 SF (15% of NRA) in the fall of 2011. However, Bain Capital does not begin paying rent until January 2014. Moody's analysis reflects a stabilized value for this asset. Moody's LTV and stressed DSCR are 119% and 0.77X, same as at last review. The second largest loan is the 667 Madison Avenue Loan ($250 million -- 4.2% of the pool), which is secured by a 250,000 SF Class A office building located in Midtown Manhattan. The loan is interest only for its entire ten year term. The property was 97% leased as of December 2011, same as at last review. Property performance is in line with last review. Moody's LTV and stressed DSCR are 106% and 0.87X, the same as at last review. The third largest loan is the TIAA RexCorp Long Island Portfolio ($235.9 million -- 4.0% of the pool), which is secured by five suburban office buildings totaling 1.2 million SF located in Long Island, New York. The loan is interest only for its entire ten year term. The portfolio was 87% leased as of December 2011, same as at last review. Property performance is in line with last review. Moody's LTV and stressed DSCR are 122% and 0.82X, the same as at last review. GS MORTGAGE 2003-C1: Fitch Affirms 'CCCsf' Rating on Class P Certs ------------------------------------------------------------------ Fitch Ratings has affirmed all classes of GS Mortgage Securities Corporation II's commercial mortgage pass-through certificates, series 2003-C1. The rating affirmations reflect stable performance and sufficient credit enhancement to the rated classes. Fitch modeled losses of 1.2% of the remaining pool; expected losses of the original pool balance are at 0.6%, including realized losses of 0.1%. As of the July 2012 distribution date, the pool's aggregate principal balance has been paid down by approximately 58% to $680 million from $1.61 billion at issuance. Twelve loans (44.2%) have defeased, including the largest loan (30.5%). Of the original 76 loans, 38 remain. One loan (1%) has been identified as a Fitch Loan of Concern. There are no loans in special servicing as of July 2012. Interest shortfalls are only affecting the non-rated class S. Fitch has affirmed the following classes: -- $471.9 million class A-3 at 'AAAsf'; Outlook Stable; -- $54.4 million class B at 'AAAsf'; Outlook Stable; -- $16.1 million class C at 'AAAsf'; Outlook Stable; -- $12.1 million class D at 'AAAsf'; Outlook Stable; -- $18.1 million class E at 'AAAsf'; Outlook Stable; -- $12.1 million class F at 'AAAsf'; Outlook Stable; -- $20.1 million class G at 'AAsf'; Outlook Stable; -- $12.1 million class H at 'Asf'; Outlook Stable; -- $12.1 million class J at 'BBB+sf'; Outlook Stable; -- $12.1 million class K at 'BBBsf'; Outlook Stable; -- $8.1 million class L at 'BB+sf'; Outlook Stable; -- $6 million class M at 'BBsf'; Outlook Stable; -- $6 million class N at 'B+sf'; Outlook Stable; -- $2 million class O at 'Bsf'; Outlook Stable; -- $4 million class P at 'CCCsf'/RE95%. Classes A-1, A-2A, A-2B and the interest-only class X-2 have paid in full. Fitch does not rate class S. Fitch has previously withdrawn the rating on the interest-only classes X-1. GS MORTGAGE 2007-EOP: Fitch Affirms Low-B Rating on 2 Sec Classes ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings on 13 classes of GS Mortgage Securities Corp II, series 2007-EOP. The rating affirmations reflect the continued stable operating performance of the portfolio since Fitch's prior rating action. The Rating Outlooks reflect the likely direction of any changes to the ratings over the next one to two years. The certificates are collateralized by a single $4.8 billion non- recourse floating-rate loan secured by over 90 office properties, down from approximately 135 at issuance. Security for the loan is comprised of mortgages, equity pledges in joint ventures and cash flow pledges. In addition, there is approximately $1.6 billion of mezzanine debt held outside the trust. Initially, the loan was modified in December 2010, extending the original maturity date to February 2012. The loan has since been extended to 2013, with an additional one-year workout extension option added, putting the fully extended maturity date of the loan to February 2014. In exchange for the extensions, the sponsor has agreed to certain conditions including the payment of additional interest spread and scheduled amortization payments of $200 million over the fully extended term. Previously, the loan was structured as interest only. The largest property in the pool (13.5%) is 1095 Avenue of the Americas located across from Bryant Park in mid-town Manhattan. The property underwent significant interior and exterior renovations at issuance that have now been completed. As of March 2012, the property is approximately 95.6% occupied with minimal rollover before year-end 2014. The remainder of the portfolio includes office properties located in top tier markets in Boston, New York and Northern and Southern California. The top 10 properties account for approximately 40.1% of the allocated loan balance with no single property, other than the Verizon Building, representing more than 4.5% of the collateral. Leasing activity has improved slightly over the past year and occupancy across the portfolio as of March 2021 was approximately 85.3% as compared to 85% in March 2011 Fitch affirms the following classes as indicated: -- $727.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $584.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $606.5 million class A-3 at 'AAAsf'; Outlook Stable; -- $370.3 million class B at 'AAAsf'; Outlook Stable; -- $432.3 million class C at 'AAsf'; Outlook Stable; -- $220 million class D at 'AA-sf'; Outlook Stable; -- $237.9 million class E at 'A+sf'; Outlook Stable; -- $214.7 million class F at 'Asf'; Outlook Stable; -- $142.4 million class G at 'A-sf'; Outlook Stable; -- $142.4 million class H at 'BBB+sf'; Outlook Stable; -- $395 million class J at 'BBB-sf'; Outlook to Stable from Negative; -- $213.6 million class K at 'BBsf'; Outlook Negative; -- $534 million class L at 'B-sf'; Outlook Negative. Fitch previously withdrew the rating on the interest-only class X. GSAA HOME 2004-11: Moody's Confirms 'Caa3' Rating on M-1 Tranche ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one tranche and confirmed the rating of one tranche issued by GSAA Home Equity Trust 2004-11. Ratings Rationale The actions are a result of the recent performance of Alt-A and Option ARM pools originated before 2005 and reflect Moody's updated loss expectations on the 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 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 June 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 2004-11 Cl. 2A1, Upgraded to A2 (sf); previously on Mar 15, 2011 Downgraded to Baa1 (sf) Cl. M-1, Confirmed at Caa3 (sf); previously on Jan 31, 2012 Caa3 (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_SF292452 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 GSAMP TRUST 2007-HSBC1: Moody's Hikes Rating on M-2 Tranche to Ca ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two tranches and confirmed the ratings on one tranche from GSAMP Trust 2007- HSBC1. The collateral backing the transactions are subprime residential mortgages. Complete rating actions are as follows: Issuer: GSAMP Trust 2007-HSBC1 Cl. M-1, Upgraded to Caa1 (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to Ca (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Cl. M-3, Confirmed at C (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Ratings Rationale The actions are a result of the recent performance of Subprime pools originated after 2005 and reflect Moody's updated loss expectations on these pools. The upgrades in the rating action are a result of improving performance and/or structural features resulting in lower expected losses for certain bonds than previously anticipated. 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 unemployment rate fell from 9.0% in April 2011 to 8.2% in June 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://moodys.com/viewresearchdoc.aspx?docid=PBS_SF292366 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 HELLER 1998-1: Fitch Affirms Low-B Rating on 2 Certificate Classes ------------------------------------------------------------------ Fitch Ratings affirms Heller SBA Corp. pass-through adjustable- rate certificates, series 1998-1 as follows: -- Class A at 'AAsf'; Outlook Negative; -- Class M-1 at 'Asf'; Outlook Negative; -- Class M-2 at 'BBBsf'; Outlook Negative; -- Class M-3 at 'BBsf'; Outlook Negative; -- Class B at 'Bsf'; Outlook Negative. The affirmations reflect increasing credit enhancement and strong obligor loss coverage, despite high levels of delinquencies. As of the July 2012 reporting period, 29.28% of the pool is currently delinquent. Cumulative net losses to date are 3.45%. Due to delinquency performance and the resulting loss expectation on the delinquent loans, the transaction continues to experience multiple compression under Fitch's cash flow modeling analysis, detailed below. However, obligor concentration coverage is significantly strong with coverage exceeding the obligor thresholds for the current ratings, as detailed below. The Negative Rating Outlooks are a result of the higher delinquency roll rate the transaction continues to experience. As late-stage delinquencies continue through the liquidation process, credit enhancement may be materially affected if ultimate recoveries are lower than expected. Furthermore, Fitch will continue to monitor the series as the transaction amortizes to assess the impact of increasing obligor concentrations. As obligor counts for the pools continue to decline and tail risk increases, Fitch will review the transaction for potential ratings action or withdrawals. In reviewing the transactions, Fitch took into account analytical considerations outlined in Fitch's 'Global Structured Finance Rating Criteria', issued June 6, 2012, including asset quality, credit enhancement, financial structure, legal structure, and originator and servicer quality. Fitch's analysis incorporated a review of collateral characteristics, in particular, focusing on delinquent and defaulted loans within the pool. All loans over 60 days delinquent were deemed defaulted loans. The defaulted loans were applied loss and recovery expectations based on collateral type and historical recovery performance to establish an expected net loss assumption for the transaction. Fitch stressed the cash flows generated by the underlying assets by applying its expected net loss assumption. Furthermore, Fitch applied a loss multiplier to evaluate break-even cash flow runs to determine the level of expected cumulative losses the structure can withstand at a given rating level. The loss multiplier scale utilized is consistent with that of other commercial ABS transactions. Additionally, to review possible concentration risks within the pool, Fitch evaluated the impact of the default of the largest performing obligors. Similar to the analysis detailed above, Fitch applied loss and recovery expectations to the performing obligors based on collateral type and historical recovery performance. The expected loss assumption was then compared to the credit support available to the outstanding notes given Fitch's expected losses on the currently defaulted loans. Consistent with the obligor approach detailed in 'Rating US Equipment Lease and Loan Securitizations', dated Jan. 12, 2012, Fitch applied losses from the largest performing obligors commensurate with the individual rating category. The number of obligors ranges from 20 at 'AAA' to five at 'B'. Fitch will continue to closely monitor these transactions and may take additional rating action in the event of changes in performance and credit enhancement measures. HEWETT'S ISLAND: S&P Affirms 'CCC-' Rating on Class D Notes ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B-1, and B-2 notes from Hewett's Island CLO III Ltd., a collateralized loan obligation (CLO) transaction managed by Commercial Industrial Finance Corp. (CIFC). "We also affirmed our ratings on the class C and D notes. Concurrently, we removed our ratings on the class A-2, B-1, B-2, C, and D notes from CreditWatch, where we placed them with positive implications on April 18, 2012," S&P said. "The transaction is in its amortization phase and continues to pay down the class A-1 note. The balance of the class A-1 note after the May 2012 paydown is currently 52.3% of its original balance, down from 88.8% in February 2011 when we last upgraded the note," S&P said. "The transaction is structured such that the class B-1 receives a specified sum as a paydown in every distribution date. As a result, the current balance of the class B-1 note is down to $2.1 million, which is 16.67% of its original balance," S&P said. The lower balance of the notes increased the overcollateralization (O/C) ratios. The trustee reported these O/C ratios in its March 31, 2012, monthly report: * The senior notes O/C (measured at the class A-2 level) ratio was 128.57%, compared with a reported ratio of 117.82% in February 2011; * The class B-2 O/C ratio was 118.95%, compared with a reported ratio of 112.29% in February 2011; * The class C O/C ratio was 110.67%, compared with a reported ratio of 107.25% in February 2011; and * The class D O/C ratio was 104.31%, compared with a reported ratio of 103.05% in February 2011. "We raised the ratings on the class A-1, A-2, B-1, and B-2 notes due to an increase in credit support. The ratings on the class C and D notes remain constrained by the top obligor test. We therefore affirmed them at their current levels," S&P said. Standard & Poor's will continue to review whether, in our 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 RATING AND CREDITWATCH ACTIONS Hewett's Island CLO III Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf) A-2 AA+ (sf) A+ (sf)/Watch Pos B-1 AA+ (sf) A+ (sf)/Watch Pos B-2 A+ (sf) BBB+ (sf)/Watch Pos C BB+ (sf) BB+ (sf)/Watch Pos D CCC- (sf) CCC- (sf)/Watch Pos TRANSACTION INFORMATION Issuer: Hewett's Island CLO III Ltd. Collateral manager: CIFC Trustee: Deutsche Bank Trust Co. Americas Transaction type: Cash flow CLO IMPAC SECURED: Moody's Lowers Rating on One Tranche to 'Caa1' ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 12 tranches, confirmed the ratings of two tranches and placed on watch the ratings of six tranches from four RMBS transactions, backed by Alt-A loans, issued by Impac. 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 final ratings on the bonds also reflect the estimated losses under different cash-flow scenarios. Moody's current approach uses Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics to project losses to the individual bonds under a variety of loss and prepayment scenarios. The actions taken on the Impac CMB Trust 2004-6 transaction reflect a correction to Moody's prior analysis. In this transaction, principal is always distributed pro-rata to the subordinate and senior tranches. Due to the pro-rata payment, credit enhancement for the senior bonds erodes over time, and these bonds could be exposed to tail-end losses. In Moody's prior rating analysis, credit enhancement to the bonds was not adjusted to reflect the pro-rata pay structure. In addition, Cl. 1-A-2 and Cl. 1-A-3 remain on watch direction uncertain pending clarification from Impac regarding super seniority - the prospectus supplement allows for the Cl. 1-A-3 to act as a support to the Cl. 1-A-2 while the Indenture allows for the reverse with Cl. 1-A-2 as a support for Cl. 1-A-3. Rating actions on the Impac Secured Assets Corp. 2004-3 reflect the allocation of losses to Cl. 1-A-5 as stated in the prospectus supplement and as confirmed by the bond administrator. The PSA however, states that no realized losses will be allocated to Class A certificates, although it does refer to the allocation of losses on Cl. 1-A-5 within its definitions of "Allocated Realized Loss Amounts," "Certificate Principal Balance," and "Subsequent Recoveries". Moody's has highlighted this document discrepancy to Impac. Moody's rating actions on Impac Secured Assets Corp 2002-2 and 2003-2 reflect the inconsistency in loss allocation as reported by the trustee and that noted in the PSA. Certain remittance reports have indicated that losses (other than realized losses) have been allocated to the subordinate classes to bring the total outstanding bond balance equal to the outstanding collateral balance. The PSA for these transactions do not explicitly detail this allocation. As such, certain mezzanine tranches from these transactions remain on watch pending clarification on the loss allocation from the trustee. 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 June 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: Impac CMB Trust Series 2004-6 Collateralized Asset-Backed Bonds, Series 2004-6 Cl. 1-A-1, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-2, Baa1 (sf) Placed Under Review Direction Uncertain; previously on Mar 30, 2011 Downgraded to Baa1 (sf) Cl. 1-A-3, Baa2 (sf) Placed Under Review Direction Uncertain; previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Baa1 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. M-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to B3 (sf); previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2002-2 Cl. A-IO, Downgraded to B1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Aa3 (sf) and Remains On Review for Possible Downgrade; previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to Baa2 (sf) and Remains On Review for Possible Downgrade; previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Downgraded to B3 (sf) and Remains On Review for Possible Downgrade; previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2003-2 Cl. A-1, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-2, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-3, Downgraded to A1 (sf); previously on Feb 22, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-4, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-PO, Downgraded to A1 (sf); previously on Mar 30, 2011 Downgraded to Aa1 (sf) Cl. A-IO, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to B3 (sf) and Remains On Review for Possible Downgrade; previously on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2004-3 Cl. 1-A-5, Downgraded to Aa1 (sf); previously on Mar 30, 2011 Confirmed at Aaa (sf) Cl. M-1, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B2 (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_SF292431 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 INDYMAC LOAN 2004-L1: Moody's Withdraws 'C' Rating on Cl. B Loan ---------------------------------------------------------------- Moody's Investors Service has withdrawn the rating of Class B from IndyMac Loan Trust 2004-L1. The tranche is backed by a pool of mortgage loans with a pool factor less than 5% and containing fewer than 40 loans. Complete rating actions are as follows: Issuer: IndyMac Loan Trust 2004-L1 Cl. B, Withdrawn (sf); previously on Sep 30, 2009 Downgraded to C (sf) Ratings Rationale Moody's current RMBS surveillance methodologies apply to pools with at least 40 loans and a pool factor of greater than 5%. As a result, 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 or pool insurance). Moody's has withdrawn the rating pursuant to published rating methodologies that allow for the withdrawal of the rating if the size of the underlying collateral pool at the time of the withdrawal has fallen below a specified level. In order to estimate losses on the lot loan pools, Moody's first estimates lifetime default rate from the current delinquency pipeline and then apply loan severity. To obtain defaults due to the current delinquency pipeline Moody's first calculates defaults by applying lifetime default frequencies ("roll rates") to the current delinquency buckets. These roll rates indicate the percentage of borrowers in each delinquency bucket that are expected to ultimately default. The lifetime roll rates that Moody's assumes are at 75% for current loans, 90% for 30 day delinquent loans, and 100% for loans more than 30 days delinquent, in foreclosure or REO (Real Estate Owned). Severities have been estimated at 90%. Moody's then utilizes a static analysis, wherein total credit enhancement ("CE") for a bond, including excess spread, subordination, overcollateralization is compared to expected losses on the mortgage pool(s) supporting that bond. The rating on each bond is determined by the resulting ratio of a bond's total CE to its related mortgage pool loss. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292740 JER CRE 2006-2: S&P Cuts Ratings on 8 Note Classes to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' from 'CCC- (sf)' on eight classes of notes from JER CRE CDO 2006-2 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," 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, default patterns, and timings of the collateral. The criteria also include supplemental stress tests (the largest obligor default test and the largest industry default test)," S&P said. "The downgrades also reflect our analysis of the transaction following the termination of the interest rate swap contract for the transaction, resulting in a payment to the hedge counterparty. We expect that the interest payments on these classes will be deferred for an extended period of time due to the termination payment. In addition, we expect the deferrable classes are unlikely to be repaid in full," S&P said. "Based on correspondences with the trustee, U.S. Bank N.A., it is our understanding that following a payment default, the hedge counterparty terminated the interest rate swap contract for the transaction. The termination of the hedge triggered a termination payment to the counterparty in the amount of approximately $45.0 million. Based on the transaction's documents and payment waterfall, it is our understanding the termination payments to the hedge counterparty are made before any interest or principal proceeds are made available to the deferrable classes," S&P said. "According to the June 25, 2012 trustee report, remaining outstanding interest shortfalls to the transaction totaled $63.1 million, which affected all classes. We expect that the termination payment may not be paid in full for several years resulting in continuing interest shortfalls to the underlying classes, and we determined that the deferrable classes lowered to 'D (sf)' are unlikely to be repaid in full," S&P said. According to the June 25, 2012, trustee report, the transaction's collateral assets totaled $453.6 million, while its liabilities (including capitalized and defaulted interest) totaled $815.5 million, which is down from $1.2 billion in liabilities at issuance. S&P said the transaction's current asset pool includes: * 52 commercial mortgage-backed securities (CMBS) tranches ($320.0 million, 70.5%); * Three subordinated loans ($75.2 million, 16.6%); * Four CRE CDO and Re-Remic tranches ($38.7 million, 8.5%); and * Two whole loans ($19.8 million, 4.4%). The transaction is failing all overcollateralization and interest coverage tests. 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/1111738.pdf RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE JER CRE CDO 2006-2 Ltd. Rating Class To From C-FL D (sf) CCC- (sf)/Watch Neg C-FX D (sf) CCC- (sf)/Watch Neg D-FL D (sf) CCC- (sf)/Watch Neg D-FX D (sf) CCC- (sf)/Watch Neg E-FL D (sf) CCC- (sf)/Watch Neg E-FX D (sf) CCC- (sf)/Watch Neg F-FL D (sf) CCC- (sf)/Watch Neg G-FL D (sf) CCC- (sf)/Watch Neg JFIN CLO 2012: S&P Gives 'BB' Rating on Class D Deferrable Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to JFIN CLO 2012 Ltd./JFIN CLO 2012 LLC's $269.45 million floating-rate notes. The transaction is a cash flow collateralized loan obligation securitization of a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's assessment of: * The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. * The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. * The transaction's legal structure, which is expected to be bankruptcy remote. * The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. * The asset manager's experienced management team. * "Our projections regarding the timely interest and ultimate principal payments on the rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-12.53%," S&P said. * The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS ASSIGNED JFIN CLO 2012 Ltd./JFIN CLO 2012 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 183.00 A-2a AA+ (sf) 12.00 A-2b AA (sf) 12.75 B-1 (deferrable) A+ (sf) 8.00 B-2 (deferrable) A (sf) 19.95 C (deferrable) BBB (sf) 15.75 D (deferrable) BB (sf) 18.00 Subordinated notes NR 44.85 NR-Not rated. JPMORGAN 2001-CIBC3: Fitch Junks Rating on Two Note Classes ----------------------------------------------------------- Fitch Ratings has downgraded two classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. 2001-CIBC3 commercial mortgage pass-through certificates. The downgrades reflect an increase in actual and expected losses across the pool since last review. Fitch modeled losses of 22.76% of the remaining pool; expected losses of the original pool are at 3.92% (which includes 2.35% in realized losses). Fitch has designated 12 loans (70.98%) as Fitch Loans of Concern, which includes nine specially serviced loans (56%). As of the July 2012 distribution date, the pool's aggregate principal balance has been reduced 90.74% (including realized losses) to $59.93 million from $867.48 million at issuance. There are 20 of the original 125 loans remaining in the transaction. One loan (1.40%) is defeased. Interest shortfalls are affecting classes K, L, M and NR. The largest contributor to losses (17.57% of pool balance) is secured by a 107,822 square foot (sf) office property in Newark, DE. The property has experienced cash flow issues due to occupancy declines. The loan transferred to special servicing in February 2011 due to payment default. In June 2012, the servicer had attempted a Note Sale for the property that had ultimately failed as bid offers for the note did not hit the reserve price. The servicer has scheduled a foreclosure sale for August 2012. The second largest contributor to losses (6.52%) is secured by three one-story mixed-use buildings totaling 85,443 sf located in Waterford, MI near the Oakland County International Airport . The property has suffered cash flow issues due to occupancy declines and transferred to special servicing in April 2009. The servicer reported that an agreed receiver order has been finalized and is being presented to the court for approval. According to the servicer the borrower continues to make partial payments sporadically with the most recent payment received in May 2012. Fitch downgrades the following classes and assigns Recovery Estimates (REs) as indicated: -- $6.5 million class J to 'CCCsf' from 'Bsf'; RE 85%; -- $7.6 million class K to 'Csf' from 'CCsf'; RE 0%. Class J had previously carried a Negative Rating Outlook. Fitch also affirms the following classes and revises the Rating Outlook on class H as indicated: -- $6.6 million class E at 'AAAsf'; Outlook Stable; -- $10.8 million class F at 'AAsf'; Outlook Stable; -- $17.3 million class G at 'BBBsf'; Outlook Stable; -- $6.5 million class H at 'BBsf'; Outlook to Negative from Stable; -- $4.3 million class L at 'Csf'; RE 0%; -- $230 thousand class M at 'Dsf'; RE 0%. Fitch does not rate class NR, which has been reduced to zero from $16.3 million due to realized losses. Classes A-1, A-2, A-3, B, C, D and X-2 have paid in full. Fitch previously withdrew the rating on the interest-only classes X-1. JPMORGAN 2002-CIBC5: Fitch Cuts Rating on Cl. M Securities to Csf ----------------------------------------------------------------- Fitch Ratings has downgraded one class of JP Morgan Chase Commercial Mortgage Securities Corporation's (JPMC) commercial mortgage pass-through certificates, series 2002-CIBC5. The downgrade is primarily due to an increase in Fitch expected losses on the real estate owned (REO) asset. Fitch modeled losses of 3.6% of the remaining pool; expected losses of the original pool are at 2.6%, including losses already incurred to date (1.5%). Fitch has identified five loans (11.5%) as Fitch Loans of Concern, including the REO asset (3.7%). Fitch expects class N and the non-rated class NR to be fully depleted and class M to be impacted from losses associated with the REO asset. As of the July 2012 distribution date, the pool's aggregate principal balance has reduced by 69.5% to $306.7 million from $1 billion at issuance. There are 46 loans remaining in the pool, including 16 (41.6%) that have fully defeased. Interest shortfalls totaling $0.6 million are currently affecting classes M through NR The largest contributor to Fitch-modeled losses is a 74,676 square feet (SF) former A&P grocery-anchored retail center located in Woodbridge, NJ. The loan was transferred to special servicing in Oct 2010 due to monetary default. A&P occupied 69.5% of the property and closed in 2010 due to bankruptcy. The loan became REO in Feb. 2012. As of 2Q12, the property is only 24% occupied. The special servicer is working to lease up and sell the property. Fitch expects significant losses upon liquidation of the asset based on recent property valuations obtained by the servicer. Fitch has downgraded the following class as indicated: -- $8.8 million class M to 'Csf' from 'CCsf'; RE to 35% from 95%. Fitch has affirmed the following classes as indicated: -- $487.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $36.4 million class B at 'AAAsf'; Outlook Stable; -- $13.8 million class C at 'AAAsf'; Outlook Stable; -- $27.6 million class D at 'AAAsf'; Outlook Stable; -- $13.8 million class E at 'AAAsf'; Outlook Stable; -- $28.9 million class F at 'AA+sf'; Outlook Stable; -- $16.3 million class G at 'AA-sf'; Outlook Stable; -- $18.8 million class H at 'BBB+sf'; Outlook Stable; -- $12.6 million class J at 'BBB-sf'; Outlook Negative; -- $5.0 million class K at 'BBsf'; Outlook Negative; -- $5.0 million class L at 'Bsf'; Outlook Negative; -- $2.5 million class N at 'Csf'; RE0%. Class A1 and the interest only Class X-2 have paid in full. Fitch does not rate the class NR. Fitch has previously withdrawn the rating of the interest-only class X-1. JPMORGAN 2002-CIBC5: Moody's Raises Rating on K Notes to 'Caa2' --------------------------------------------------------------- Moody's Investors Service upgraded the ratings of five classes and affirmed nine classes of JP Morgan Chase Commercial Mortgage Securities Corporation Commercial Mortgage Pass-Through Certificates, Series 2002-CIBC5 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. D, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. E, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. F, Upgraded to Aa1 (sf); previously on Sep 8, 2011 Upgraded to Aa3 (sf) Cl. G, Upgraded to A1 (sf); previously on Sep 8, 2011 Upgraded to A3 (sf) Cl. H, Upgraded to Baa2 (sf); previously on Sep 8, 2011 Upgraded to Ba1 (sf) Cl. J, Upgraded to B1 (sf); previously on Dec 17, 2010 Downgraded to B3 (sf) Cl. K, Upgraded to Caa2 (sf); previously on Dec 17, 2010 Downgraded to Caa3 (sf) Cl. L, Affirmed at Ca (sf); previously on Dec 17, 2010 Downgraded to Ca (sf) Cl. M, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The upgrades are due to overall improved pool financial performance and increased credit support due to loan payoffs and amortization. The pool has paid down 56% since the prior review and 70% since securitization. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of $15.3 million or 5.0% of the current balance. At last review, Moody's cumulative base expected loss was $24.4 million or 3.5% of the then current balance. Realized losses have increased from 1.2% of the original balance to 1.5% 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 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 22 compared to 37 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 September 8, 2011. Deal Performance As of the July 12, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 70% to $307 million from $1.00 billion at securitization. The Certificates are collateralized by 46 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten non-defeased loans representing 41% of the pool. Sixteen loans, representing 42% of the pool, have defeased and are secured by U.S. Government securities. Defeasance at last review represented 11% of the pool. Twenty-one loans, representing 41% 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. Seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $14.9 million (37% loss severity on average). Currently one loan, representing 4% of the pool, is in special servicing. The servicer has recognized an appraisal reduction of $5.1 million for the specially serviced loan. Moody's has estimated a $8.1 million loss for the specially serviced loan. Moody's has assumed a high default probability for three poorly performing loans representing 7% of the pool and has estimated an aggregate $4.0 million loss (20% expected loss on average) from these troubled loans. Moody's was provided with full year 2011 operating results for 97% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 72% compared to 73% 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 9.4%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.40X and 1.51X, respectively, compared to 1.45X and 1.51X 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 16% of the pool. The largest loan is the Edgewater Apartments Loan ($16.5 million -- 5.4% of the pool), which is secured by a 316 unit class B apartment complex located along the shore of Lake Washington in Seattle, Washington. The property was 100% leased as of December 2011 compared to 99% at the prior review. Overall, the loan is stable and benefitting from amortization. The loan has three months remaining until maturity. Moody's LTV and stressed DSCR are 80% and 1.29X, respectively, compared to 83% and 1.24X at last review. The second largest loan is the Elmwood Tower Loan ($16.4 million - - 5.4% of the pool), which is secured by a 197,723 square foot (SF) office tower located in Harahan, Louisiana. The property is 100% leased GSA tenants through December 2026. Overall, the loan is stable and benefitting from amortization. The loan has one month remaining until maturity and is expected to payoff prior to the August remittance. Moody's LTV and stressed DSCR are 55% and 1.95X, respectively, compared to 54% and 1.99X at last review. The third largest loan is the Surprise Towne Center Loan ($16.3 million -- 5.3% of the pool), which is secured by a 155,371 SF anchored retail center located in Surprise, Arizona. The property was 76% leased as of December 2011 compared to 81% at the prior review. The property's performance declined due to a decrease in base rental revenues from lower occupancy. The loan has four months remaining until maturity. Moody's LTV and stressed DSCR are 88% and 1.11X, respectively, compared to 80% and 1.22X at last review. JPMORGAN 2004-C2: Fitch Lowers Rating on 6 Certificate Classes -------------------------------------------------------------- Fitch Ratings has downgraded six classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., commercial mortgage pass- through certificates, series 2004-C2. The downgrades reflect an increase in Fitch expected losses across the pool, most of which are attributed to recent valuations on specially serviced loans. Fitch modeled losses of 3.55% of the remaining pool; modeled losses of the original pool are at 3.88%, including losses already incurred to date. Fitch designated 20 loans (16.4%) as Fitch Loans of Concern. There are four specially serviced loans (4.4%) in the transaction. As of the July 2012 distribution date, the pool's aggregate principal balance has been paid down by approximately 22.5% to $801.7 million from $1.03 billion at issuance. Eleven loans (14.7%) have defeased since issuance. Interest shortfalls totaling $389,613 are currently affecting classes M through NR. The largest contributor to loss (1.54% of pool balance) is collateralized by a 134,510 square foot (sf) retail center located in Temecula, CA. Occupancy at the property has declined to 51% as of April 2012. The special servicer and borrower have engaged in negotiations for a discounted payoff as the servicer dual tracks foreclosure. The borrower is currently forwarding all excess cash to the servicer. The next largest contributor to losses (2.17%) is collateralized by a 100,321 sf office property located in Chula Vista, CA. The loan was transferred to special servicing due to payment default in March 2012. The borrower is requesting a loan modification which will be evaluated by the special servicer when received. Additionally, the borrower has received a significant lease proposal which has been approved. Fitch downgrades the following classes and assigns Recovery Estimates (RE) and revises Rating Outlooks as indicated: -- $11.6 million class F to 'BBB-sf' from 'BBBsf'; Outlook to Negative from Stable; -- $6.5 million class J to 'CCCsf' from 'Bsf'; RE 100% ; -- $5.2 million class K to 'CCCsf' from 'B-sf'; RE 35%; -- $2.6 million class L to 'CCsf' from 'B-sf'; RE 0%; -- $3.9 million class M to 'CCsf' from 'CCCsf'; RE 0%; -- $2.6 million class N to 'Csf' from 'CCsf'; RE 0%. Fitch also affirms the following classes and assigns Recovery Estimates (RE) and revises Rating Outlooks as indicated: -- $28.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $431.4 million class A-3 at 'AAAsf'; Outlook Stable; -- $216.3 million class A-1A at 'AAAsf'; Outlook Stable; -- $24.6 million class B at 'AAAf'; Outlook Stable; -- $10.4 million class C at AAf'; Outlook Stable; -- $24.6 million class D at 'Asf'; Outlook Stable; -- $9.1 million class E at 'BBBsf'; Outlook Stable; -- $7.8 million class G at 'BBsf'; Outlook to Negative from Stable; -- $11.6 million class H at 'Bsf'; Outlook to Negative from Stable; -- $2.6 million class P at 'Csf'; RE: 0%; -- $5.2 million class RP-1 at 'Asf'; Outlook Stable; -- $4 million class RP-2 at 'A-sf'; Outlook Stable; -- $4.3 million class RP-3 at 'BBB+sf'; Outlook Stable; -- $4.6 million class RP-4 at 'BBBsf'; Outlook Stable; -- $7 million class RP-5 at 'BBB-sf'; Outlook Stable. Fitch does not rate the $2.2 million class NR. The RP certificates represent an interest in a subordinate note secured by the Republic Plaza property. Class A-1 has been paid in full. KEY COMMERCIAL: Moody's Cuts Rating on Cl. F Certificates to 'C' ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of five classes and affirmed six classes of Key Commercial Mortgage Securities Trust 2007-SL1, Commercial Mortgage Pass-Through Certificates, Series 2007-SL1 as follows: Cl. A-2, Affirmed at A3 (sf); previously on Mar 18, 2010 Downgraded to A3 (sf) Cl. A-1A, Affirmed at A3 (sf); previously on Mar 18, 2010 Downgraded to A3 (sf) Cl. B, Downgraded to Ba1 (sf); previously on Mar 18, 2010 Downgraded to Baa3 (sf) Cl. C, Downgraded to B3 (sf); previously on Mar 18, 2010 Downgraded to B2 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Caa2 (sf) Cl. E, Downgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Cl. F, Downgraded to C (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. G, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Mar 18, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Mar 18, 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 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 8.9% of the current balance compared to 5.9% 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, "CMBS: Moody's Approach to Small Loan Transactions" published in December 2004, 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 63 compared to 74 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 December 15, 2011. Deal Performance As of the July 16, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 40% to $143.4 million from $237.5 million at securitization. The Certificates are collateralized by 104 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 28% of the pool. Forty-four loans are on the master servicer's watchlist, representing 42% 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. Eleven loans have been liquidated since securitization, of which ten loans generated an aggregate $5.8 million loss (66% average loss severity). Currently, there are six loans in special servicing, representing 5% of the pool. Moody's has estimated an aggregate loss of $4.2 million for these loans (65% expected loss overall). Moody's has assumed a high default probability for 16 poorly performing loans representing 14% of the pool and has estimated a $4.9 million loss (50% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2010 and 2011 operating results for 96% and 95% of the pool, respectively. Excluding special serviced and troubled loans, Moody's weighted average conduit LTV is 91% compared to 87% at last Moody's prior. Moody's net cash flow (NCF) reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding special serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.35X and 1.28X, respectively, compared to 1.37X and 1.32X 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. KKR FINANCIAL 2005-2: S&P Raises Rating on Class F Notes From 'B-' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B, C, E, and F notes from KKR Financial CLO 2005-2 Ltd., a collateralized loan obligation (CLO) transaction managed by KKR Financial Advisors. "The upgrades mainly reflect paydowns of over $244 million to the A notes and improvements in the credit quality of the assets in the transaction's underlying asset portfolio since our April 26, 2010, downgrades. The transaction currently holds no defaulted assets," S&P said. KKR Financial CLO 2005-2 Ltd. cancelled its class D notes' entire balance of $64 million in July 2009. For the transactions that have experienced subordinated debt cancellations, S&P's surveillance reviews include the application of an additional rating stress designed to assess the potential creditworthiness of the affected transactions without the support of interest diversion: * S&P generated cash flow analysis using two scenarios. The first scenario gave effect to the current balances of the notes (including any note cancellations) when modeling the interest or principal diversion mechanisms. For purposes of the second scenario, S&P assumed that currently outstanding subordinated tranches had been cancelled, and accordingly, we only reflected the balance of the senior notes in the calculation of any interest or principal diversion mechanisms. * For each tranche, S&P applied the lower of the rating levels indicated by the cash flow analysis under the two scenarios as the starting point for its rating analysis. * S&P then reviewed the level of cushion relative to its credit stability criteria and made further adjustments to the ratings that it believes are appropriate. "The upgrades reflect our view that the tranches have adequate credit support at the higher rating levels after applying the additional stresses and according to our updated criteria," S&P said. Standard & Poor's will continue to review whether, in its opinion, 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/1111738.pdf RATING ACTIONS KKR Financial CLO 2005-2 Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf) A-2 AAA (sf) AA+ (sf) B AA+ (sf) A+ (sf) C A+ (sf) BBB+ (sf) E BBB+ (sf) BB- (sf) F BBB+ (sf) B- (sf) TRANSACTION INFORMATION Issuer: KKR Financial CLO 2005-2 Ltd. Collateral manager: KKR Financial Advisors Trustee: The Bank of New York Mellon Transaction type: Cash flow CLO LB-UBS 2000-C5: Moody's Cuts Rating on Cl. X Certificates to Caa3 ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven classes and downgraded one class of LB-UBS Commercial Mortgage Trust 2000- C5, Commercial Mortgage Pass-Through Certificates, Series 2000-C5 as follows: Cl. C, Affirmed at Aaa (sf); previously on Dec 17, 2010 Confirmed at Aaa (sf) Cl. D, Affirmed at A2 (sf); previously on Jul 28, 2011 Downgraded to A2 (sf) Cl. E, Affirmed at Ba1 (sf); previously on Jul 28, 2011 Downgraded to Ba1 (sf) Cl. F, Affirmed at Caa1 (sf); previously on Jul 28, 2011 Downgraded to Caa1 (sf) Cl. G, Affirmed at Caa3 (sf); previously on Dec 17, 2010 Downgraded to Caa3 (sf) Cl. H, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. X, Downgraded to Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (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 (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 downgrade in the rating of the IO Class, Class X, is due to a decline in the weighted average rating factor (WARF) of its referenced classes. Moody's rating action reflects a cumulative base expected loss of 43.5% of the current balance compared to 24.2% 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 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 3, compared to 5 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 28, 2011. Deal Performance As of the July 17, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $68.4 million from $997.2 million at securitization. The Certificates are collateralized by nine mortgage loans ranging in size from less than 1% to 39% of the pool. Currently one loan, representing 1% of the pool, has defeased and is secured by U.S. Government securities. There are no loans with investment grade credit assessments. Two loans, representing 40% 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-nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $49.1 million (39% loss severity overall). At last review the pool had experienced an aggregate $44.9 million loss. Four loans, representing 56% of the pool, are currently in special servicing. The largest specially serviced loan is the River Plaza Loan ($23.6 million -- 34.5% of the pool), which is secured by a 202,253 square foot (SF) office building located in downtown Stamford, Connecticut. The loan was transferred to special servicing in March 2009 and is now real estate owned (REO). The property experienced a significant decline in occupancy due to the largest tenant, which originally occupied 40% of the premises, vacating in July 2008. As of May 2012, the property was 32% leased. The second largest specially serviced loan is the Pebble Creek Apartments Loan ($5.9 million -- 8.6% of the pool), which is secured by a 180-unit multifamily complex located in Atlanta, Georgia. The loan was transferred to special servicing in January 2010 due to imminent default. The loan became REO in January 2012. As of June 2012, the property was 95% leased. The master servicer has deemed the loan non-recoverable. The third specially serviced loan is the Express Scripts Building Loan ($5.4 million-7.3% of the pool). The loan is secured by a mixed used property located in Albuquerque, New Mexico. The loan transferred to special servicing in September 2010 as the result of imminent default. The loan passed its anticipated repayment date (ARD) on October 1, 2010. The borrower has requested a loan modification and the loan remains current. The remaining specially serviced loan is secured by an office property. Moody's has estimated an aggregate $25.9 million loss (70% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for one poorly performing loan representing 1% of the pool and has estimated a $182,000 loss (25% expected loss based on a 50% probability default) from this troubled loan. Three loans representing 41.5% of the pool, remain in the conduit pool. Moody's was provided with full year 2010 and partial or full year 2011 operating results for 100% of the performing pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 107% compared to 69% at last full review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 0.80X and 1.02X, respectively, compared to 1.35X and 1.51X, 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 conduit loan is the Utica Park Place Shopping Center Loan ($26.8 million -- 39.2% of the pool), which is secured by a 456,000 SF retail center located in Utica, Michigan. The center was 89% leased as of December 2011 compared to 89% at last review. The three largest tenants are Sam's Club, Home Depot and Value City Furniture. The loan has been on the servicer's watchlist since May 2009 for low DSCR and missing its ARD of August 11, 2010. Performance has improved significantly since last review. Moody's LTV and stressed DSCR are 111% and 0.90X, compared to 159% and 0.63X at last review. LCM XI: S&P Rates $19.5MM Class E Deferrable Notes 'BB' ------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on LCM XI L.P./LCM XI LLC's $439 million floating-rate notes following the transaction's effective date as of June 8, 2012. "Most U.S. cash flow collateralized debt obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The 'effective date' for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an 'effective date rating affirmation')," S&P said. "An effective date rating affirmation reflects our opinion that the portfolio collateral purchased by the issuer, as reported to us by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that we assigned on the transaction's closing date. The effective date reports provide a summary of certain information that we used in our analysis and the results of our review based on the information presented to us," S&P said. "We believe the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a 'ramp-up period.' Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets," S&P said. "For a CLO that has not purchased its full target level of portfolio collateral by the closing date, our ratings on the closing date and prior to our effective date review are generally based on the application of our criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to us by the collateral manager, and may also reflect our assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased," S&P said. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P said. "On an ongoing basis after we issue an effective date rating affirmation, we will periodically review whether, in our view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as we deem necessary," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The 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 LCM XI L.P./LCM XI LLC Class Rating Amount (mil. $) X AAA (sf) 3.0 A AAA (sf) 307.0 B AA (sf) 52.5 C (deferrable) A (sf) 35.0 D-1 (deferrable) BBB (sf) 10.0 D-2 (deferrable) BBB (sf) 12.0 E (deferrable) BB (sf) 19.5 Subordinated notes (L.P. certificates) NR 46.5 NR-Not rated. L.P.-Limited partnership. LONDON WALL 2006-1: Fitch Affirms Ratings on 6 Note Classes ----------------------------------------------------------- Fitch Ratings has affirmed six classes of notes from London Wall 2006-1, Ltd. as follows: -- EUR124,000,000 class A notes at 'AAsf'; Outlook Stable; -- EUR76,000,000 class B1 notes at 'Asf'; Outlook Stable; -- US$30,000,000 class B2 notes at 'Asf'; Outlook Stable; -- EUR36,000,000 class C notes at 'BBBsf'; Outlook Stable; -- EUR36,000,000 class D notes at 'BBsf'; Outlook Stable; -- EUR28,000,000 class E notes at 'Bsf'; Outlook Stable. The affirmations are based on the stable portfolio performance since Fitch's last rating action in August 2011. The portfolio's current Fitch derived weighted average rating has remained at 'BBB/BBB-', with 16% carrying a Fitch derived rating below investment-grade. Fitch has also maintained the Stable Rating Outlook on all classes, reflecting the expectation of continued stability in portfolio credit quality as the reference loans mature over the final year of the transaction. Approximately 37% of London Wall's reference portfolio does not carry a public rating. In its analysis, Fitch used derived ratings from a mapping system based on Deutsche Bank's internal credit assessments. Prior to closing the transaction, Deutsche Bank provided Fitch with a large sample of entities internally rated by the bank and publicly rated by at least one of the major rating agencies. These ratings and their default probabilities were run through a linear regression analysis to facilitate the creation of a mapping scale. After reviewing an updated sample of credit assessments, Fitch's view of the mapping scale has not changed since closing. The resulting mapped Fitch ratings were applied to London Wall's loans without a public rating for use in the Portfolio Credit Model (PCM). Fitch considered additional stresses on the mapped ratings in its analysis. Under the PCM base case and two ratings stress scenarios, a comparison of model output to credit enhancement for each of the rated notes indicated levels above their current rating categories. However, Fitch determined that the current ratings remain appropriate due to the reliance on Deutsche Bank's internal credit assessments on a portion of the reference portfolio. London Wall is a synthetic collateralized debt obligation (CDO) referencing a EUR2.5 billion portfolio of 200 primarily senior unsecured corporate loans. Current attachment points range between 4.1% for the class E notes to 12% for the class A notes. The trust gains access to the credit risk of the portfolio via a credit default swap between the issuer and Deutsche Bank AG, as swap counterparty (rated 'A+/F1+' with a Stable Outlook by Fitch). The revolving period ended in July 2010 and the portfolio is now static, with a swap termination date in July 2013. MLMS 2005-ACR1: S&P Lowers Rating on Class M-6 Securities to 'CC' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on nine classes and affirmed our ratings on three classes from MLMS 2005- ACR1 Ltd and SASI Finance Limited Partnership 2006-A. Both deals are U.S. residential mortgage-backed securities (RMBS) synthetic risk transfer transactions. "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," S&P said. "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 securityholders 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 securityholders is paid from funds initially deposited into the eligible account. Principal payments on the securities mirror the principal payments made on the reference portfolio," S&P said. "The reference portfolio of each reviewed transaction consists primarily of first-lien, fixed-rate, and adjustable-rate mortgage loans. However, the reference portfolio for SASI Finance Ltd. Partnership 2006-A is made up of mostly prime quality mortgage loans with an original weighted average FICO score of 743, while the reference portfolio for MLMS 2005-ACR1 is made up of primarily subprime mortgage loans with an original weighted average FICO score of 635," S&P said. "When reviewing the transactions 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 on 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 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 affirmed 'A (sf)' rating reflects our belief that projected credit enhancement available for the affected class will be sufficient to cover our projected losses at the current rating level. 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 Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS MLMS 2005-ACR1 Ltd. Series 2005-ACR1 Rating Class CUSIP To From M-1 55311XAA3 AA- (sf) AA+ (sf) M-2 55311XAB1 AA- (sf) AA (sf) M-4 55311XAD7 B (sf) BB (sf) M-5 55311XAE5 CCC (sf) B (sf) M-6 55311XAF2 CC (sf) CCC (sf) SASI Finance Limited Partnership 2006-A Series 2006-A Rating Class CUSIP To From B3 80384AAA3 CCC (sf) B (sf) B5 80384AAC9 CC (sf) CCC (sf) B6 80384AAD7 CC (sf) CCC (sf) B7 80384AAE5 D (sf) CC (sf) RATINGS AFFIRMED MLMS 2005-ACR1 Ltd. Series 2005-ACR1 Class CUSIP Rating M-3 55311XAC9 A (sf) B-1 55311XAG0 CC (sf) SASI Finance Limited Partnership 2006-A Series 2006-A Class CUSIP Rating B4 80384AAB1 CCC (sf) MORGAN STANLEY 2004-TOP13: Moody's Cuts Rating on M Certs to Caa2 ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of five classes and affirmed 11 classes of Morgan Stanley Capital I Trust 2004- TOP13, Commercial Mortgage Pass-Through Certificates, Series 2004- TOP13 as follows: Cl. A-3, Affirmed at Aaa (sf); previously on Feb 6, 2004 Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Feb 6, 2004 Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Jan 13, 2011 Upgraded to Aaa (sf) Cl. C, Affirmed at Aa1 (sf); previously on Jan 13, 2011 Upgraded to Aa1 (sf) Cl. D, Affirmed at A1 (sf); previously on Jan 13, 2011 Upgraded to A1 (sf) Cl. E, Affirmed at A3 (sf); previously on Nov 12, 2009 Confirmed at A3 (sf) Cl. F, Affirmed at Baa1 (sf); previously on Nov 12, 2009 Confirmed at Baa1 (sf) Cl. G, Affirmed at Baa2 (sf); previously on Nov 12, 2009 Confirmed at Baa2 (sf) Cl. H, Downgraded to Ba1 (sf); previously on Nov 12, 2009 Confirmed at Baa3 (sf) Cl. J, Downgraded to Ba2 (sf); previously on Nov 12, 2009 Confirmed at Ba1 (sf) Cl. K, Downgraded to Ba3 (sf); previously on Nov 12, 2009 Confirmed at Ba2 (sf) Cl. L, Downgraded to B2 (sf); previously on Nov 12, 2009 Downgraded to B1 (sf) Cl. M, Downgraded to Caa2 (sf); previously on Jan 13, 2011 Downgraded to Caa1 (sf) Cl. N, Affirmed at Ca (sf); previously on Jan 13, 2011 Downgraded to Ca (sf) Cl. O, Affirmed at C (sf); previously on Jan 13, 2011 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 higher realized losses and anticipated losses from specially service 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 3.6% of the current balance. At last review, Moody's cumulative base expected loss was 3.5%. 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 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 26 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 September 1, 2011. Deal Performance As of the July 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 36% to $776.4 million from $1.2 billion at securitization. The Certificates are collateralized by 147 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten non-defeased loans representing 41% of the pool. The pool contains four loans with investment grade credit assessments that represent 17% of the pool. Sixteen loans, representing 11% of the pool, have defeased and are collateralized with U.S. Government securities. Thirty-two 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. Four loans have been liquidated from the pool, resulting in an aggregate realized loss of $3.6 million (33% loss severity overall). Three loans, representing 1% of the pool, are currently in special servicing. Moody's has estimated an aggregate $4.0 million loss (47% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for nine poorly performing loans representing 13% of the pool and has estimated a $15.7 million aggregate loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 operating results for 83% of the pool's non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 65% compared to 75% 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 9.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 2.03X and 1.95X, respectively, compared to 1.92X and 1.74X 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 GIC Office Portfolio Loan ($86.0 million -- 11.1% of the pool), which represents a pari passu interest in a $666.7 million first mortgage loan. The portfolio is also encumbered by a $120 million B-note. The loan is secured by a portfolio of 12 office properties located in seven states and totaling 6.4 million SF. 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 assessment and stressed DSCR are Baa3 and 1.47X, the same as at last review. The second loan with a credit assessment is the Gallup Headquarters Loan ($20.5 million -- 2.6% of the pool), which is secured by a 296,000 SF office building located in Omaha, Nebraska. The property is 100% leased to Gallup, Inc., under a triple net lease that expires in October 2018. The lease expiration is coterminous with the loan maturity and the loan is fully amortizing. Performance has been stable. Moody's credit assessment and stressed DSCR are Aa3 and 2.36X, respectively, compared to Aa3 and 2.19X at last review. The third loan with a credit assessment is the Hudson Mall Loan ($14.6 million -- 1.9% of the pool), which is secured by a 362,000 SF retail center located in Jersey City, New Jersey. The property was 83% leased as of March 2012 compared to 91% at last review. Although the performance has recently declined it is still in line with expectations. Moody's credit assessment and stressed DSCR are A3 and 1.8X, respectively, the same as at last review. The fourth loan with a credit assessment is the Renaissance Manor Loan ($10.6 million -- 1.4% of the pool), which is secured by a 184-unit multifamily complex located in North Brunswick, New Jersey. The property was 97% leased as of December 2011, the same as last review. Performance has been stable. Moody's credit assessment and stressed DSCR are Baa2 and 1.52X, respectively, the same as at last review. The top three performing conduit loans represent 18% of the pool. The largest loan is the U.S. Bank Tower Loan ($65.0 million -- 8.4% of the pool), which represents a pari passu interest in a $260 million first mortgage loan. The loan is secured by a 1.4 million square foot (SF) office tower and accompanying parking garage located in downtown Los Angeles, California. The loan sponsor is Maguire Properties. The loan was in special servicing due to imminent default but returned to master servicer in November 2011. The loan remains current and is interest-only for the entire term. The property was 55% leased as of December 2011, essentially the same as at last review. Performance has declined since last review. Year-end 2011 net operating income (NOI) has decreased by 31% compared to year-end 2010. The current reported NOI DSCR is 1.07X. Due to upcoming maturity (7/1/2013) and a poor performance, Moody's has recognized this loan as a troubled loan. Moody's LTV and stressed DSCR are 141% and 0.71X, respectively, compared to 135% and 0.74X at last review. The second largest loan is the Lakeland Square Mall Loan ($51.2 million -- 6.6% of the pool), which is secured by a 393,000 SF regional mall located in Lakeland, Florida. The center is anchored by JC Penney, Dillard's, Macy's, Sears and Burlington Coat Factory. As of March 2012, the inline space was 83% leased, essentially the same at last review. Performance has been stable. The loan sponsors are General Growth Properties, Inc. and NYS Common Retirement Fund. Moody's LTV and stressed DSCR are 104% and 0.96X, respectively, compared to 109% and 0.91X at last review. The third largest loan is the Galleria Plaza Shopping Center Loan ($25.0 million -- 3.2% of the pool), which is secured by a 168,000 SF shopping center located in Dallas, Texas. The center was 100% leased as of December 2011, compared to 67% as of December 2009. Performance has significantly improved over the last year due to higher revenues and occupancy. Year-end 2011 NOI has increased by 43% compared to year-end 2010. Moody's LTV and stressed DSCR are 71% and 1.44X, respectively, compared to 88% and 1.17X at last review. MORGAN STANLEY 2006-37: Moody's Cuts Rating on US$5MM Notes to Ca ----------------------------------------------------------------- Moody's Investors Service took the rating action on Morgan Stanley ACES SPC, Series 2006-37, a collateralized debt obligation transaction (the "Collateralized Synthetic Obligation" or "CSO"). The CSO references a portfolio of synthetic corporate senior unsecured bonds. Issuer: Morgan Stanley ACES SPC, Series 2006-37 U.S.$19,000,000 Class IA Secured Floating Rate Notes due 2016, Downgraded to Ca (sf); previously on May 14, 2010 Downgraded to Caa3 (sf) JPY1,000,000,000 Class IB Secured Floating Rate Notes due 2016, Downgraded to Ca (sf); previously on May 14, 2010 Downgraded to Caa3 (sf) U.S.$5,000,000 Class II Secured Floating Rate Notes due 2016, Downgraded to Ca (sf); previously on May 14, 2010 Downgraded to Caa3 (sf). Ratings Rationale Moody's rating action is the result of the minimal amount of subordination remaining after adjusting for credit events and the time remaining until maturity. The rating action also reflects the deteriorating credit quality of Sprint Nextel Corporation, MBIA Insurance Corp. and TXU Corp. The 2006-37 Class IA, Class IB and Class II notes have less than one percent of current subordination remaining. The portfolio has experienced eight credit events, equivalent to 6.0% of the portfolio based on the portfolio notional value at closing. Since inception, the subordination of the rated tranches have been reduced by 3.7% due to credit events on Aiful Corporation, Ambac Assurance Corporation, CIT Group Inc., Federal Home Loan Mortgage Corp., Federal National Mortgage Association, Idearc Inc., Lehman Brothers Holdings Inc., and Syncora Guarantee Inc. In addition, the portfolio is exposed to TXU Corp., which is not a credit event, but is nonetheless rated Ca. The portfolio is also exposed to Sprint Nextel Corporation, whose lowest senior unsecured debt rating has been downgraded from Ba3 since the last rating action in May 2010 to B3 under review for possible downgrade, currently, and MBIA Insurance Corp., whose insurance financial strength rating of B3 has been put under review for possible downgrade since the last rating action. The CSO has a remaining life of 4.4 years. The principal methodology used in this rating was "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations" published in September 2009. Moody's analysis for this transaction is based on CDOROM v2.8. Moody's rating action factors in a number of sensitivity analyses and stress scenarios, discussed below. Results are given in terms of the number of notches' difference versus the base case, where higher notches correspond to lower expected losses, and vice- versa: Moody's reviews a scenario consisting of reducing the maturity of the CSO by six months, keeping all other things equal. The result of this run is one notch higher than in the base case. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Corporate Synthetic Obligations", key model inputs used by Moody's in its analysis may be different from the manager/arranger's reported numbers. In particular, rating assumptions for all publicly rated corporate credits in the underlying portfolio have been adjusted for "Review for Possible Downgrade", "Review for Possible Upgrade", or "Negative Outlook". Moody's does not run a separate loss and cash flow analysis other than the one already done by the CDOROM model. For a description of the analysis, refer to the methodology and the CDOROM user's guide on Moody's website. Moody's analysis of CSOs is subject to uncertainties, the primary sources of which include complexity, governance and leverage. Although the CDOROM model captures many of the dynamics of the Corporate CSO structure, it remains a simplification of the complex reality. Of greatest concern are (a) variations over time in default rates for instruments with a given rating, (b) variations in recovery rates for instruments with particular seniority/security characteristics and (c) uncertainty about the default and recovery correlations characteristics of the reference pool. Similarly on the legal/structural side, the legal analysis although typically based in part on opinions (and sometimes interpretations) of legal experts at the time of issuance, is still subject to potential changes in law, case law and the interpretations of courts and (in some cases) regulatory authorities. The performance of this CSO is also dependent on on- going decisions made by one or several parties, including the Manager and the Trustee. Although the impact of these decisions is mitigated by structural constraints, anticipating the quality of these decisions necessarily introduces some level of uncertainty in Moody's assumptions. Given the tranched nature of CSO liabilities, rating transitions in the reference pool may have leveraged rating implications for the ratings of the CSO liabilities, thus leading to a high degree of volatility. All else being equal, the volatility is likely to be higher for more junior or thinner liabilities. The base case scenario modeled fits into the central macroeconomic scenario predicted by Moody's of a sluggish recovery scenario in the corporate universe. Should macroeconomics conditions evolve, the CSO ratings will change to reflect the new economic developments. NAAC 2004-R1: Moody's Cuts Rating on Class PT Certs. to 'Ba3' ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches from NAAC Reperforming Loan Remic Trust Certificates, Series 2004-R1. The collateral backing this deal consists of first-lien fixed and adjustable rate mortgage loans insured by the Federal Housing Administration (FHA) an agency of the U.S. Department of Urban Development (HUD) or guaranteed by the Veterans Administration (VA). Complete rating actions are as follows: Issuer: NAAC Reperforming Loan Remic Trust Certificates, Series 2004-R1 Cl. A1, Downgraded to Ba2 (sf); previously on Aug 26, 2011 Downgraded to Baa3 (sf) Cl. A2, Downgraded to Ba2 (sf); previously on Aug 26, 2011 Downgraded to Baa3 (sf) Cl. PT, Downgraded to Ba3 (sf); previously on Aug 26, 2011 Downgraded to Baa3 (sf) Ratings Rationale The actions are a result of the recent performance of FHA-VA portfolio and reflect Moody's updated loss expectations on these pools and structural nuances of the transactions. The downgrades are a result of higher than expected losses and the erosion credit enhancement supporting some of these bonds. These are shifting interest structures and the subordinate bonds are paying down principal exposing the bonds to tail- end losses. A FHA guarantee covers 100% of a loan's outstanding principal and a large portion of its outstanding interest and foreclosure- related expenses in the event that the loan defaults. A VA guarantee covers only a portion of the principal based on the lesser of either the sum of the current loan amount, accrued and unpaid interest, and foreclosure expenses, or the original loan amount. HUD usually pays claims on defaulted FHA loans when servicers submit the claims, but can impose significant penalties on servicers if it finds irregularities in the claim process later during the servicer audits. This can prompt servicers to push more expenses to the trust that they deem reasonably incurred than submit them to HUD and face significant penalty. The rating actions consider the portion of a defaulted loan normally not covered by the FHA or VA guarantee and other servicer expenses they deemed reasonably incurred and passed on to the trust. Moody's final rating actions are based on current levels of credit enhancement, collateral performance, and updated pool-level loss expectations. Moody's took into account credit enhancement provided by seniority, and other structural features within the senior note waterfalls. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "FHA-VA US RMBS Surveillance Methodology" published in July 2011. The methodology used in rating Interest- Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast. The unemployment rate fell from 9.1% in June 2011 to 8.2% in June 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. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292171 A list of updated estimated pool losses and sensitivity analysis may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF256626 NAVIGATOR CDO 2004: S&P Raises Ratings on 2 Note Classes to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-3A, A-3B, B-1, B-2, C-1, C-2, D-1, and D-2 notes from Navigator CDO 2004 Ltd., a U.S. collateralized loan obligation (CLO) managed by GE Capital Debt Advisors LLC. "Simultaneously, we affirmed our rating on the class A-2 notes, and we removed the ratings on the class A-3A, A-3B, B-1, and B-2 notes from CreditWatch, where we placed them with positive implications on April 18, 2012," S&P said. "The upgrades reflect improving credit support, primarily due to a $149.52 million paydown to the class A-1 and A-2 notes and stronger credit quality of the assets since our October 2011 rating actions. The rating affirmation reflects sufficient credit enhancement at the current rating level," S&P said. "As of the July 3, 2012, monthly report, the transaction's portfolio had $22.40 million in 'CCC' rated assets, down from $27.28 million in the Sept. 3, 2011, monthly report, which we used for the October 2011 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. The transaction has not breached this threshold during the time since our October 2011 rating actions. Therefore, there is no haircut in the July 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 July 2012 trustee report, the transaction held $4.46 million in defaulted assets, down from $5.96 million in the September 2011 trustee report," S&P said. "In addition, the transaction has paid the class A-1 and A-2 notes down by $149.52 million since September 2011, leaving the class A- 2 notes with approximately 21.19% of their original balance currently outstanding. Finally, the transaction's class A, B, C, and D O/C ratio tests have improved over the same period, and the weighted average spread has increased by 0.48%," 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 Navigator CDO 2004 Ltd. Rating Class To From A-3A AAA (sf) AA+ (sf)/Watch Pos A-3B AAA (sf) AA+ (sf)/Watch Pos B-1 AAA (sf) A+ (sf)/Watch Pos B-2 AAA (sf) A+ (sf)/Watch Pos C-1 A- (sf) BB+ (sf) C-2 A- (sf) BB+ (sf) D-1 BB (sf) B- (sf) D-2 BB (sf) B- (sf) RATING AFFIRMED Navigator CDO 2004 Ltd. Class Rating A-2 AAA (sf) NYLIM FLATIRON 2005-1: S&P Cuts Rating on Class D Notes From 'BB-' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class B, C, and D notes from NYLIM Flatiron CLO 2005-1 Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by New York Life Investment Management LLC. "Simultaneously, we removed our ratings on these classes from CreditWatch, where we placed them with positive implications on April 18, 2012. At the same time, we affirmed our ratings on the class A-1, A-2, and A-3 notes," S&P said. "The upgrades reflect improved credit support, primarily due to a $153.36 million paydown to the class A notes and stronger credit quality of the assets since our March 2011 rating actions. The rating affirmations reflect sufficient credit enhancement available to support the notes at the current rating levels," S&P said. "As of the June 30, 2012, monthly report, the transaction's portfolio had $11.35 million in 'CCC' rated assets, down from $17.91 million in the Feb. 28, 2011, monthly report, which we used for the March 2011 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 since our March 2011 rating actions. Therefore, there is no haircut in the June 2012 O/C calculations as a result of this metric," S&P said. "In addition, the transaction has paid the class A-1, A-2, and A-3 notes down by $153.36 million since February 2011, leaving them with approximately 22.17% of their original balance currently outstanding," S&P said. Finally, the transaction's class A/B, C, and D O/C ratio tests have improved over the same period, and the weighted average spread has increased by 0.17%. 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/1111738.pdf RATING AND CREDITWATCH ACTIONS NYLIM Flatiron CLO 2005-1 Ltd. Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AA+ (sf) A+ (sf)/Watch Pos D BBB+ (sf) BB- (sf)/Watch Pos RATINGS AFFIRMED NYLIM Flatiron CLO 2005-1 Ltd. Class Rating A-1 AAA (sf) A-2 AAA (sf) A-3 AAA (sf) OMAHA 2008-A: S&P Rates Certificates 'BBsf' ------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on three classes of notes from Omaha 2008-A LLC, a U.S. asset-backed securitization backed by the right, title, and interest in a credit default swap and various accounts. "The affirmations follow a review of the ratings assigned to the notes from this transaction in accordance with our surveillance procedures, which call for periodic review of transaction ratings," S&P said. "Omaha 2008-A LLC issued notes to support a credit default swap that it sold to Farm Credit Services of America, pursuant to a 1992 ISDA Master Agreement. The credit default swap references a portfolio of real estate secured, first-lien agribusiness term loans. The transaction invests proceeds of the notes in eligible securities. If the aggregate losses of the reference portfolio exceed a class-specific threshold, the noteholders of this class may suffer losses," S&P said. "The notes have amortized down to a 45.6% pool factor, and the performance of the reference portfolio of agribusiness loans have resulted in zero cumulative realized losses. The credit enhancement of each class is provided by the subordinated notes, an interest account, and a swap reserve account," 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. Ratings Affirmed Omaha 2008-A LLC US $1.003 billion floating rate securities series 2008-A Class Rating C A (sf) D BBB (sf) Certs BB (sf) PASADENA CDO: Fitch Affirms Junk Rating on Two Note Classes ----------------------------------------------------------- Fitch Ratings has upgraded one and affirmed two classes of notes issued by Pasadena CDO, Ltd. as follows: -- $33,481,134 class A notes upgraded to 'BBBsf' from 'BBsf'; Outlook Stable; -- $66,500,000 class B notes affirmed at 'CCsf'; -- $26,500,000 class C notes affirmed at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also considered additional qualitative factors into its analysis to conclude the rating actions for the rated notes. Since Fitch's last rating action in July 2011, the credit quality of the collateral has deteriorated with approximately 13.1% of the portfolio being downgraded and 1.1% upgraded a weighted average of 4.2 and 3.2 notches, respectively. Currently, 53.5% of the portfolio has a Fitch-derived rating below investment grade and 36.6% is rated in the 'CCC' category or lower, compared to 53.2% and 29.7%, respectively, at last rating action. Over this time, the class A notes have received approximately $51 million in paydowns for a total of $353.5 million in principal repayment since issuance. As evidenced by the increase in the notes' credit enhancement level, these paydowns effectively offset the deterioration in the portfolio. The breakeven rates in Fitch's cash flow model for the notes are generally consistent with the rating assigned above. The Stable Outlook on the class A notes reflects cushions in the notes' passing ratings in some scenarios that should offset potential further deterioration in the underlying portfolio. Fitch does not assign Outlooks to classes rated 'CCC' and below. Breakeven levels for the class B and C 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 probable for the class B notes and inevitable for the class C notes at or prior to maturity. Pasadena is a cash flow structured finance collateralized debt obligation (SF CDO) that closed on June 21, 2002 and is monitored by Western Asset Management Co. The portfolio is comprised primarily of 68.2% residential mortgage-backed securities, 24.7% commercial and consumer asset-backed securities, 4.6% commercial real estate loan credit tenant leases, 1.3% SF CDOs, 0.7% commercial mortgage-backed securities, and 0.5% of corporate assets from 1997 through 2009 vintage transactions. PROTECTIVE FINANCE: Moody's Affirms 'Ba1' Rating 3 Cert. Classes ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of six classes of Protective Finance Corporation II, Commercial Mortgage FASIT Certificates, Series I as follows: Cl. D-1, Affirmed at Aaa (sf); previously on July 28, 2011 Upgraded to Aaa (sf) Cl. D-2, Affirmed at Aaa (sf); previously on July 28, 2011 Upgraded to Aaa (sf) Cl. D-3, Affirmed at Aaa (sf); previously on July 28, 2011 Upgraded to Aaa (sf) Cl. E-1, Affirmed at Ba1 (sf); previously on November 4, 2010 Upgraded to Ba1 (sf) Cl. E-2, Affirmed at Ba1 (sf); previously on November 4, 2010 Upgraded to Ba1 (sf) Cl. E-3, Affirmed at Ba1 (sf); previously on November 4, 2010 Upgraded to Ba1 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 1.7% of the current balance compared to 2.4% 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. 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 principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 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. 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 55, down from 64 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 25, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $59.0 million from $845.5 million at securitization. The Certificates are collateralized by 88 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans, representing 30% of the pool. No loans have defeased and there are no loans with credit assessments. Loans representing 72% of the pool are secured by single tenant retail properties. There are no loans on the master servicer's watchlist, the same as at last review. Two loans have been liquidated from the pool since securitization resulting in an aggregate realized loss totaling $753,000 (average loss severity of 51%). There are no loans in special servicing or on the watchlist, the same as at last review. Moody's was provided with full year 2011 operating results for 25% of the pool which constitutes the top ten loans. Moody's weighted average conduit LTV is 44% compared to 51% at last full review. Moody's net cash flow reflects a weighted average haircut of 11.9% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.2%. Moody's actual and stressed conduit DSCRs are 1.14X and 3.17X, respectively, compared to 1.09X and 2.97X, 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 two conduit loans represent 10% of the pool balance. The largest loan ($3.4 million -- 5.8%) is secured by a 68,151 square foot retail property located in Anderson, South Carolina. As of March 2012 the property was 76% leased compared to 75% at last review. Moody's LTV and stressed DSCR are 100% and 0.97X, respectively, compared to 129% and 0.75X at last review. The second largest loan ($2.6 million -- 4.5%) is secured by a 124,014 square foot retail property located in Mobile, Alabama. As of December 2011 the property was 74% leased compared to 72% leased at last review. Moody's LTV and stressed DSCR are 54% and 1.89x, respectively, compared to 65% and 1.55X, at last review. QUEST TRUST: Moody's Reviews Ba1 Rating on Cl. M-2 for Downgrade ---------------------------------------------------------------- Moody's Investors Service has placed 2 tranches on review for downgrade from Quest Trust 2005-X1, backed by Scratch and Dent loans, issued by Ameriquest. Scratch and Dent pools include mortgages that may have been originated outside an originator's program guidelines in some way, mortgages with document defects at origination that were subsequently cured or include mortgages where borrowers may have missed payments in the past. 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. In addition, the Class M-1 and Class M-2 have been placed on review for downgrade since they did not pay interest in the May remittance period or have experienced interest shortfalls mainly due to recouping of servicer advances from prior period. Over the coming months, additional transaction specific analysis will be conducted to verify if the pattern of interest shortfall will persist and whether prior shortfalls are reimbursed. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, "US RMBS Surveillance Methodology for Scratch and Dent" published in May 2011 and "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. 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. When assigning the final ratings to the 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 June 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: Quest Trust 2005-X1 Cl. M-1, Aa2 Placed Under Review for Possible Downgrade; previously on Jun 28, 2005 Assigned Aa2 Cl. M-2, Ba1 Placed Under Review for Possible Downgrade; previously on Apr 19, 2012 Ba1 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_SF292534 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 RAMP SERIES: Moody's Lifts Ratings on 2 Securities Tranches to Ca ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 22 tranches and confirmed the ratings of two tranches from 13 deals issued by RASC and RAMP trusts. The collateral backing the transactions are subprime residential mortgages. Complete rating actions are as follows: Issuer: RAMP Series 2006-EFC1 Trust Cl. A-2, Upgraded to A3 (sf); previously on May 30, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. A-3, Upgraded to Baa2 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2006-NC1 Trust Cl. A-2, Upgraded to B2 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. A-3, Upgraded to Caa2 (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2006-NC3 Trust Cl. A-3, Upgraded to Ca (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2006-RZ3 Trust Cl. A-3, Confirmed at Ba2 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: RASC Series 2006-EMX1 Trust Cl. A-3, Upgraded to B2 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Confirmed at C (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: RASC Series 2006-KS1 Trust Cl. A-3, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. A-4, Upgraded to Ba2 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to Caa2 (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: RASC Series 2006-KS2 Trust Cl. A-3, Upgraded to Baa2 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. A-4, Upgraded to Ba1 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: RASC Series 2006-KS3 Trust Cl. A-I-3, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. A-I-4, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Cl. A-II, Upgraded to B3 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Issuer: RASC Series 2006-KS4 Trust Cl. A-3, Upgraded to Ba3 (sf); previously on May 30, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. A-4, Upgraded to Caa2 (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: RASC Series 2006-KS5 Trust Cl. A-4, Upgraded to Ca (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: RASC Series 2006-KS6 Trust Cl. A-4, Upgraded to Ca (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: RASC Series 2006-KS8 Trust Cl. A-2, Upgraded to Baa3 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Issuer: RASC Series 2007-KS4 Trust Cl. A-1, Upgraded to Baa3 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Ratings Rationale The actions are a result of the recent performance of Subprime pools originated after 2005 and reflect Moody's updated loss expectations on these pools. The upgrades in the rating action are a result of improving performance and/or structural features resulting in lower 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 "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 unemployment rate fell from 9.0% in April 2011 to 8.2% in June 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://moodys.com/viewresearchdoc.aspx?docid=PBS_SF292418 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 RFC 2007-1: Fitch Junks Rating on Six Note Classes -------------------------------------------------- Fitch Ratings has downgraded six classes and affirmed eight classes of RFC CDO 2007-1 (RFC 2007-1), reflecting an increase in Fitch's base case loss expectation to 47.6% from 36.7% at last rating action. This increase is primarily due to the negative credit migration of the underlying commercial mortgage backed security (CMBS) bonds. Since the last rating action in August 2011, approximately 29.5% of the underlying CMBS collateral has been downgraded. As of the June 2012 trustee report, 29.1% of the CMBS collateral has a Fitch derived rating in the 'CCC' category and below, compared to 5.7% at the last rating action. Over this period, the class A-1 notes have received approximately $208.6 million in paydowns from principal amortization. Under Fitch's methodology, approximately 82.2% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. Fitch estimates that average recoveries will be 42% reflecting the low recovery expectations upon default of the CMBS tranches and real estate loans. The largest component of Fitch's base case loss is the expected losses on the CMBS bond collateral. The second largest contributor to loss is a portfolio of six office properties (7.1%) located in or near Albany, NY. The loan defaulted at maturity in October 2011 and the servicer is pursuing a potential sale of the notes. The third largest contributor to loss is a 314,074 square-foot (sf) office property located north of San Diego, CA. The loan is highly leveraged and the property has been experienced decrease in performance with occupancy declining to 88% as of March 31, 2012. 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 (DSCR) tests to project future default levels for the underlying CREL collateral in the portfolio and uses the Portfolio Credit Model for the CMBS collateral. Recoveries for the CREL collateral are based on stressed cash flows and Fitch's long-term capitalization rates. 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' credit enhancement. While the class A-1 notes are passing above their current ratings, an upgrade is not warranted given the increase in the base case expected loss and the potential for interest shortfalls to the notes. Fitch has downgraded the following classes as indicate below: -- $125,000,000 class A-2 to 'CCsf' from 'CCCsf'; RE 25%; -- $9,200,000 class A-2R to 'CCsf' from 'CCCsf'; RE 25%; -- $86,500,000 class B to 'Csf' from 'CCCsf'; RE 0%; -- $49,189,591 class C to 'Csf' from 'CCsf'; RE 0%; -- $19,510,276 class D to 'Csf' from 'CCsf'; RE 0%; -- $15,418,422 class E to 'Csf' from 'CCsf'; RE 0%. Fitch has affirmed the following classes as indicated: -- $352,726,573 class A-1 at 'CCCsf'; RE 100%; -- $39,191,841 class A-1R at 'CCCsf'; RE 100%; -- $23,367,638 class F at 'Csf'; RE 0%; -- $15,613,797 class G at 'Csf'; RE 0%; -- $25,181,053 class H at 'Csf'; RE 0%; -- $18,327,420 class J at 'Csf'; RE 0%; -- $16,899,973 class K at 'Csf'; RE 0%; -- $10,534,630 class L at 'Csf'; RE 0%. SOUNDVIEW 2007-WMC1: Moody's Cuts Rating on III-A-1 Tranche to Ca ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating on one tranche from Soundview 2007-WMC1. Loan backing the transaction are subprime residential mortgages. Ratings Rationale The action reflects the cuurent principal waterfall priorities based on mezzanine writedowns. Cl. III-A-1 was a front pay senior, where full receipt of principal was dependent on the timing of losses and principal payments in the transaction, not just the size of the collateral loss. Cl. III-A-1 had principal payment priority over classes III-A-2 and III-A-3. However, when the last supporting mezzanine tranche was fully written down due to collateral losses, the tranche started paying pro rata with other outstanding senior tranches in the 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 unemployment rate fell from 9.0% in April 2011 to 8.2% in June 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: Soundview Home Loan Trust 2007-WMC1 Cl. III-A-1, Downgraded to Ca (sf); previously on Jun 17, 2010 Downgraded to Caa3 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292850 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 SILVERADO CLO 2006-II: S&P Raises Rating on Class D Notes to 'BB-' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised and removed from CreditWatch positive its ratings on five classes of notes from Silverado CLO 2006-II Ltd., a collateralized loan obligation (CLO) transaction currently in its reinvestment period and managed by New York Life Investment Management LLC. "At the same time, we affirmed and removed from CreditWatch positive our ratings on two classes," S&P said. "Since our last rating action in May 2010, the transaction's collateral quality has improved. Notably, the amount of 'CCC' and 'D' rated assets has declined. As of the June 2012 trustee report, the balance of 'CCC' rated assets had decreased to $8.75 million from $28.12 million in April 2010, and the deal currently holds no defaulted securities compared with the $10.07 million of defaulted securities held at the time of the last rating action. This (among other factors) has improved the class A overcollateralization (O/C) ratio, which increased to 124.29% from 122.20% during the same time period," S&P said. "We affirmed the ratings on the class A-1 and A-1J notes to reflect the availability of sufficient credit support at the current rating levels. The three class A-1 notes are part of a pro rata sequential structure. The improvements were not sufficient for the class A-1 and A-1J notes to pass our 'AAA' rating stresses," S&P said. "We will continue to review our ratings on the notes and assess whether, in our view, the ratings remain consistent with the credit enhancement available," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Silverado CLO 2006-II Ltd. Class Rating To From A-1S AAA (sf) AA+/Watch Pos (sf) A-1J AA+ (sf) AA+/Watch Pos (sf) A-1 AA+ (sf) AA+/Watch Pos (sf) A-2 AA (sf) AA-/Watch Pos (sf) B A (sf) BBB+/Watch Pos (sf) C BBB- (sf) BB+/Watch Pos (sf) D BB- (sf) CCC+/Watch Pos (sf) STRUCTURED ASSET 2003-8: Moody's Cuts Rating on 1-A5 Secs. to Ba2 ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 15 tranches and confirmed the ratings of six tranches from two RMBS transactions, backed by Alt-A loans, issued by Structured Asset Securities Corp. 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. In addition, Moody's rating action on Structured Securities Asset Corp. 2003-8 reflects the principal waterfall as set forth in the Pooling and Servicing Agreement (PSA). The prospectus supplement for this transaction allows for the senior tranches to pay pro- rata once the subordinate tranches have been depleted, while the PSA does not indicate a change in the senior principal waterfall after subordinate depletion. As such, Moody's has modeled the waterfall after subordinate depletion to be similar to that used prior to subordinate depletion, and Moody's current rating action reflects this interpretation. Moody's current cash-flow approach captures the structural nuances of the transaction by projecting losses to the bonds under a variety of loss and prepayment scenarios using Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. The final ratings on the bonds reflect the estimated losses under the different scenarios. 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 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 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 June 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 2003-20 CL. 1-PAX, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-8 Cl. 1-A2, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. 1-A4, Downgraded to A3 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. 1-A5, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. 1-AP, Downgraded to A3 (sf); previously on Mar 7, 2011 Downgraded to Aa1 (sf) Cl. 1-AX, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 2-A1, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-A3, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-A4, Downgraded to Aa2 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-A5, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-A6, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-A7, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-A8, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-A9, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-A10, Downgraded to A1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-A11, Downgraded to Baa1 (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-A12, Confirmed at Aaa (sf); previously on Feb 22, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-A13, Downgraded to Aa1 (sf); previously on Feb 22, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. 2-AP, Downgraded to A1 (sf); previously on Mar 7, 2011 Confirmed at Aaa (sf) Cl. 2-AX, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Cl. 2-PAX, Confirmed at Ba3 (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://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292428 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 STRUCTURED ASSET 2007-4: Moody's Cuts Ratings on 4 Bonds to 'B1' ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 17 bonds issued by five Agency Backed Resecuritization deals. These resecuritizations are backed by RMBS bonds whose principal and interest payments are guaranteed by Fannie Mae or Freddie Mac. Complete rating actions are as follows: Issuer: Structured Asset Securities Corp Trust 2007-4 Cl. 1-A1, Downgraded to Ba1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. 1-A2-A, Downgraded to Ba1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. 1-A2-B1, Downgraded to Ba1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. 1-A2-B2, Downgraded to Ba1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. 1-A3, Downgraded to B1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. 1-A4, Downgraded to Ba1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. 3-A1, Downgraded to Ba1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. 3-A2, Downgraded to Ba1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Issuer: Structured Asset Securities Corporation Trust 2008-1 Cl. 1-A-1, Downgraded to Ba1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. 1-A-2, Downgraded to B1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. 1-A-4, Downgraded to B1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. 1-A-5, Downgraded to B1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Issuer: Structured Asset Securities Corporation Trust 2008-4 Cl. A1, Downgraded to A1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Issuer: Structured Asset Securities Corporation Trust 2008-5 Cl. A1, Downgraded to Ba1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Issuer: Structured Asset Mortgage Investments II Inc., Pass- Through Certificates, Series 2005-F1 Cl. FB, Downgraded to A1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. FC, Downgraded to A1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Cl. FD, Downgraded to A1 (sf); previously on Aug 2, 2011 Confirmed at Aaa (sf) Ratings Rationale The downgrade rating actions on the bonds are a result of continual interest shortfalls or lack of adequate structural mechanisms to prevent future interest shortfalls should the deals incur any extraordinary expenses. Bonds issued by SASCO 2007-4 and SASCO 2008-1, currently have interest shortfalls ranging from 0.01% to 0.08% of their current balance, as a result of mismatch between the interest promise on the resecuritization bonds and that on the underlying bonds. Interest due on the resecuritization bonds is not subject to any net weighted average coupon (WAC) cap whereas interest due on some of the underlying bonds backing these deals is subject to a net WAC cap. Since the coupon on the resecuritization bonds is currently higher than that of the underlying bonds, the resecuritization bonds are experiencing interest shortfalls which on a deal basis are accruing steadily. Currently the shortfalls have accrued to $249,876 (0.09% CB) and $31,711 (0.08%) for SASCO 2007-4 and SASCO 2008-1 respectively. Class A1 issued by SASCO 2008-5 has current reported unpaid interest shortfall of $17,308 (0.05% CB) due to extraordinary expenses. This shortfall is unlikely to be recouped in the future because the deal lacks structural features to absorb extraordinary expenses. The rating actions on the bonds issued by SASCO 2008-4 and SAMI 2005-F1 are due to the lack of adequate structural features to prevent potential interest shortfalls should the deal incur any extraordinary expenses. These deals have no unpaid interest shortfall as of July 26. The likelihood of a resecuritization trust incurring extraordinary expenses is low and even if incurred is most likely to be isolated and small. A resecuritization bond that is directly exposed to these expenses without structural protections will have its rating capped at A1 due to the potential volatility in losses arising from extraordinary expenses. The principal methodology used in these ratings was "Moody's Approach to Rating US Resecuritized Residential Mortgage-Backed Securities" published in February 2011. The primary source of assumption uncertainty is the probability of the extraordinary expenses occurring and the magnitude of these expenses. As part of the sensitivity analysis, Moody's stressed the interest shortfall on the resecuritization bonds by an additional 10% and found that the implied ratings of the resecuritization bonds do not change. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292436 TABERNA PREFERRED VIII: S&P Cuts Rating on Cl. E Secs. to 'CC' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on two tranches from Taberna Preferred Funding VIII Ltd., a U.S. collateralized debt obligation (CDO) transaction collateralized mostly by trust-preferred securities (TruPs) issued by mortgage REITs and structured finance (SF) assets. "Simultaneously, we affirmed our ratings on six tranches," S&P said. "The rating actions reflect our methodology and assumptions for rating CDO transactions backed by pools of structured finance assets, which we applied to these transactions because their collateral portfolios include exposure to commercial mortgage- backed securities (CMBS). The updated criteria include changes to correlation between SF assets and lower recovery rate parameters for cash SF assets depending on the economic scenario applicable to each rating level," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED Taberna Preferred Funding VIII Ltd. Rating Class To From A-2 CCC+ (sf) B- (sf) E CC (sf) CCC- (sf) RATINGS AFFIRMED Taberna Preferred Funding VIII Ltd. Class Rating A-1A BB (sf) A-1B BB (sf) B CCC- (sf) C CCC- (sf) D CCC- (sf) F CC (sf) TIERS 1997-5: S&P Raises Rating on Certificates to 'BB+' -------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the certificates from TIERS Bond-Backed Certs Trust BSP 1997-5 to 'BB+' from 'BB'. "Our rating on the certificates is dependent on the rating on the underlying security, Bangko Sentral ng Pilipinas' 8.60% debentures due June 15, 2027 ('BB+')," S&P said. "The rating action reflects the July 4, 2012, raising of our rating on the underlying security to 'BB+' from 'BB'. We may take subsequent rating actions on the transaction due to changes in our rating assigned to the underlying security," 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/1111738.pdf TRIMARAN VI: Moody's Upgrades Rating on Class B-2L Notes to 'Ba2' ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Trimaran CLO VI Ltd.: U.S. $16,000,000 Class A-2L Floating Rate Notes Due November 2018, Upgraded to Aa1 (sf); previously on July 25, 2012 Upgraded to Aa3 (sf); U.S. $19,000,000 Class A-3L Floating Rate Notes Due November 2018, Upgraded to A2 (sf); previously on July 25, 2012 Upgraded to Baa1 (sf); U.S. $10,000,000 Class B-1L Floating Rate Notes Due November 2018, Upgraded to Baa2 (sf); previously on July 25, 2012 Upgraded to Ba1 (sf); U.S. $12,000,000 Class B-2L Floating Rate Notes Due November 2018, Upgraded to Ba2 (sf); previously on July 25, 2012 Upgraded to Ba3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in November 2012. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive "cushion" relative to certain covenant requirements. In particular, the deal is assumed to benefit from lower WARF and higher spread levels compared to the levels assumed at the last rating action in July 2011. Moody's also notes that the transaction's reported collateral quality and 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 $297.1 million, defaulted par of $5.1 million, a weighted average default probability of 16.58% (implying a WARF of 2400), a weighted average recovery rate upon default of 50.25%, and a diversity score of 50. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Trimaran CLO VI Ltd., issued in August 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (1923) Class A-1L: 0 Class A-1LV: 0 Class A-2L: +1 Class A-3L: +3 Class B-1L: +3 Class B-2L: +1 Moody's Adjusted WARF + 20% (2885) Class A-1L: 0 Class A-1LV: 0 Class A-2L: -2 Class A-3L: -1 Class B-1L: -1 Class 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. 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 when 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. VENTURE III: S&P Affirms 'BB-' Rating on Class C Notes; Off Watch ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2 and B notes from Venture III CDO Ltd., a collateralized loan obligation (CLO) transaction that is managed by MJX Asset Management LLC. "We also affirmed our rating on the class A-1 and C notes. Concurrently, we removed the class A-2, B, and C notes from CreditWatch with positive implications," S&P said. "The transaction's reinvestment period ended in January 2010. Since then, class A-1 has paid down more than $198 million. 's upgrades reflect improvements in the level of collateralization available to the tranches as a result of these paydowns, as well as improvements in the credit quality of the transaction's underlying asset portfolio since our June 2011 review. We also note that the amount of 'CCC' assets rated held in the portfolio have decreased over the same period, resulting in increased class A, B, and C par value ratios," S&P said. "We affirmed our ratings on the class A-1 and C notes to reflect the availability of credit support at the current rating levels," S&P said. "We also noted that as of the June 7, 2012, trustee report, the transaction had roughly 13.81% of long-dated assets that have maturity dates beyond the legal final maturity of the transaction in January 2016. Exposure to these long-dated assets leaves the transaction subject to potential market-value risk, as these securities may have to be liquidated to pay down the notes on their final maturity date. This potentially negative exposure has been reflected in 's rating actions," 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/1111738.pdf RATING ACTIONS Venture III CDO Ltd. Rating Class To From A-2 AAA (sf) AA (sf)/Watch Pos Def B A+ (sf) BBB+ (sf)/Watch Pos C BB- (sf) BB- (sf)/Watch Pos RATING AFFIRMED Venture III CDO Ltd. Class Rating A-1 AAA (sf) WACHOVIA 2005-C18: Moody's Affirms 'C' Ratings on 6 Cert. Classes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 20 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2005-C18 as follows: Cl. A-3, Affirmed at Aaa (sf); previously on Jun 6, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-PB, Affirmed at Aaa (sf); previously on Jun 6, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Jun 6, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Jun 6, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-J-1, Affirmed at Aaa (sf); previously on Dec 10, 2010 Confirmed at Aaa (sf) Cl. A-J-2, Affirmed at A3 (sf); previously on Dec 10, 2010 Downgraded to A3 (sf) Cl. B, Affirmed at Baa3 (sf); previously on Dec 10, 2010 Downgraded to Baa3 (sf) Cl. C, Affirmed at Ba2 (sf); previously on Dec 10, 2010 Downgraded to Ba2 (sf) Cl. D, Affirmed at B3 (sf); previously on Dec 10, 2010 Downgraded to B3 (sf) Cl. E, Affirmed at Caa1 (sf); previously on Aug 17, 2011 Upgraded to Caa1 (sf) Cl. F, Affirmed at Caa2 (sf); previously on Aug 17, 2011 Upgraded to Caa2 (sf) Cl. G, Affirmed at Caa3 (sf); previously on Aug 17, 2011 Upgraded to Caa3 (sf) Cl. H, Affirmed at Ca (sf); previously on Aug 17, 2011 Upgraded to Ca (sf) Cl. J, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Oct 15, 2009 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Oct 15, 2009 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Oct 15, 2009 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-C, 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 8% of the current balance. At last review, Moody's cumulative base expected loss was 7%. 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, "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 12 compared to 13 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 17, 2011. Deal Performance As of the July 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 22% to $1.1 billion from $1.4 billion at securitization. The Certificates are collateralized by 54 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top ten non-defeased loans representing 54% of the pool. Four loans, representing 17% of the pool, have defeased and are secured by U.S. Government securities. The pool contains one loan with an investment grade credit assessment, representing 3% of the pool. Fourteen loans, representing 37% 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. One loan has been liquidated from the pool, resulting in a realized loss of $4.5 million (33% loss severity). Bond level losses are currently $18.4 million, due to modifications on several loans as well as the non recoverability of one loan. Currently four loans, representing 5% of the pool, are in special servicing. The largest specially serviced loan is the 2 Hopkins Plaza Loan ($37.6 million -- 3.4% of the pool), formerly known as the Mercantile Bank and Trust Building, which is secured by a 404,000 square foot (SF) office tower located in Baltimore Maryland. The loan was transferred to special servicing in December 2011 due to imminent default; the loan matured on January 2012. The major decline in occupancy occurred when Venable LLC, which occupied 140,000 SF or 35% of the NRA, moved out in 2009. As of December 2011, the property was 61% leased, however leasing could decline to 5% in December 2014 as PNC, which leases 56% of the NRA, is expected to move out the building into another building when its lease expires. The remaining three specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $25 million loss for the specially serviced loans (46% expected loss on average). Moody's has assumed a high default probability for eight poorly performing loans representing 16% of the pool and has estimated an aggregate $39 million loss (22% expected loss on average) from these troubled loans. Moody's was provided with full year 2011 operating results for 85% of performing pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 93% compared to 96% 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 1.37X and 1.12X, respectively, compared to 1.48X 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 loan with a credit assessment is the 2700 Broadway Loan ($27.5 million -- 2.5% of the pool), which is secured by a 25,000 SF condominium interest in the retail portion of a mixed-use building located in New York City. The condo unit is 100% leased to the Trustees of Columbia University through October 2054. Moody's current credit estimate is A2, the same as at last review. The top three performing conduit loans represent 35% of the pool balance. The largest loan is the One & Two International Place Loan ($198.2 million -- 18.1% of the pool), which represents a 50% pari-passu interest in a first mortgage loan. The loan is secured by two Class A office towers, totaling 1.9 million SF located in Boston, Massachusetts. The property was 63% leased as of December 2012, compared to 72% at last review. Performance has declined since last review due to the decline in occupancy. Ropes and Gray, which formerly occupied 19% of the NRA, vacated when its lease expired in 2010 . Moody's LTV and stressed DSCR are 85% and 1.09X, respectively, compared to 80% and 1.15X at last review. The second largest loan is the Kadima Medical Office Pool Loan ($106.2 million -- 9.7% of the pool), which is secured by 16 medical office buildings totaling 779,000 SF. The properties are located in eight states with the largest concentration in Florida (8 properties). The portfolio was 97% leased as of December 2011 compared to 94% at last review. Property performance has been stable and the loan has amortized 17% since securitization. Moody's LTV and stressed DSCR are 108% and 1.03X, respectively, compared to 106% and 1.05X at last review. The third largest loan is the Park Place II -- A Note Loan ($82.9 million -- 7.6% of the pool), which is secured by a 275,000 SF mixed use office and retail site, located in Irvine California. The loan was originally $100 million, with an interest only period ending on June 2008, at which time the loan began to amortize. The loan was transferred to special servicing in October 2009 due to imminent default, related to a decline in market conditions as the property was 83% leased and there was insufficient cash flow to service the debt. The loan was then modified in July 2010 into an $84 million A-Note, and a $10.2 million B-Note. Prior to the modification the loan balance was $98.2 million. The borrower made a $4 million principal paydown to the A-Note, which brought the A- Note to $84 million. In December 2011, there was another principal paydown of $1.07 million, bringing the A-Note to $82.9 million. As of December 2011, the overall property was 90% leased, which is the same since last review. Despite the relatively high level of leasing, performance in 2011 declined significantly. Moody's has classified this as a troubled loan due to the significant decline in performance since last review. Moody's LTV and stressed DSCR are 164% and 0.66X, respectively, compared to 123% and 0.79X at last review. WACHOVIA 2006-C27: Moody's Cuts Ratings on 4 Note Classes to 'C' ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of nine classes and affirmed seven classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006- C27 as follows: Cl. A-PB, Affirmed at Aaa (sf); previously on Aug 14, 2006 Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Aug 14, 2006 Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Aug 14, 2006 Assigned Aaa (sf) Cl. A-M, Downgraded to A1 (sf); previously on Dec 2, 2010 Downgraded to Aa2 (sf) Cl. A-J, Downgraded to Ba3 (sf); previously on Sep 8, 2011 Downgraded to Baa3 (sf) Cl. B, Downgraded to Caa1 (sf); previously on Sep 8, 2011 Downgraded to Ba3 (sf) Cl. C, Downgraded to Caa2 (sf); previously on Sep 8, 2011 Downgraded to B2 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Sep 8, 2011 Downgraded to B3 (sf) Cl. E, Downgraded to C (sf); previously on Sep 8, 2011 Downgraded to Caa1 (sf) Cl. F, Downgraded to C (sf); previously on Sep 8, 2011 Downgraded to Caa2 (sf) Cl. G, Downgraded to C (sf); previously on Dec 2, 2010 Downgraded to Caa3 (sf) Cl. H, Downgraded to C (sf); previously on Dec 2, 2010 Downgraded to Ca (sf) Cl. J, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. X-P, Affirmed at Aaa (sf); previously on Aug 14, 2006 Assigned Aaa (sf) Cl. X-C, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to an increase in 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 11.9% of the current pooled balance compared to 8.4% 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. 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. 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 38 compared to 41 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 September 8, 2011. Deal Performance As of the July 17, 2012 distribution date, the transaction's aggregate pooled certificate balance has decreased by 23% to $2.4 million from $3.1 billion at securitization. The Certificates are collateralized by 131 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 44% of the pool. The pool does not contain any defeased loans or loans with credit assessments. Twenty-nine loans, representing 21% 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. Fifteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $106 million (37% average loss severity). Twenty-four loans, representing 26% of the pool, are currently in special servicing. The largest specially serviced loan is the Glendale Center Loan ($125 million -- 5.3% of the pool), which is secured by a 383,000 square foot (SF) office building located in Glendale, California. The property was 99% leased as of January 2012, but recent lease renewals have involved base rent declines and rent abatement periods, which has caused performance to decline. MPG, the loan's current sponsor, is vacating the Glendale submarket and the lender is proceeding with a consensual foreclosure. The remaining specially serviced loans are secured by a mix of office, retail, industrial, multifamily and hotel properties. The servicer has recognized an aggregate $178 million appraisal reduction for 21 of the 24 specially serviced loans, while Moody's has estimated an aggregate $216 million loss for 23 of the 24 specially serviced loans. Moody's has assumed a high default probability for 12 poorly performing loans representing 5% of the pool and has estimated an $18 million aggregate loss (17% 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 98% and 90% of the conduit, respectively. The conduit portion of the pool excludes specially serviced and troubled loans. Moody's weighted average conduit LTV is 106% compared to 109% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 14% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.22X and 0.95X, respectively, compared to 1.22X and 0.92X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Based on the most recent remittance statement, Classes D through Q have experienced cumulative interest shortfalls totaling $6 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced and troubled loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs), extraordinary trust expenses, loan modifications that include either an interest rate reduction or a non-accruing note component, and non-recoverability determinations by the servicer that involve a clawback of previously made advances. The top three performing conduit loans represent 18% of the pool. The largest loan is the One Illinois Center Loan ($147 million -- 6.2%), which is secured by a one million SF office building located in the East Loop of downtown Chicago, Illinois. The property was 81% leased as of January 2012 compared to 97% leased at Moody's last review. In 2011 the property's largest tenant, Health Care Service Corp. (23% of the property's net rentable area (NRA)) , paid an early termination fee and exercised its early termination option. Health Care Service Corp is the parent company of Blue Cross Blue Shield and relocated to its recently expanded headquarters at 300 E. Randolph Street in Chicago. Moody's current and previous analysis stressed the property's cash flow to account for the large vacancy increase. Moody's LTV and stressed DSCR are 106% and 0.89X, respectively, compared to 95% and 1.0X at last review. The second largest loan is the RLJ Hotel Pool Loan ($142 million - - 6.0%), which represents a 29% pari passu interest in a first mortgage loan. The loan is secured by 43 full, limited and extended stay hotels that are located in eight states. The largest geographical concentrations are in Texas and Indiana, which each have 11 of the collateral properties. Portfolio performance has improved considerably since Moody's 2009 and 2010 reviews. Revenue per available room (RevPAR) for calendar year 2011 increased by 8% to $71 from $66 in 2010. Most of the hotels in the portfolio are competitive in their respective markets. A review of recent Smith Travel Research (STR) Reports indicates that a majority of the hotels have a RevPAR penetration rate in excess of 100. Moody's LTV and stressed DSCR are 122% and 0.95X as compared to 142% and 0.82X. The third largest loan is the Simon Property Group Premium Outlets Pool II Loan ($142 million -- 6.0%), which represents a 50% pari passu interest in a first mortgage loan. The loan is secured by three factory outlet centers totaling 1.5 million SF. The centers are located in Williamsburg, Virginia; Hagerstown, Maryland and Birch Run, Michigan. The portfolio is 96% leased, compared to 93% at last review. Simon Property Group acquired the three subject properties as part of its August 2010 acquisition of 21 Prime Outlet Malls. Moody's LTV and stressed DSCR are 83% and 1.17X, respectively, compared to 87% and 1.11X at last review. WACHOVIA BANK 2007-WHALE 8: Moody's Cuts Ratings on 2 Certs to C ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of three classes and downgraded the ratings of six classes of Wachovia Bank Commercial Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-Whale 8. Moody's rating action is as follows: Cl. A-1, Affirmed at Aaa (sf); previously on Jul 6, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-2, Downgraded to Baa1 (sf); previously on Dec 9, 2010 Downgraded to A2 (sf) Cl. B, Downgraded to Baa3 (sf); previously on Dec 9, 2010 Downgraded to Baa1 (sf) Cl. X-1B, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. LXR-1, Downgraded to Caa1 (sf); previously on Dec 9, 2010 Downgraded to B2 (sf) Cl. LXR-2, Downgraded to Caa3 (sf); previously on Dec 9, 2010 Downgraded to Caa1 (sf) Cl. LP-3, Affirmed at Caa3 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Cl. FSN-1, Downgraded to C (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Cl. FSN-2, Downgraded to C (sf); previously on Dec 9, 2010 Downgraded to Ca (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 downgrades are due to loan performance not meeting Moody's expectations. Particularly, the largest loan in the pool, LXR Hospitality Pool Loan accounts for 76% of pooled trust balance, and has not exhibited significant recovery in performance commensurate with comparable full-service and resort properties. Moody's does not rate pooled classes C, D, E, F, G, H, J, K, and L which provide additional credit support for the pool. 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 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 August 11, 2011. Deal Performance As of the July 17, 2012 Payment Date, the transaction's aggregate certificate balance decreased by 14% from last review to approximately $1.40 billion. The Certificates are collateralized by five floating rate whole loans and senior interests in whole loans. The loans range in size from 4% to 76% of the pooled balance, with the top two loans representing approximately 88% of the pooled balance. All 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 pool's Herfindahl Index is 1.7. Moody's weighted average pooled LTV ratio is 94% and Moody's weighted average stressed debt service coverage ratio (DSCR) for pooled trust debt is 0.60X. Moody's weighted average LTV for the trust including the rake bonds is 105% and Moody's weighted average stressed debt service coverage ratio (DSCR) for the trust including the rake bonds is 0.54X. As of the July 2012 distribution date, pooled Classes H, J, K, and L, as well as rake Classes FSN-1 and FSN-2 have incurred interest shortfalls totaling $572,928. Various rake classes have suffered losses totaling $516,380 as of the same distribution date. The largest loan in the pool is secured by fee interests in LXR Hospitality Pool Loan ($948 million, or 76% of the pooled balance plus $124 million of rake bonds within the trust). The hotel portfolio includes 12 properties located in Puerto Rico, FL, CA, AZ, Jamaica and NY. The Park Shore Waikiki asset located in Hawaii was released. The sponsor is The Blackstone Group. There is additional debt in the form of non-trust junior component and mezzanine debt outside the trust. The loan matured in May 2012, and the special servicer (Bank of America Merrill Lynch) has granted forbearance through August 2012 to continue discussions with the borrower. Cash management has been in place since March 2010 due to low performance. To account for assets located in non-continental US destinations, Moody's expected the pace of recovery for this pool to lag (timing wise) compared to the overall improvement exhibited by the full- service hotels in the US. However, the net cash flow for the portfolio over the last three years has not demonstrated the uptick that Moody's has anticipated during this time. Certain factors such as institutional quality of the assets, significant capital expenditures made to date, and strong sponsorship support a stabilized Moody's value that is higher than what the current net cash flow would suggest. As a result, the weighted average LTV for the pooled portion is 91%, including rakes is 103% and for the first mortgage is 122%. Moody's credit assessment for this loan is B3. The second largest loan in the pool, Longhouse Hospitality Pool Loan ($150 million, or 12% of pooled balance plus $15 million of rake bonds within the trust) is secured by cross-collateralized and cross-defaulted 42 extended-hotel properties totaling 5,600 guestrooms. The sponsor is JER Partners and Longhouse Hospitality Trust. The loan was transferred to special servicing in May 2012, and has matured as of June 2012. The special servicer has granted forbearance to continue discussions with the borrower. The portfolio's Net Cash Flow (NCF) for the trailing twelve month period ending March 2012 was $10.6 million, virtually unchanged from a year ago. There is additional debt in the form mezzanine outside the trust. Moody's weighted average LTV for the pooled portion is 101%, including rakes is 111%. Moody's credit assessment for this loan is Caa3. Moody's does not rate rake classes LP-1 and LP-2. With respect to specially serviced loans, the Four Seasons Nevis Loan ($51 million; or 4% of the pooled balance) was transferred to special servicing in October 2008 when it was damaged by Hurricane Omar. The trust foreclosed on the property on May 27, 2010, and the property's status is REO. The outstanding advances on this loan is approximately $40 million including renovation dollars, operating shortfalls and other expenses. Moody's credit assessment for this loan is C. In addition, the James Hotel Loan (4% of pooled balance; or $47 million) is in special servicing. The loan was transferred to special servicing in March 2012, and has matured as of April 2012. Located in Chicago, the loan collateral is one of three James Hotels (NYC, Chicago and Miami), an upscale boutique brand. The property's NCF for year-end 2011 was $2.8 MM, up from $2.0 million achieved in 2010. The special servicer has reached an agreement to forbear through April 2014 with curtailment of senior debt ($8.3 million) and reduced total debt amount ($81.6 million). Moody's credit assessment for this loan is B3. WAMU 2003-C1: Moody's Raises Rating on Cl. O Certificates to 'B3' ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of six classes and affirmed six classes of Washington Mutual Asset Securities Corp., Series 2003-C1 Mortgage Pass-Through Certificates, as follows: Cl. D, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. E, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. F, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. G, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. H, Affirmed at Aaa (sf); previously on Jul 20, 2011 Upgraded to Aaa (sf) Cl. J, Upgraded to Aaa (sf); previously on Jul 20, 2011 Upgraded to A1 (sf) Cl. K, Upgraded to Aa3 (sf); previously on Jul 20, 2011 Upgraded to Baa1 (sf) Cl. L, Upgraded to Baa1 (sf); previously on Jul 20, 2011 Upgraded to Ba1 (sf) Cl. M, Upgraded to Ba2 (sf); previously on Mar 20, 2003 Definitive Rating Assigned B1 (sf) Cl. N, Upgraded to B2 (sf); previously on Apr 30, 2009 Downgraded to Caa1 (sf) Cl. O, Upgraded to B3 (sf); previously on Dec 17, 2010 Downgraded to Caa2 (sf) Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The upgrades are due primarily to increased subordination levels from loan paydowns and amortization. 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 2.2% of the current deal balance. At last review, Moody's cumulative base expected loss was approximately 2.4%. 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 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 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 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 9 compared to a Herf of 18 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 July 20, 2011. Deal Performance As of the June 25, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $46 million from $572 million at securitization. The Certificates are collateralized by 33 mortgage loans ranging in size from less than 1% to 27% of the pool, with the top ten loans representing 70% of the pool. The pool contains no loans with investment-grade credit assessments. There are also no defeased loans in the pool. Six loans, representing 12% 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. Four loans have liquidated from the pool, resulting in an aggregate realized loss of $387,000 (2% average loan loss severity). Currently, there are no loans in special servicing. Moody's has assumed a high default probability for two poorly- performing loans representing 2% of the pool. Moody's analysis attributes to these troubled loans an aggregate $211,000 loss (23% expected loss severity based on a 77% probability default). Moody's was provided with full-year 2010 and full-year 2011 operating results for 94% and 96% of the performing pool, respectively. Excluding troubled loans, Moody's weighted average LTV is 63%, compared to 66% at last full review. Moody's net cash flow reflects a weighted average haircut of 16.1% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.39X and 1.80X, respectively, compared to 1.45X and 1.73X 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 48% of the pool. The largest loan is the Center Pointe Plaza Loan ($12 million -- 27% of the pool). The loan is secured by a 252,000 square-foot, single-story power center located in Christiana, Delaware. The lead tenant is The Home Depot Inc. (Moody's senior unsecured rating A3, stable outlook). The property was 96% leased at year- end 2011, compared to 92% at Moody's last review and 100% at securitization. While property performance has been strong and stable, leases for the top three tenants (73% of NRA) expire in January 2013. Moody's analysis considers the substantial lease rollover risk at the property coupled with loan maturity occurring one year later in January 2014. The loan has amortized 45% since securitization. Moody's current LTV and stressed DSCR are 50% and 2.11X, respectively, compared to 43% and 2.44X at last review. The second-largest loan is the Laurel Vista Apartments Loan ($6 million -- 14% of the pool). The loan is secured by a 62-unit multifamily property located in the Studio City section of Los Angeles, California. The property was 100% leased as of March 2012. Performance has been stable. Moody's current LTV and stressed DSCR are 85% and 1.17X, respectively, compared to 85% and 1.18X at last review. The third-largest loan is the 400 Westmoreland Loan ($3 million -- 7% of the pool). The loan is secured by a 74-unit multifamily property in Los Angeles, California. The property was 99% occupied as of year-end 2011. Performance has been stable. Moody's current LTV and stressed DSCR are 55% and 1.78X respectively, compared to 60% and 1.61X at last review. * Fitch Cuts Rating on 38 Bonds in 26 US CMBS Transactions to 'D' ----------------------------------------------------------------- Fitch Ratings has downgraded 38 bonds in 26 U.S. commercial mortgage-backed securities (CMBS) transactions to 'D', as the bonds have incurred a principal write-down. The bonds were all previously rated 'C' which indicates that Fitch expected a default. The action is limited to just the bonds with write-downs. The remaining bonds in these transactions have not been analyzed as part of this review. Fitch has downgraded the bonds to 'D' as part of the ongoing surveillance process and will continue to monitor these transactions for additional defaults. A spreadsheet detailing Fitch's rating actions on the affected transactions is available at http://is.gd/wbpAlU * Moody's Takes Rating Actions on $159 Million Second Lien RMBS --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of 11 tranches, confirmed the ratings of four tranches, and upgraded the rating of one tranche from nine residential mortgage-backed securities (RMBS) from 2000-2006 backed by second-lien loans and home equity lines of credit. Ratings Rationale The actions reflect the recent performance of second lien transactions and Moody's updated loss expectations on these pools. Moody's had placed these tranches and transactions on review on July 6, 2012 where the underlying pool performance had changed from Moody's previous expectations or where the credit enhancement had differed from Moody's prior projections. In deriving the final ratings, Moody's considered the updated pool losses relative to the total credit enhancement available from subordination, as well as excess spread and external enhancement such as pool insurance policies, reserve accounts, and guarantees. In addition, Moody's considered the volatility of the projected losses and the timing of the expected defaults. The downgrades are primarily due to deteriorating collateral performance. The upgrade action is due primarily to higher credit enhancement levels. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Second Lien RMBS Loss Projection Methodology: April 2010" published in April 2010. For the one tranche included in this action that financial guarantors insure, noted below, the principal methodology Moody's uses in determining the rating is the same methodology for rating securities that do not have a financial guaranty. The credit quality of RMBS that a financial guarantor insures reflects the higher of the credit quality of the guarantor or the RMBS without the benefit of the guaranty; however, for the affected tranche below, the financial strength of the guarantor is lower than what the rating of the security would be absent the guaranty. The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 9.1% in June 2011 to 8.2% in June 2012. Moody's forecasts a further drop to 7.8% by the end of 2Q 2013. Moody's expects housing prices to remain stable through the remainder of 2012 before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions . Complete rating actions are as follows: Issuer: Citigroup HELOC Trust 2006-NCB1 Cl. 2A-2, Confirmed at Baa3 (sf); previously on Jul 6, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: DLJ ABS Trust Series 2000-6 Cl. M-2, Confirmed at Baa3 (sf); previously on Jul 6, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to B1 (sf); previously on Jul 6, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: First Franklin Mortgage Loan Trust 2003-FFA Cl. I-B-3, Downgraded to Caa1 (sf); previously on Oct 20, 2010 Downgraded to B2 (sf) Cl. II-M-2, Confirmed at Ba1 (sf); previously on Jul 6, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: GMACM Home Equity Loan Trust 2004-HE2 Cl. A-4, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Issuer: HLTV Mortgage Loan Trust 2004-1 Notes, Confirmed at Baa3 (sf); previously on Jul 6, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Issuer: HomeBanc Mortgage Trust 2005-2 Cl. M-3, Downgraded to Caa2 (sf); previously on Jul 6, 2012 B2 (sf) Placed Under Review for Possible Downgrade Issuer: Irwin Home Equity Loan Trust 2005-1 Cl. B-3, Upgraded to Ca (sf); previously on Jul 6, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: Irwin Whole Loan Home Equity Trust 2003-A Cl. M-1, Downgraded to Baa2 (sf); previously on Jul 6, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Issuer: Irwin Whole Loan Home Equity Trust 2005-A Cl. M-1, Downgraded to Baa1 (sf); previously on Jul 6, 2012 A3 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to Baa2 (sf); previously on Jul 6, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Downgraded to Baa3 (sf); previously on Jul 6, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. M-4, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. M-5, Downgraded to Ba3 (sf); previously on Jul 6, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M-6, Downgraded to B1 (sf); previously on Jul 6, 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_SF292849 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 * S&P Raises Ratings on 8 Tranches From 2 CLO Transactions ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on eight tranches from two collateralized loan obligation (CLO) transactions and removed seven of them from CreditWatch, where S&P placed them with positive implications on April 18, 2012. "At the same time, we affirmed our ratings on two tranches and removed one of them from CreditWatch positive. We withdrew the ratings on the class A-1LB and A-1L notes following their complete paydown on June 19, 2012," S&P said. "Prudential Investment Management manages both CLOs. Both the deals are past their reinvestment phase and have started to amortize. The senior notes in both transactions have paid down significantly and the credit quality of the transactions' underlying asset portfolios has also improved since our last rating actions in 2011," S&P said. "Dryden V-Leveraged Loan CDO 2003 had $2.71 million in the 'CCC' rated securities according to the June 11, 2012, trustee report, which we used for our current actions. This compares with more than $17 million in such securities noted in the Jan. 11, 2011, report, which we used for our Feb. 16, 2011, actions. Additionally, the class A and B notes have paid down in full since our last downgrade," S&P said. "Dryden VII-Leveraged Loan CDO 2004 currently holds no defaulted obligations and $8.41 million of 'CCC' rated securities as of the June 7, 2012, trustee report, which we used for our current actions. This compares with $4.40 million in defaults and more than $13.11 million in 'CCC' rated securities in the Dec. 7, 2010, report which we used for our Jan. 27, 2011 actions. Additionally, the class A-1 notes have been paid down in full since our last downgrade. Our ratings on the class D and E notes from Dryden V- Leveraged Loan CDO 2003 reflect 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. The affirmations reflect sufficient credit support available at the current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Dryden V-Leveraged Loan CDO 2003 Rating Class To From C-1 AAA (sf) AA (sf)/Watch Pos C-2 AAA (sf) AA (sf)/Watch Pos D-1 BBB+ (sf) BB+ (sf)/Watch Pos D-2 BBB+ (sf) BB+ (sf)/Watch Pos D-3 BBB+ (sf) BB+ (sf)/Watch Pos E CCC+ (sf) CCC+ (sf)/Watch Pos Dryden VII-Leveraged Loan CDO 2004 Rating Class To From A-1LB NR AAA (sf) A-1L NR AAA (sf) A-3F AAA (sf) AA+ (sf) B-1L AAA (sf) A+ (sf)/Watch Pos B-2L A (sf) BB+ (sf)/Watch Pos NR-Not rated. RATING AFFIRMED Dryden VII-Leveraged Loan CDO 2004 Class Rating A-2L AAA (sf) * S&P Lowers Ratings on 4 Certificate Classes to 'D' ---------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage pass-through certificates from three U.S. commercial mortgage-backed securities (CMBS) transactions to due to current and potential interest shortfalls. "We lowered our ratings on four of these classes to 'D (sf)' because we expect the accumulated interest shortfalls to remain outstanding for the foreseeable future. The four classes that we downgraded to 'D (sf)' have had accumulated interest shortfalls outstanding between six and seven months," S&P said. According to S&P, the recurring interest shortfalls for the respective certificates are primarily due to one or more of these factors: * Appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets; * The lack of servicer advancing for assets where the servicer has made nonrecoverable advance declarations; * Special servicing fees; and * Interest rate reductions or deferrals resulting from loan modifications. "Standard & Poor's analysis primarily considered the ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. We also considered servicer nonrecoverable advance declarations and special servicing fees that are likely, in our view, to cause recurring interest shortfalls," S&P said. "The servicer implements ARAs and resulting ASER amounts in accordance with each transaction's terms. Typically, these terms call for the automatic implementation of an ARA equal to 25% of the stated principal balance of a loan when a loan is 60 days past due and an appraisal or other valuation is not available within a specified timeframe. We primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut is highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals," S&P said. "Servicer nonrecoverable advance declarations can prompt shortfalls due to a lack of debt service advancing, the recovery of previously made advances deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses," S&P said. "We detail the seven downgraded classes from the three U.S. CMBS transaction," S&P said. Citigroup Commercial Mortgage Trust Series 2007-C6 "We lowered our rating to 'D (sf)' on the class J certificate from Citigroup Commercial Mortgage Trust's series 2007-C6 due to accumulated interest shortfalls outstanding for seven months. These interest shortfalls were primarily due to ASER amounts ($960,878) related to 31 ($392.2 million, 8.8%) of the 45 ($716.6 million, 16.0%) assets that are currently with the special servicer, CWCapital Asset Management LLC (CWCapital), interest not being advanced ($39,040), shortfall due to interest rate modification ($63,457), and special servicing fees ($139,670). As of the July 12, 2012, trustee remittance report, ARAs totaling $230.2 million were in effect for 34 specially serviced assets. The reported monthly interest shortfalls totaled $644,393, and this figure was net of a one-time ASER recovery of $558,921 primarily due to the liquidation of the Quality Inn Norfolk Naval Station asset that resulted in a $5.5 million loss to the trust. Interest shortfalls have affected all of the classes subordinate to and including class J," S&P said. Bear Stearns Commercial Mortgage Securities Trust Series 2004-PWR3 "We lowered our ratings on the class L, M, N, and P certificates from Bear Stearns Commercial Mortgage Securities Trust's series 2004-PWR3. We lowered our rating on the class P certificate to 'D (sf)' to reflect accumulated interest shortfalls outstanding for six months, primarily due to ASER amounts ($12,157) related to one ($8.8 million; 1.4%) of the four ($34.8 million; 5.4%) assets that are currently with the special servicer, C-III Asset Management LLC (C-III), and special servicing fees ($9,044). We lowered our ratings on classes L, M, and N due to reduced liquidity support available to these classes and the potential for these classes to experience interest shortfalls in the future related to the specially serviced assets. As of the July 11, 2012, trustee remittance report, an ARA of $3.8 million was in effect for one specially serviced asset. The reported monthly interest shortfalls totaled $21,201. Interest shortfalls have affected all of the classes subordinate to and including class P," S&P said. GE Commercial Mortgage Corp. Series 2004-C3 "We lowered our ratings to 'D (sf)' on the class L and M certificates from GE Commercial Mortgage Corp.'s series 2004-C3 due to accumulated interest shortfalls outstanding for six months. These interest shortfalls were primarily due to interest not advanced due to a nonrecoverability determination ($11,799) related to one ($2.6 million, 0.4%) of two ($17.8 million, 2.6%) assets that are currently with the special servicer, CWCapital, interest shortfall due to the loan modification of the Maspeth Industrial Center loan ($41,491) and special servicing fees ($13,505). As of the July 12, 2012, trustee remittance report an ARA of $1.0 million was in effect for one specially serviced asset. The reported monthly interest shortfalls totaled $49,561, and this figure was net of a one-time deferred interest adjustment to the trust of $17,116. Interest shortfalls have affected all of the classes subordinate to and including class L," 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 Citigroup Commercial Mortgage Trust 2007-C6 Commercial mortgage pass-through certificates Reported Rating Credit interest shortfalls Class To From enhcmt(%) Current Accumulated J D (sf) CCC- (sf) 3.42 (1,326) 1,442,613 Bear Stearns Commercial Mortgage Securities Trust 2004-PWR3 Commercial mortgage pass-through certificates Reported Rating Credit interest shortfalls Class To From enhcmt(%) Current Accumulated L CCC+(sf) BB-(sf) 2.88 0 0 M CCC-(sf) B(sf) 2.02 0 0 N CCC-(sf) B-(sf) 1.58 (110) 0 P D(sf) CCC(sf) 1.15 (9,461) 24,615 GE Commercial Mortgage Corp. Commercial mortgage pass-through certificates series 2004-C3 Reported Rating Credit interest shortfalls Class To From enhcmt(%) Current Accumulated L D(sf) CCC-(sf) 1.28 13,289 55,493 M D(sf) CCC-(sf) 0.54 20,995 125,971 * S&P Cuts Ratings on 8 Classes From 5 JC Penney Deals to 'B+' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'B+' from 'BB-' on eight classes of certificates from five J.C. Penney Co. Inc.-related structured finance transactions. "At the same time, we removed them from CreditWatch with negative implications," S&P said. "Our ratings on the eight classes are dependent on our rating on the underlying security, J.C. Penny Co. Inc.'s 7.625% debentures due March 1, 2097 ('B+')," S&P said. "The rating actions reflect the July 11, 2012, lowering of our rating on the underlying security to 'B+' from 'BB-' and our removal of the rating from CreditWatch with negative implications, where it was placed on May 17, 2012. We may take subsequent rating actions on these transactions due to changes in our rating assigned to the underlying security," 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/1111738.pdf RATINGS LOWERED CABCO Trust for JC Penney Debentures US$52.65 mil ser:trust certificates due 03/01/2097 Class To From Certs. B+ BB-/Watch Neg CorTS Trust For J.C. Penney Debentures US$100 mil corporate-backed trust securities (CorTS) certificates Class To From Certs B+ BB-/Watch Neg Corporate Backed Callable Trust Certificates J C Penney Debenture-Backed Series 2006-1 US$27.5 mil Class To From A-1 B+ BB-/Watch Neg A-2 B+ BB-/Watch Neg Corporate Backed Callable Trust Certificates J.C. Penney Debenture Backed Series 2007-1 Trust US$55 mil corporate backed callable trust certificates J.C. Penney debentures-backed series 2007-1 Class To From A-1 B+ BB-/Watch Neg A-2 B+ BB-/Watch Neg Structured Asset Trust Unit Repackaging (SATURNS) J.C. Penny Company US$54.5 mil units Series 2007-1 Class To From A B+ BB-/Watch Neg B B+ BB-/Watch Neg ********* 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. 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