/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/120805.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, August 5, 2012, Vol. 16, No. 216 Headlines AAMES MORTGAGE 2001-1: Moody's Cuts Rating on M-2 Tranche to Caa2 AAMES MORTGAGE 2004-1: Moody's Cuts Rating on M6 Tranche to 'Caa1' ACE SECURITIES: Moody's Lowers Ratings on Two Tranches to 'Ca' AMERICAN CREDIT 2012-2: S&P Rates $21.49-Mil. Class D Notes 'BB' ARES XXIII: S&P Gives 'BB' Rating on $20.2MM Class E Notes AURUM CLO 2002-1: S&P Withdraws 'B' Ratings on 2 Note Classes AVENUE CLO: S&P Raises Rating on Class B-2L Notes to 'CCC+' BANC OF AMERICA 2005-MIB1: Fitch Cuts Rating on Cl. L Certs to Dsf BEAR STEARNS 1998-C1: Moody's Affirms 'C' Rating on Cl. I Certs. BEAR STEARNS 2001-TOP2: Fitch Keeps Dsf Ratings on 6 Sec. Classes BEAR STEARNS 2006-HE10: Moody's Cuts Rating on II-1A-1 Secs. to B3 BECKMAN COULTER: Fitch Affirms 'BB-' Rating on $92MM Class A Notes BRISTOL BAY: S&P Raises Rating on Class B Notes to 'B+' CARLYLE VEYRON: S&P Raises Rating on Class D Notes From 'BB+' CIFC FUNDING 2012-I: S&P Rates $10-Mil. Class B-3L Notes 'B' COLUMBUSNOVA IV: S&P Raises Rating on Class D Notes to 'BB+' CONCORD REAL: Fitch Affirms 'CCCsf' Ratings on Three Note Classes CREDIT SUISSE 1999-C1: Fitch Keeps Junk Rating on 4 Cert. Classes CREDIT SUISSE 2001-CK3: Fitch Affirms 'Dsf' Rating on Cl. J Certs. CREDIT SUISSE 2001-CK6: Moody's Cuts Ratings on 2 Certs. to 'Caa3' CSAM FUNDING: Mood's Raises Rating on Class D Notes to 'Ba1' CW CAPITAL: Moody's Downgrades Rating on Class C Notes to 'C' DLJ COMMERCIAL 2000-CPK1: Fitch Affirms 'Dsf' Ratings on 3 Certs. EMBARCADERO RE: S&P Gives 'BB+' Rating on 2012-II Class A Notes ENTERTAINMENT PROPERTIES: Fitch Rates Preferred Stock 'BB' FIELDSTONE MORTGAGE: Moody's Cuts Rating on M3 Tranche to 'Caa1' FIRST HORIZON 2007-1: Moody's Cuts Ratings on 2 Tranches to 'Caa1' FIRST UNION: Fitch Affirms 'D' Rating on $12.5MM Class K Notes FORTRESS CREDIT V: S&P Rates $19.8MM Class E Notes 'BB' FORTRESS CREDIT VI: S&P Assigns 'BB' Rating on Class E Notes FRASER SULLIVAN VI: S&P Affirms 'BB' Rating on Class D Notes GANNETT PEAK I: S&P Raises Ratings on 2 Note Classes to 'B+' GE COMMERCIAL 2003-C2: Fitch Lowers Rating on 5 Cert. Classes GMACM HOME: Moody's Lowers Rating on Cl. A-2 Tranche to 'Caa1' GRAMERCY PARK: S&P Rates Class D Deferrable Notes 'BB' GRAYSON CDO: S&P Raises Ratings on 2 Note Classes to 'B+' GS MORTGAGE: Fitch Rates $756.3-Mil. Class A-M Notes 'BBsf' HARVEST CLO: Loan Assignment Won't Affect Moody's Note Ratings INSTITUTIONAL MORTGAGE: Fitch Puts Low-B Ratings on 2 Note Classes IVY HILL III: S&P Assigns 'BB' Rating on $19MM Class E Notes JPMORGAN 2002-CIBC4: Moody's Cuts Rating on Class E Certs. to 'C' KINGSLAND II: S&P Raises Rating on Class D Loan to 'B' KKR FINANCIAL 2006-1: S&P Raises Rating on Class E Notes From 'BB' LB-UBS COMMERCIAL 2004-C6: Fitch Lowers Ratings on 5 Cert Classes LCM II: S&P Affirms 'BB+' Ratings on 2 Note Classes; Off Watch MARATHON REAL: Fitch Affirms 'CCCsf' Ratings on 5 Note Classes MERRILL LYNCH: Moody's Cuts Ratings on Two Note Classes to 'C' MORGAN STANLEY 2011-C3: Moody's Affirms B2 Rating on Cl. G Certs. MORGAN STANLEY 2012-C5: Fitch Gives Low-B Ratings on 2 Notes MUIR WOODS: S&P Rates $5.5MM Class F Deferrable Notes 'B' N-45 FIRST: Moody's Raises Rating on Class F Bonds to 'Ba1' NEW CENTURY: Moody's Raises Rating on Cl. M-2 Tranche to 'Caa1' PERITUS I: S&P Raises Rating on Class C Notes to 'B+'; Off Watch RAIT CRE: Fitch Affirms Rating on 11 Note Classes RAMP SERIES: Moody's Raises Ratings on Three Tranches to 'Caa3' RESI FINANCE: Moody's Lowers Rating on Class B6 Tranche to 'Ca' SECURITIZED ASSET 2005-WF4: Moody's Keeps 'C' Rating on M4 Secs. SEQUOIA MORTGAGE: Moody's Raises Rating on Cl. M-1 Bond to 'Caa1' SIERRA TIMESHARE 2011-2: Fitch Keeps 'BBsf' Rating on Cl. C Notes SORIN REAL: Fitch Affirms Junk Rating on Six Note Classes JPMORGAN 2002-CIBC4: Fitch Lowers Ratings on 3 Cert. Classes SOUNDVIEW HOME 2005-4: Moody's Lifts Rating on M-1B Tranche to B3 SOUNDVIEW HOME: Moody's Confirms 'Caa2' Ratings on Two Tranches SPECIALTY UNDERWRITING: Moody's Lifts Rating on A-2D Tranche to B2 SPRINGLEAF MORTGAGE 2012-2: S&P Rates Class B-2 Notes 'BB(sf)' STRUCTURED ASSET: Moody's Cuts Ratings on Two Tranches to 'C' SYMPHONY CLO X: S&P Rates Class E Deferrable Notes 'BB' U.S. EDUCATION: Fitch Affirms 'Bsf' Ratings on Four Loan Classes VERTICAL CRE: Fitch Cuts Rating on Seven Note Classes to 'Dsf' WACHOVIA BANK 2006-C28: Moody's Cuts Rating on 2 Note Classes to C WAMU 2003-AR12: Moody's Lifts Ratings on Two Tranches to 'Ca' WFRBS 2011-C4: Stable Performance Cues Fitch to Affirm All Ratings * Fitch Cuts Ratings on 649 Distressed Bonds in 294 US RMBS Deals * Fitch Takes Various Rating Actions on 18 CRE CDOs * S&P Affirms Ratings on 14 Classes From 10 RMBS Transactions * S&P Raises Ratings on 22 Tranches From 18 CDO Transactions * S&P Lowers Ratings on 16 Tranches From 5 U.S. CDO Transactions * S&P Lowers Ratings on 7 Classes From 5 15 US RMBS Subprime Deals * S&P Cuts Ratings on 488 Classes From 260 RMBS NIMS Deals to 'D' * S&P Lowers Ratings on 565 Classes From 300 US RMBS Deals to 'D' * S&P Lowers Ratings on 86 Classes From 16 US RMBS Transactions * S&P Lowers Ratings on 155 Classes From 44 US RMBS Transactions * S&P Lowers Ratings on 12 Classes From 5 RMBS Re-REMIC Deals * S&P Lowers Ratings on 46 Classes From 31 US RMBS Transactions * S&P Lowers Ratings on 113 Classes From 17 RMBS Prime Jumbo Deals * S&P Withdraws Ratings on 29 Note Classes From 11 CDO Deals ********* AAMES MORTGAGE 2001-1: Moody's Cuts Rating on M-2 Tranche to Caa2 ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on three tranches and confirmed the ratings on two tranches from two RMBS transactions backed by Subprime loans issued by Aames Mortgage Investment Trust in 2001. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. In addition, the ratings on the Classes M-1 and M-2 issued by Aames Mortgage Investment Trust 2001-1 and Class M-1 issued by Aames Mortgage Investment Trust 2001-2 take into account the relative amount of interest shortfalls associated with those tranches. The current interest shortfalls in these tranches are not expected to be completely paid-off. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, "Pre-2005 US RMBS Surveillance Methodology" published in January 2012, and "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary 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: Aames Mortgage Trust 2001-1 Cl. M-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Downgraded to Caa2 (sf); previously on Mar 17, 2011 Downgraded to B3 (sf) Issuer: Aames Mortgage Trust 2001-2 Cl. A-1, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. A-2, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade A list of these actions including CUSIP identifiers may be found at http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF292533 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 AAMES MORTGAGE 2004-1: Moody's Cuts Rating on M6 Tranche to 'Caa1' ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings on three tranches issued by Aames Mortgage Investment Trust 2004-1. Also two of the tranches remain on review for possible downgrade. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. In addition, the rating actions take into consideration the current interest shortfalls associated with the impacted tranches. The ratings on the Class M-4 and Class M-5 tranches are on watch for downgrade due to interest shortfalls. The servicer of these transaction, Ocwen Loan Servicing, has indicated that they will be reversing the advance recoupment in accordance with their announced policy on servicing advance recovery. The review will be concluded based on the actions taken by the servicer and the trustee. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, "Pre-2005 US RMBS Surveillance Methodology" published in January 2012, and "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The above 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: Aames Mortgage Investment Trust 2004-1 Cl. M4, Downgraded to Aa3 (sf) and Placed Under Review for Possible Downgrade; previously on Mar 17, 2011 Confirmed at Aaa (sf) Cl. M5, Downgraded to A2 (sf) and Remains On Review for Possible Downgrade; previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. M6, Downgraded to Caa1 (sf); previously on Mar 17, 2011 Downgraded to B2 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF291972 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 ACE SECURITIES: Moody's Lowers Ratings on Two Tranches to 'Ca' -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on 4 tranches, upgraded the ratings on 2 tranches and confirmed the ratings on 8 tranches from eight subprime RMBS transactions issued by ACE. The collateral backing these transactions are subprime residential mortgage loans. Complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- HE3 Cl. M-2, Confirmed at B3 (sf); previously on May 30, 2012 B3 (sf) Placed Under Review for Possible Upgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- HE5 Cl. M-3, Upgraded to Caa2 (sf); previously on May 30, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Confirmed at Ba3 (sf); previously on May 30, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- WF1 Cl. M-1, Downgraded to A1 (sf); previously on May 30, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Confirmed at B3 (sf); previously on May 30, 2012 B3 (sf) Placed Under Review for Possible Downgrade Cl. M-4, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- ASAP2 Cl. A-2C, Downgraded to B3 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. A-1, Upgraded to Baa2 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. A-2D, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- HE3 Cl. A-2B, Downgraded to Ca (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Downgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- OP1 Cl. A-1A, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Cl. A-1B, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- OP2 Cl. A-1, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007- HE2 Cl. A-2A, Downgraded to Ca (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade 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 Moody's current view on loan modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013. To assess the rating implications of the updated loss levels on subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R) (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to extended foreclosure timelines by servicers is taken into consideration when assigning ratings. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in April 2011 to 8.2% 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_SF293472 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 AMERICAN CREDIT 2012-2: S&P Rates $21.49-Mil. Class D Notes 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its 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 ratings reflect S&P's view of: The availability of approximately 45.02%, 41.72%, 35.36%, and 30.30% 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 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 rated notes by the assumed legal final maturity dates under our stressed cash flow modeling scenarios that we believe are appropriate for the assigned ratings," S&P said. "Our expectation that under a moderate, or 'BBB', stress scenario the ratings on the class A, B, and C notes would remain within one rating category of our 'A+ (sf)', 'A (sf)', and 'BBB (sf)' ratings. These potential rating movements are consistent with our 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," S&P said. 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/1111732.pdf RATINGS ASSIGNED American Credit Acceptance Receivables Trust 2012-2 Class Rating Type Interest Amount rate (mil. $) 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 ARES XXIII: S&P Gives 'BB' Rating on $20.2MM Class E Notes ---------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Ares XXIII CLO Ltd./Ares XXIII CLO LLC's $384.85 million fixed- and floating-rate notes following the transaction's effective date as of June 25, 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.co RATINGS AFFIRMED Ares XXIII CLO Ltd./Ares XXIII CLO LLC Class Rating Amount (mil. $) A AAA (sf) 270.900 B-1 AA (sf) 17.950 B-2 AA (sf) 10.000 C (deferrable) A (sf) 43.000 D (deferrable) BBB (sf) 22.575 E (deferrable) BB (sf) 20.425 Subordinated NR 45.150 NR-Not rated. AURUM CLO 2002-1: S&P Withdraws 'B' Ratings on 2 Note Classes ------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings the class A-2, B, C, D-1, and D-2 notes from Aurum CLO 2002-1 Ltd., a cash flow collateralized loan obligation (CLO) transaction backed by corporate loans and managed by Deutsche Asset Management Inc. The withdrawals follow the complete paydown of the notes on their most recent payment date. "Standard & Poor's received a notice from Deutsche Bank Investment Management Americas Inc., the subadvisor to the transaction's investment manager, on June 4, 2012, indicating their intention to sell the majority of the collateral portfolio and apply the proceeds from the sale to the payment of the rated liabilities. According to the notice, the action was taken to avoid the transaction potentially having insufficient interest proceeds to meet the covenanted levels for the interest coverage tests," S&P said. The transaction paid the class A-2, B, C, D-1, and D-2 notes down in full on the July 15, 2012, payment date, from outstanding balances of $0.82 million, $30.00 million, $14.00 million, $10.00 million, and $3.00 million. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS WITHDRAWN Aurum CLO 2002-1 Ltd. Rating Class To From A-2 NR AAA (sf) B NR AAA (sf) C NR A (sf) D-1 NR B (sf) D-2 NR B (sf) NR-Not rated. AVENUE CLO: S&P Raises Rating on Class B-2L Notes to 'CCC+' ----------------------------------------------------------- Standard & Poor's Ratings Services raised and removed from CreditWatch its ratings on three classes of notes from Avenue CLO Fund Ltd., a collateralized loan obligation (CLO) transaction managed by Avenue Capital Management II LP. "We also affirmed our ratings on four classes and removed two from CreditWatch with positive implications," S&P said. "The actions on the three class A notes reflect the paydowns to the class A-1L notes and the increase in the overcollateralization (O/C) levels since the last review in March 2011. Since February 2011, the class A-1L note has paid down $97 million to 21% of its original balance, and the class A O/C ratio has increased to 131.3% from 116.6%," S&P said. "The positive developments were muted for the class B notes. As of July 2012, the balance of defaulted assets has decreased to $16.99 million from $18.46 million in February 2011, while the balance of 'CCC' rated assets increased to $30.37 million from $17.57 million. Since the portfolio value has decreased by over $100 million due to the paydowns, the amount of 'CCC' rated assets as a percentage of the remaining portfolio has increased significantly, causing increased par haircuts to the coverage ratios. Despite the paydowns to the senior note since the last review, the class B-2L O/C ratio has only increased by 0.03%," S&P said. The rating actions on the class A-3L and the three class B notes are driven by the top obligor test. The class P1 notes are backed by U.S. Treasury strips. "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 ACTIONS Avenue CLO Fund Ltd. Class Rating To From A-2L AAA (sf) AA (sf)/Watch Pos A-3L A+ (sf) A- (sf)/Watch Pos B-1F BB+ (sf) BB+ (sf)/Watch Pos B-1L BB+ (sf) BB+ (sf)/Watch Pos B-2L CCC+ (sf) CCC- (sf)/Watch Pos RATINGS AFFIRMED Avenue CLO Fund Ltd. Class Rating A-1L AAA (sf) P1 AA+ (sf) BANC OF AMERICA 2005-MIB1: Fitch Cuts Rating on Cl. L Certs to Dsf ------------------------------------------------------------------ Fitch Ratings has affirmed nine classes and downgraded one class of Banc of America Large Loan 2005-MIB1 (BALL 2005-MIB1) commercial mortgage pass-through certificates. Fitch's performance expectation incorporates prospective views regarding the outlook of the commercial real estate market. Although the base case modeled loss increased, affirmations to classes B through K are warranted as the largest loan in the pool, Westin Times Square (74.8% of the pool), continues to be a strong performer in its market and according to the servicer, is expected to refinance which would result in increased pool credit enhancement. As such several of the classes have been placed on outlook positive. Concerns remain, however, regarding the ultimate resolution of the remaining three loans, which are all specially serviced. In addition, the most junior class, class K, incurred a principal loss in July 2012 and interest shortfalls are affecting classes J through L. The transaction is collateralized by four loans, two of which are secured by hotels (82.7%), one industrial (10.5%) and one retail (6.8%). Three of the four loans (25.3%) are in special servicing. The two largest pooled contributors to modeled losses (by unpaid principal balance) in the 'B' stress scenario are: Radisson Resort Parkway (8%) and The Shops at Grand Avenue (6.8%). The Radisson Resort Parkway is a 718 key full-service hotel located in Kissimmee, FL. The property is adjacent to Walt Disney's Celebration and is located 1.5 miles from Walt Disney World. The loan originally transferred to special servicing in July 2009. Property performance continues to struggle with the property reporting a negative year-end (YE) 2011 net cash flow. As of June 2012, the trailing 12 month (TTM) reported occupancy, average daily rate (ADR) and revenue per available room (RevPAR) of 55.2%, $65 and $36, respectively, compared with 78.5%, $76 and $60 at issuance. However, the property is performing better than its competitive set. The servicer reports that the loan is a non- performing matured loan with a receiver in place. The Shops at Grand Avenue is a 291,033 square foot (sf) regional mall located in Milwaukee, WI. The collateral consists of 168,364 sf of in-line space. The property is anchored by The Boston Store (not part of the collateral) and includes major tenants such as TJ Maxx (lease expiration in March 2014) and Office Max (lease expiration in March 2016). As of July 2012, the property reported an overall occupancy of 38.35% compared with overall occupancy of 78.6% at issuance. The servicer reports that the loan is in the process of foreclosure. Fitch downgrades the following class due to realized losses: -- $27.5 million class L to 'Dsf' from 'CCsf', RE 0%. Fitch affirms the following classes and revises Rating Outlooks as indicated: -- $25.5 million class B at 'AAAsf'; Outlook Stable; -- $51.2 million class C at 'AAAsf'; Outlook Stable; -- $30.3 million class D at 'AA+sf'; Outlook to Positive from Stable; -- $30.3 million class E at 'AAsf'; Outlook to Positive from Stable; -- $30.3 million class F at 'AA-sf'; Outlook to Positive from Stable; -- $30.3 million class G at 'A-sf'; Outlook Stable; -- $25.3 million class H at 'BBB+sf'; Outlook Stable; -- $28.8 million class J at 'BBsf'; Outlook Negative; -- $30.8 million class K at 'CCCsf', RE 85%. Classes A-1 and A-2 and interest-only classes X-1A and X-4 have paid in full. Fitch previously withdrew the ratings of interest-only classes X- 1B, X-2, X-3 and X-5. BEAR STEARNS 1998-C1: Moody's Affirms 'C' Rating on Cl. I Certs. ---------------------------------------------------------------- Moody's Investors Service upgraded the rating of one class and affirmed seven classes of Bear Stearns Commercial Mortgage Securities Inc., Commercial Mortgage Pass-Through Certificates, Series 1998-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, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. G, Upgraded to Ba1 (sf); previously on Jun 29, 1998 Assigned Ba2 (sf) Cl. H, Affirmed at B1 (sf); previously on May 25, 2006 Downgraded to B1 (sf) Cl. I, Affirmed at C (sf); previously on May 25, 2006 Downgraded to C (sf) Cl. X, Affirmed at B1 (sf); previously on Feb 22, 2012 Downgraded to B1 (sf) Ratings Rationale The upgrade is due overall stable pool performance and increased credit support from paydowns and amortization. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 0.6% of the current balance compared to 1.0% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessment in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5 compared to 6 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 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 81% to $137.7 million from $714.7 million at securitization. The Certificates are collateralized by 28 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 35% of the pool. Fifteen loans, representing 63% of the pool, have defeased and are secured by U.S. Government securities. Two loans are on the master servicer's watchlist, representing 2% 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. Fourteen loans have been liquidated since securitization, of which 13 loans generated an aggregate $21.0 million loss (49% average loss severity). Currently, there are no loans in special servicing. Moody's has assumed a high default probability for one poorly performing loan representing 1% of the pool and has estimated approximately $300,000 loss (20% expected loss based on a 50% probability default) from this troubled loan. Moody's was provided with full year 2010 and 2011 operating results for 100% of the pool. Excluding defeased and troubled loans, Moody's weighted average conduit LTV is 57% compared to 54% at last Moody's prior. Moody's net cash flow (NCF) reflects a weighted average haircut of 12.6% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding defeased and troubled loans, Moody's actual and stressed conduit DSCRs are 1.61X and 2.02X, respectively, compared to 1.77X and 2.13X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 25% of the pool balance. The largest loan is the Mission Marketplace Loan ($18.9 million -- 13.8% of the pool), which is secured by a 344,100 square foot (SF) retail center located in Oceanside, California. Major tenants include Kmart, Mission Market Cinema and Henry Markets. As of March 2012, the property was 88% leased compared to 90% at last review. In 2011, the net operating income (NOI) slightly declined due a decline in base rents and expense recoveries. The loan matures in six months. Moody's LTV and stressed DSCR are 73% and 1.33X, respectively, compared to 70% and 1.40X at last review. The second largest loan is the Rio Entertainment Center Loan ($9.5 million -- 6.9% of the pool), which is secured by a 198,057 SF retail center located in Gaithersburg, Maryland. The center is situated in a retail corridor adjacent to the Washingtion National Pike (US Highway 270). Major tenants include Loews Theaters and Sports & Health Company. As of December 2011, the property was 99% leased compared to 94% at last review. In 2011, the NOI declined due to a decrease in revenues and an increase in operating expenses. The loan matures in ten months. Moody's LTV and stressed DSCR are 41% and 2.5X, respectively, compared to 36% and 2.9X at last review. The third largest loan is the Coast Distributing Building Loan ($5.49 million -- 4.0% of the pool), which is secured by a 127,000 SF industrial property located in San Diego, California. The property is 100% leased to Anheuser Busch, which owns the property. Performance remains stable. The loan matures in ten months. Moody's LTV and stressed DSCR are 70% and 1.51X, respectively, compared to 70% and 1.48X at last review. BEAR STEARNS 2001-TOP2: Fitch Keeps Dsf Ratings on 6 Sec. Classes ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Bear Stearns Commercial Mortgage Securities Inc., Series 2001-Top2. The affirmations reflect Fitch expected losses across the pool, as well as the pool concentration and adverse selection among remaining loans. As of the July 2012 distribution date, the pool's aggregate principal balance has been reduced by 94.8% (which includes 5.12% in realized losses) to $52.6 million from $1.0 billion at issuance. Although the transaction has experienced significant paydowns, the remaining pool is highly concentrated with only 15 of the original 141 loans remaining, one of which (1.3% of the pool balance) is fully defeased. Current risk exposure of the remaining pool includes vacant buildings, single tenant properties, as well as properties located in secondary markets. Fitch modeled losses of 17.33% of the remaining pool; expected losses of the original pool are at 6.02%. Fitch has designated six loans (60%) as Fitch Loans of Concern, including the largest loan in the pool (17.8%) which is currently the only loan in special servicing as of the July 2012 distribution date. Fitch expects class F to be significantly impacted and class G to be fully depleted from losses associated with the specially serviced asset. Interest shortfalls are affecting classes G, H, J, L and M. The largest contributor to Fitch-modeled losses, and the largest loan in the pool (17.8% of pool balance), is secured by six mobile home parks containing a total of 706 pads in the Grand Rapids, MI market. The loan transferred to special servicing in February 2009 for payment default. The properties had converted to bank real estate owned (REO) via foreclosure in January 2011. In April 2012, the servicer had deemed the asset as non-recoverable. The servicer continues to work on stabilizing the properties and market them for sale. The servicer has hired a management company to manage the property and sales listing. The second largest contributor to Fitch-Modeled losses, and the second largest loan in the pool (15.1%), is secured by a 53,404 square foot (sf) office and research & development building in Sunnyvale, CA. The property was 100% leased to a single tenant until its lease expiration in April 2011; the building is now 100% vacant. In June 2011 the asset was transferred to special servicing for imminent default; debt service payments remained current and the asset was returned to the master servicer in November 2011. The servicer has reported that the asset managers continue to actively market the property for lease and are currently in discussions with two prospective tenants. Fitch affirms the following classes: -- $9.8 million class C at 'BBsf'; Outlook Stable; -- $10.1 million class D at 'B-sf'; Outlook Negative; -- $23.9 million class E at 'Csf'; RE 55%; -- $8.8 million class F at 'Csf'; RE 0%; -- $87 thousand class G at 'Dsf'; RE 0%; -- Class H at 'Dsf'; RE 0%; -- Class J at 'Dsf'; RE 0%; -- Class K at 'Dsf'; RE 0%; -- Class L at 'Dsf'; RE 0%; -- Class M at 'Dsf'; RE 0%; Classes H, J, K, L, M, and the unrated class N have been reduced to zero due to realized losses. Classes A-1, A-2, B, and X-2 have paid in full. Fitch had previously withdrawn the rating on the interest-only classes X-1. BEAR STEARNS 2006-HE10: Moody's Cuts Rating on II-1A-1 Secs. to B3 ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings on one tranche, upgraded the ratings on two tranches and confirmed the ratings on two tranches from three subprime RMBS transactions issued by Bear Stearns and Long Beach. The collateral backing these transactions are subprime residential mortgage loans. Complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE11 Cl. A-2, Upgraded to Aa3 (sf); previously on May 30, 2012 A2 (sf) Placed Under Review for Possible Upgrade Cl. A-3, Upgraded to A3 (sf); previously on May 30, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10 Cl. I-A-1, Confirmed at Baa1 (sf); previously on May 30, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade Cl. II-1A-1, Downgraded to B3 (sf); previously on Sep 24, 2010 Downgraded to B1 (sf) Issuer: Long Beach Mortgage Loan Trust 2005-WL3 Cl. I-A4, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: MBIA Insurance Corporation (B3 placed on review for possible downgrade on Dec 19, 2011) 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 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. Certain securities, as noted below, are insured by financial guarantors. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. 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_SF293162 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 BECKMAN COULTER: Fitch Affirms 'BB-' Rating on $92MM Class A Notes ------------------------------------------------------------------ Fitch Ratings affirms the ratings and Rating Outlook on one class of Beckman Coulter, Inc., series BC 2000-A as follows: -- $92.2 million class A at 'BB-'; Outlook Positive. The affirmation is the result of stable performance at the two collateral properties and continued creditworthiness of the tenant. The single tenant at both properties, Danaher Corporation, is an investment grade-rated tenant that operates five distinct business segments that specialize in the manufacturing, design, and marketing of products and services focused in the life sciences industry. The Positive Outlook reflects the potential for a future upgrade if the tenant continues to operate at both of the subject properties and if the loan continues to amortize as expected through the maturity date. The loans are secured by two single-tenant office/research and development facilities, located in Brea, CA and Miami, FL and comprising a total of approximately 1.1 million square feet. Each property is subject to a triple net lease in which the tenant is obligated to remit rental payments at a rate reflecting an amount equal to the loan's principal and interest payments. The leases expire within one month of the loans' maturity dates of June 30, 2018. Assuming no defaults or prepayments, the confined balance of the loans at maturity is expected to be approximately $53.1 million ($46 per square foot). The loan remains current on its principal and interest payments. As part of its analysis, Fitch took the current in-place rents and deducted market vacancy factors, market management fees, and assumed capital expenditures and leasing costs in order to derive a normalized operating cash flow for the properties. The resulting stressed debt service coverage ratio, which gives credit for amortization and is based upon Fitch's stressed cash flow and a debt service constant of 9.66%, is 1.47x. Fitch also considered an additional stressed assumption with limited credit given to the investment grade tenant. As of the July 2012 distribution date, the pool's aggregate certificate balance has decreased 15.9% to C$92.2 million from C$109.7 million at issuance. The loans mature Nov. 15, 2018 and have a weighted-average coupon of 7.5%. BRISTOL BAY: S&P Raises Rating on Class B Notes to 'B+' ------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, and B notes from Bristol Bay Funding Ltd., a U.S. hybrid collateralized loan obligation (CLO) transaction that is managed by Highland Capital Management L.P. "We also removed the class A-2 and B notes from CreditWatch with positive implications. Hybrid CLOs are corporate collateralized debt obligation (CDO) transactions that combine elements of both cash flow and synthetic CDOs," S&P said. "The transaction's portfolio modification period ended in February 2011. Since then, the reference obligations have started to amortize and as a result the retained calculation amount has been reduced by more than $187 million. The upgrades reflect improvements in the level of collateralization available to the tranches as a result of the amortization of the reference obligations, as well as improvements in the credit quality of the transaction's underlying asset portfolio since our July 2011 review. We also note that the amount defaulted assets held in the portfolio has decreased over the same period," S&P said. "The rating action on the B notes was driven by the application of the largest obligor test, a supplemental stress test we introduced as part of our corporate CDO criteria update," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Bristol Bay Funding Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf) A-2 AA+ (sf) A+ (sf)/Watch Pos B B+ (sf) CCC+ (sf)/Watch Pos CARLYLE VEYRON: S&P Raises Rating on Class D Notes From 'BB+' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on five classes of notes from Carlyle Veyron CLO Ltd., a collateralized loan obligation (CLO) transaction backed by corporate loans. The deal is managed by Carlyle Investment Management LLC. "At the same time, we removed the ratings from CreditWatch with positive implications, where we placed them on April 18, 2012. We affirmed our ratings on two other classes from the transaction," S&P said. "This transaction is currently in its amortization period as of July 2011. The upgrades reflect pay downs of $45.7 million, $5.03 million, $7.55 million to the class A-1-A, A-1-R(Rev), and A-2 notes, respectively, since our April 2011 rating actions. Due to this and other factors, the senior overcollateralization (O/C) ratio increased to 127.31% as of the July 2012 trustee report from 122.66% as of the February 2011 trustee report, which we used for our April 2011 rating actions," S&P said. The affirmations reflect credit support commensurate with the current rating levels. "Our rating on the class D notes reflects the application of the largest obligor default test, a supplemental stress test we introduced as part of our September 2009 corporate criteria update," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Carlyle Veyron CLO Ltd. Rating Class To From A-1-B AAA (sf) AA+ (sf)/Watch Pos A-2 AAA (sf) AA+ (sf)/Watch Pos B AA+ (sf) A+ (sf)/Watch Pos C(Def) AA- (sf) A- (sf)/Watch Pos D(Def) BBB+ (sf) BB+ (sf)/Watch Pos RATINGS AFFIRMED Carlyle Veyron CLO Ltd. Class Rating A-1-A AAA (sf) A-1-R(Rev) AAA (sf) CIFC FUNDING 2012-I: S&P Rates $10-Mil. Class B-3L Notes 'B' ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its 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 ratings reflect S&P's view of: - The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. - The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread) and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. - The transaction's legal structure, which is expected to be bankruptcy remote. - The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. - The portfolio manager's experienced management team. - S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBOR ranging from 0.30%-11.36%. - 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 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS ASSIGNED 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. COLUMBUSNOVA IV: S&P Raises Rating on Class D Notes to 'BB+' ------------------------------------------------------------ Standard & Poor's Ratings Services raised and removed from CreditWatch with positive implications its ratings on the class A- 1, A-2, B, C, and D notes from ColumbusNova CLO IV Ltd. 2007-II, a U.S. collateralized loan obligation (CLO) managed by Columbus Nova Credit Investment Management LLC. "The upgrades reflect improving credit support since our April 2010 rating actions, primarily due to the assets' strengthened credit quality," S&P said. "As of the July 9, 2012, monthly report, the transaction's portfolio had $8.83 million in 'CCC' rated assets, down from $42.40 million in the Dec. 8, 2009, monthly report, which we used for the April 2010 rating actions. When calculating the overcollateralization (O/C) ratios, the O/C numerator is haircut by an amount equal to the portion of the 'CCC' rated collateral that exceed the threshold specified in the transaction documents. Though the transaction breached this threshold in December 2009, the current level of 'CCC' rated assets is within the appropriate threshold. 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 zero defaulted assets, down from $19.13 million in the December 2009 trustee report," S&P said. "Standard & Poor's notes that the transaction is currently passing its interest diversion O/C test, and remains in its reinvestment period until October 2014. The transaction is structured such that failure of this test will, during the reinvestment period of the transaction, divert a specified amount of excess interest proceeds equal to the lesser of 65.00% of the available interest proceeds and the amount necessary to cure the test. This amount is to be deposited into the principal collection account for reinvestment. The transaction has not failed this test in the period since our April 2010 rating actions. According to the July 2012 trustee report, the interest diversion O/C test result was 112.33%, compared with a required minimum of 107.10%," S&P said. "Additionally, the transaction's A/B, C, and D O/C ratio tests have improved over the same period, and the weighted average spread has increased by 0.89%," S&P said. "This transaction has previously experienced subordinate debt cancellations without payment. Therefore, as outlined in our April 2010 published research, this surveillance review included the application of an additional rating stress designed to assess the potential creditworthiness of the affected transactions without the support of interest diversion tests linked to outstanding subordinated tranches," 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 RATING AND CREDITWATCH ACTIONS ColumbusNova CLO IV Ltd. 2007-II Rating Class To From A-1 AA+ (sf) AA (sf)/Watch Pos A-2 AA+ (sf) A+ (sf)/Watch Pos B A+ (sf) BBB (sf)/Watch Pos C BBB (sf) BB- (sf)/Watch Pos D BB+ (sf) B- (sf)/Watch Pos CONCORD REAL: Fitch Affirms 'CCCsf' Ratings on Three Note Classes ----------------------------------------------------------------- Fitch Ratings has affirmed seven classes of Concord Real Estate CDO 2006-1, Ltd./LLC (Concord 2006-1) reflecting Fitch's base case loss expectation of 30.7%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market values and cash flow declines. Per Fitch categorizations, commercial real estate loans (CREL) comprise approximately 78.9% of the collateral of the CDO. Approximately 74% of the CREL are B-notes or mezzanine loans with the remainder whole loans or A-notes. CMBS/CDO collateral represents 21% of the total collateral. Since Fitch's last ratings action, the weighted average Fitch derived rating for the underlying rated collateral improved slightly to 'B' from 'B- '/'CCC+'. Defaulted assets (including both CREL and CMBS/CDO collateral) totaled 15.2%, while assets of concern totaled 12.1%. Under Fitch's methodology, approximately 58% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 9.4% from generally year-end 2011. Modeled recoveries have improved from Fitch's last ratings action to approximately 47%. While the largest component of Fitch's base case loss expectation is the modeled losses on the CMBS/CDO bond collateral, the second largest component is a defaulted B-note (7.6% of the total collateral) secured by a 575-room full-service resort located in Tucson, AZ. In March 2010, the loan transferred to special servicing after the borrower failed to make a required debt seasonality reserve payment. Since August 2010, the loan has been in maturity default and the special servicer is pursuing foreclosure. Given the note's subordinate position, Fitch modeled a term default with a full loss in its base case scenario. The next largest contributor to Fitch's base case loss expectation is a C-note (4.8% of the total collateral) backed by a 1.2 million-square foot (sf) office/flex portfolio located throughout Colorado. The loan was modified in November 2011 and extended three years through March 2015. The CDO position remains highly leveraged, and Fitch modeled a full loss in its base case scenario. The third largest contributor to Fitch's base case loss expectation is a B-note (8.5%) secured by two class A office towers totaling 756,851 sf located in Farmers Branch, TX, north of Dallas. The property is net leased to a single tenant for close to two years beyond the loan term. However, based on the leverage, Fitch modeled the loan as defaulting at maturity, with significant losses possible. The transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The breakeven rates for classes A-1 through C pass the cash flow model at the ratings listed below. Fitch also performed a sensitivity analysis, which assumed all loans experience a term default, as well as applied additional cash flow stresses. Under this scenario, the credit enhancement for the classes was generally consistent with the ratings listed below. The 'CCC' ratings for classes D through F are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern, factoring in anticipated recoveries relative to the credit enhancement of each class. The Positive and Stable Outlooks on classes A-1 through C reflect the classes' senior position in the capital structure and the substantial credit enhancement to the classes. WRP Management, LLC is the collateral asset manager for the transaction. The CDO's reinvestment period ended in December 2011. Since Fitch's last rating action, an additional $29 million in notes were surrendered for cancellation, consisting of $20 million in class D notes and $9 million in class E notes. The updated balances of such classes are reflected below. Fitch affirms the following classes and revises Rating Outlooks as indicated: -- $147.9 million class A-1 at 'BBBsf'; Outlook to Positive from Stable; -- $23.3 million class A-2 at 'BBsf'; Outlook to Positive from Stable; -- $46.5 million class B at 'BBsf'; Outlook to Stable from Negative; -- $10 million class C at 'Bsf'; Outlook to Stable from Negative. Fitch affirms the following classes and revises Recovery Estimates (REs) as indicated: -- $6 million class D at 'CCCsf'; RE 100%; -- $8.1 million class E at 'CCCsf'; RE 100%; -- $22.4 million class F at 'CCCsf'; RE 45%. Fitch previously withdrew its ratings of classes G and H due to the full surrender of those certificates. Fitch does not rate the $51.2 million preferred shares. CREDIT SUISSE 1999-C1: Fitch Keeps Junk Rating on 4 Cert. Classes ----------------------------------------------------------------- Fitch Ratings affirms four classes of Credit Suisse First Boston Mortgage Securities Corp. commercial mortgage pass through certificates, series 1999-C1. The affirmations of the distressed classes reflect the likelihood of losses from the remaining loan in special servicing. As of the June 2012 distribution date, the pool's certificate balance has paid down 92.8% to $84.5 million from $1.2 billion at issuance. There are seven remaining loans from the original 153 loans at issuance. The largest asset remaining in the pool, representing 50.8% of the current pool balance, and also the largest contributor to losses is a 973,973 square foot (sf) mall located in Tallahassee, FL. The property was foreclosed upon in January 2011 and the special servicer is working to stabilize and liquidate the asset. Fitch expects significant losses upon sale of the asset based on valuations obtained by the special servicer. Fitch affirms and assigns Recovery Estimates to the following classes as indicated: -- $32.2 million class G at 'CCCsf'; 'RE 100%'; -- $23.4 million class H at 'Csf'; 'RE 40%'; -- $11.7 million class J at 'Csf'; 'RE 0%'; -- $11.7 million class K at 'Csf'; 'RE 0%'. Fitch does not rate classes L, M and O. Classes A-1, A-2, B, C, D, E and F have paid in full. Fitch has previously withdrawn the rating of class N and the interest only class A-X. CREDIT SUISSE 2001-CK3: Fitch Affirms 'Dsf' Rating on Cl. J Certs. ------------------------------------------------------------------ Fitch Ratings has affirmed all ratings of Credit Suisse First Boston Mortgage Securities Corp.'s commercial mortgage pass- through certificates, series 2001-CK3. The rating affirmations reflect stable performance and sufficient credit enhancement to the rated classes. There are 14 loans remaining in the pool, including one that is defeased (0.3%). Six loans (80.6%) have been identified as Fitch Loans of Concern, of which three (10.8%) are in special servicing. Fitch modeled losses of 20% of the remaining pool; expected losses of the original pool balance are at 6.7% including realized losses of 5.6%. As of the July 2012 distribution date, the pool's aggregate principal balance has been reduced by approximately 94.5% to $62.6 million from $1.13 billion at issuance. Interest shortfalls are affecting classes J through O with cumulative unpaid interest totaling $1.1 million. The largest contributor to Fitch modeled losses (7.2%) is a 148- room full-service hotel in Barstow, CA. The loan was transferred to the special servicing in December 2010 due to payment default and has been a real estate owned asset (REO) since March 2012. The property is currently on on-line auction sale and no offer has been received. Per the May 2012 STAR report, the trailing-12- month (TTM) occupancy rate for the property was 52.6% with the average daily rate (ADR) of $57.83 and Revenue Per Room (RevPar) of $30.42. The second largest contributor to Fitch modeled losses (40.9%) is a 214,755 square foot retail center in Chestnut Hill, MA. The year-end (YE) 2011 rent roll reported occupancy at 63%, a decline from December 2010 at 77% due to the recent closing and bankruptcy of Borders Books (previously 12.6% NRA). The property was 92% occupied at issuance. The YE 2011 debt service coverage ratio (DSCR) was reported at 1.23x, compared to the YE 2010 DSCR at 1.51x. Fitch affirms the following classes as indicated: -- $12.6 million class F at 'AAAsf'; Outlook Stable; -- $8 million class G-1 at 'Asf'; Outlook Stable; -- $11.7 million class G-2 at 'Asf'; Outlook Stable: -- $14.1 million class H at 'BBsf'; Outlook Negative; -- $16.2 million class J at 'Dsf'; RE 25%. Classes K, L and M remain at 'Dsf'; RE 0%' due to realized losses. Classes A-1, A-2, A-3, A-4, B, C, D and E have paid in full. Fitch does not rate classes N or O. Fitch has previously withdrawn the interest only class X. CREDIT SUISSE 2001-CK6: Moody's Cuts Ratings on 2 Certs. to 'Caa3' ------------------------------------------------------------------ Moody's Investors Service downgraded the ratings of four classes and affirmed four classes of Credit Suisse First Boston Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates, Series 2001-CK6, as follows: Cl. G, Affirmed at A3 (sf); previously on Sep 12, 2007 Upgraded to A3 (sf) Cl. H, Downgraded to B1 (sf); previously on Sep 22, 2011 Downgraded to Ba2 (sf) Cl. J, Downgraded to B3 (sf); previously on Sep 22, 2011 Downgraded to B1 (sf) Cl. K, Downgraded to Caa3 (sf); previously on Sep 22, 2011 Downgraded to Caa1 (sf) Cl. L, Affirmed at C (sf); previously on Sep 22, 2011 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Sep 22, 2011 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Feb 3, 2011 Downgraded to C (sf) Cl. A-X, Downgraded to Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Ratings Rationale The downgrades are due to higher than expected interest shortfalls. The IO class is downgraded due to the downgrade of several of its referenced classes. Midland Loan Services, the deal's Master Servicer, indicated that it deemed any outstanding advances made with respect to two specially serviced loans to be non-recoverable. The deal's cumulative interest shortfalls increased from to $5.8 million as of July 2012, compared to $3.4 million at last review. In March and April 2012 interest shortfalls spiked up to class G. Shortfalls affecting Classes G and H were repaid in May and June 2012 and the most senior class with currently outstanding interest shortfalls is Class K. 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 41.2% of the current pooled balance compared to 18.8% at last review. On a percentage basis, the current cumulative based expected loss increased significantly due to the deal paying down 70% since last review. On a dollar basis, however, the cumulative base expected loss only increased slightly to $56 million from $54 million at last review. Moody's base expected loss plus realized losses is 5.7% of the original pooled balance compared to 5.5% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 10 compared to 16 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.4 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated September 22, 2011. DEAL PERFORMANCE As of the July 17, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $70.4 million from $976.4 million at securitization. The Certificates are collateralized by 16 mortgage loans ranging in size from less than 1% to 21% of the pool, with the top ten loans representing 89% of the pool. Three loans, representing 38% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fourteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $25.8 million (37% loss severity on average). In addition, two loans in the pool were modified to include an aggregate $1.0 million principal write-down, resulting in a total certificate loss of $26.8 million. Nine loans, representing 44% of the pool, are currently in special servicing. The largest specially serviced loan is the Riverwalk Apartments Loan ($8.8 million -- 12.5% of the pool), which is secured by a 192-unit (360 Beds) student housing complex located near Purdue University in Lafayette, Indiana. The loan was transferred to special servicing in July 2009 for payment default and a receiver was appointed in August 2011. The special servicer indicated that the receiver's management team has completed several maintenance and property improvement projects. The 2012 performance is benefitting from an increase in occupancy and operating income as compared to the prior year. The special servicer indicated that the property is currrently listed for sale. The second largest specially serviced loan is the Kittery Outlet Center & Kittery Barn Loan ($6.5 million -- 9.3% of the pool), which is secured by a 50,403 SF factory outlet center located in Kittery, Maine. The collateral is part of a larger Tanger Outlet Center that is not part of the collateral. The loan transferred to special servicing in January 2011 for imminent payment default and was originally scheduled to mature in August 2011. The property was 71% leased as of January 2012, with 17% of the net rentable area (NRA) either on month-to-month leases or expiring within the next six months. Property performance has declined to a decrease in both occupancy and base rents. A loan modification is currently being finalized. The third largest specially serviced loan is the Trolley Industrial Park Loan ($4.6 million -- 6.6% of the pool), which is secured by four industrial buildings totaling 242,678 SF located in Taylor, Michigan. The loan was transferred to special servicing in April 2011 due to maturity default and a receiver was appointed in June 2012. The property was constructed between 1967 and 1968 and was 67% leased as of November 2011. The largest tenant, Metro International -- representing 51% of the NRA, expires in six months. The special servicer indicated that the receiver is in discussions with Metro International and expects they will renew their lease. The special servicer also indicated deferred maintenance and potential environmental issues at the property. The master servicer recognized a $2.8 million appraisal reduction in June 2011. The remaining six specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $17.7 million loss for the specially serviced loans (57% expected loss on average). Moody's has assumed a high default probability for three poorly performing loans representing 24% of the pool and has estimated an aggregate $8.7 million loss (50% expected loss on average) from these troubled loans. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's was provided with full year 2011 operating results for 100% of the pool's non-specially serviced loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 119% compared to 83% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 38% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.9%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.05X and 0.94X, respectively, compared to 1.18X and 1.28X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three loans represent 46% of the pool. The largest loan is the IBM Building Loan ($20.5 million -- 29.1% of the pool), which is secured by a 160,000 SF Class A office building located in Boca Raton, Florida. The loan was transferred to special servicing in March 2011 due to IBM's upcoming September 2011 lease expiration. A loan modification closed in February 2012 that included an A/B Note structure ($15.0 million A-Note and $5.5 million B-Note) and an extension of the maturity date to October 2014. Other key modification terms include a new payment guaranty of $3.75 million and the Borrower to fund additional capital to pay for any shortfalls in relation to (i) operating expenses, (ii) monthly debt service on the A-Note, (iii) the replacement escrow account and (iv) tenant improvement and leasing commissions. In September of 2011, IBM renewed 24% of the NRA through June 2020. In addition, Philips Electronic signed a lease representing 13% of the NRA through March 2018. The loan returned to the master servicer in March 2012 and the A-Note is currently being monitored on the master servicer's watchlist. Due to the high vacancy, Moody's expects a significant loss to the $5.5 million B-Note and views this as a troubled loan. Moody's LTV and stressed DSCR for the A note are 126% and 0.86X, respectively. The second largest loan is the Best Western Ontario Loan (formerly known as the Holiday Inn Ontario), ($5.9 million -- 8.3% of the pool), which is secured by a 150 key full service hotel located in Ontario, California. The loan transferred to special servicing in May 2011 due to maturity default. A loan modification was completed in February 2012, which extended the maturity date to January 2015 and reduced the interest rate to 5.0% from 8.28%. Other key modification terms included a principal writedown and borrower equity contributions that were used to pay down the loan. The master servicer was reimbursed previously advanced interest on this loan which contributed to a spike in interest shortfalls that occurred in March and April 2012. For the year to date April 2012, the occupancy was 75% with a revenue per avaliable room of $49.13. Due to soft market conditions and decreased demand for hotels in the area, Moody's views this as a troubled loan. Moody's LTV and stressed DSCR are 186% and 0.67X, respectively. The third largest loan is the Sierra Point Apartments Loan ($5.8 million -- 8.2% of the pool), which is secured by a 212 unit garden style multifamily property located in Irving, Texas. The property was built in 1972 and renovated in 1998. As of March 2012, the property was 82% leased. The loan transferred to special servicing in October 2008 due to imminent payment default and the borrower filed bankruptcy in September 2010. The bankruptcy was completed in December 2011 when a new borrower assumed the loan for $5.8 million and the remainder of the loan balance was written off. The loan modification extended the maturity for three years to December 2014, with an initial one year interest only period followed by a 25-year amortization. Other key modification terms included an interest rate reduction from 7.34% to 4.0% and borrower equity of $200,000 to cover operating shortages and renovations. The master servicer reimbursed previously advanced interest on this loan which contributed to the spike in interest shortfalls that occurred in March and April 2012. Due to a decrease in performance from 2009 through 2011, Moody's views this as a troubled loan. Moody's LTV and DSCR are 160% and 0.94, respectively. CSAM FUNDING: Mood's Raises Rating on Class D Notes to 'Ba1' ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by CSAM Funding II: U.S. $24,000,000 Class B-1 Fixed Rate Notes Due October 2016, Upgraded to Aa1 (sf); previously on September 23, 2011 Upgraded to Aa3 (sf); U.S. $15,250,000 Class B-2 Floating Rate Notes Due October 2016, Upgraded to Aa1 (sf); previously on September 23, 2011 Upgraded to Aa3 (sf); U.S. $6,000,000 Class C-1 Fixed Rate Notes Due October 2016, Upgraded to A3 (sf); previously on September 23, 2011 Upgraded to Baa2 (sf); U.S. $11,000,000 Class C-2 Floating Rate Notes Due October 2016, Upgraded to A3 (sf); previously on September 23, 2011 Upgraded to Baa2 (sf); U.S. $13,000,000 Class D Fixed Rate Notes Due October 2016, Upgraded to Ba1 (sf); previously on September 23, 2011 Upgraded to Ba2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the Class A Notes which have paid down by approximately 28% or $61 million since the rating action in September 2011. Based on the latest trustee report dated July 9, 2012, the Class A, B, C, and D overcollateralization ratios are reported at 148.97%, 118.76%, 109.17%, and 102.82%, respectively, versus August 2011 levels of 139.1%, 117.45%, 110.04%, and 104.97%, respectively. While the Class A and B overcollateralization ratios have increased as a result of deleveraging, the Class C and D overcollateralization ratios have remained relatively stable or declined slightly due to greater overcollateralization haircut amounts for securities that mature after the maturity date of the notes. The trustee reported overcollateralization ratios do not reflect principal payments paid on the July 16, 2012 payment date. In addition, the trustee reported WARF has been relatively stable since the last rating action. Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the July 2012 trustee report, securities that mature after the maturity date of the notes currently make up approximately 20.2% of the underlying portfolio as compared to 13.8% in August 2011. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $248 million, defaulted par of $18.7 million, a weighted average default probability of 15.25% (implying a WARF of 2837) a weighted average recovery rate upon default of 47.43%, and a diversity score of 46. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. CSAM Funding II, issued in May 2002, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The methodologies used in this rating were "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, and "Using the Structured Note Methodology to Rate CDO Combo- Notes" published in February 2004. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2269) Class A: 0 Class B-1: +1 Class B-2: +1 Class C-1: +2 Class C-2: +2 Class D: +1 Class K: 0 Moody's Adjusted WARF + 20% (3404) Class A: 0 Class B-1: -2 Class B-2: -2 Class C-1: -2 Class C-2: -2 Class D: -1 Class K: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2014 and 2016 which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. 4) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. CW CAPITAL: Moody's Downgrades Rating on Class C Notes to 'C' ------------------------------------------------------------- Moody's has downgraded the ratings of four classes of Notes issued by CW Capital I, Ltd. due to deterioration in the underlying collateral as evidenced by the Moody's weighted average rating factor (WARF), weighted average recovery rate (WARR) and declining par value ratios. 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 & Re-remic) transactions. Cl. A-1, Affirmed at A2 (sf); previously on Aug 11, 2010 Downgraded to A2 (sf) Cl. A-2, Downgraded to Ba3 (sf); previously on Aug 11, 2010 Downgraded to Ba1 (sf) Cl. B-1, Downgraded to Caa3 (sf); previously on Jul 27, 2011 Downgraded to Caa1 (sf) Cl. B-2, Downgraded to Caa3 (sf); previously on Jul 27, 2011 Downgraded to Caa1 (sf) Cl. C, Downgraded to C (sf); previously on Aug 11, 2010 Downgraded to Ca (sf) Cl. D, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded to C (sf) Cl. E-1, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded to C (sf) Cl. E-2, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded to C (sf) Cl. F-1, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded to C (sf) Cl. F-2, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded to C (sf) Ratings Rationale CW Capital Cobalt I, Ltd. is a currently static (re-investment period ended in May 2010) cash CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (62.6% of the pool balance, including rake bonds), CRE CDOs (10.4%), whole loans (9.0%), b-notes (6.5%), mezzanine loans (2.2%) and other derivative assets (9.3%). As of the June 30, 2012 Trustee report, the aggregate Note balance of the transaction, including preferred shares, has decreased to $322.9 million from $450.9 million at issuance, with the paydown directed to the Class A1 Notes, as a result of amortization of the underlying collateral as well as redirection of interest proceeds to the senior class of notes due to the failure of the par value tests. There are 39 assets with a par balance of $185.1 million (62.1% of the current pool balance) that are considered defaulted securities as of the June 30, 2012 Trustee report. While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate losses to occur once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), WARR, and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 6,578 compared to 6,233 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (1.7% compared to 4.4% at last review), A1-A3 (3.9% compared to 1.1% at last review), Baa1-Baa3 (1.2% compared to 1.7% at last review), Ba1-Ba3 (15.5% compared to 16.0% at last review), B1-B3 (13.1% compared to 13.3% at last review), and Caa1-C (64.6% compared to 63.5% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 3.0 years compared to 3.1 years at last review. The current WAL includes assumptions on underlying collateral extensions. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed WARR of 11.1% compared to 20.1% 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 13.8% compared to 9.7% at last review. Moody's review incorporated CDOROM(R)v2.8, one of Moody's CDO rating models, which was released on January 24, 2011. The cash flow model, CDOEdge(R)v3.2.1.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 18.8% to 8.8% or up to 28.8% would result in average rating movement on the rated tranches of 0 to 3 notches downward and 0 to 2 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of 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. DLJ COMMERCIAL 2000-CPK1: Fitch Affirms 'Dsf' Ratings on 3 Certs. ----------------------------------------------------------------- Fitch Ratings has affirmed seven classes of DLJ Commercial Mortgage Corp's commercial mortgage pass-through certificates, series 2000-CKP1 (DLJ 2000-CPK1). As of the June 2012 remittance report the transaction balance has been reduced by 92.4% to $97.7 million from $1.3 billion at issuance. Seventeen loans remain in the transaction, of which 12 loans (35.3%) are in special servicing. Fitch modeled additional losses of 13.9% of the remaining pool for a total, including losses to date, of 5.9% of the original balance. The largest contributor to loss (4% of pool balance) is secured by a 52,271 square foot (sf) retail property located in Streetsboro, OH. The loan transferred to the special servicer in June 2010 due to pending maturity. A foreclosure sale was held for the property in July 2012; however, the sale has not been finalized due to ongoing litigation. The second largest contributor to loss (4.7% of pool balance) is secured by a 280-unit multi-family property located in Houston, TX. The loan transferred to the special servicer in September 2010 due to a maturity default. The loan was sold at auction in July 2012. The third largest contributor to loss (5.7% of pool balance) is secured by a 386-unit multi-family property built in 1974 and located in Dallas, TX. Performance on the property has been declining due to a significant decrease in base rents since underwriting. Fitch has affirmed the following classes as indicated below: -- $12.8 million class B-1 notes at 'AAAsf'; Outlook Stable; -- $25.8 million class B-2 notes at 'AA-sf'; Outlook Stable; -- $12.9 million class B-3 notes at 'A-sf'; Outlook Stable; -- $33.9 million class B-4 notes at 'CCCsf'; RE 95%; -- $12.7 million class B-5 notes at 'Dsf'; RE 0%; -- $0 class B-6 notes at 'Dsf'; RE 0%; -- $0 class B-7 notes at 'Dsf'; RE 0%. Classes A-1A, A-1B, A-2, A-3, and A-4 have paid in full. Fitch previously withdrew the ratings on the class B-8, B-9, and S notes. Fitch did not rate class C. EMBARCADERO RE: S&P Gives 'BB+' Rating on 2012-II Class A Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its 'BB+(sf)' rating to the Series 2012-II Class A notes to be issued by Embarcadero Re Ltd. The notes cover losses in the covered area on an annual aggregate basis. The attachment and exhaustion points for the first loss occurrence period are $6.233 billion and $6.533 billion. "The rating is based on the lower of the rating on the catastrophe risk (BB+) and the rating on the assets in the collateral account (AAAm). Because the California Earthquake Authority (CEA) will deposit at closing 110% of the first quarterly premium into a premium deposit account, we didn't include CEA in our credit analysis. We do not maintain an interactive rating on the CEA," S&P said. "The CEA is a publicly managed, largely privately funded organization that provides catastrophic residential earthquake insurance, and encourages Californians to reduce their risk of earthquake loss," S&P said. "This is the third Embarcadero Re issue we have rated. Series 2011-1 Class A notes were issued in August 2011, have an attachment point of $3.287 billion, and are rated 'BB-(sf)'; Series 2012-1 Class A notes were issued in February 2012, have an attachment point of $2.91 billion, and are rated 'BB-(sf)'," S&P said. RATINGS LIST Embarcadero Re Ltd. Series 2012-II Class A Notes BB+(sf) ENTERTAINMENT PROPERTIES: Fitch Rates Preferred Stock 'BB' ---------------------------------------------------------- Fitch Ratings has assigned a 'BBB-' rating to the $350 million aggregate principal amount 5.75% senior unsecured notes due 2022 issued by Entertainment Properties Trust (NYSE: EPR). The notes were priced at 99.998% of par to yield 5.75% to maturity. Net proceeds from the offering are expected to be used for the repayment of approximately $166.3 million of outstanding fixed rate mortgage debt secured by a portion of EPR's rental properties. The remaining proceeds are expected to be used to repay the outstanding principal balance of EPR's unsecured revolving line of credit and for general corporate purposes. Fitch currently rates EPR as follows: -- Issuer Default Rating (IDR) 'BBB-'; -- Unsecured revolving line of credit 'BBB-'; -- Senior unsecured term loan 'BBB-'; -- Senior unsecured notes 'BBB-'; -- Preferred stock 'BB'. The Rating Outlook is Stable. The ratings are driven by the consistent cash flows generated by the company's triple-net leased megaplex movie theatres and charter schools, together with the cash flows from the company's other recreational and entertainment-based investments, which are solidly in excess of the company's fixed charges. The ratings also take into account credit concerns including idiosyncratic risks involved with charter school investments and the company's investment in asset classes that are likely less liquid and financeable during periods of financial stress. For the 12 months ended June 30, 2012, EPR's fixed charge coverage ratio was 2.6 times (x) compared with 2.5x and 2.3x for the years ended Dec. 31, 2011 and 2010, respectively. This coverage is solid for a 'BBB-' IDR. Fitch projects that EPR's fixed charge coverage ratio will improve slightly over the next 12 to 24 months due primarily to the spread on new acquisitions over the cost of financing, and assuming future acquisitions are executed on a leverage-neutral basis. Fitch defines fixed charge coverage as recurring operating EBITDA less recurring capital expenditures, non-cash interest income and straight-line rent adjustments, divided by interest incurred and preferred stock dividends. EPR has a manageable lease expiration profile. Of the company's megaplex theatre revenue, which represents 62% of total revenue, the majority of leases expire beyond 2018. Of the company's charter school leases, which represent 11% of total revenue, all leases expire after 2030. Historically, many tenants have chosen to exercise their renewal options, which has mitigated re-leasing risk and provided predictability to portfolio-level cash flows. That said, there is a risk that expiring leases might not be renewed or renewed on less favorable terms to EPR given that a theatre's performance may have weakened during the term of the long-term lease. The company's leverage, measured as net debt to trailing 12 months recurring operating EBITDA was 4.8x as of June 30, 2012, up from 4.4x and 4.6x as of Dec. 31, 2011 and 2010, respectively. The small uptick is a result of EPR funding acquisitions primarily with debt over the last year. Fitch projects that EPR's leverage will be in the mid- to high-4.0x range over the next 12 to 24 months, which would remain appropriate for the 'BBB-' IDR. EPR has solid contingent liquidity from its unencumbered property pool. As of March 31, 2012 unencumbered asset coverage of net unsecured debt was 2.1x utilizing a stressed 12% capitalization rate on unencumbered NOI from the owned property portfolio, a ratio that is strong for a 'BBB-' IDR. The company also has over $350 million book value of unencumbered mortgage notes receivable that are currently performing. Including 75% of these unencumbered assets to reflect the cash-flowing nature of these investments would improve unencumbered asset coverage to approximately 2.6x, which would also be strong for a 'BBB-' IDR. The company has a well-laddered debt maturity profile. Aside from maturities in 2017 ($240 million unsecured term loan), 2020 ($250 million unsecured senior notes) and 2022 ($350 million unsecured senior notes) annual debt maturities do not account for more than 12% of total debt in any given year, alleviating refinance risk. Over the next five years 29% of total debt will mature, the majority of which is comprised of mortgages. EPR intends to further migrate towards an unsecured funding model, and will likely use unsecured debt to repay these mortgages, broadening the unencumbered asset pool, which Fitch views as a credit positive. Pro forma for the unsecured bond offering, Fitch calculates that EPR's sources of liquidity (unrestricted cash, availability under its unsecured revolving credit facility, expected retained cash flows from operating activities after dividend payments) cover uses of liquidity (pro rata debt maturities and expected capital expenditures) by over 13x for the period from July 1, 2012 to Dec. 31, 2013. This strong liquidity surplus is driven in large part by no debt maturities until 2014 and further reflects the relatively low capital-intensive nature of EPR's business. In addition, the covenants under EPR's credit agreements do not limit financial flexibility. As of June 30, 2012, the company was well within its covenants for the revolving credit facility, term loan and senior unsecured notes. EPR currently faces increased risk from its largest charter school tenant. Imagine Schools, Inc. Imagine is the lessee of 69% of EPR's charter schools as of June 30, 2012, and recently closed or is in the process of closing several schools due to poor academic performance. With EPR's approval, Imagine can sell, sub-lease or substitute non-performing schools with performing schools on the nine assets. Although EPR is relatively well protected by a master lease structure, currently good cash flow coverage, and a letter of credit, these closings are indicative of idiosyncratic risks of charter school investments. The ratings also take into consideration a degree of tenant concentration. The company's two largest theatre operators collectively accounted for 43% of total revenues in the second quarter of 2012. Rental revenues from American Multi-Cinema, Inc. (AMC; IDR 'B' with a Negative Outlook) comprised 33% of total revenue and Rave Cinemas accounted for 10% of total revenues. Imagine, EPR's largest public charter school operator, accounted for 9% of total revenue in the second quarter of 2012. Given that most of EPR's top tenants are either unrated or have below- investment grade ratings, the potential for corporate default, bankruptcy and lease rejection could reduce EPR's rental revenues. One mitigant to this risk is that on a portfolio basis, property- level EBITDAR covers rent payments by a healthy margin for nearly all of EPR's theatre and charter school assets, indicative of solid four-wall profitability. Box office revenues have been relatively resilient over the last decade, as total box office revenues have risen or stayed flat in eight of the last 10 years, indicative of stability in operator top-line cash flows. In addition, no theatre tenant has ever missed a lease payment since EPR's formation in 1997, and no tenants on a portfolio-wide basis have EBITDAR coverage of rent below 1.0x. Further, the company has increased the diversification of its tenant base over the last several years, which Fitch views positively. The company's real estate investments are in, or are backed by mostly non-core property types (e.g., megaplex movie theatres, charter schools, wineries, ski areas and waterparks) and thus may be less liquid or financeable in periods of company or market stress. The demonstrated alternative use of certain of the company's assets may be limited, absent the company incurring costs to attract new non-theatre tenants, despite EPR's theatre properties typically being well-located and having high-quality amenities. The Stable Outlook reflects Fitch's expectation that leverage will stay relatively unchanged and coverage will increase above 2.5x, over the next 12 to 24 months, metrics that are appropriate for a 'BBB-' IDR. The company's unencumbered asset coverage of unsecured debt will likely decline slightly as the company repays mortgages with unsecured debt but will remain appropriate for the 'BBB-' IDR. In addition, the company has excellent liquidity and good demonstrated access to capital, mitigating potential refinance risk. The two-notch differential between EPR's IDR and its preferred stock rating is consistent with Fitch's 'Treatment and Notching of Hybrids in Nonfinancial Corporate and REIT Credit Analysis' Criteria Report dated Dec. 15, 2011, as EPR's preferred securities have cumulative coupon deferral options exercisable by EPR and thus have readily triggered loss absorption provisions in a going concern. The following factors may have a positive impact on the ratings or Outlook: -- Fitch's expectation of leverage sustaining below 4.0x; -- Fitch's expectation of fixed charge coverage sustaining above 3.0x; -- Growth in the unencumbered portfolio, particularly in the megaplex movie theatre portfolio. The following factors may have a negative impact on the ratings or Outlook: -- Fitch's expectation of leverage sustaining above 5.5x; -- Fitch's expectation of fixed charge coverage sustaining below 2.2x; -- A sustained liquidity coverage ratio of below 1.0x. -- A weakening in the credit quality of EPR's tenants; -- The company deviating materially from its core strategy of acquiring theatres, charter schools and other entertainment- based assets. FIELDSTONE MORTGAGE: Moody's Cuts Rating on M3 Tranche to 'Caa1' ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on two tranches from two RMBS transactions backed by Subprime loans issued by Fieldstone Mortgage Investment Trust in 2004. One of these tranches remains on review for further downgrade. In addition Moody's placed two bonds on review direction uncertain. Ratings Rationale The actions are a result of the recent performance review of Subprime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. In addition, the rating actions take into consideration the current interest shortfalls associated with the impacted tranches. Ratings on Class M-4 from Fieldstone Mortgage Investment Trust 2004-3 and Class M-2 from Fieldstone Mortgage Investment Trust 2004-5 were placed on review direction uncertain. These tranches have high enhancement but have incurred interest shortfalls. The Class M-5 tranche from Fieldstone Mortgage Investment Trust 2004-3 was downgraded and remains on watch for further downgrade due to interest shortfalls. The servicer of these transaction, Ocwen Loan Servicing, has indicated that they will be reversing the advance recoupment in accordance with their announced policy on servicing advance recovery. The review will be concluded based on the actions taken by the servicer and the trustee. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, "Pre-2005 US RMBS Surveillance Methodology" published in January 2012, and "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. The rating actions reflect recent collateral performance, Moody's updated loss timing curves and detailed analysis of timing and amount of credit enhancement released due to step-down. Moody's captures structural nuances by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variations across the different pools and the structure of the transaction. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary 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: Fieldstone Mortgage Investment Trust 2004-3 Cl. M4, A1 (sf) Placed Under Review Direction Uncertain; previously on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade Cl. M5, Downgraded to Ba2 (sf) and Remains On Review for Possible Downgrade; previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Issuer: Fieldstone Mortgage Investment Trust 2004-5 Cl. M2, Baa2 (sf) Placed Under Review Direction Uncertain; previously on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. M3, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B1 (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_SF293175 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 FIRST HORIZON 2007-1: Moody's Cuts Ratings on 2 Tranches to 'Caa1' ------------------------------------------------------------------ Moody's Investors Service has downgraded two tranches, upgraded twelve tranches and confirmed the ratings on one tranche from five RMBS transactions issued by First Horizon. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $79 million of RMBS issued from 2005 to 2007. Complete rating actions are as follows: Issuer: First Horizon Mortgage Pass-Through Trust 2005-1 Cl. I-A-1, Upgraded to Baa1 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. I-A-2, Upgraded to Baa1 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. I-A-3, Upgraded to Baa1 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. I-A-4, Upgraded to Ba3 (sf); previously on Mar 26, 2010 Downgraded to B3 (sf) Cl. I-A-5, Upgraded to Ba3 (sf); previously on Mar 26, 2010 Downgraded to B2 (sf) Cl. I-A-6, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Cl. I-A-8, Upgraded to B2 (sf); previously on Mar 26, 2010 Downgraded to Caa1 (sf) Cl. I-A-9, Upgraded to Ba2 (sf); previously on Mar 26, 2010 Downgraded to B2 (sf) Issuer: First Horizon Mortgage Pass-Through Trust 2005-3 Cl. A-1, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Issuer: First Horizon Mortgage Pass-Through Trust 2005-AR1 Cl. II-A-3, Confirmed at A2 (sf); previously on May 30, 2012 A2 (sf) Placed Under Review for Possible Upgrade Issuer: First Horizon Mortgage Pass-Through Trust 2006-3 Cl. I-A-4, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. I-A-8, Upgraded to Baa1 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. II-A-1, Upgraded to Baa2 (sf); previously on Mar 26, 2010 Downgraded to B1 (sf) Issuer: First Horizon Mortgage Pass-Through Trust 2007-1 Cl. A-1, Downgraded to Caa1 (sf); previously on May 30, 2012 B1 (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 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 rating action consists of a number of upgrades, downgrades and confirmations. The upgrades are due to significant improvement in collateral performance, and rapid build-up in credit enhancement due to high prepayments. 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 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. 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_SF292445 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 FIRST UNION: Fitch Affirms 'D' Rating on $12.5MM Class K Notes -------------------------------------------------------------- Fitch Ratings has affirmed First Union Bank - Bank of America, N.A. Commercial Mortgage Trust, series 2001-C1 commercial mortgage pass-through certificates. Fitch's affirmations are the result of stable performance and sufficient credit enhancement to offset concentration risk and adverse selection with 11 loans remaining in the pool. Fitch modeled losses of 24.9% of the remaining pool; modeled losses of the original pool are at 7.7%, including losses already incurred to date. As of the July 2012 distribution date, the pool's certificate balance has paid down 93.2% to $89.3 million from $1.3 billion at issuance. All of the remaining 11 loans in the pool have been designated Fitch Loans of Concern, of which nine (58.7%) are in special servicing. The greatest contributor to Fitch expected losses is a loan (41.3%) collateralized by a 223,720 square foot (sf) office building located in Emeryville, CA, a suburb of Oakland. The loan transferred to special servicing in June 2009 due to monetary default from tenant failures and low occupancy. In March 2011, the loan was returned to the master servicer following a modification to an A/B note structure and a maturity date extension of December 2015. The B note is subordinate to a tenant improvement/leasing commission note that was created to help build out the office space and lease the property. Master servicer- reported year-end occupancy was at 93%. The second largest contributor to Fitch expected losses is a loan (9%) collateralized by a 120 unit healthcare facility in Swansea, IL, located 20 miles east of St. Louis. The loan transferred to special servicing in December 2009 due to monetary default from increased operating costs. The borrower and operator filed for Bankruptcy protection in February 2012, and the special servicer continues to pursue all rights and remedies afforded the noteholder per the loan documents. The third largest contributor to Fitch expected losses is a loan (8.8%) that is secured by warehouse buildings with 159,098 sf of space in San Jose, CA. The loan transferred to special servicing in January 2011 due to imminent default. Although the loan has matured, special servicer efforts have been ongoing to reach a viable workout resolution while also dual tracking for foreclosure. Fitch affirms the following classes and Outlooks and assigns Recovery Estimates (REs) as indicated: -- $1.4 million class E at 'AAA'; Outlook Stable; -- $13 million class F at 'AAA'; Outlook Stable; -- $26.1 million class G at 'BBB-'; Outlook Negative; -- $16.3 million class H at 'CCC'; RE 100%; -- $19.6 million class J at 'C'; RE 50%; -- $12.5 million class K at 'D'; RE 0%. Fitch does not rate class Q. Classes A-1, A-2, A-2F, B, C and D have paid in full. Due to realized losses, classes L, M, N, O and P have been reduced to zero and remain at 'D/RE 0%'. FORTRESS CREDIT V: S&P Rates $19.8MM Class E Notes 'BB' ------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Fortress Credit Funding V L.P.'s $352.4 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by a revolving pool consisting primarily of broadly syndicated and middle-market senior-secured loans. The ratings reflect S&P's view of: The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. The transaction's legal structure, which is expected to be bankruptcy remote. The diversified collateral portfolio, which consists primarily of broadly syndicated and middle-market speculative-grade senior-secured term loans. The collateral manager's experienced management team. "Our projections of the timely interest and ultimate principal payments on the rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-12.26%," S&P said. The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. The transaction's interest diversion test, a failure of which during the reinvestment period will lead to the reclassification of up to 50% of available excess interest proceeds (before paying uncapped administrative expenses and subordinated note payments) to principal proceeds for the purchase of additional collateral assets. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111729.pdf. RATINGS ASSIGNED Fortress Credit Funding V L.P. Class Rating Amount (mil. $) A-1 AAA (sf) 228.000 A-2 AA (sf)) 40.400 B (deferrable) A (sf) 35.800 C (deferrable) BBB (sf) 23.200 D (deferrable) BBB- (sf) 5.200 E (deferrable) BB (sf) 19.800 Subordinated notes NR 56.376 NR-Not rated. FORTRESS CREDIT VI: S&P Assigns 'BB' Rating on Class E Notes ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its ratings to Fortress Credit Funding VI L.P.'s $149.8 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by a revolving pool consisting primarily of broadly syndicated and middle-market senior-secured loans. The ratings reflect S&P's view of: - The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. - The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. - The transaction's legal structure, which is expected to be bankruptcy remote. - The diversified collateral portfolio, which consists primarily of broadly syndicated and middle-market speculative-grade senior-secured term loans. - The collateral manager's experienced management team. - S&P's projections of the timely interest and ultimate principal payments on the rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-12.26%. - The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. - The transaction's interest diversion test, a failure of which during the reinvestment period will lead to the reclassification of up to 50% of available excess interest proceeds (before paying uncapped administrative expenses and subordinated note payments) to principal proceeds for the purchase of additional collateral assets. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1111730.pdf RATINGS ASSIGNED Fortress Credit Funding VI L.P. Class Rating Amount (mil. $) A-1 AAA (sf) 96.900 A-2 AA (sf) 17.170 B (deferrable) A (sf) 15.215 C (deferrable) BBB (sf) 9.860 D (deferrable) BBB- (sf) 2.210 E (deferrable) BB (sf) 8.415 Subordinated notes NR 23.990 NR-Not rated. FRASER SULLIVAN VI: S&P Affirms 'BB' Rating on Class D Notes ------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on Fraser Sullivan CLO VI Ltd./Fraser Sullivan CLO VI Corp.'s $355.2 million fixed- and floating-rate notes following the transaction's effective date as of March 16, 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Fraser Sullivan CLO VI Ltd./Fraser Sullivan CLO VI Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 265.00 A-2 AA (sf) 16.00 B (deferrable) A (sf) 36.30 C (deferrable) BBB (sf) 18.30 D (deferrable) BB (sf) 19.60 Subordinated NR 53.49 NR-Not rated. GANNETT PEAK I: S&P Raises Ratings on 2 Note Classes to 'B+' ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1, A-1b, A-2, B-1, B-2, C, D-1, and D-2 notes from Gannett Peak CLO I Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by McDonnell Investment Management LLC. "At the same time, we removed all of the ratings on the notes from CreditWatch with positive implications, where we placed them on April 18, 2012," S&P said. "The upgrades primarily reflect improved performance of the transaction's underlying asset portfolio since May 2010, when we last upgraded the class C notes. As of the June 2012 trustee report, the transaction had $8.86 million of defaulted assets. This was down from the $17.35 million we referenced for our May 2010 rating action. Furthermore, the amount of assets from obligors rated in the 'CCC' category were reported at $45.65 million in June 2012, down from the $54.76 million we referenced in our last rating action," S&P said. S&P said the upgrades also reflect an incremental increase in the overcollateralization (O/C) available to support the notes since the May 2010 rating action. The trustee reported these O/C ratios in its June 2012 monthly report: The class A O/C ratio was 125.26%, compared with a reported ratio of 124.92 in March 2010; The class B O/C ratio was 116.58%, compared with a reported ratio of 116.26% in March 2010; The class C O/C ratio was 109.33%, compared with a reported ratio of 109.03% in March 2010; and The class D O/C ratio was 104.67%, compared with a reported ratio of 104.38% in March 2010. Gannett Peak CLO I Ltd. is still in its reinvestment period and it has not made any paydowns to any of the rated notes yet. 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 Gannett Peak CLO I Ltd. Rating Class To From A-1 AA+ (sf) AA- (sf)/Watch Pos A-1b AA+ (sf) AA- (sf)/Watch Pos A-2 AA (sf) BBB+ (sf)/Watch Pos B-1 A (sf) BB+ (sf)/Watch Pos B-2 A (sf) BB+ (sf)/Watch Pos C BB+ (sf) B (sf)/Watch Pos D-1 B+ (sf) CCC- (sf)/Watch Pos D-2 B+ (sf) CCC- (sf)/Watch Pos TRANSACTION INFORMATION Issuer: Gannett Peak CLO I Ltd. Coissuer: Gannett Peak CLO I Corp. Collateral manager: McDonnell Investment Management LLC Underwriter: Deutsche Bank Securities Inc. Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO GE COMMERCIAL 2003-C2: Fitch Lowers Rating on 5 Cert. Classes ------------------------------------------------------------- Fitch Ratings downgrades five classes of GE Commercial Mortgage Corporation's 2003-C2 commercial mortgage pass-through certificates. The downgrades reflect an increase in expected losses associated with the specially serviced loans. Fitch modeled losses of 4.4% of the remaining pool; expected losses of the original pool are at 3.6%. Fitch has designated 20 loans (15.6%) as Fitch loans of concern, which includes seven specially serviced loans (5.9%). As of the July 2012 distribution date, the pool's collateral balance has paid down 37% to $754.4 million from $1.2 billion at issuance. 27 loans (32.5%) have been defeased (32.5%) including six (16%) of the top 15 loans in the transaction. The largest contributor to loss (2.2%) is secured by a 1,124,432 square foot (sf) industrial/warehouse distribution center located in Memphis, TN. The loan transferred to special servicing in May 2010 due to the largest tenant vacating at lease expiration and the bankruptcy of the second largest tenant. Title was acquired via foreclosure at a trustee sale in May 2011. The special servicer plans to market the property once the property occupancy has been stabilized. The property is 35% occupied as of May 2012. The second largest contributor to loss (0.9%) is secured by a 91,222 sf retail shopping center located in Baltimore, MD. The loan transferred to special servicing in February 2012 due to imminent default. The anchor tenant vacated as a result of its parent company filing for bankruptcy. The special servicer is dual tracking foreclosure and note sale. The property is 34.6% occupied as of September 2011. The third largest contributor to loss (0.7%) is secured by an office property located in Golden, CO. The loan was transferred to special servicing in May 2010 due to payment default. The decline in performance was due to two tenants vacating in 2007 and 2010; respectively. The property was recently sold on July 16, 2012 and losses are expected. Fitch downgrades, revises Outlooks and assigns Recovery Estimates (REs) to the following classes as indicated: -- $19.2 million class J to 'BBsf' from 'BBBsf'; Outlook revised to Negative from Stable; -- $7.4 million class K to 'Bsf' from 'BB+sf'; Outlook revised to Negative from Stable; -- $8.9 million class L to 'CCCsf', RE 100%' from 'Bsf'; -- $4.4 million class M to 'CCsf' from 'CCCsf'; RE 30% from 100%; -- $7.4 million class N to 'Csf' from 'CCsf', RE 0% from 100%. Fitch also affirms, revises Outlooks and REs as indicated: -- $382.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $155.9 million class A-1A at 'AAAsf'; Outlook Stable; -- $35.5 million class B at 'AAAsf'; Outlook Stable; -- $14.8 million class C at 'AAAsf'; Outlook Stable; -- $26.6 million class D at 'AAAsf'; Outlook Stable; -- $14.8 million class E at 'AAAsf'; Outlook Stable; -- $14.8 million class F at 'AAAsf'; Outlook Stable; -- $14.8 million class G at 'AAsf'; Outlook Stable; -- $14.8 million class H at 'Asf'; Outlook revised to Negative from Stable; -- $3.0 million class O at 'Csf', RE 0% from 75%; -- $111,521 class BLVD-1 at 'A'; Outlook Stable; -- $2.5 million class BLVD-2 at 'A-'; Outlook Stable; -- $4.5 million class BLVD-3 at 'BBB+'; Outlook Stable; -- $3.5 million class BLVD-4 at 'BBB'; Outlook Stable; -- $8.0 million class BLVD-5 at 'BB+'; Outlook Stable. Classes A-1, A-2, and A-3 are paid in full. Classes BLVD-1 through 5 represent the subordinate note rake classes for the Boulevard Mall. GMACM HOME: Moody's Lowers Rating on Cl. A-2 Tranche to 'Caa1' -------------------------------------------------------------- Moody's Investors Service has downgraded the rating of the Class A-2 tranche issued by GMACM Home Equity Loan Trust 2001-HE3. This transaction is backed by second-lien 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 this tranche and transaction 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 rating, 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 downgrade is primarily due to deteriorating collateral performance. 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. 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: GMACM Home Equity Loan Trust 2001-HE3 Cl. A-2, Downgraded to Caa1 (sf); previously on Jul 6, 2012 B3 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Caa1 (sf); previously on Jul 6, 2012 B3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF292884 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 GRAMERCY PARK: S&P Rates Class D Deferrable Notes 'BB' ------------------------------------------------------ Standard & Poor's Ratings Services assigned its 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 ratings reflect S&P's view of: The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. - The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation 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. S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-12.53%. - 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. RATINGS ASSIGNED Gramercy Park CLO Ltd./Gramercy Park CLO Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 327.50 A-2 AA (sf) 33.70 B (deferrable) A (sf) 42.50 C (deferrable) BBB (sf) 24.25 D (deferrable) BB (sf) 27.50 Subordinated notes NR 58.15 NR-Not rated. GRAYSON CDO: S&P Raises Ratings on 2 Note Classes to 'B+' --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1b, A-2, B, C, and D notes from Grayson CDO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Highland Capital Management L.P. and removed the ratings from CreditWatch with positive implications, where S&P placed them on April 18, 2012. "At the same time, we affirmed our 'AA+ (sf)' rating on the class A-1a notes," S&P said. "The upgrades primarily reflect improved performance of the transaction's underlying asset portfolio since June 2011, when we last upgraded the class A-2, B, and C notes. As of the June 2012 trustee report, the transaction had $67.95 million of defaulted assets. This was down significantly from the $132.77 million we referenced for our June 2011 rating action. Furthermore, assets from obligors rated in the 'CCC' category were reported at $101.50 million in June 2012, down from the $128.61 million we referenced in our last rating action," S&P said. The upgrades also reflect an increase in the overcollateralization (O/C) available to support the notes since the June 2011 rating actions. The trustee reported these O/C ratios in the June 2012 monthly report: The class A O/C ratio was 120.56%, compared with a reported ratio of 115.35% in April 2011; The class B O/C ratio was 113.16%, compared with a reported ratio of 108.34% in April 2011; The class C O/C ratio was 106.37%, compared with a reported ratio of 101.89% in April 2011; and The class D O/C ratio was 104.85%, compared with a reported ratio of 100.15% in April 2011. "The rating actions on class C and D notes were driven by the application of the largest obligor default test, a supplemental stress test we introduced as part of our 2009 corporate criteria update. Since the time of the last action, the class D notes have received turbo payments towards their outstanding principal balance, due to previous failure of the class D O/C test. The class D notes currently stand at 58.31% of their original issuance," S&P said. Grayson CDO Ltd. is currently in its reinvestment period, where it is expected to remain until November 2013. "We affirmed our rating on the class A-1a 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 Grayson CDO Ltd. Rating Class To From A-1b AA (sf) A+ (sf)/Watch Pos A-2 A+ (sf) A (sf)/Watch Pos B BBB+ (sf) BB+ (sf)/Watch Pos C B+ (sf) CCC+ (sf)/Watch Pos D B+ (sf) CCC- (sf)/Watch Pos RATING AFFIRMED Grayson CDO Ltd. Class Rating A-1a AA+ (sf) TRANSACTION INFORMATION Issuer: Grayson CDO Ltd. Coissuer: Grayson CDO Corp. Collateral manager: Highland Capital Management L.P. Underwriter: Credit Suisse AG Trustee: State Street Bank and Trust Co. Transaction type: Cash flow CDO GS MORTGAGE: Fitch Rates $756.3-Mil. Class A-M Notes 'BBsf' ----------------------------------------------------------- Fitch Ratings has placed three classes of GS Mortgage Securities Corporation II, series 2007-GG10, commercial mortgage pass-through certificates on Rating Watch Negative as follows: -- $3,661 million class A-4 'AAAsf'; -- $449.8 million class A-1A 'AAAsf'; -- $756.3 million class A-M 'BBsf'. The Negative Watch reflects concerns regarding performing but deteriorating large loans and specially serviced loans that experienced large value declines indicated by new appraisals. Additionally, a large number of specially serviced assets are now either REO or in foreclosure, indicating that losses are imminent. Fitch will perform a full review of the transaction and resolve the Rating Watch within the next month. HARVEST CLO: Loan Assignment Won't Affect Moody's Note Ratings -------------------------------------------------------------- Moody's Investors Service stated that the ratings of notes issued by Harvest CLO III PLC (the "Issuer") will not be affected by changing the required rating of transferor from A3 to B3 where a Senior Loan or Mezzanine Obligation is to be transferred to the Issuer by way of an assignment (the "Proposal"). Moody's Investors Service has determined that the Proposal will not in and of itself and at this time cause the current Moody's ratings of the notes of the Issuer to be reduced or withdrawn. Moody's believes that the Proposal does not have an adverse effect on the credit quality of the securities such that the Moody's ratings are impacted. Moody's does not express an opinion as to whether the Proposal could have other, non credit-related effects. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. INSTITUTIONAL MORTGAGE: Fitch Puts Low-B Ratings on 2 Note Classes ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings to Institutional Mortgage Capital, commercial mortgage pass-through certificates, series 2012-2: -- C$141,160,000 class A-1 'AAAsf'; Outlook Stable; -- C$62,990,000 class A-2 'AAAsf'; Outlook Stable; -- C$199,752,204* class XP 'AAAsf'; Outlook Stable; -- C$6,008,000 class B 'AAsf'; Outlook Stable; -- C$8,406,000 class C 'Asf'; Outlook Stable; -- C$7,205,000 class D 'BBBsf'; Outlook Stable; -- C$3,603,000 class E 'BBB-sf'; Outlook Stable; -- C$3,002,257 class F** 'BBsf'; Outlook Stable; -- C$2,401,806 class G** 'Bsf'; Outlook Stable. *Notional amount and interest only. ** Non-offered certificates. Fitch does not rate the C$5,404,530 class H or the C$240,180,593 interest-only class XC. A detailed description of Fitch's rating analysis including key rating drivers, stresses, rating sensitivity, analysis, model, criteria application and data adequacy is available in Fitch's New Issue Report. IVY HILL III: S&P Assigns 'BB' Rating on $19MM Class E Notes ------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on Ivy Hill Middle Market Credit Fund III Ltd./Ivy Hill Middle Market Credit Fund III Corp.'s $262 million floating-rate notes following the transaction's effective date as of June 13, 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 Ivy Hill Middle Market Credit Fund III Ltd./Ivy Hill Middle Market Credit Fund III Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 168.00 A-2 AAA (sf) 16.00 B (deferrable) AA (sf) 19.00 C (deferrable) A (sf) 20.00 D (deferrable) BBB (sf) 20.00 E (deferrable) BB (sf) 19.00 Subordinated notes NR 53.00 NR-Not rated. JPMORGAN 2002-CIBC4: Moody's Cuts Rating on Class E Certs. to 'C' ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of five classes, placed one class on review for possible downgrade, and affirmed five classes of J.P. Morgan Chase Commercial Mortgage Securities Corp, Commercial Mortgage Pass-Through Certificates, Series 2002- CIBC4 as follows: Cl. B, Downgraded to A2 (sf) and Placed Under Review for Possible Downgrade; previously on Sep 27, 2005 Upgraded to Aaa (sf) Cl. C, Downgraded to B3 (sf); previously on Apr 26, 2012 Downgraded to Ba2 (sf) Cl. D, Downgraded to Caa2 (sf); previously on Apr 26, 2012 Downgraded to B2 (sf) Cl. E, Downgraded to C (sf); previously on Apr 26, 2012 Downgraded to Caa3 (sf) Cl. F, Affirmed at C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Mar 22, 2012 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Oct 28, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Sep 22, 2010 Downgraded to C (sf) Cl. X-1, Downgraded to Caa3 (sf); previously on Apr 26, 2012 Downgraded to Caa2 (sf) Ratings Rationale The downgrades are due to an anticipated increase in interest shortfalls resulting from the master servicer, Midland Loan Services (Midland), recovering outstanding advances from the largest loan in the pool, Highland Mall. Midland has informed Moody's that it intends to start recovering outstanding advances beginning with the August remittance statement. Class B is downgraded and placed on review for possible downgrade pending more clarity about how long this class will experience interest shortfalls. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 57% of the current balance. At last review, Moody's cumulative base expected loss was 44%. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. While commercial real estate property values are beginning to move in a positive direction along with a rise in investment activity and stabilization in core property type performance, a consistent upward trend will not be evident until the volume of investment activity steadily increases, distressed properties are cleared from the pipeline, and job creation rebounds. The hotel sector is performing strongly and the multifamily sector continues to show increases in demand. Moderate improvements in the office sector continue with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow. Performance in the retail sector has been mixed with lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending. Across all property sectors, the availability of debt capital continues to improve with increased securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario reflects healthier growth in the US and US growth decoupling from the recessionary trend in the euro zone, while a mild recession is expected in 2012. Downside risks remain significant, although they have moderated compared to earlier this year. Major downside risks include an increase in the potential magnitude of the euro area recession, the risk of an oil supply shock weighing negatively on consumer purchasing power and home prices, ongoing and policy-induced banking sector deleveraging leading to a tightening of bank lending standards and credit contraction, financial market turmoil continuing to negatively impact consumer and business confidence, persistently high unemployment levels, and weak housing markets, any or all of which will continue to constrain growth. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating 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. Moody's review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit 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 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 6 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.1 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated April 26, 2012. DEAL PERFORMANCE As of the July 12, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 85% to $114.7 million from $798.9 million at securitization. The Certificates are collateralized by 19 mortgage loans ranging in size from less than 1% to 53% of the pool, with the top ten non-defeased loans representing 89% of the pool. One loan, representing 2% of the pool, has defeased and is secured by U.S. Government securities. Five loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Sixteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $32.3 million (36% loss severity). Currently four loans, representing 60% of the pool, are in special servicing. The largest specially serviced loan is the Highland Mall Loan ($61 million -- 53% of the pool), which is secured by a leasehold interest in 487,000 square feet (SF) of inline space associated with a regional mall located in Austin Texas. At securitization, the mall was shadow anchored by J.C. Penny, Dillard's and Foley's (which later was assumed by Macy's). J.C. Penny closed its store in 2006, followed by both Dillard's and Macy's in 2011. Austin Community College (ACC) has purchased the fee interest as well as the three vacant anchor spaces. ACC is under contract to purchase the remaining inline space at a significant discount to the most recent (April 2011) appraised value of $20.1 million. There is currently $8 million of advances outstanding on the loan. Although Midland declared the loan non recoverable in February 2012, there appeared to be sufficient value to recover advances from liquidation proceeds, based on the appraised value, and Midland did not seek to recover any of its advances at that time. However, the special servicer, LNR Partners, recently communicated to Midland that its efforts to sell the property were resulting in a significantly lower price than indicated by the appraisal. Based on the current contract price, Midland will begin to recover advances from the deal's waterfall starting with the August remittance statement. Midland has indicated that they will be taking all interest and principle proceeds to recover outstanding advances until all the advances are repaid. The remaining three specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $65 million loss for the specially serviced loans (94% expected loss on average). Moody's was provided with full year 2011 operating results for 87% of the pool. Excluding specially serviced loans, Moody's weighted average LTV is 67% compared to 70% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding special serviced loans, Moody's actual and stressed DSCRs are 1.26X and 1.72X, respectively, compared to 1.32X and 1.62X 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 three largest conduit loans represent 19% of the outstanding pool balance. The performance of these loans has remained stable since the last review. KINGSLAND II: S&P Raises Rating on Class D Loan to 'B' ------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on all seven classes from Kingsland II Ltd., a collateralized loan obligation (CLO) transaction currently in its reinvestment period and managed by Kingsland Capital Management LLC. "Since our last rating action in April 2010, the transaction reduced the amount of nonperforming assets in its portfolio. As of the June 2012 trustee report, the balance of defaulted assets has decreased to $3.5 million from $11.9 million in March 2010. This primarily resulted in the improvement of the class A O/C ratio, which increased to 128.91% from 123.74%," S&P said. "While the overall performance improvements mentioned have increased the credit support available to the transaction, the positive effect of these improvements were muted with regard to the recovery rates and other factors used in our analysis due to the presence of more than $19 million in structured finance securities held in the portfolio. The recovery rate assumptions for the CLOs reflect our revised criteria for CDOs of structured finance assets," S&P said. "We will continue to review our ratings on the notes and assess whether, in our view, the ratings remain consistent with the credit enhancement available," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Kingsland II Ltd. Rating To From A-1a AA+ (sf) AA- (sf) A-1b AA+ (sf) AA- (sf) A-1c AA+ (sf) A-/Watch Pos (sf) A-2 AA (sf) BBB+/Watch Pos (sf) B A (sf) BB-/Watch Pos (sf) C BB+ (sf) CCC-/Watch Pos (sf) D B (sf) CCC-/Watch Pos (sf) KKR FINANCIAL 2006-1: S&P Raises Rating on Class E Notes From 'BB' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2b, B, C, and E notes from KKR Financial CLO 2006-1 Ltd., a U.S. collateralized loan obligation (CLO) managed by KKR Financial Advisors. "Simultaneously, we affirmed our rating on the class A-2a notes," S&P said. The upgrades reflect improving credit support, primarily due to a $24.73 million increase in collateral to support the rated notes and improved credit quality within the collateral assets since our April 2010 rating actions. The rating affirmation reflects sufficient credit enhancement at the current rating level. "As of the June 15, 2012, monthly report, the transaction's portfolio had $193.18 million in 'CCC' rated assets, down from $197.86 million in the Feb. 12, 2010, monthly report, which we used for the April 2010 rating actions. When calculating the overcollateralization (O/C) ratios, the O/C numerator is discounted (i.e., haircut) by a portion of the 'CCC' rated collateral that exceed the threshold specified in the transaction documents. The transaction has been breaching this threshold since our April 2010 rating actions. The June 2012 report stated that the transaction was breaching this threshold by $115.05 million, and the O/C numerator is haircut accordingly," S&P said. "Similarly, the amount of defaulted obligations held in the transaction's underlying portfolio declined during this period. According to the June 2012 trustee report, the transaction held $19.79 million in defaulted assets, down from $51.56 million noted in the February 2010 trustee report," S&P said. Also, the par value of collateral pool backing the rated liabilities has increased $24.73 million since February 2010. Additionally, the transaction's senior, C/D, and E O/C ratio tests have improved over the same period, and the weighted average spread has increased by 0.52%. "This transaction previously experienced subordinate debt cancellations without payment. Therefore, as outlined in our April 2010 published research, this surveillance review included the application of an additional rating stress designed to assess the potential creditworthiness of the affected transaction without the support of interest diversion tests linked to outstanding subordinated tranches," 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 KKR Financial CLO 2006-1 Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf) A-2b AAA (sf) AA+ (sf) B AA+ (sf) AA- (sf) C AA- (sf) A- (sf) E A+ (sf) BB (sf) RATING AFFIRMED KKR Financial CLO 2006-1 Ltd. Class Rating A-2a AAA (sf) LB-UBS COMMERCIAL 2004-C6: Fitch Lowers Ratings on 5 Cert Classes ----------------------------------------------------------------- Fitch Ratings has downgraded five subordinate classes of LB-UBS Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2004-C6. The downgrades reflect realized losses since Fitch's last review. Fitch modeled losses of 7.82% of the remaining pool. The expected losses based on the original pool size are 5.17%, which includes 0.86% in losses realized to date. Fitch has designated 14 loans (20.3% of pool balance) as Fitch Loans of Concern, which includes six specially serviced loans (10.9%). Six of the Fitch Loans of Concern (16.32%) are within the transaction's top 15 loans by unpaid principal balance. As of the July 2012 distribution date, the transaction has been reduced by approximately 44% (including realized losses) to $742.5 million from $1.35 billion at issuance. There are 68 of the original 97 loans remaining in the transaction, of which four are defeased (8.8%). Interest shortfalls are affecting classes J through T. The largest contributor to Fitch-modeled losses is secured by a seven-building office property totaling 471,442 square feet (sf) in Atlanta, GA (4.68%). The loan had originally transferred to special servicing in November 2009 upon the borrower's request for a loan modification. The property saw a significant decline in performance when the largest tenant, representing 38% of net rentable area (NRA), vacated in February 2011. The loan became real estate owned (REO) in February 2012. The property is 48% occupied as of the June 2012 rent roll. The servicer is actively working to lease and stabilize the property. The next largest contributor to Fitch-modeled losses is secured by a 176,240 sf office tower located in Bakersfield, CA. The asset had transferred to special servicing in December 2009 for payment default. The borrower had failed to perform on a lender approved discounted payoff (DPO) of the loan, upon which the servicer had moved to foreclose on the property in late 2011. The borrower has since filed for bankruptcy to stop the foreclosure. The June 2012 rent roll reported occupancy at 88%, which includes a new five- year lease with Chevron (33.5% NRA) beginning in February 2012. The third largest contributor to Fitch-modeled losses is secured by two flex office/research & development properties totaling 314,388 sf located in Houston, TX (one building; 48% total NRA) and San Antonio, TX (two buildings; 52% NRA). The year-end 2011 debt service coverage ratio (DSCR) reported at 1.43x. The June 2012 rent rolls reported a combined occupancy of 80%; however, a single tenant that leased 100% of one of the San Antonio buildings had vacated upon lease expiration in July 2012. There are also rollover concerns for the second San Antonio property which is currently 100% leased to a single tenant whose lease expires in October 2012. The loan remains current as of the July 2012 distribution date. Fitch has downgraded the following classes: -- $8.4 million class J to 'CCsf' from 'CCCsf'; RE 0%; -- $16.8 million class K to 'Cs' from 'CCsf'; RE 0%; -- $1.7 million class L to 'Csf' from 'CCsf'; RE 0%; -- $6.7 million class M to 'Csf' from 'CCsf'; RE 0%; -- $5 million class N to 'Csf' from 'CCsf'; RE 0%. Fitch also affirms the following ratings, and revises the Rating Outlook on class E as indicated: -- $38.6 million class A-5 at 'AAAsf'; Outlook Stable; -- $470.1 million class A-6 at 'AAAsf'; Outlook Stable; -- $80.4 million class A-1A at 'AAAsf'; Outlook Stable; -- $13.5 million class B at 'AA+sf'; Outlook Stable; -- $23.6 million class C at 'AAsf'; Outlook Stable; -- $15.1 million class D at 'AA-sf'; Outlook Stable. -- $13.5 million class E at 'Asf'; Outlook to Negative from Stable; -- $15.1 million class F at 'BBB-sf'; Outlook Negative; -- $11.8 million class G at 'Bsf'; Outlook Negative; -- $11.8 million class H at 'CCCsf'; RE 100%. Fitch does not rate classes P, Q, S or T. Classes A-1, A-2, A-3 and A-4 have paid in full. Fitch had previously withdrawn the rating withdraws the rating on the interest-only classes X-CL and X-CP. LCM II: S&P Affirms 'BB+' Ratings on 2 Note Classes; Off Watch -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B and C notes from LCM II L.P., a U.S. collateralized loan obligation (CLO) managed by LCM Asset Management LLC. "We also affirmed our ratings on the class A, D, E1, and E2 notes. In addition, we removed our ratings on the class B, C, D, E1, and E2 notes from CreditWatch, where we placed them with positive implications on April 18, 2012. We affirmed our rating on the class B-2-A notes from Liston Funding 2009-1 Ltd., a collateralized debt obligation transaction that was repackaged from the class A notes issued by LCM II L.P.," S&P said. "The upgrades reflect improving credit support, primarily due to a cumulative $92.36 million paydown to the class A notes since our October 2011 rating actions. The rating affirmations reflect sufficient credit enhancement at the current rating levels," S&P said. "The transaction has paid the balance of the class A notes down by $92.36 million since the September 2011 trustee report, which was used for our October 2011 rating actions. This has left the class A notes with approximately 31.10% of their original balance currently outstanding," S&P said. Standard & Poor's has observed an increase in the overcollateralization (O/C) available to support the rated notes. The trustee reported these ratios in the July 13, 2012, monthly report: The class A/B O/C ratio test was 151.14%, compared with a reported ratio of 132.44% in September 2011; The class C O/C ratio test was 135.72%, compared with a reported ratio of 123.62% in September 2011; The class D O/C ratio test was 117.13%, compared with a reported ratio of 112.02% in September 2011; and The class E O/C ratio test was 114.58%, compared with a reported ratio of 110.06% in September 2011. In addition, the transaction's weighted average spread has increased by 0.08% over the same time period. "We note that the transaction has significant exposure to long- dated assets (i.e., assets maturing after the stated maturity of the CLO). According to the July 13, 2012, trustee report, the balance of collateral with a maturity date after the stated maturity of the transaction represented 26.23% of the portfolio. Our analysis accounted for the potential market value and/or settlement related risk arising from the potential liquidation of the remaining securities on the legal final maturity date of the transaction," 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 LCM II Limited Partnership Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AA+ (sf) AA- (sf)/Watch Pos D BBB- (sf) BBB- (sf)/Watch Pos E1 BB+ (sf) BB+ (sf)/Watch Pos E2 BB+ (sf) BB+ (sf)/Watch Pos RATINGS AFFIRMED LCM II Limited Partnership Class Rating A AAA (sf) Liston Funding 2009-1 Ltd. Class Rating B-2-A AAA (sf) MARATHON REAL: Fitch Affirms 'CCCsf' Ratings on 5 Note Classes -------------------------------------------------------------- Fitch Ratings has affirmed all classes of Marathon Real Estate CDO 2006-1, Ltd./LLC (Marathon 2006-1) reflecting Fitch's base case loss expectation of 26.7%, which is in line with the expected loss at the last review. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. Since last review, five assets are no longer in the pool, including three B-notes that paid in full, and a loan and mezzanine interest that took full losses. Total paydown to class A-1 from loan payoffs, scheduled amortization, and asset sales since last review was $83.1 million, resulting in increased credit enhancement to all the rated classes. As of the June 2012 trustee report, all overcollateralization and interest coverage tests are in compliance. Approximately 44.7% of the total collateral is whole loans or A- notes, while 10.2% is B-notes and 2.5% mezzanine debt. With respect to CUSIP securities, commercial mortgage backed securities (CMBS) represent 24.6% of the collateral, followed by CRE CDOs (9.7%), REIT debt (3.5%), real estate bank loans (0.9%), and other rated debt (3.3%). Since last review, the weighted average Fitch- derived rating for the underlying CMBS collateral declined to 'BB- ' from 'BB+/BB'. Under Fitch's methodology, approximately 49.6% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 6.9% from, generally, year-end 2010 or 2011 reporting. Recoveries were modeled at 46.2% in the base case. The asset manager provided limited information on the collateral at the time of the review; Fitch made conservative assumptions in the modeling of the pool. The largest component of Fitch's base case loss expectation is the modeled losses on the rated debt collateral (42.1% of the pool). The next largest component of Fitch's base case loss expectation is a whole loan (6.7%) secured by a 363-key limited service hotel located on Manhattan's Upper West Side. The sponsor has been converting the property's single-occupancy rooms into traditional rooms on an ongoing basis, and further planned an extensive property improvement plan in order to convert the hotel into a full-service hotel to be operated under a major flag. The renovations fell behind schedule during the recession, and the property continues to struggle. Cash flow remains below expectations from issuance. The third largest component of Fitch's base case loss expectation is a B-note (1.8%) secured by a 190-key hotel in Boston, MA, located between Boston's Financial District and the Beacon Hill/Back Bay areas. The property experienced a significant decline in cash flow through the recession. Performance has since improved, but remains below expectations from issuance. The loan was recently modified, which included an extension to May 2014, and a borrower contribution of equity, which delevered the A-note slightly. Asset performance will continue to be monitored. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The breakeven rates for classes A-1 through E are generally in line with the ratings assigned below. The 'CCC' and below ratings for classes F through K are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern, factoring in anticipated recoveries relative to each class' credit enhancement. Fitch affirms the following classes and revises Recovery Estimates as indicated: -- $434,990,243 class A-1 at 'BBBsf'; Outlook Stable; -- $50,000,000 class A-2 at 'BBBsf'; Outlook Stable; -- $99,000,000 class B at 'BBsf'; Outlook Negative; -- $51,500,000 class C at 'Bsf'; Outlook Negative; -- $16,000,000 class D at 'Bsf'; Outlook Negative; -- $14,000,000 class E at 'Bsf'; Outlook Negative; -- $23,500,000 class F at 'CCCsf'; RE 100%; -- $15,500,000 class G at 'CCCsf'; RE 10%; -- $26,000,000 class H at 'CCCsf', RE 0%; -- $56,300,000 class J at 'CCCsf', RE 0%; -- $26,700,000 class K at 'CCCsf', RE 0%. MERRILL LYNCH: Moody's Cuts Ratings on Two Note Classes to 'C' -------------------------------------------------------------- Moody's Investors Service has downgraded 15 tranches, upgraded seven tranches and confirmed the ratings on nine tranches from nine RMBS transactions issued by Merrill Lynch. The collateral backing these deals primarily consists of first-lien, adjustable- rate prime Jumbo residential mortgages. The actions impact approximately $818 million of RMBS issued from 2005 to 2007. Complete rating actions are as follows: Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2005-1 Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Apr 21, 2010 Downgraded to Caa3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2005-2 Cl. 1-A, Downgraded to Ba2 (sf); previously on May 5, 2010 Downgraded to Baa1 (sf) Cl. 2-A, Upgraded to B3 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 3-A, Downgraded to Baa1 (sf); previously on May 30, 2012 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2005-3 Cl. I-A, Downgraded to Caa2 (sf); previously on Apr 21, 2010 Downgraded to B3 (sf) Cl. I-A-IO, Downgraded to Caa2 (sf); previously on Apr 21, 2010 Downgraded to B3 (sf) Cl. IV-A, Confirmed at A3 (sf); previously on May 30, 2012 A3 (sf) Placed Under Review for Possible Upgrade Cl. IV-A-IO, Confirmed at A3 (sf); previously on May 30, 2012 A3 (sf) Placed Under Review for Possible Upgrade Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2005-B Cl. A-1, Downgraded to Ba1 (sf); previously on Jul 18, 2011 Downgraded to Baa1 (sf) Cl. A-2, Downgraded to Ba1 (sf); previously on Jul 18, 2011 Downgraded to Baa1 (sf) Cl. X-A, Downgraded to Ba1 (sf); previously on Jul 18, 2011 Downgraded to Baa1 (sf) Cl. X-B, Downgraded to C (sf); previously on May 30, 2012 Caa3 (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Ca (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade Cl. B-2, Downgraded to C (sf); previously on Jul 18, 2011 Downgraded to Ca (sf) Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2006-3 Cl. I-A, Confirmed at Ba2 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2007-2 Cl. I-A, Confirmed at Ba3 (sf); previously on May 30, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. III-A, Downgraded to B2 (sf); previously on May 30, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A4 Cl. III-A, Upgraded to Baa1 (sf); previously on May 30, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Issuer: Merrill Lynch Mortgage Investors Trust Series MLCC 2007-1 Cl. I-A-1, Upgraded to Ba1 (sf); previously on May 30, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. I-A-2, Upgraded to B2 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Upgraded to Ba1 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. II-A-2, Upgraded to Ba3 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Cl. IV-A-3, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. IV-A-4, Confirmed at B1 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Downgrade Cl. IV-A-X, Confirmed at Ba2 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Issuer: Merrill Lynch Mortgage Investors Trust, Series MLCC 2007-3 Cl. I-A-1, Confirmed at Aa3 (sf); previously on May 30, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. I-A-2, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to A2 (sf); previously on May 30, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. II-A-2, Downgraded to Ba3 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Downgraded to Baa1 (sf); previously on May 30, 2012 A2 (sf) Placed Under Review for Possible Downgrade Cl. III-A-2, Downgraded to B1 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade 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 rating action consists of a number of upgrades, downgrades and confirmations.The upgrades are due to significant improvement in collateral performance, and rapid build-up in credit enhancement due to high prepayments. 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 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. 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://moodys.com/viewresearchdoc.aspx?docid=PBS_SF292430 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 MORGAN STANLEY 2011-C3: Moody's Affirms B2 Rating on Cl. G Certs. ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 13 classes of Morgan Stanley Capital I Trust 2011-C3, Commercial Mortgage Pass- Through Certificates, Series 2011-C3 as follows: Cl. A-1, Affirmed at Aaa (sf); previously on Oct 6, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Oct 6, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Oct 6, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Oct 6, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed at Aaa (sf); previously on Oct 6, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Oct 6, 2011 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed at A2 (sf); previously on Oct 6, 2011 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed at Baa1 (sf); previously on Oct 6, 2011 Definitive Rating Assigned Baa1 (sf) Cl. E, Affirmed at Baa3 (sf); previously on Oct 6, 2011 Definitive Rating Assigned Baa3 (sf) Cl. F, Affirmed at Ba2 (sf); previously on Oct 6, 2011 Definitive Rating Assigned Ba2 (sf) Cl. G, Affirmed at B2 (sf); previously on Oct 6, 2011 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed at Aaa (sf); previously on Oct 6, 2011 Definitive Rating Assigned Aaa (sf) Cl. X-B, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 2.0% of the current balance. 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 26, the same as at securitization. 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 press release assigning definitive ratings is dated October 6, 2011. DEAL PERFORMANCE As of the July 17, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 1% to $1.48 billion from $1.49 billion at securitization. The Certificates are collateralized by 63 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 53% of the pool. The pool contains two loans with investment grade credit assessments, representing 11% of the pool. Two loans, representing 3% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. There are no loans in special servicing and no loans have been liquidated from the pool. Moody's was provided with full year 2011 operating results for 83% of the pool. Moody's weighted average LTV is 92% compared to 97% at securitization. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Moody's actual and stressed DSCRs are 1.57X and 1.14X, respectively, compared to 1.48X and 1.07X at securitization. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the Park City Center Mall ($153.0 million -- 10.3% of the pool), which is secured by a 1,216,967 square foot (SF) super-regional mall located in Lancaster, Pennsylvania. The property is also encumbered by a $42.0 million mezzanine loan. The largest tenants include JC Penney (20% of the net rentable area (NRA); lease expiration July 2015), Bon Ton (15% of the NRA; lease expiration of February 2028), and Sears (13% of the NRA; lease expiration April 2023). As of March 2012 the property was 96% leased, the same as at securitization. The loan has a term of eight years and is amortizing on a 30 year schedule. Moody's credit assessment and stressed DSCR are Baa3 and 1.41X, respectively, compared to Baa3 and 1.40X at securitization. The top three conduit loans represent 19% of the pool. The largest conduit loan is the Westfield Belden Village Loan ($100.0 million -- 6.7% of the pool), which is secured by a 419,400 SF regional mall located in North Canton, Ohio. The loan sponsor is Westfield. The non collateral anchors are Dillard's, Sears, and Sears Auto Service Center. As of March 2012, the property was 97% leased compared to 95% at securitization. Moody's LTV and stressed DSCR are 82% and 1.18X, respectively, the same as at securitization. The second largest loan is the Oxmoor Center Loan ($93.8 million - - 6.3% of the pool), which is secured by a 941,758 SF regional mall located in Louisville, Kentucky. The loan sponsor is GGP. The non collateral anchors are Macy's and Sears. As of March 2012, the property was 95% leased compared to 97% at securitization. Moody's LTV and stressed DSCR are 98% and 0.99X, respectively, compared to 99% and 0.98X at securitization. The third largest loan is the One BriarLake Plaza Loan ($84.1 million -- 5.7% of the pool), which is secured by a 502,410 SF class A office building located in Houston, TX. As of March 2012 the property was 99% leased compared to 94% at securitization. Moody's LTV and stressed DSCR are 95% and 1.08X, respectively, compared to 99% and 1.04X at securitization. MORGAN STANLEY 2012-C5: Fitch Gives Low-B Ratings on 2 Notes ------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Outlooks to Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 Commercial Mortgage Pass-Through Certificates: -- $86,000,000 class A-1 'AAAsf'; Outlook Stable; -- $221,800,000 class A-2 'AAAsf'; Outlook Stable; -- $149,600,000 class A-3 'AAAsf'; Outlook Stable; -- $489,820,000 class A-4 'AAAsf'; Outlook Stable; -- $59,204,000b class A-S 'AAAsf'; Outlook Stable; -- $32,984,000b class B 'AAsf'; Outlook Stable; -- $116,714,000b class PST 'Asf'; Outlook Stable; -- $24,526,000b class C 'Asf'; Outlook Stable; -- $1,065,628,000 (a,c) class X-A 'AAAsf'; Outlook Stable; -- $65,968,000 (a,c) class X-B 'AAsf'; Outlook Stable; -- $27,064,000 (a) class D 'BBB+sf'; Outlook Stable; -- $49,053,000 (a) class E 'BBB-sf'; Outlook Stable; -- $8,457,000 (a) class F 'BBB-sf'; Outlook Stable; -- $18,607,000 (a) class G 'BB+sf'; Outlook Stable; -- $23,680,000 (a) class H 'Bsf'; Outlook Stable. (a) Privately placed pursuant to Rule 144A. (b) The class A-S, class B, and class C certificates will, at all times, each represent 50% of the outstanding principal balance of the class A-S, class B, and class C trust components, respectively. The class PST certificates will, at all times, represent beneficial ownership of 50% of the outstanding principal balance of the class A-S trust component, 50% of the outstanding principal balance of the class B trust component, and 50% of the outstanding principal balance of the class C trust component. (c) Notional amount and interest only. Fitch does not rate the $221,583,509 interest-only class X-C or the $45,670,509 class J. The certificates represent the beneficial ownership in the trust, primary assets of which 72 loans are secured by 98 commercial properties having an aggregate principal balance of approximately $1.35 billion as of the cutoff date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC and Bank of America, National Association. A detailed description of Fitch's rating analysis including key rating drivers, stresses, rating sensitivity, analysis, model, criteria application and data adequacy is available in Fitch's presale report dated July 10, 2012. MUIR WOODS: S&P Rates $5.5MM Class F Deferrable Notes 'B' --------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Muir Woods CLO Ltd./Muir Woods CLO Corp.'s $277.00 million floating-rate notes. The note issuance is an collateralized loan obligation securitization backed by a revolving pool consisting primarily of senior secured loans. The preliminary ratings are based on information as of Aug. 2, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: - The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. - The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. - The transaction's legal structure, which is expected to be bankruptcy remote. - The diversified collateral portfolio, which consists primarily of senior secured term loans. - The collateral manager's experienced management team. - S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-11.41%. - The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. - The transaction's interest diversion test, a failure of which during the reinvestment period will lead to the reclassification of excess interest proceeds that are available prior to paying subordinated management fees and uncapped administrative expenses to principal proceeds for the purchase of collateral assets or, at the collateral manager's discretion, to reduce the balance of the rated notes outstanding sequentially. 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/1111755.pdf PRELIMINARY RATINGS ASSIGNED Muir Woods CLO Ltd./Muir Woods CLO Corp. Class Rating Amount (mil. $) X AAA (sf) 3.00 A AAA (sf) 188.30 B AA (sf) 31.70 C(deferrable) A (sf) 24.20 D (deferrable) BBB (sf) 12.00 E (deferrable) BB (sf) 12.30 F (deferrable) B (sf) 5.50 Subordinated notes NR 26.00 NR-Not rated. N-45 FIRST: Moody's Raises Rating on Class F Bonds to 'Ba1' ----------------------------------------------------------- Moody's Investors Service upgraded the ratings of three classes and affirmed the ratings of two classes of N-45 First CMBS Issuer Corporation, Commercial Mortgage-Backed Bonds, Series 2002-1. Moody's rating action is as follows: Cl. C, Affirmed at Aaa (sf); previously on Aug 4, 2010 Upgraded to Aaa (sf) Cl. D, Upgraded to Aaa (sf); previously on Jul 28, 2011 Upgraded to Aa1 (sf) Cl. E, Upgraded to Aa2 (sf); previously on Jul 28, 2011 Upgraded to A3 (sf) Cl. F, Upgraded to Ba1 (sf); previously on Jun 10, 2002 Assigned B2 (sf) Cl. IO, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) remaining within acceptable ranges. The upgrades are due to loan payoffs, and anticipated payoff of the remainder of the pool upon maturity. 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, "Moody's Approach to Rating Canadian CMBS" published in May 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based 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 July 28, 2011. Deal Performance As of the July 15, 2012 Payment Date, the transaction's aggregate certificate balance decreased by approximately 42% from last review to $39 million due to the payoff of five loans. The pool is collateralized by two fixed rate senior interests in whole loans in office properties. The pool's Herfindahl Index is 1.8. The pool has not experienced losses or interest short falls since securitization. Moody's weighted average pooled trust loan to value (LTV) ratio is 34% compared to 48% at last review. Moody's weighted average stressed debt service coverage ratio (DSCR) for the pooled trust is at 3.2X compared to 2.5X at last review. The largest loan is the Maison Trust Royal Loan (65% of the trust balance, currently known as Place Tour Telus) which is secured by a 638,000 square foot Class A office building located in the financial district of Montreal, Quebec. The property was 85% leased as of June 2012 compared to 87% at last review. The largest tenant is Royal Bank of Canada, which leases 15% of NRA through January 2015. The loan is structured with a 16-year amortization schedule and has amortized by approximately 47% since securitization and by approximately 11% since last review. Moody's LTV and stressed DSCR are 33% and 3.23X. There is subordinate financing totaling $23.5 million that is not part of the trust. The second loan is the 5100 Sherbrooke St. East Loan (35% of the trust balance), which is secure by a 377,000 square foot suburban Class A/B office building located in Montreal, Quebec. The property was 99% leased as of March 2012. The largest tenant is Hydro-Quebec, which leases 21% of NRA through May 2018. The loan is structured with a 20-year amortization schedule and has amortized by approximately 30% since securitization and by approximately 6% since last review. Moody's LTV and stressed DSCR are 35% and 3.05X. There is subordinate financing totaling $21.5 million that is not part of the trust. This loan matures in December 2012, and Moody's expects full payoff at that time. NEW CENTURY: Moody's Raises Rating on Cl. M-2 Tranche to 'Caa1' --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two tranches and confirmed the ratings on three tranches from two subprime RMBS transactions issued by New Century and Carrington. The collateral backing these transactions are subprime residential mortgage loans. Complete rating actions are as follows: Issuer: Carrington Mortgage Loan Trust, Series 2006-NC1 Cl. A-4, Confirmed at Ca (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: New Century Home Equity Loan Trust 2005-4 Cl. A-2c, Confirmed at A3 (sf); previously on May 30, 2012 A3 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to Ba1 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca (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 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 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_SF293164 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 PERITUS I: S&P Raises Rating on Class C Notes to 'B+'; Off Watch ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class C notes from Peritus I CDO Ltd., a collateralized bond obligation (CBO) transaction managed by Peritus Asset Management LLC. At the same time, we removed the rating from CreditWatch where we placed it with positive implications on April 18, 2012," S&P said. "Since our June 2011 rating action, the class A, X, and B notes have paid down in full, resulting in a class C overcollateralization (O/C) ratio of 185% as of the July 2012 trustee report. The upgrade to 'B+ (sf)' reflects the increased O/C for the rated note. However, the analysis also took the potential concentration risk into account, given that there were only nine obligors whose issuances are held in the portfolio to back the rated notes," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTION Peritus I CDO Ltd. Rating Class To From C B+ (sf) CCC-(sf)/Watch Pos RAIT CRE: Fitch Affirms Rating on 11 Note Classes ------------------------------------------------- Fitch Ratings has affirmed 11 classes of RAIT CRE CDO I Ltd. (RAIT CRE CDO I) reflecting Fitch's base case loss expectation of 53%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. The CDO exited its reinvestment period in November 2011. Since the last rating action, the senior notes have been paid down by approximately $12 million. Realized losses over the same period were minimal at approximately $4 million; several credit risk loan interests were removed from the CDO at par. The CDO is currently over collateralized by close to $34 million. As of the June 2012 trustee report, RAIT CRE CDO I is collateralized by both senior and subordinate commercial real estate (CRE) debt: 64.6% are either whole loans or A-notes, while 34.4% consists of subordinate debt (B-notes [1.9%], mezzanine loans [11.7%] and preferred equity [21.8%]); 1% is REIT debt. Approximately 2.9% of the pool is currently defaulted while a further 37.9% are considered Fitch Loans of Concern. Fitch expects significant losses upon default for many of the subordinate positions, since they are generally highly leveraged. As of the June 2012 trustee report, all over-collateralization tests were in compliance. Under Fitch's methodology, approximately 85.5% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 8.9% from, generally, year end 2011 or trailing 12- month first quarter 2012. Modeled recoveries average 38%. The largest component of Fitch's base case loss expectation is a preferred equity position (3.2% of the pool) on an office complex located in Boca Raton, FL. In 2010, after a period of vacancy, the property was 100% leased to a new tenant, which commenced rental payments near the end of 2011. However, the property is overleveraged, and Fitch modeled a substantial loss in its base case scenario on this position. The next largest component of Fitch's base case loss expectation is a whole loan (3%) secured by a regional mall located in South Carolina. The property currently has minimal cash flow. While recent leasing is expected to increase cash flow over the next year, it is still not expected to support debt service in the near term. Fitch modeled a substantial loss in its base case scenario on this loan. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The breakeven rates for classes A-1 through A-2 are consistent with the ratings listed below. The Negative Outlooks on classes A-1 through A-2 generally reflect Fitch's expectation of further potential negative credit migration of the underlying collateral. The ratings for classes B through J are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each classes credit enhancement. RAIT CRE CDO I is managed by RAIT Partnership, L.P. Fitch notes that RAIT affiliates have ownership interests in 28 of the CDO assets totaling approximately $450 million. Fitch affirms the following classes as indicated: -- $195,048,240 class A1A notes at 'BBsf'; Outlook Negative; -- $268,191,331class A1B notes at 'BBsf'; Outlook Negative; -- $90,000,000 class A2 notes at 'Bsf'; Outlook Negative; -- $110,000,000 class B notes at 'CCCsf'; RE 25%; -- $41,500,000 class C notes at 'CCCsf'; RE 0%; -- $22,500,000 class D notes at 'CCCsf'; RE 0%; -- $16,000,000 class E notes at 'CCCsf'; RE 0%; -- $500,000 class F notes at 'CCCsf'; RE 0%; -- $12,500,000 class G notes at 'CCCsf'; RE 0%; -- $17,500,000 class H notes at 'CCsf'; RE 0%; -- $35,000,000 class J notes at 'CCsf'; RE 0%. RAMP SERIES: Moody's Raises Ratings on Three Tranches to 'Caa3' --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 36 tranches and confirmed the ratings of seven tranches from 15 deals issued by RAMP trusts. The collateral backing the transactions are subprime residential mortgages. Complete rating actions are as follows: Issuer: RAMP Series 2005-EFC1 Trust Cl. M-2, Upgraded to A2 (sf); previously on May 30, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade Cl. M-3, Upgraded to Ba2 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. M-4, Upgraded to Caa1 (sf); previously on May 30, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2005-EFC2 Trust Cl. M-5, Confirmed at Caa2; previously on May 30, 2012 Caa2 Placed Under Review for Possible Downgrade Issuer: RAMP Series 2005-EFC3 Trust Cl. M-2, Upgraded to A2 (sf); previously on May 30, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade Cl. M-3, Upgraded to Ba1 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. M-4, Upgraded to B2 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2005-EFC4 Trust Cl. M-1, Upgraded to A2 (sf); previously on May 30, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to Ba2 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2005-EFC5 Trust Cl. A-3, Confirmed at A2 (sf); previously on May 30, 2012 A2 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to B3 (sf); previously on Jul 15, 2011 Upgraded to Caa2 (sf) Issuer: RAMP Series 2005-EFC6 Trust Cl. A-I-3, Upgraded to A1 (sf); previously on May 30, 2012 A3 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to Ba3 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to Caa3 (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2005-RS1 Trust Cl. A-I-5, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Cl. M-II-1, Upgraded to B1 (sf); previously on May 30, 2012 B3 (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2005-RS2 Trust Cl. M-1, Upgraded to A1 (sf); previously on May 30, 2012 A3 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to Ba3 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. M-3, Upgraded to Caa1 (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Cl. M-4, Confirmed at C (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2005-RS3 Trust 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 B2 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Cl. M-3, Upgraded to Caa3 (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Cl. M-4, Confirmed at C (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2005-RS4 Trust Cl. M-1, Confirmed at A1 (sf); previously on May 30, 2012 A1 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to Ba1 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. M-3, Upgraded to B2 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. M-4, Upgraded to Caa2 (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2005-RS5 Trust Cl. M-1, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to B1 (sf); previously on May 30, 2012 B3 (sf) Placed Under Review for Possible Upgrade Cl. M-3, Upgraded to Caa2 (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2005-RS6 Trust Cl. M-1, Upgraded to Baa1 (sf); previously on May 30, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to Ba2 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Cl. M-3, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2005-RS7 Trust Cl. A-3, Upgraded to Ba3 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to Caa2 (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: RAMP Series 2005-RS8 Trust Cl. A-2, Upgraded to Baa2 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Cl. A-3, Upgraded to B2 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: RAMP Series 2005-RZ3 Trust Cl. A-3, Confirmed at A2 (sf); previously on May 30, 2012 A2 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to Baa2 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. M-3, Upgraded to Caa2 (sf); previously on Jul 15, 2011 Downgraded to Ca (sf) 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://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF293569 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 RESI FINANCE: Moody's Lowers Rating on Class B6 Tranche to 'Ca' --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches from the RESI Finance Limited Partnership 2003-D synthetic transaction, backed by prime jumbo loans by RESI Finance Limited Partnership. Issuer: RESI Finance Limited Partnership 2003-D Cl. B5, Downgraded to B3 (sf); previously on Apr 21, 2011 Downgraded to B2 (sf) Cl. B6, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Ratings Rationale The actions are a result of the recent performance of Prime jumbo pools originated before 2005 and reflect Moody's updated loss expectations on the pools.The reference portfolio of the transaction includes prime conforming and nonconforming fixed-rate and adjustable-rate mortgages purchased from various originators. The synthetic transaction provides the owner of the reference pool of mortgages (the "Protection Buyer") credit protection through a credit default swap with the issuer (the "Protection Seller") of the notes. Through this agreement, the Protection Buyer pays a fee in return for the transfer of a portion of the reference portfolio credit risk. Investors in the notes have an interest in the holdings of the issuer, which include highly rated investment instruments, a forward delivery agreement and fee collections on the agreement with the Protection Buyer. Investors are exposed to losses from the reference portfolio but benefit only indirectly from cash flows from these assets. Depending on the class of notes held, investors have credit protection from subordination. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. 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_SF293003 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269 SECURITIZED ASSET 2005-WF4: Moody's Keeps 'C' Rating on M4 Secs. ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on one tranche and confirmed the ratings on 11 tranches from five subprime RMBS transactions issued by SABR and SASCO. The impacted securities are backed by 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 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 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 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 Bonds Insured by Financial Guarantors The credit quality of a 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 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: Securitized Asset Backed Receivables LLC Trust 2005-FR5 Cl. A-1B, Confirmed at Ba2 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Confirmed at Ba2 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: MBIA Insurance Corporation (B3 placed on review for possible downgrade on Dec 19, 2011) Cl. A-2B, Confirmed at B1 (sf); previously on May 30, 2012 B1 (sf) Placed Under Review for Possible Upgrade Issuer: Securitized Asset Backed Receivables LLC Trust 2005-HE1 Cl. A-1B, Confirmed at A2 (sf); previously on May 30, 2012 A2 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Confirmed at A2 (sf); previously on May 30, 2012 A2 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: Syncora Guarantee Inc. (Downgraded to Ca, Outlook Developing on Mar 9, 2009) Cl. A-3C, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corp Trust 2005-WF4 Cl. A1, Confirmed at A1 (sf); previously on May 30, 2012 A1 (sf) Placed Under Review for Possible Upgrade Cl. M1, Confirmed at Baa3 (sf); previously on May 30, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. M2, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Cl. M3, Confirmed at Ca (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Cl. M4, Confirmed at C (sf); previously on May 30, 2012 C (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corp Trust 2006-WF2 Cl. A3, Upgraded to A3 (sf); previously on May 30, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade Cl. A4, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Securities Corporation Mortgage Pass- Through Certificates, Series 2006-BC4 Cl. A3, Confirmed at A3 (sf); previously on May 30, 2012 A3 (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_SF293165 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 SEQUOIA MORTGAGE: Moody's Raises Rating on Cl. M-1 Bond to 'Caa1' ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of Cl. M-1 from the Sequoia Mortgage Trust 2004-3 transaction. Ratings Rationale The rating of the Cl. M-1 bond was erroneously downgraded in June 2012. The targeted overcollateralization amount (OC) for this transaction is fixed at 0.5% of the cut-off date balance but was coded incorrectly in the cash-flow modeling used in the prior rating action. The calculation of the targeted OC has been corrected, and the rating action reflects that change. 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 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. Moody's adjusts the methodologies noted above for Moody's current view on loan modifications. 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 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: Sequoia Mortgage Trust 2004-3 Cl. M-1, Upgraded to Caa1 (sf); previously on Jun 15, 2012 Downgraded to Caa3 (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF293012 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 SIERRA TIMESHARE 2011-2: Fitch Keeps 'BBsf' Rating on Cl. C Notes ----------------------------------------------------------------- Fitch Ratings has taken rating actions on the notes issued by various Sierra Timeshare Receivables transactions as detailed below: Sierra Timeshare 2007-1 Receivables Funding, LLC -- Class A-1 notes affirmed at 'Asf'; Outlook Stable; -- Class A-2 notes affirmed at 'Asf'; Outlook Stable. Sierra Timeshare 2008-1 Receivables Funding, LLC -- Class A-1 notes affirmed at 'AAAsf'; Outlook Stable; -- Class A-2 notes affirmed at 'AAAsf'; Outlook Stable; -- Class B notes affirmed at 'AAsf'; Outlook Stable; -- Class C notes affirmed at 'Asf'; Outlook Stable. Sierra Timeshare 2010-3 Receivables Funding, LLC -- Class A notes affirmed at 'Asf'; Outlook revised to Stable from Positive; -- Class B notes affirmed at 'BBBsf'; Outlook revised to Stable from Positive. Sierra Timeshare 2011-2 Receivables Funding, LLC -- Class A notes affirmed at 'Asf'; Outlook Stable; -- Class B notes affirmed at 'BBBsf'; Outlook Stable; -- Class C notes affirmed at 'BBsf'; Outlook Stable. The affirmations of the 2007-1, 2008-1, 2009-2, 2010-3, and 2011-2 transactions reflect the ability of each transaction's credit enhancement to provide loss coverage consistent with the current rating levels. Fitch has revised the Rating Outlook on the class B and C notes in the 2010-3 transaction to Stable from Positive to reflect Fitch's expectation that the notes will remain sufficiently enhanced to cover the 'Asf' and 'BBBsf' stressed loss levels for the next 12 to 18 months. It is important to note that default performance in these transactions is above Fitch's initial expectations. However, due to the delevering structure of the transactions, enhancement is adequate to support the higher default pace. Fitch will continue to monitor economic conditions and their impact as they relate to timeshare asset-backed securities and the trust level performance variables and update the ratings accordingly. SORIN REAL: Fitch Affirms Junk Rating on Six Note Classes --------------------------------------------------------- Fitch Ratings has upgraded one and affirmed six classes issued by Sorin Real Estate CDO I, Ltd. (Sorin RE CDO I) as a result of significant deleveraging of the capital structure. Since Fitch's last rating action in August 2011, approximately 11.8% of the collateral has been downgraded and 5.3% has been upgraded. Currently, 85.5% of the portfolio has a Fitch-derived rating below investment grade and 52.2% has a rating in the 'CCC' category and below. Over this period, the class A-1 notes received $149.9 million in paydowns. The paydowns are due to asset sales, principal repayments from the underlying collateral, as well as the redirection of interest proceeds due to the failure of the class A/B principal coverage test. The paydowns have resulted in a significant increase in credit enhancement to the class A-1 notes. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. The breakeven rates for the class A-1 notes are generally consistent with the rating assigned below. For the class A-2 through F notes, Fitch analyzed the classes' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class A-2 notes have been affirmed at 'CCsf', indicating that default is probable. Similarly, the class B through F notes have been affirmed at 'Csf', indicating that default is inevitable. Fitch does not assign Outlooks to classes rated 'CCC' and below. Sorin RE CDO I is a commercial real estate collateralized debt obligation (CRE CDO) backed by 40 tranches from 34 obligors, the largest concentration of which is commercial mortgage-backed securities (CMBS, 46.1%). The remainder of the pool consists of commercial real estate (CRE) loans or CMBS rake bonds (25.4%), residential mortgage-backed securities (20.7%), and structured finance CDOs (7.8%). The transaction closed in July 2005, and its revolving period ended in September 2010. Fitch has taken the following actions as indicated: -- $122,963,901 class A-1 notes upgraded to 'CCCsf' from 'CCsf'; -- $27,600,000 class A-2 notes affirmed at 'CCsf'; -- $20,000,000 class B notes affirmed at 'Csf'; -- $12,745,977 class C notes affirmed at 'Csf'; -- $14,813,946 class D notes affirmed at 'Csf'; -- $4,266,488 class E notes affirmed at 'Csf'; -- $5,487,612 class F notes affirmed at 'Csf'. JPMORGAN 2002-CIBC4: Fitch Lowers Ratings on 3 Cert. Classes ------------------------------------------------------------ Fitch Ratings has downgraded and removed from Rating Watch Negative three classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., commercial mortgage pass-through certificates, series 2002-CIBC4 (JPMC 2002-CIBC4). The downgrades reflect an increase in Fitch expected loss for the pool, primarily associated with the impending resolution of the largest asset, which is real-estate owned (REO) and represents 53.2% of the pool, as well as the recovery of the associated servicer advances. Fitch modeled losses of 54.2% of the remaining pool; modeled losses including realized losses to date are 11.8% of the original pool. As of the July 2012 distribution date, the pool's certificate balance has been reduced by 85.6% (to $114.7 million from $798.9 million), of which 81.6% was due to paydowns and 4% was due to realized losses. The pool is concentrated with 19 loans remaining. One loan (2%) has been defeased. Interest shortfalls totaling $5.2 million are currently affecting classes E through NR. Fitch has designated 10 loans (88.4%) as Fitch Loans of Concern, which includes four specially serviced loans (59.9%). Significant losses are expected from the imminent sale of the REO asset, which consists of 487,170 square feet of a 1.12 million square foot regional mall located in Austin, TX. The property is under contract to be sold at a significant discount to the outstanding loan balance and is expected to close this month. The master servicer has indicated it plans to withhold all principal and interest proceeds until approximately $8.3 million of advances relating to this loan is recovered. Fitch believes this will take approximately 18 months to occur and in the interim, no certificates will receive interest or principal. The loan originally transferred to the special servicer in June 2009 for imminent default related to tenancy issues and became REO in May 2010. Subsequent tenant litigation issues and new competition caused a sharp decline in the property's performance. In addition, land that was originally owned and occupied by the mall anchors was sold to a community college, which caused a sharp decline in the property's value. While the class B is currently expected to recover its entire current balance of $2.6 million, it's difficult to gauge the amount of interest shortfalls given the uncertainty in timing of the ultimate recovery of servicer advances. The Evolving Rating Outlook on class B reflects this uncertainty. Fitch will monitor the pace at which advances are recovered over the next one to two years. The original rating on the class B was 'AA'. Fitch has downgraded, removed from Rating Watch Negative, and assigned Rating Outlooks to the following classes, as indicated: -- $2.6 million class B to 'BBBsf' from 'AAAsf'; Outlook Evolving; -- $34 million class C to 'Bsf' from 'Asf'; Outlook Negative; -- $10 million class D to 'CCCsf' from 'BBB-sf'; RE 100%. Additionally, Fitch has affirmed the following classes: -- $24 million class E at 'Csf'; RE 0%; -- $12 million class F at 'Csf'; RE 0%; -- $14 million class G at 'Csf'; RE 0%; -- $12 million class H at 'Csf'; RE 0%; -- $4 million class J at 'Csf'; RE 0%; -- $2.3 million class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%. Classes A-1, A-2, A-3, and X-2 have paid in full. Fitch does not rate class NR. SOUNDVIEW HOME 2005-4: Moody's Lifts Rating on M-1B Tranche to B3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on three tranches and confirmed the ratings on one tranche from three subprime RMBS transactions issued by Soundview. The collateral backing these transactions are subprime residential mortgage loans. Complete rating actions are as follows: Issuer: Soundview Home Loan Trust 2005-4 Cl. M-1A, Upgraded to B1 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade Cl. M-1B, Upgraded to B3 (sf); previously on May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade Issuer: Soundview Home Loan Trust 2006-EQ1 Cl. A-2, Upgraded to A2 (sf); previously on May 30, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade Issuer: Soundview Home Loan Trust 2006-OPT1 Cl. II-A-3, Confirmed at Ba3 (sf); previously on May 30, 2012 Ba3 (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 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://moodys.com/viewresearchdoc.aspx?docid=PBS_SF293169 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 SOUNDVIEW HOME: Moody's Confirms 'Caa2' Ratings on Two Tranches --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on one tranche and confirmed the ratings on four tranches from five subprime RMBS transactions issued by Soundview. The collateral backing these transactions are subprime residential mortgage loans. Complete rating actions are as follows: Issuer: Soundview Home Loan Trust 2006-2 Cl. A-4, Confirmed at Ba2 (sf); previously on May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade Issuer: Soundview Home Loan Trust 2006-OPT2 Cl. A-4, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Issuer: Soundview Home Loan Trust 2006-OPT3 Cl. II-A-4, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Issuer: Soundview Home Loan Trust 2006-WF2 Cl. A-2D, Confirmed at B2 (sf); previously on May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade Issuer: Soundview Home Loan Trust 2007-NS1, Asset-Backed Certificates, Series 2007-NS1 Cl. A-1, Upgraded to A1 (sf); previously on May 30, 2012 Baa3 (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 upgrade in the rating action is a result of improving performance and/or structural features resulting in lower/higher expected losses for the bond 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 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_SF293545 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 SPECIALTY UNDERWRITING: Moody's Lifts Rating on A-2D Tranche to B2 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on three tranches from Specialty Underwriting and Residential Finance Series 2006-BC1. Collateral backing this transaction are subprime residential mortgages. Complete rating actions are as follows: Issuer: Specialty Underwriting and Residential Finance Series 2006-BC1 Cl. A-1, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba1 (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 B2 (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 this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. Moody's adjusts the methodologies noted above for Moody's current view on loan modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013. To assess the rating implications of the updated loss levels on subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation(R)(SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to extended foreclosure timelines by servicers is taken into consideration when assigning ratings. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in April 2011 to 8.2% 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_SF293170 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 SPRINGLEAF MORTGAGE 2012-2: S&P Rates Class B-2 Notes 'BB(sf)' -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Springleaf Mortgage Loan Trust 2012-2's $970.034 million mortgage-backed notes series 2012-2. "The note issuance is a residential mortgage-backed securities transaction backed by seasoned first-lien, fixed-rate, and adjustable-rate, residential mortgage loans secured by one- to four-family residences, manufactured housing, land, and packages of multiple real properties to subprime borrowers," S&P said. The preliminary ratings are based on information as of July 31, 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 likelihood that the expected credit enhancement of 49.50%, 41.25%, 36.50%, 31.25%, 27.90%, 23.00%, and 18.45% will be able to withstand S&P's 'AAA', 'AA', 'A+', 'A-', 'BBB', 'BB', and 'B' stress scenarios, respectively, for this portfolio, which will be secured by residential mortgage loans. The credit enhancement comprises subordination, an interest shortfall reserve fund, excess interest, and overcollateralization. - The risks and mitigating factors S&P sees based on the results of Standard & Poor's Ratings Services' mortgage originator and conduit reviews, third-party due-diligence review, and representations and warranties review with respect to the mortgage assets. Pursuant to earlier transactions, S&P performed a full mortgage originator review of Springleaf Finance Corp. (Springleaf), which included a review of its acquisition program and an onsite review. S&P had previously assigned a 'Middle Tier' ranking to Springleaf. Given that the originator has since exited the origination business and less than 1% of the loans in this transaction were originated in the last two years, S&P will rely solely on the originator's historical loan performance to inform our credit enhancement factor. - The timing of losses, the foreclosed properties' recovery value, and S&P's default assumptions. 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/1111747.pdf PRELIMINARY RATINGS ASSIGNED Springleaf Mortgage Loan Trust 2012-2 Class Rating Amount (mil. $) A AAA (sf) 532.549 M-1 AA (sf) 78.572 M-2 A+ (sf) 55.292 M-3 A- (sf) 47.532 M-4 BBB (sf) 36.861 B-1 BB (sf) 53.352 B-2 B (sf) 54.322 C NR TBD R NR N/A NR-Not rated. N/A-Not applicable. TBD-To be determined. STRUCTURED ASSET: Moody's Cuts Ratings on Two Tranches to 'C' ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 17 tranches from three deals issued by Structured Asset Securities Corporation. The collateral backing these transactions consists of loans originated by the Small Business Administration to borrowers who have experienced property losses in disasters recognized by the United States federal government. Complete rating actions are as follows: Issuer: Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1 Cl. AIO(2), Downgraded to Ba3 (sf); previously on Jun 29, 2011 Downgraded to Baa2 (sf) Cl. AIO(3), Downgraded to Ba3 (sf); previously on Jun 29, 2011 Downgraded to Baa2 (sf) Issuer: Structured Asset Securities Corporation Assistance Loan Trust 2003-AL1 Cl. B1, Downgraded to Ba1 (sf); previously on Jun 29, 2011 Downgraded to Baa3 (sf) Cl. B2, Downgraded to B3 (sf); previously on Jun 29, 2011 Downgraded to B1 (sf) Cl. B3, Downgraded to Ca (sf); previously on Jun 29, 2011 Downgraded to Caa1 (sf) Cl. B4, Downgraded to C (sf); previously on Jun 29, 2011 Downgraded to Caa2 (sf) Issuer: Structured Asset Securities Corporation Mortgage Pass- Through Certificates, Series 2001-SB1 Cl. A2 Component 1, Downgraded to Ba1 (sf); previously on Jun 29, 2011 Downgraded to Baa3 (sf) Cl. A2 Component 2, Downgraded to Ba1 (sf); previously on Jun 29, 2011 Downgraded to Baa3 (sf) Cl. A4, Downgraded to Ba1 (sf); previously on Jun 29, 2011 Downgraded to Baa3 (sf) Cl. A5, Downgraded to Ba1 (sf); previously on Jun 29, 2011 Downgraded to Baa3 (sf) Cl. APO, Downgraded to Ba2 (sf); previously on Jun 29, 2011 Downgraded to Ba1 (sf) Cl. AIO, Downgraded to B1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. B1, Downgraded to B3 (sf); previously on Jun 29, 2011 Downgraded to B1 (sf) Cl. B2, Downgraded to Caa2 (sf); previously on Jun 29, 2011 Downgraded to Caa1 (sf) Cl. B3, Downgraded to Caa3 (sf); previously on Jun 29, 2011 Downgraded to Caa1 (sf) Cl. B4, Downgraded to Ca (sf); previously on Jun 29, 2011 Downgraded to Caa1 (sf) Cl. B5, Downgraded to C (sf); previously on Jun 29, 2011 Downgraded to Caa1 (sf) Ratings Rationale The actions were prompted by the deteriorated collateral credit performance and increase in loss expectation on these transactions. In addition, Moody's has corrected the ratings on Class AIO (2) and Class AIO (3) from Structured Asset Securities Corp. Pass- Through Certificates, Series 2002-AL1. Due to an internal administrative error, these tranches were initially misclassified and thus not included in the February 22, 2012 rating action on certain RMBS interest-only securities. The Class AIO tranches from this transaction are interest-only tranches linked to the non- discount assistance loans in the related loan pool. Moody's method for rating IOs referencing a single pool is determined to be the lowest of i) Ba3 (sf); ii) the highest current tranche rating on outstanding bonds backed by the referenced pool; or iii) the rating corresponding to the pool expected loss. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, "Second Lien RMBS Loss Projection Methodology: April 2010" published in April 2010, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. Moody's expects growth in the US to remain below trend for the rest of 2012, and then pick up again in 2013. The unemployment rate fell from 9.0% 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, sensitivity analysis, and updated estimated pool losses may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF293013 SYMPHONY CLO X: S&P Rates Class E Deferrable Notes 'BB' ------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Symphony CLO X Ltd./Symphony CLO X LLC's $374.75 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Aug. 1, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: - The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. - The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. - The transaction's legal structure, which is expected to be bankruptcy remote. - The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. - The collateral manager's experienced management team. S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using S&P's cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.3439%-12.6500%. - The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com PRELIMINARY RATINGS ASSIGNED Symphony CLO X Ltd./Symphony CLO X LLC Class Rating Amount (mil. $) X AAA (sf) 3.25 A AAA (sf) 260.00 B AA (sf) 36.00 C (deferrable) A (sf) 40.00 D (deferrable) BBB (sf) 19.00 E (deferrable) BB (sf) 16.50 Subordinated notes NR 43.00 NR-Not rated. U.S. EDUCATION: Fitch Affirms 'Bsf' Ratings on Four Loan Classes ---------------------------------------------------------------- Fitch Ratings has affirmed the senior and subordinate student loan notes issued by U.S. Education Loan Trust IV, LLC - March 1, 2006 Indenture of Trust at 'AAAsf' and 'Bsf,' respectively. The Rating Outlook remains Negative for the senior notes and remains Stable for the subordinate notes. The collateral supporting the notes is comprised of student and consolidation loans originated under the Federal Family Education Loan Program (FFELP). The Negative Outlook on the senior notes is tied to the outlook on the U.S. sovereign rating. Fitch used its 'Global Structured Finance Rating Criteria,' and 'U.S. FFELP Student Loan ABS Rating Criteria', to review the ratings. Fitch affirms the ratings on the senior notes based on the sufficient level of credit enhancement to cover the applicable risk factor stresses. Credit enhancement for the senior notes consists of projected minimum excess spread, overcollateralization, and subordination provided by the Class B notes. Fitch also affirms the subordinate notes based upon an increase in parity over the past year from 97.44% to 99.43%, as the trust has bought bonds at a discount. The trust expects to continue purchasing bonds at a discount, and parity is expected to rise. Fitch will continue to monitor the trust's performance. Fitch has taken the following rating actions: U.S. Education Loan Trust IV, LLC - March 1, 2006 Indenture of Trust: -- Class 2006-1 A-2 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-1 A-3 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-1 A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-1 A-5 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-1 A-6 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-1 A-7 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-1 A-8 affirmed at 'AAAsf'; Outlook Negative. -- Class 2006-2 A-1 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-2 A-2 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-2 A-3 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-2 A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-2 A-5 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-2 A-6 affirmed at 'AAAsf'; Outlook Negative; -- Class 2006-2 A-7 affirmed at 'AAAsf'; Outlook Negative; -- Class 2007-1 A-2 affirmed at 'AAAsf'; Outlook Negative; -- Class 2007-1 A-3 affirmed at 'AAAsf'; Outlook Negative; -- Class 2007-1 A-4 affirmed at 'AAAsf'; Outlook Negative. -- Class 2006-1 B-1 affirmed at 'Bsf'; Outlook Stable; -- Class 2006-1 B-2 affirmed at 'Bsf'; Outlook Stable; -- Class 2006-2 B-1 affirmed at 'Bsf'; Outlook Stable; -- Class 2007-1 B-1 affirmed at 'Bsf'; Outlook Stable. VERTICAL CRE: Fitch Cuts Rating on Seven Note Classes to 'Dsf' -------------------------------------------------------------- Fitch Ratings has taken various rating actions on notes issued by Vertical CRE CDO 2006-1 Ltd./Corp. (Vertical 2006-1). Fitch downgraded seven classes to 'Dsf' and affirmed one class at 'Dsf' due to payment defaults. Subsequently, Fitch has withdrawn the ratings on all the notes. On the Sept. 22, 2009 payment date, the overcollateralization (OC) Default Trigger fell below 105% which resulted in an Event of Default. On Oct. 8, 2009, the holder of a majority in Aggregate Principal Amount of the class A notes and the class B notes, voting together as a single class, declared the principal of the notes to be immediately due and payable. Liquidation proceeds were disbursed on July 23, 2012. The class A notes recovered 75% of its current outstanding principal balance (89% of its original balance when including prior paydowns) after application of net proceeds from the liquidation of the collateral. No proceeds were available to pay any principal on the junior classes. Fitch has downgraded and withdrawn the ratings on the following classes: -- $0 class A notes to 'Dsf' from 'CCsf' and withdrawn; -- $0 class C notes to 'Dsf' from 'Csf' and withdrawn; -- $0 class D notes to 'Dsf' from 'Csf' and withdrawn; -- $0 class E notes to 'Dsf' from 'Csf' and withdrawn; -- $0 class F notes to 'Dsf' from 'Csf' and withdrawn; -- $0 class G notes to 'Dsf' from 'Csf' and withdrawn; -- $0 class H notes to 'Dsf' from 'Csf' and withdrawn. Fitch has affirmed and withdrawn the rating on the following class: -- $0 class B notes at 'Dsf' and withdrawn. WACHOVIA BANK 2006-C28: Moody's Cuts Rating on 2 Note Classes to C ------------------------------------------------------------------ Moody's Investors Service downgraded the ratings of eight classes and affirmed 15 classes of Wachovia Bank Commercial Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates, Series 2006-C28 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-PB, Affirmed at Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4FL, Affirmed at Aaa (sf); previously on Jan 22, 2007 Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-M, Downgraded to Baa1 (sf); previously on Nov 11, 2010 Downgraded to Aa3 (sf) Cl. A-J, Downgraded to B2 (sf); previously on Nov 11, 2010 Downgraded to Ba1 (sf) Cl. B, Downgraded to B3 (sf); previously on Nov 11, 2010 Downgraded to Ba3 (sf) Cl. C, Downgraded to Caa1 (sf); previously on Nov 11, 2010 Downgraded to B3 (sf) Cl. D, Downgraded to Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa1 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Nov 11, 2010 Downgraded to Caa2 (sf) Cl. F, Downgraded to C (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Cl. G, Downgraded to C (sf); previously on Nov 11, 2010 Downgraded to Ca (sf) Cl. H, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. P, Affirmed at C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. IO, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to higher than expected losses from troubled loans and loans in special servicing. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 13.4% of the current balance. At last review, Moody's cumulative base expected loss was 10.1%. Realized losses have increased from 0.5% of the original balance to 0.9% 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 37 compared to 40 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R)(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated August 25, 2011. Deal Performance As of the July 17, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 10% to $3.2 billion from $3.6 billion at securitization. The Certificates are collateralized by 190 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 45% of the pool. Thirty-seven loans, representing 23% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool, resulting in an aggregate realized loss of $33.1 million (68% loss severity on average). In addition, one loan was modified with a principal write-down of $0.8 million, resulting in a total certificate loss of $33.9 million. Thirty-one loans, representing 21% of the pool, are currently in special servicing. The largest specially serviced loan is the Montclair Plaza Loan ($190.0 million -- 5.9% of the pool), which is secured by a 875,085 square foot (SF) regional mall located in Montclair, California. The collateral is anchored by JC Penney and also includes an anchor space that is currently vacant. Excluded from the collateral are shadow anchors including Macy's, Sears and Nordstrom. Prior to foreclosure, the loan's sponsor was General Growth Properties Inc. (GGP). This property was not part of GGP's bankruptcy filing. The loan was transferred to special servicing in January 2010 for monetary default and became real estate owned (REO) in March 2011. As of May 2012 the inline occupancy was 80% excluding temporary tenants (94% including temporary tenants). In-line sales for tenants less than 10,000 SF was $346 as of May 2012 with an occupancy cost of 18.2%. The second largest specially serviced loan is the Four Seasons Resorts and Club -- Dallas, TX Loan ($175.0 million -- 5.4% of the pool) which is secured by a 431 room AAA Five Diamond rated hotel located in Irving, Texas. The loan was transferred to special servicing in October 2009 due to imminent payment default due to property level cash flow problems. Subsequently foreclosure was filed in April 2010 and the loan became real estate owned (REO) in June 2010. The trailing-12 month RevPar as of June 2012 was $144.04, a 1.3% increase from 2011. The remaining 29 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $288.9 million loss for the specially serviced loans (43% expected loss on average). Moody's has assumed a high default probability for fifteen poorly performing loans representing 15% of the pool and has estimated an aggregate $65.3 million loss (13% expected loss on average) from these troubled loans. Moody's was provided with full and or partial year 2011 operating results for 96% of the pool's non-specially serviced loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 112% compared to 119% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.23X and 0.95X, respectively, compared to 1.21X and 0.89X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 17.9% of the pool. The largest conduit loan is The Gas Company Tower Loan ($229.0 million -- 7.1% of the pool), which represents a pari passu interest in a $458.0 million first mortgage loan. The loan is secured by a 1.3 million square foot Class A office building located in downtown Los Angeles, California. The loan is on the watchlist due to declining occupancy and base rent. The largest tenant, Southern California Gas Company (30% NRA, lease expiration 10/31/2026), significantly reduced both their space and base rent in November 2011. Additionally, a tenant representing 8% of NRA vacated in November 2011. As of March 2012, the property was 82% leased compared to 95% at last review. The loan's sponsor, Maguire, indicated that it does not intend to dispose of this asset since it has a tax indemnification obligation on it. The loan is interest only for the entire term and matures in August 2016. Due to the decline in both occupancy and base rent, Moody's views this loan as a troubled loan. Moody's LTV and stressed DSCR are 167% and 0.57X, respectively, compared to 133% and 0.71X as last review. The second largest loan is the 1180 Peachtree Street Loan ($193.9 million -- 6.0% of the pool), which is secured by a 669,711 square foot Class A office building located in Atlanta, Georgia. The largest tenant is King & Spalding, which leases 66% of the NRA through March 2021. As of March 2012, the property was 92% leased compared to 91% at last review, and less than 1% of the NRA expires in the next 18 months. Moody's LTV and stressed DSCR are 123% and 0.81X, respectively, compared to 125% and 0.80X at last review. The third largest loan is the 311 South Wacker Drive Loan ($157.1 million -- 4.8% of the pool), which is secured by a 1.3 million square foot Class A office tower located in downtown Chicago, Illinois. The top three tenants include Freeborn & Peters LLP (9% of the NRA; lease expiration November 2022), Duff & Phelps LLC (6% of the NRA; lease expiration September 2021) and CB Richard Ellis Inc (5% of the NRA; lease expiration November 2014). As of March 2012 the property was 90% leased compared to 91% at last review. The property's performance will continue to benefit from base rent increases for Freeborn & Peters LLP and Duff & Phelps LLC that occurred in the first half of 2012. After the conclusion of a five year interest only period, the loan began amortizing in September 2011. Moody's LTV and stressed DSCR are 100% and 0.97X, respectively, compared to 104% and 0.94X at last review. WAMU 2003-AR12: Moody's Lifts Ratings on Two Tranches to 'Ca' ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of six tranches and confirmed the rating of one tranche from two RMBS transactions, backed by prime jumbo loans, issued by Washington Mutual. Ratings Rationale The actions are a result of the recent performance review of Prime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The rating action consists of a number of upgrades. The upgrades for WaMu Mortgage-Backed Pass-Through Certificates, Series 2001-AR5 reflect the correction of a database error that caused historical delinquency amounts to be overstated and led to higher projected losses for the deal in previous rating actions. As a result of the correction, Moody's is now projecting lower losses for this deal. When considered in relation to the amount of credit enhancement, these lower projected losses have resulted in ratings upgrades for the bonds. The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is set at 3% for Jumbo and which is typically higher than the average rate of new delinquencies for larger pools. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The fewer the number of loans remaining in the pool, the higher the volatility in performance. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans, the adjusted rate of new delinquency would be 3.03%. In addition, if current delinquency levels in a small pool are low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication listed above. When assigning the final ratings to senior bonds, in addition to the methodologies described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The above methodology only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. 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 changes can impact the performance of these transactions. Complete rating actions are as follows: Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR12 Trust Cl. B-1, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Issuer: WaMu Mortgage-Backed Pass-Through Certificates, Series 2001-AR5 Cl. I-A, Upgraded to A3 (sf); previously on Apr 20, 2011 Downgraded to B1 (sf) Cl. B-1, Upgraded to B1 (sf); previously on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Cl. B-2, Upgraded to B3 (sf); previously on Apr 20, 2011 Downgraded to Ca (sf) Cl. B-3, Upgraded to Caa3 (sf); previously on Apr 20, 2011 Downgraded to Ca (sf) Cl. B-4, Upgraded to Ca (sf); previously on Apr 20, 2011 Downgraded to C (sf) Cl. B-5, Upgraded to Ca (sf); previously on Apr 20, 2011 Downgraded to C (sf) A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF293258 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269 WFRBS 2011-C4: Stable Performance Cues Fitch to Affirm All Ratings ------------------------------------------------------------------ Fitch Ratings has affirmed all the ratings of Wells Fargo Bank, N.A. WFRBS Commercial Mortgage Trust 2011-C4 commercial mortgage pass-through certificates. The affirmations are based on the stable performance of the underlying collateral pool since issuance. Fitch modeled losses of 1.2% of the current pool. The pool has experienced no realized losses to date. Fitch has not designated any loans as Fitch Loans of Concern, and no loans are in special servicing. As of the July 2012 distribution date, the pool's aggregate principal balance has been paid down by 1.1% to $1.46 billion from $1.48 billion at issuance. No loans have defeased since issuance. Fitch affirms the following classes as indicated: -- $77.1 million class A-1 at 'AAAsf'; Outlook Stable; -- $201.4 million class A-2 at 'AAAsf'; Outlook Stable; -- $164.9 million class A-3 at 'AAAsf'; Outlook Stable; -- $90 million class A-FL 'AAAsf'; Outlook Stable; -- $0 class A-FX at 'AAAsf'; Outlook Stable; -- $681.4 million class A-4 at 'AAAsf'; Outlook Stable; -- Interest-only class X-A at 'AAAsf'; Outlook Stable; -- $42.6 million class B at 'AAsf'; Outlook Stable; -- $42.6 million class C at 'A+sf'; Outlook Stable; -- $33.3 million class D at 'A-sf'; Outlook Stable; -- $51.8 million class E at 'BBB-sf'; Outlook Stable; -- $20.4 million class F at 'BBsf'; Outlook Stable; -- $18.5 million class G at 'Bsf'; Outlook Stable. Fitch does not rate the class H and the interest-only class X-B. * Fitch Cuts Ratings on 649 Distressed Bonds in 294 US RMBS Deals ----------------------------------------------------------------- Fitch Ratings has downgraded 694 distressed bonds in 294 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', all classes were previously rated 'Csf' or 'CCsf'. All ratings below 'Bsf' indicate a default is expected. As part of this review, the Recovery Estimates of the defaulted bonds were not revised. Additionally, the review only focused on the bonds which defaulted and did not include any other bonds in the affected transactions. Of the 694 classes affected by these downgrades, 366 are Prime, 247 are Alt-A, and 64 are Subprime. The remaining transaction types are other sectors. The majority of the bonds (60.3%) have a Recovery Estimate of 50% - 90%, which indicates that the bonds will recover 50% - 90% of the current outstanding balance, while 19.7% have a Recovery Estimate of 0%. A spreadsheet detailing Fitch's rating actions can be found at 'www.fitchratings.com' by performing a title search for 'Fitch Downgrades 694 Distressed Bonds to 'Dsf' in 294 U.S. RMBS Transactions'. These actions were reviewed by a committee of Fitch analysts. The spreadsheet provides the contact information for the performance analyst. The spreadsheet also details Fitch's assignment of Recovery Estimates (REs) to the transactions. The Recovery Estimate scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, Recovery Estimates are designed to estimate recoveries on a forward-looking basis. * Fitch Takes Various Rating Actions on 18 CRE CDOs --------------------------------------------------- Fitch Ratings has downgraded 16 classes and affirmed 179 classes from 18 commercial real estate collateralized debt obligations (CRE CDOs) with exposure to commercial mortgage backed securities (CMBS). A rating action spreadsheet, titled 'Fitch Takes Various Rating Actions on 18 CRE CDOs', dated Aug. 2, 2012, details the individual rating actions for each rated CDO. It can be found on Fitch's website at 'www.fitchratings.com' by performing a title search or by using the link below. For further information and transaction research, please refer to 'www.fitchratings.com'. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. None of the reviewed transactions have been analyzed within a cash flow model framework, as the impact of structural features and excess spread, or conversely, principal proceeds being used to pay CDO liabilities and hedge payments, was determined to be minimal in the context of these CDO ratings. For transactions where the percentage of collateral experiencing full interest shortfalls in the portfolio already significantly exceeds the credit enhancement (CE) level of the most senior class of notes, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring potential further losses from the remaining portion of the portfolios. Therefore, these transactions were not modeled using the Structured Finance Portfolio Credit Model (SF PCM). For the CWCapital Cobalt Vr transaction, the credit enhancement (CE) level of the senior class of notes, class A-1, is well in excess of the percentage of interest shortfalls for the transaction (58.8%). Fitch used SF PCM to project future losses from the transaction's entire portfolio and compared credit enhancement of the class to the loss rates. The class A-1 notes for this transaction were affirmed at 'CCCsf' because the CE is comparable to the 'CCC' rating loss rate (RLR) projected by SF PCM. The class is the most senior class and has received approximately $32.2 million in paydowns since the last rating action. The one class downgraded to 'Csf' and 100 classes affirmed at 'Csf' are notes whose CE levels are significantly below the percentage of collateral experiencing interest shortfalls, full or partial. The CE levels are also significantly below the percentage of the collateral with a Fitch derived rating of 'CC' and below. Due to the extent of distress in these portfolios, Fitch believes default continues to appear inevitable for these classes. Thirteen classes were affirmed at 'Dsf' because they are non- deferrable classes that have and are expected to continue to experience further interest payment shortfalls. Fifteen classes were downgraded and 65 classes affirmed at 'Dsf' because the classes have experienced principal writedowns. In addition, Fitch has marked one class 'PIF'. The class marked 'PIF' in the Abacus 2007-18 transaction has been fully redeemed under the Optional Redemption provision. Fitch does not assign Rating Outlooks to classes rated in the 'CCC' and lower categories. * S&P Affirms Ratings on 14 Classes From 10 RMBS Transactions ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on one class from one U.S. residential mortgage-backed securities (RMBS) transaction. "In addition, we affirmed our ratings on 14 classes from 10 other transactions. We also withdrew our ratings on two classes: one class that was paid in full and one class due to the small number of loans remaining and the lack of sufficient information to maintain the rating. The transactions in this review are backed by closed-end second-lien or home equity line of credit (HELOC) mortgage loans issued from 2000 through 2007," S&P said. "We reviewed the transactions issued before 2004 in accordance with our criteria in 'Methodology and Assumptions For U.S. RMBS Issued Before 2005,' published March 12, 2009. As such, we subjected delinquent loans to a 100% default likelihood distributed evenly over a period of six months. We also applied a loss severity (loss given default) of 100%, which we applied to all transactions backed predominantly by second liens," S&P said. "Due to the extended seasoning and longevity of transactions outstanding that closed in 2004, we also applied our criteria when reviewing transactions issued in 2004 in lieu of the criteria described in 'How Standard & Poor's Is Revising Its Loss Curves For U.S. Closed-End Second-Lien RMBS,' published Dec. 20, 2007, and 'Loss Curve Applied to U.S. HELOC RMBS Issued in 2004-2007,' published May 22, 2008. Due to the length of the loss curve we typically apply to 2004-vintage transactions, in conjunction with transaction seasoning, we believe that the application of the pre- 2004 criteria was more appropriate for our review of the transactions that closed in 2004," S&P said. "For the remaining transactions within this review issued between 2005 and 2007, we used the greater of (i) the losses provided in 'Assumptions: Revised Lifetime Loss Projections For U.S. Closed- End Second-Lien And HELOC RMBS Transactions Issued In 2005, 2006, And 2007,' published Dec. 21, 2009, (ii) the losses projected in accordance with the criteria applied for 2004 and prior vintages, and (iii) the losses projected in accordance with the second-lien loss curve described in 'Loss Curve Applied To U.S. HELOC RMBS Issued in 2004-2007,' published May 22, 2008, and 'How Standard & Poor's Is Revising Its Loss Curves For U.S. Closed-End Second-Lien RMBS,' published Dec. 20, 2007. We also used the second-lien loss curve for the timing of losses for mortgage pools that were seasoned less than 76 months, regardless of the methodology applied to project the dollar loss. Since the curve only extends over 82 months, we applied losses for a minimum of six months, distributed evenly, for mortgage pools that were seasoned more than 76 months," S&P said. "Extended loan seasoning and updated performance data was a driving factor in the application of different methodologies for certain transactions. As such, on Dec. 27, 2011, we published 'Advance Notice Of Proposed Criteria Change: Surveillance Methodology And Assumptions For U.S. RMBS Transactions Backed By Second-Lien Mortgage Loans,' in which we provided notice that we expect to update our methodology and assumptions to consider the extended seasoning of these transactions compared with our existing methodology. As a result, the application of the forthcoming criteria update could result in additional ratings changes for RMBS transactions backed by second-lien loans," S&P said. "We evaluated all transactions with our 'middle' interest rate vectors. For HELOC transactions, however, we also used our 'low' interest rate vectors. In general, the bonds in these transactions receive interest indexed to one-month LIBOR, while the underlying loans pay interest indexed to the prime rate. The difference between the two indices can result in excess interest, which can contribute to a considerable portion of the credit support for these transactions. Therefore, we use the 'low' interest rate vectors to stress the amount of excess interest produced, as these vectors have the lowest overall differential between LIBOR and the prime rate," S&P said. "The downgrade reflects our belief that projected credit enhancement for this class will be insufficient to cover the projected loss at the previous rating level," S&P said. "Affirmations above 'CCC (sf)' reflect our belief that projected credit enhancement for the affected classes will be sufficient to cover our projected losses at the current rating levels," S&P said. "Affirmations of '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. "We withdrew our ratings on class A-1 from CWHEQ Home Equity Loan Trust Series 2007-S3 because the class has been paid in full," S&P said. "We withdrew our rating on class A-2 from GMACM Home Equity Loan Trust 2000-HE2 as this class is backed by a pool with a small number of remaining loans. If any of the remaining loans default, the resulting loss could have a greater effect on the pool's performance than if the pool consisted of a larger number of loans. Because this performance volatility may have an adverse effect on our outstanding rating, we withdrew our rating on the related transaction," S&P said. "The rating on class A-1 from GMACM Home Equity Loan Trust 2000- HE2 is the higher of (i) the rating on the class without the benefit of bond insurance, and (ii) the rating on the insurance provider, MBIA Insurance Corp. (B)," S&P said. "The rating on the notes from CWABS Master Trust Series 2004-C is the higher of (i) the rating on the class without the benefit of bond insurance, and (ii) the rating on the insurance provider, Financial Guaranty Insurance Co. (not rated)," S&P said. The ratings on classes 1-A and 2-A from CWABS Master Trust Series 2004-B are the higher of (i) the ratings on the classes without the benefit of bond insurance, and (ii) the rating on the insurance provider, Financial Guaranty Insurance Co. (not rated). The ratings on classes A-1 and A-2 from GreenPoint Home Equity Loan Trust 2004-2 are the higher of (i) the ratings on the classes without the benefit of bond insurance, and (ii) the rating on the insurance provider, Ambac Assurance Corp. (not rated). The rating on class A from GreenPoint Home Equity Loan Trust 2004- 3 is the higher of (i) the rating on the class without the benefit of bond insurance, and (ii) the rating on the insurance provider, Ambac Assurance Corp. (not rated). The rating on the notes from CWABS Revolving Home Equity Loan Trust Series 2004-I is the higher of (i) the rating on the class without the benefit of bond insurance, and (ii) the rating on the insurance provider, MBIA Insurance Corp. ('B'). The rating on the notes from CWABS Revolving Home Equity Loan Trust Series 2004-S is the higher of (i) the rating on the class without the benefit of bond insurance, and (ii) the rating on the insurance provider, Ambac Assurance Corp. (not rated). The rating on class A from CWHEQ Revolving Home Equity Loan Trust Series 2005-L is the higher of (i) the rating on the class without the benefit of bond insurance, and (ii) the rating on the insurance provider, Ambac Assurance Corp. (not rated). The ratings on classes A-1 and A-2 from Terwin Mortgage Trust 2006-4SL are the higher of (i) the ratings on the classes without the benefit of bond insurance, and (ii) the rating on the insurance provider, Ambac Assurance Corp. (not rated). The ratings on classes A-1, A-2 and A-3 from CWHEQ Home Equity Loan Trust Series 2007-S3 are the higher of (i) the ratings on the classes without the benefit of bond insurance, and (ii) the rating on the insurance provider, MBIA Insurance Corp. ('B'). "In order to maintain a 'B' rating on a class, we assessed whether, in our view, the class could absorb the remaining base- case loss assumptions used in our analysis," S&P said. Subordination, overcollateralization (prior to its depletion), excess spread, when applicable, and bond insurance provide credit support for the affected transactions. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS CWABS Revolving Home Equity Loan Trust, Series 2004-S Series 2004-S Rating Class CUSIP To From Notes 126673QR6 CC (sf) CCC (sf) CWHEQ Home Equity Loan Trust, Series 2007-S3 Series 2007-S3 Rating Class CUSIP To From A-1 12670HAA4 NR B (sf) GMACM Home Equity Loan Trust 2000-HE2 Series 2000-HE2 Rating Class CUSIP To From A-2 361856AP2 NR B (sf) RATINGS AFFIRMED CWABS Master Trust Series 2004-C Class CUSIP Rating Notes 1266715Y8 CCC (sf) CWABS Master Trust Series 2004-B Class CUSIP Rating 1-A 1266715W2 CCC (sf) 2-A 1266715X0 CC (sf) CWABS Revolving Home Equity Loan Trust, Series 2004-I Series 2004-I Class CUSIP Rating Notes 126673FH0 B (sf) CWHEQ Home Equity Loan Trust, Series 2007-S3 Series 2007-S3 Class CUSIP Rating A-2 12670HAB2 B (sf) A-3 12670HAC0 B (sf) CWHEQ Revolving Home Equity Loan Trust, Series 2005-L Series 2005-L Class CUSIP Rating A 126685BA3 CCC (sf) First Franklin Mortgage Loan Trust 2003-FFC Series 2003-FFC Class CUSIP Rating M-1 32027NCP4 CC (sf) GMACM Home Equity Loan Trust 2000-HE2 Series 2000-HE2 Class CUSIP Rating A-1 361856AN7 B (sf) GreenPoint Home Equity Loan Trust 2004-2 Series 2004-2 Class CUSIP Rating A-1 395385AT4 CC (sf) A-2 395385AU1 CC (sf) GreenPoint Home Equity Loan Trust 2004-3 Series 2004-3 Class CUSIP Rating A 395385AW7 CCC (sf) Terwin Mortgage Trust 2006-4SL Series 2006-4SL Class CUSIP Rating A-1 881561W91 CCC (sf) A-2 881561X25 CCC (sf) * S&P Raises Ratings on 22 Tranches From 18 CDO Transactions ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on 22 tranches from 18 corporate-backed synthetic CDO transactions and removed them from CreditWatch with positive implications. "In addition, we affirmed one rating from one corporate-backed synthetic CDO transaction and removed it from CreditWatch positive," S&P said. "The upgrades affect synthetic CDOs that experienced a combination of upward rating migration in their underlying reference portfolios, seasoning of the underlying reference names, and an increase in their synthetic rated overcollateralization (SROC) ratios such that they were above 100% at the higher rating levels as of the July review and at our projection of the SROC ratios in 90 days assuming no credit migration. The affirmation affected a synthetic CDO that had appropriate credit support at its current 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 RATING ACTIONS Credit Default Swap US$225 mil Swap Risk Rating - 'Paoli' Ref No. 64451 Rating Class To From Tranche BBB+srp (sf) BB+srp (sf)/Watch Pos Credit Default Swap US$300 mil Morgan Stanley Capital Services Inc. - ESP Funding I, Ltd. REF: NGNGX Rating Class To From Tranche BBBsrb (sf) BBB-srb (sf) /Watch Pos Credit-Linked Trust Certificates Series 2005-I Rating Class To From 2005-I-H AA+ (sf) AA (sf)/Watch Pos 2005-I-I AA- (sf) A+ (sf)/Watch Pos 2005-I-J A+ (sf) A (sf)/Watch Pos Elva Funding PLC Series 2008-3 Rating Class To From Notes A+ (sf) A (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 1 Rating Class To From A1A-$LS BBB (sf) BBB- (sf)/Watch Pos Greylock Synthetic CDO 2006 Series 4 Rating Class To From A1JPYLS BBB (sf) BBB- (sf)/Watch Pos Infiniti SPC Limited US$31 mil Infiniti SPC Limited Acting on Behalf of and for the Account of the Potomac Synthetic CDO 2007-1 Segregated Portfolio Series 10B-1 Rating Class To From 10B-1 B (sf) B- (sf)/Watch Pos Landgrove Synthetic CDO SPC Series 2007-2 Rating Class To From 7A2 Sr BB- (sf) CCC- (sf)/Watch Pos Lorally CDO Limited Series 2007-3 Series 2007-3 Rating Class To From 2007-3 A+ (sf) A (sf)/Watch Pos Momentum CDO (Europe) Ltd. Series 2005-9 Rating Class To From Notes BB (sf) BB- (sf)/Watch Pos Morgan Stanley ACES SPC Series 2007-9 Rating Class To From III BB-p (sf) B+p (sf)/Watch Pos Morgan Stanley ACES SPC Series 2007-8 Rating Class To From A1 CCC- (sf) CCC- (sf)/Watch Pos Morgan Stanley Managed ACES SPC Series 2005-1 Rating Class To From IV A B- (sf) CCC- (sf)/Watch Pos IV B B- (sf) CCC- (sf)/Watch Pos Morgan Stanley Managed ACES SPC Series 2006-2 Rating Class To From Combo BBB- (sf) BB+ (sf)/Watch Pos Morgan Stanley Managed ACES SPC Series 2006-4 Rating Class To From IIIA BBB- (sf) BB+ (sf)/Watch Pos Morgan Stanley Managed ACES SPC JPY1.5 bil Morgan Stanley Managed Aces SPC (Aviva) Series 2007-16 Rating Class To From IB BB (sf) BB- (sf)/Watch Pos Mt Kailash Series III Rating Class To From Cr Lkd Ln B (sf) CCC- (sf)/Watch Pos PARCS Master Trust US$4 mil PARCS Master Trust Class 2007-5 Calvados (fixed recovery) Units Rating Class To From Trust Unit B- (sf) CCC- (sf)/Watch Pos Rutland Rated Investments EUR5 mil, US$197 mil Dryden XII - IG Synthetic CDO 2006-1 Rating Class To From B1-$LS B+ (sf) B (sf)/Watch Pos B1B-$LS B+ (sf) B (sf)/Watch Pos * S&P Lowers Ratings on 16 Tranches From 5 U.S. CDO Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 16 tranches from five U.S. collateralized debt obligation (CDO) transactions backed by pools of structured finance (SF) securities, including residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS). The downgraded tranches have a total issuance amount of $759.27 million. "In addition, we removed 26 of the affirmed ratings from CreditWatch," S&P said. "The rating actions reflect the application of our updated criteria for ratings CDOs backed predominantly by pools of structured finance securities. The updated criteria include changes to the parameters used for SF securities within our CDO Evaluator credit model, including an increase in assumptions used for default probability, correlation, and industry classification. Additionally, the criteria updates our assumptions on SF assets, including lower recovery rate parameters, different maturity assumptions and the addition of supplemental stress tests (the largest obligor and the largest industry default tests) and additional default patterns," S&P said. "In addition to the application of the updated criteria, our rating actions reflect general credit deterioration in the portfolio backing the affected notes. Some of the SF CDO transactions' underlying credit quality has deteriorated, evidenced by the increase in the level of defaulted and 'CCC' rated obligations that transaction holds in its portfolio from the time of our last review," S&P said. "We upgraded the class B note from C-Bass CBO VI Ltd. primarily due to principal paydowns to the most senior notes, which have increased collateralization for the note," S&P said. "We affirmed our ratings on the 38 tranches to reflect our opinion that the current credit support available is commensurate with current rating levels," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Anthracite CDO III Ltd. Rating Class To From A BBB-(sf) A+(sf)/Watch Neg BFL B+(sf) BB(sf)/Watch Neg BFX B+(sf) BB(sf)/Watch Neg CFL CCC+(sf) B-(sf)/Watch Neg CFX CCC+(sf) B-(sf)/Watch Neg DFL CCC-(sf) CCC-(sf)/Watch Neg DFX CCC-(sf) CCC-(sf)/Watch Neg C-Bass CBO VI Ltd. Rating Class To From B BBB(sf) BB+(sf)/Watch Neg C BB-(sf) BB-(sf)/Watch Neg D CC(sf) CCC-(sf)/Watch Neg Crest 2003-1 Ltd. Rating Class To From A-1 AA(sf) AA(sf)/Watch Neg A-2 AA(sf) AA(sf)/Watch Neg B-1 BBB(sf) BBB(sf)/Watch Neg B-2 BBB(sf) BBB(sf)/Watch Neg C-1 CCC-(sf) CCC(sf)/Watch Neg C-2 CCC-(sf) CCC(sf)/Watch Neg Crest 2004-1 Ltd. Rating Class To From A BB-(sf) BB+(sf)/Watch Neg B-1 CCC+(sf) B+(sf)/Watch Neg B-2 CCC+(sf) B+(sf)/Watch Neg C-1 CCC-(sf) CCC+(sf)/Watch Neg C-2 CCC-(sf) CCC+(sf)/Watch Neg D CC(sf) CCC-(sf)/Watch Neg MKP CBO III Ltd. Rating Class To From A-2 A(sf) A(sf)/Watch Neg Newcastle CDO IV Limited Rating Class To From I BB+(sf) BB+(sf)/Watch Neg II-FL Def B+(sf) B+(sf)/Watch Neg II-FX Def B+(sf) B+(sf)/Watch Neg III-FL Def CCC+(sf) CCC+(sf)/Watch Neg III-FX Def CCC+(sf) CCC+(sf)/Watch Neg IV-FL Def CCC-(sf) CCC-(sf)/Watch Neg IV-FX Def CCC-(sf) CCC-(sf)/Watch Neg Sorin Real Estate CDO I Ltd Rating Class To From A-1 CCC+(sf) CCC+(sf)/Watch Neg A-2 CCC-(sf) CCC(sf)/Watch Neg B CCC-(sf) CCC-(sf)/Watch Neg C CC(sf) CCC-(sf)/Watch Neg RATINGS AFFIRMED Anthracite CDO III Ltd. Rating EFL CC(sf) EFX CC(sf) F CC(sf) G CC(sf) H CC(sf) C-Bass CBO VI Ltd. Rating E CC(sf) Crest 2003-1 Ltd Rating Class To D-1 CC(sf) D-2 CC(sf) Pref Shrs CC(sf) Crest 2004-1, Ltd. Rating E-1 CC(sf) E-2 CC(sf) F CC(sf) G-1 CC(sf) G-2 CC(sf) H-1 CC(sf) H-2 CC(sf) MKP CBO III Ltd. Rating C CC(sf) Newcastle CDO IV Limited Rating V Def CC(sf) Sorin Real Estate CDO I Ltd Rating D CC(sf) E CC(sf) F CC(sf) OTHER OUTSTANDING RATING MKP CBO III Ltd. Rating B D(sf) * S&P Lowers Ratings on 7 Classes From 5 15 US RMBS Subprime Deals ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on seven classes from five U.S. residential mortgage-backed securities (RMBS) transactions issued between 1998 and 2007. "Concurrently, we raised our ratings on one class from one of the reviewed transactions, and affirmed our ratings on 56 classes from 14 of the reviewed transactions. We also withdrew our ratings on two classes from one transaction because the classes have been paid in full," S&P said. All of the transactions in this review are backed by subprime mortgage loan collateral issued from 1998 through 2007. "In accordance with our published criteria, these rating actions reflect our view of the recent performance of the collateral backing these transactions, our current projected losses, the timing of the projected defaults and losses, and the projected credit support to cover those losses. The actions also reflect our view of structural features, such as cross collateralization, payment allocations, and super-senior/subordinate senior relationships," S&P said. "The downgrades reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses we applied at the applicable rating stresses. In addition, we lowered our rating on one class based on our interest shortfall criteria. This class is identified in the ratings list by an asterisk and accompanying footnote," S&P said. "Among other factors, the upgrade reflects our view of decreased delinquencies within the structure associated with this class. The decreased delinquencies have reduced the remaining projected losses for this structure, allowing this class to withstand a more stressful scenario. This upgrade to 'B (sf)' from 'CCC (sf)' also reflects our opinion that we no longer expect this class to default based on the credit enhancement available to cover our projected loss. However, we are limiting the extent of the upgrade to reflect our view of ongoing market risk," S&P said. "The affirmed ratings, other than the 'CCC (sf)' and 'CC (sf)' ratings, reflect our belief that projected credit enhancement available for the affected classes will be sufficient to cover our projected losses at the current rating levels. The affirmed 'CCC (sf)' and 'CC (sf)' ratings reflect our assessment that the credit enhancement for these classes will remain insufficient to cover projected losses," S&P said. "We withdrew our ratings on two classes from one of the reviewed transactions because the classes have been paid in full," S&P said. "In order to maintain a 'B' rating on a class, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis. In order to maintain a rating higher than 'B', we assessed whether the class could withstand losses exceeding our remaining base-case loss assumptions at a percentage specific to each rating category, up to 150% for a 'AAA' rating. For example, in general, we would assess whether one class could withstand approximately 110% of our remaining base-case loss assumptions to maintain a 'BB' rating, while we would assess whether a different class could withstand approximately 120% of our remaining base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in our view, withstand approximately 150% of our remaining base-case loss assumptions under our analysis," S&P said. "Based on our criteria, the rating on a bond insured class is the higher of (i) the rating on the respective bond insurer and (ii) the rating on the class without giving benefit to the bond insurance," S&P said. Subordination, overcollateralization, and excess interest generally provide credit support for the classes within these subprime transactions. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS ABFC 2006-OPT1 Trust Series 2006-OPT1 Rating Class CUSIP To From M-1 00075QAE2 CC (sf) CCC (sf) ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM2 Series 2006-FM2 Rating Class CUSIP To From A-2A 00442CAB5 B (sf) CCC (sf) Asset Backed Securities Corporation Home Equity Loan Trust Series 2001-HE1 Series 2001-HE1 Rating Class CUSIP To From M-2 04541GBD3 D (sf) CC (sf)* Home Equity Asset Trust 2006-8 Series 2006-8 Rating Class CUSIP To From 1-A-1 43709QAA4 CC (sf) CCC (sf) 2-A-4 43709QAE6 CC (sf) CCC (sf) RASC Series 2006-KS8 Series 2006-KS8 Rating Class CUSIP To From A-3 74924RAC2 CC (sf) CCC (sf) A-4 74924RAD0 CC (sf) CCC (sf) Washington Mutual Asset-Backed Certificates, WMABS Series 2006-HE1 Trust Series 2006-HE1 Rating Class CUSIP To From M-1 92925CEU2 CC (sf) CCC (sf) Xceed Mortgage Trust Series 2007-T2 Rating Class CUSIP To From C Sub 98400BAK1 NR A (sf) D Sub 98400BAL9 NR BBB (sf) RATINGS AFFIRMED ABFC 2006-OPT1 Trust Series 2006-OPT1 Class CUSIP Rating A-1 00075QAQ5 B- (sf) A-2 00075QAR3 B- (sf) A-3C1 00075QAS1 B- (sf) A-3C2 00075QAC6 B- (sf) A-3D 00075QAD4 B- (sf) M-2 00075QAF9 CC (sf) ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM2 Series 2006-FM2 Class CUSIP Rating A-1 00442CAA7 CCC (sf) A-2B 00442CAC3 CCC (sf) A-2C 00442CAD1 CCC (sf) A-2D 00442CAE9 CCC (sf) Asset Backed Securities Corporation Home Equity Loan Trust Series 2001-HE1 Series 2001-HE1 Class CUSIP Rating M-1 04541GBC5 CC (sf) Bear Stearns Asset Backed Securities Trust 2006-4 Series 2006-4 Class CUSIP Rating A-1 07389LAA7 CCC (sf) A-2 07389LAB5 CCC (sf) A-3 07389LAC3 CCC (sf) M-1 07389LAD1 CC (sf) M-2 07389LAE9 CC (sf) M-3 07389LAF6 CC (sf) M-4 07389LAG4 CC (sf) M-5 07389LAH2 CC (sf) GSAMP Trust 2006-HE7 Series 2006-HE7 Class CUSIP Rating A-1 36245EAA6 CCC (sf) A-2C 36245EAD0 CCC (sf) A-2D 36245EAE8 CCC (sf) M-1 36245EAF5 CC (sf) M-2 36245EAG3 CC (sf) Home Equity Asset Trust 2006-8 Series 2006-8 Class CUSIP Rating 2-A-2 43709QAC0 CCC (sf) 2-A-3 43709QAD8 CCC (sf) Home Loan Mortgage Loan Trust 2006-1 Series 2006-1 Class CUSIP Rating A-2 43718UAB2 B (sf) A-3 43718UAC0 CC (sf) HSI Asset Securitization Corporation Trust 2005-I1 Series 2005-I1 Class CUSIP Rating I-A 40430HCV8 CCC (sf) II-A-3 40430HCM8 CCC (sf) II-A-4 40430HCN6 CCC (sf) M-1 40430HCP1 CC (sf) NovaStar Mortgage Funding Trust Series 2006-1 Series 2006-1 Class CUSIP Rating A-1A 669884AA6 CCC (sf) A-2C 669884AD0 CCC (sf) A-2D 669884AE8 CCC (sf) NovaStar Mortgage Funding Trust, Series 2005-4 Series 2005-4 Class CUSIP Rating A-1A 66987WDQ7 BB (sf) A-2C 66987WDC8 BB (sf) A-2D 66987WDD6 BB (sf) M-1 66987WDE4 B- (sf) M-2 66987WDF1 CCC (sf) M-3 66987WDG9 CC (sf) M-4 66987WDH7 CC (sf) RASC Series 2006-KS8 Series 2006-KS8 Class CUSIP Rating A-2 74924RAB4 B- (sf) M-1 74924RAE8 CC (sf) Specialty Underwriting and Residential Finance Trust, Series 2006- BC3 Series 2006-BC3 Class CUSIP Rating A-1 84751WAA2 CCC (sf) A-2B 84751WAC8 B- (sf) A-2C 84751WAD6 CCC (sf) A-2D 84751WAE4 CCC (sf) M-1 84751WAF1 CC (sf) M-2 84751WAG9 CC (sf) UCFC Loan Trust 1998-C Series 1998-C Class CUSIP Rating A-6 90263BGT9 CC (sf) A-7 90263BGU6 CC (sf) Washington Mutual Asset-Backed Certificates, WMABS Series 2006-HE1 Trust Series 2006-HE1 Class CUSIP Rating I-A 92925CEP3 B- (sf) II-A-3 92925CES7 B- (sf) II-A-4 92925CET5 B- (sf) M-2 92925CEV0 CC (sf) *Based on application of interest shortfall criteria. * S&P Cuts Ratings on 488 Classes From 260 RMBS NIMS Deals to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' from 'CC (sf)' on 488 classes from 260 U.S. residential mortgage- backed securities (RMBS) net interest margin securities (NIMS) transactions issued from 2003 through 2007. "In addition, we affirmed our ratings on nine classes from three transactions with lowered ratings and four other NIMS transactions. We also withdrew our ratings on six classes from FFMER Cayman NIM 2007-2 Ltd. and FFMER CAYMAN NIM 2007-3 Ltd. because these classes have been paid in full," S&P said. The complete rating list is available for free at: http://bankrupt.com/misc/S&P_0731_RMBS_NIMS.pdf "The downgrades reflect our view that the NIMS classes are not receiving cash flow to pay the applicable interest and principal amounts that are due to the NIMS holders. We attribute these shortfalls to the underlying transactions' inability to maintain sufficient overcollateralization (O/C) needed for residual interest to be released to the applicable NIMS classes. Generally, for each of these NIMS classes, the O/C levels for the underlying deals have been below their targets for a period of 12 months or longer, and as a result, the NIMS classes have experienced interest shortfalls during this time. Additionally, based on our observations of the performance trends of products and vintages consistent with the underlying transactions, we believe that it is unlikely that residual interest will be available for the NIMS classes going forward. The downgrades incorporate our interest shortfall criteria," S&P said. "Eight of the downgraded classes from six transactions are junior classes from NIM transactions for which the payment waterfall does not permit payment of any interest and principal to these classes until the class balances of the respective senior classes decrease to zero. Therefore these classes have not yet experienced any shortfalls. However, the downgrades reflect our view that it is unlikely that residual interest will be available for these junior NIMS classes going forward based on the poor performance of the underlying transactions and the inadequate cash flows to the senior NIMS classes to date. Twenty-four of the downgraded classes are principal-only classes, which have also not experienced any shortfalls, but in our view will likely not be reimbursed its principal amount based on the poor performance of the respective underlying deal," S&P said. "We affirmed our 'CC (sf)' ratings on eight NIMS classes to reflect that they are receiving sufficient cash flows based on performance of the underlying transactions to make appropriate payments. We affirmed our 'CC (sf)' rating on class B from Park Place NIM 2005-WHQN2 to reflect the bond insurer's ability to cover any missed interest and principal payments due to the class," 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 * S&P Lowers Ratings on 565 Classes From 300 US RMBS Deals to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' on 565 classes of mortgage pass-through certificates from 300 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2008. "Concurrently, we removed one of the lowered ratings from CreditWatch negative," S&P said. The complete ratings list is available for free at: http://bankrupt.com/misc/S&P_RMBS_7_31_12.pdf "The downgrades reflect our assessment of the impact that principal write-downs had on the affected classes during recent remittance periods. Prior to the rating actions, we rated one of the lowered classes 'B-(sf)' and all other lowered classes in this review 'CCC (sf)' or 'CC (sf)'," S&P said. Approximately 82.83% of the defaulted classes were from transactions backed by Alternative-A (Alt-A) or prime jumbo mortgage loan collateral. The 565 defaulted classes consist of: 248 classes from Alt-A transactions (43.89% of all defaults); 220 from prime jumbo transactions (38.94%); 84 from subprime transactions (14.87%); Six from reperforming transactions; Three from resecuritized real estate mortgage investment conduit (re-REMIC) transactions; One from a small-balance commercial loan transaction; One from a risk transfer transaction; One from an RMBS 'outside the guidelines' transaction; and One from an RMBS Federal Housing Administration/Veterans Affairs transaction. A combination of subordination, excess spread, and overcollateralization (where applicable) provide credit enhancement for all of the transactions in this review. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and it will adjust its ratings as it considers appropriate in accordance with its criteria. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com * S&P Lowers Ratings on 86 Classes From 16 US RMBS Transactions --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 86 classes from 16 U.S. residential mortgage-backed securities (RMBS) transactions. "In addition, we raised our ratings on three classes from one transaction with lowered ratings and one additional transaction, and affirmed our ratings on 167 classes from 15 transactions with lowered ratings and seven other transactions. We also withdrew our ratings on three classes from three transactions: one interest-only (IO) class after the application of our IO criteria, and two other classes that have been paid in full," S&P said. The 23 RMBS transactions in this review are backed by Alternative- A (Alt-A) mortgage loan collateral issued from 2004 through 2007. "In accordance with our published criteria, these rating actions reflect our view of the recent performance of the collateral backing these transactions, our current projected losses, the timing of the projected defaults and losses, and the projected credit support to cover those losses. The actions also reflect our view of structural features, such as cross collateralization, payment allocations, and super-senior/subordinate senior relationships," S&P said. "The downgrades reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses at the previous rating levels," S&P said. "Among other factors, the upgrades reflect our view of decreased delinquencies within the structures associated with the affected classes. This decrease has reduced the remaining projected losses for these structures, allowing these classes to withstand more stressful scenarios. The upgrades to 'B (sf)' from 'CCC (sf)' and 'CC (sf)' reflect our opinion that these classes are no longer projected to default based on the credit enhancement available to cover our projected losses. In addition, each upgrade reflects our assessment that the projected credit enhancement for each affected class will be more than sufficient to cover projected losses at the revised rating levels; however, we are limiting the extent of the upgrades to reflect our view of ongoing market risk," S&P said. "Affirmations above 'CCC (sf)' reflect our belief that projected credit enhancement for the affected classes will be sufficient to cover our projected losses at the current rating levels," S&P said. "Affirmations of '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. "We withdrew our ratings on class A-14 from Alternative Loan Trust 2004-14T2 based on the application of our IO criteria, and on class A10 from Alternative Loan Trust 2005-26CB and class 1-A-6 from Alternative Loan Trust 2005-J10 because the classes have been paid in full," S&P said. "The rating on class A-3 from Alternative Loan Trust 2005-19CB is the higher of (i) the rating on the class without the benefit of bond insurance, and (ii) the rating on the insurance provider, Radian Asset Assurance Inc. (B+)," S&P said. "The rating on class CB-15 from Washington Mutual Mortgage Pass- Through Certificates WMALT Series 2005-4 Trust is the higher of (i) the rating on the class without the benefit of bond insurance, and (ii) the rating on the insurance provider, Assured Guaranty Corp. (AA-)," S&P said. "The rating on class 3A-2 from Lehman XS Trust, Series 2005-7N is the higher of (i) the rating on the class without the benefit of bond insurance, and (ii) the rating on the insurance provider, Ambac Assurance Corp. (NR)," S&P said. "In order to maintain a 'B' rating on a class, we assessed whether, in our view, the class could absorb the remaining base- case loss assumptions used in our analysis. In order to maintain a rating higher than 'B', we assessed whether the class could withstand losses exceeding the remaining base-case loss assumptions at a percentage specific to each rating category, up to 150% for an 'AAA' rating. For example, in general, we would assess whether one class could withstand approximately 110% of our remaining base-case loss assumptions to maintain a 'BB' rating, while we would assess whether a different class could withstand approximately 120% of our remaining base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in our view, withstand approximately 150% of our remaining base-case loss assumptions under our analysis," S&P said. Subordination, overcollateralization (prior to its depletion), and excess spread, when applicable, provide credit support for the affected transactions. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The 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 Alternative Loan Trust 2004-14T2 Series 2004-14T2 Rating Class CUSIP To From A-9 12667FMV4 B (sf) B+ (sf) A-10 12667FMW2 BBB (sf) AAA (sf) A-11 12667FMX0 BB- (sf) BB (sf) A-12 12667FMY8 BB- (sf) BB (sf) A-13 12667FMZ5 BB- (sf) BB (sf) A-14 12667FNA9 NR BB (sf) PO 12667FNB7 B (sf) B+ (sf) Alternative Loan Trust 2005-19CB Series 2005-19CB Rating Class CUSIP To From A-1 12667GFZ1 CC (sf) CCC (sf) A-2 12667GGA5 CCC (sf) B (sf) A-4 12667GGB3 CC (sf) CCC (sf) A-5 12667GGC1 CC (sf) CCC (sf) A-6 12667GGD9 CC (sf) CCC (sf) PO 12667GGE7 CC (sf) CCC (sf) Alternative Loan Trust 2005-1CB Series 2005-1CB Rating Class CUSIP To From 1-A-2 12667F2H7 CC (sf) CCC (sf) 1-A-3 12667F2J3 B- (sf) B (sf) 1-A-4 12667F2K0 CC (sf) CCC (sf) 1-A-5 12667F2L8 CCC (sf) B- (sf) 1-A-7 12667F2N4 CC (sf) CCC (sf) 1-A-8 12667F2P9 CC (sf) CCC (sf) 2-A-1 12667F2Q7 CC (sf) CCC (sf) 2-A-2 12667F2R5 CCC (sf) B (sf) 2-A-3 12667F2S3 CC (sf) CCC (sf) 2-A-4 12667F2T1 CCC (sf) B (sf) 2-A-5 12667F2U8 CC (sf) CCC (sf) 2-A-6 12667F2V6 CC (sf) CCC (sf) 2-A-7 12667F2W4 CC (sf) CCC (sf) Alternative Loan Trust 2005-20CB Series 2005-20CB Rating Class CUSIP To From 2-A-3 12667GPZ0 B (sf) CC (sf) 3-A-3 12667GQH9 B (sf) CC (sf) Alternative Loan Trust 2005-26CB Series 2005-26CB Rating Class CUSIP To From A-10 12667GTW3 NR CC (sf) Alternative Loan Trust 2005-47CB Series 2005-47CB Rating Class CUSIP To From A-8 12668AAH8 CCC (sf) B (sf) A-10 12668AAK1 CCC (sf) B (sf) PO 12668AAN5 D (sf) CC (sf) Alternative Loan Trust 2005-72 Series 2005-72 Rating Class CUSIP To From A-2 12668A3P8 CC (sf) CCC (sf) A-3 12668A3Q6 CC (sf) CCC (sf) A-4 12668A3R4 CC (sf) CCC (sf) Alternative Loan Trust 2005-J10 Series 2005-J10 Rating Class CUSIP To From 1-A-6 12667G4M2 NR CC (sf) Alternative Loan Trust 2005-J3 Series 2005-J3 Rating Class CUSIP To From 2-A-1 12667GDH3 CCC (sf) B (sf) BCAP LLC Trust 2007-AA1 Series 2007-AA1 Rating Class CUSIP To From I-A-1 05530PAA0 B (sf) CCC (sf) I-A-2 05530PAB8 CC (sf) CCC (sf) I-A-3 05530PAC6 CC (sf) CCC (sf) II-A-1 05530PAP7 CC (sf) CCC (sf) CitiMortgage Alternative Loan Trust, Series 2006-A1 Series 2006-A1 Rating Class CUSIP To From IA-1 17309AAA7 CC (sf) CCC (sf) IA-PO 17309AAG4 D (sf) CCC (sf) IIA-PO 17309AAJ8 CC (sf) CCC (sf) First Horizon Alternative Mortgage Securities Trust 2005-FA11 Series 2005-FA11 Rating Class CUSIP To From I-A-3A 32051GL52 CC (sf) CCC (sf) I-A-4A 32051GL78 CC (sf) CCC (sf) I-A-PO 32051GM44 D (sf) CCC (sf) GreenPoint Mortgage Funding Trust 2005-AR5 Series 2005-AR5 Rating Class CUSIP To From II-A-1 39538WEE4 CC (sf) CCC (sf) Lehman XS Trust, Series 2005-7N Series 2005-7N Rating Class CUSIP To From 2-A1 525221ER4 CC (sf) CCC (sf) 3-A1 525221ET0 CC (sf) CCC (sf) 3-A2 525221EU7 CC (sf) CCC (sf) RALI Series 2004-QA5 Trust Series 2004-QA5 Rating Class CUSIP To From A-II 76110HC98 B- (sf) A (sf) A-III-1 76110HD22 B- (sf) BBB (sf) A-III-2 76110HD48 BB (sf) BBB (sf) A-III-3 76110HD55 CCC (sf) BBB (sf) Residential Asset Securitization Trust 2005-A5 Series 2005-E Rating Class CUSIP To From A-8 45660LKE8 CCC (sf) B (sf) Washington Mutual Mortgage Pass Through Certificates WMALT Series 2005-1 Trust Series 2005-1 Rating Class CUSIP To From 1-A-1 9393362D4 CCC (sf) B (sf) 1-A-4 9393362G7 CCC (sf) B (sf) 1-A-5 9393362H5 CCC (sf) B (sf) 5-A-1 9393362N2 B- (sf) BB+ (sf) 6-A-1 9393362Q5 CCC (sf) B (sf) C-P 9393362Y8 CC (sf) CCC (sf) 3-P 9393362Z5 CC (sf) CCC (sf) Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust Series 2005-4 Rating Class CUSIP To From CB-1 9393365V1 CC (sf) CCC (sf) CB-3 9393365X7 CC (sf) CCC (sf) CB-5 9393365Z2 CC (sf) CCC (sf) CB-6 9393366A6 CC (sf) CCC (sf) CB-8 9393366C2 CC (sf) CCC (sf) CB-9 9393366D0 CC (sf) CCC (sf) CB-12 9393366G3 CC (sf) CCC (sf) CB-13 9393366H1 CC (sf) CCC (sf) 2-CB 9393366M0 CC (sf) CCC (sf) 3-CB 9393366N8 CC (sf) CCC (sf) 4-A-2 9393366Q1 CC (sf) CCC (sf) 5-A-2 9393366S7 CC (sf) CCC (sf) 5-A-5 9393366V0 CC (sf) CCC (sf) 5-A-7 9393366X6 CC (sf) CCC (sf) 5-A-8 9393366Y4 CC (sf) CCC (sf) 5-A-9 9393366Z1 CC (sf) CCC (sf) 5-A-10 9393367A5 CC (sf) CCC (sf) Wells Fargo Alternative Loan 2007-PA5 Trust Series 2007-PA5 Rating Class CUSIP To From I-A-1 949922AA6 CC (sf) CCC (sf) I-A-4 949922AD0 CC (sf) CCC (sf) I-A-6 949922AF5 CC (sf) CCC (sf) I-A-7 949922AG3 CC (sf) CCC (sf) I-A-8 949922AH1 CC (sf) CCC (sf) I-A-9 949922AJ7 CC (sf) CCC (sf) I-A-11 949922AL2 CC (sf) CCC (sf) I-A-12 949922AM0 CC (sf) CCC (sf) I-A-14 949922AP3 CC (sf) CCC (sf) I-A-15 949922AQ1 CC (sf) CCC (sf) I-A-16 949922AR9 CC (sf) CCC (sf) A-PO 949922AV0 D (sf) CC (sf) RATINGS AFFIRMED Alternative Loan Trust 2004-14T2 Series 2004-14T2 Class CUSIP Rating A-2 12667FMN2 BB (sf) A-3 12667FMP7 BB (sf) A-4 12667FMQ5 BB+ (sf) A-5 12667FMR3 BB (sf) A-6 12667FMS1 BB (sf) A-7 12667FMT9 BB (sf) A-8 12667FMU6 BBB- (sf) M 12667FND3 CC (sf) B-1 12667FNE1 CC (sf) Alternative Loan Trust 2005-19CB Series 2005-19CB Class CUSIP Rating A-3 12667GFY4 CC (sf) M 12667GGG2 CC (sf) Alternative Loan Trust 2005-1CB Series 2005-1CB Class CUSIP Rating 1-A-1 12667F2G9 B- (sf) PO-A 12667F2X2 CC (sf) 3-A-1 12667F2Y0 CC (sf) PO-B 12667F3A1 CC (sf) 4-A-1 12667F3B9 CCC (sf) 4-A-2 12667F3C7 CC (sf) Alternative Loan Trust 2005-20CB Series 2005-20CB Class CUSIP Rating 1-A-1 12667GPT4 CC (sf) 1-A-2 12667GPU1 CC (sf) 1-A-3 12667GPV9 CC (sf) 1-A-4 12667GPW7 CC (sf) 2-A-1 12667GPX5 CC (sf) 2-A-4 12667GQA4 CCC (sf) 2-A-5 12667GQB2 CCC (sf) 2-A-6 12667GQC0 CC (sf) 2-A-7 12667GQD8 CC (sf) 2-A-8 12667GQE6 CC (sf) 3-A-2 12667GQG1 CC (sf) 3-A-4 12667GQJ5 CCC (sf) 3-A-5 12667GQK2 CCC (sf) 3-A-6 12667GQL0 CC (sf) 3-A-7 12667GQM8 CC (sf) 3-A-10 12667GQQ9 CC (sf) 4-A-1 12667GQS5 CC (sf) PO 12667GQT3 CC (sf) Alternative Loan Trust 2005-26CB Series 2005-26CB Class CUSIP Rating A-1 12667GTM5 CC (sf) A-3 12667GTP8 CC (sf) A-4 12667GTQ6 CC (sf) A-5 12667GTR4 CC (sf) A-6 12667GTS2 CC (sf) A-7 12667GTT0 CC (sf) A-9 12667GTV5 CC (sf) A-11 12667GTX1 CC (sf) PO 12667GTY9 CC (sf) Alternative Loan Trust 2005-47CB Series 2005-47CB Class CUSIP Rating A-7 12668AAG0 CC (sf) A-9 12668AAJ4 CC (sf) A-11 12668AAL9 CC (sf) A-12 12668AAM7 CC (sf) Alternative Loan Trust 2005-72 Series 2005-72 Class CUSIP Rating A-1 12668A3N3 CCC (sf) Alternative Loan Trust 2005-J10 Series 2005-J10 Class CUSIP Rating 1-A-1 12667G4G5 CC (sf) 1-A-3 12667G4J9 CC (sf) 1-A-4 12667G4K6 CC (sf) 1-A-7 12667G4N0 CC (sf) 1-A-8 12667G4P5 CC (sf) 1-A-9 12667G4Q3 CC (sf) 1-A-11 12668ABH7 CC (sf) 1-A-12 12668ABJ3 CC (sf) 1-A-13 12668ABK0 CC (sf) 1-A-15 12668ABM6 CC (sf) 1-A-16 12668ABN4 CC (sf) 1-A-17 12668ABP9 CC (sf) 1-A-18 12668ABQ7 CC (sf) 2-A-1 12668ABR5 CC (sf) 2-A-3 12668ABT1 CC (sf) 2-A-4 12668ABU8 CC (sf) PO 12668ABX2 CC (sf) Alternative Loan Trust 2005-J3 Series 2005-J3 Class CUSIP Rating 1-A-1 12667GDA8 CCC (sf) 1-A-3 12667GDC4 CC (sf) 1-A-5 12667GDE0 CC (sf) 2-A-3 12667GDK6 CC (sf) 2-A-5 12667GDM2 CC (sf) 2-A-6 12667GDN0 CC (sf) 2-A-8 12667GDQ3 CC (sf) 2-A-10 12667GDV2 CC (sf) 2-A-11 12667GDW0 CCC (sf) 2-A-12 12667GDX8 CC (sf) 2-A-13 12667GDY6 CC (sf) 2-A-14 12667GDZ3 CC (sf) 3-A--1 12667GEC3 CC (sf) PO-A 12667GDG5 CC (sf) PO-B 12667GEB5 CC (sf) A-M 12667GED1 CC (sf) M 12667GEG4 CC (sf) American Home Mortgage Assets Trust 2005-1 Series 2005-1 Class CUSIP Rating 3-A-1-1 02660VAE8 B- (sf) 3-A-1-2 02660VAF5 CCC (sf) 3-A-2-1 02660VAG3 BB- (sf) 3-A-2-2 02660VAH1 CCC (sf) CHL Mortgage Pass-Through Trust 2005-HYB1 Series 2005-HYB1 Class CUSIP Rating 1-A-1 12669GLJ8 B- (sf) 1-A-2 12669GQM6 CC (sf) 2-A-1 12669GLL3 CC (sf) 3-A-1 12669GLM1 CC (sf) 4-A-1 12669GLP4 CCC (sf) 4-A-2 12669GLN9 CC (sf) 5-A-1 12669GLQ2 CC (sf) 6-A-1 12669GQP9 CC (sf) II-M 12669GLX7 CC (sf) CitiMortgage Alternative Loan Trust, Series 2006-A1 Series 2006-A1 Class CUSIP Rating IIA-1 17309AAH2 CCC (sf) First Horizon Alternative Mortgage Securities Trust 2005-FA11 Series 2005-FA11 Class CUSIP Rating II-A-1 32051GM69 CCC (sf) II-A-PO 32051GM77 CCC (sf) First Horizon Alternative Mortgage Securities Trust 2005-FA4 Series 2005-FA4 Class CUSIP Rating I-A-1 32051GNS0 CCC (sf) I-A-3 32051GNU5 CC (sf) I-A-6 32051GNX9 CC (sf) l-A-5 32051GNW1 CC (sf) I-A-PO 32051GNY7 CC (sf) II-A-1 32051GPA7 B- (sf) II-A-PO 32051GPB5 CC (sf) First Horizon Alternative Mortgage Securities Trust 2005-FA8 Series 2005-FA8 Class CUSIP Rating I-A-1 32051GYF6 CC (sf) I-A-2 32051GYG4 CC (sf) I-A-3 32051GYH2 CC (sf) I-A-4 32051GYJ8 CCC (sf) I-A-5 32051GYK5 CC (sf) I-A-6 32051GYL3 CC (sf) I-A-8 32051GYN9 CC (sf) I-A-10 32051GYQ2 CC (sf) I-A-11 32051GYR0 CC (sf) I-A-12 32051GYS8 CC (sf) I-A-14 32051GYU3 CCC (sf) I-A-15 32051GYV1 CC (sf) I-A-16 32051GYW9 CC (sf) I-A-18 32051GYY5 CC (sf) I-A-19 32051GYZ2 CC (sf) I-A-21 32051GZM0 CC (sf) I-A-PO 32051GZB4 CC (sf) II-A-1 32051GZD0 CCC (sf) II-A-PO 32051GZE8 CC (sf) GreenPoint Mortgage Funding Trust 2005-AR5 Series 2005-AR5 Class CUSIP Rating I-A-1 39538WEA2 CCC (sf) I-A-2 39538WEC8 CC (sf) III-A-1 39538WEK0 CCC (sf) IV-A-1 39538WEN4 CCC (sf) Lehman XS Trust, Series 2005-7N Series 2005-7N Class CUSIP Rating 1-A1A 525221EM5 CCC (sf) RALI Series 2004-QA5 Trust Series 2004-QA5 Class CUSIP Rating A-I 76110HC72 CCC (sf) M-1 76110HD97 CC (sf) Residential Asset Securitization Trust 2005-A5 Series 2005-E Class CUSIP Rating A-1 45660LJX8 CCC (sf) A-3 45660LJZ3 CCC (sf) A-4 45660LKA6 CCC (sf) A-5 45660LKB4 CCC (sf) A-7 45660LKD0 CCC (sf) A-9 45660LKR9 CCC (sf) A-11 45660LKT5 CCC (sf) A-12 45660LKU2 CCC (sf) A-13 45660LKV0 CCC (sf) PO 45660LKF5 CCC (sf) Washington Mutual Mortgage Pass Through Certificates WMALT Series 2005-1 Trust Series 2005-1 Class CUSIP Rating 1-A-2 939336200 CCC (sf) 1-A-3 9393362F9 CCC (sf) 1-A-6 9393362J1 CCC (sf) 2-A 9393362K8 CCC (sf) 3-A 9393362L6 CCC (sf) 4-A 9393362M4 CCC (sf) 5-A-2 9393362P7 CCC (sf) 6-A-2 9393362R3 CCC (sf) 7-A-1 9393362S1 CCC (sf) 7-A-2 9393362T9 CCC (sf) 7-A-3 9393362U6 CCC (sf) 7-A-4 9393362V4 CCC (sf) B-1 9393363A9 CC (sf) Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust Series 2005-4 Class CUSIP Rating CB-7 9393366B4 CCC (sf) CB-11 9393366F5 CCC (sf) CB-15 9393366K4 AA- (sf) 4-A-1 9393366P3 CCC (sf) 5-A-1 9393366R9 CCC (sf) 5-A-4 9393366U2 CCC (sf) C-P 9393367D9 CC (sf) D-P 93933670 CC (sf) Wells Fargo Alternative Loan 2007-PA5 Trust Series 2007-PA5 Class CUSIP Rating I-A-3 949922AC2 CCC (sf) I-A-5 949922AE8 CCC (sf) II-A-1 949922AT5 CCC (sf) II-A-2 949922AU2 CC (sf) * S&P Lowers Ratings on 155 Classes From 44 US RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 155 classes from 44 U.S. residential mortgage-backed securities (RMBS) transactions. "In addition, we raised our ratings on 19 classes from five of the transactions with lowered ratings and eight additional transactions, and affirmed our ratings on 394 classes from 41 of the transactions with lowered ratings and 17 other transactions. We also withdrew our ratings on 12 classes from four transactions: 11 interest-only (IO) classes from three transactions as per our IO criteria and one other class that has been paid in full," S&P said. The 61 RMBS transactions in this review are backed by Alternative- A (Alt-A) mortgage loan collateral issued from 2002 through 2007. "In accordance with our published criteria, these rating actions reflect our view of the recent performance of the collateral backing these transactions, our current projected losses, the timing of the projected defaults and losses, and the projected credit support to cover those losses. The actions also reflect our view of structural features, such as cross collateralization, payment allocations, and super-senior/subordinate senior relationships," S&P said. "The downgrades reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses at the previous rating levels. We lowered our rating on class M1 from RALI Series 2005-QS1 Trust based on our interest shortfall criteria. This class is identified in the table below with an asterisk," S&P said. "The upgrades reflect our belief that projected credit enhancement for these classes will be more than sufficient to cover our projected losses at the raised rating levels," S&P said. "Affirmations above 'CCC (sf)' reflect our belief that projected credit enhancement for the affected classes will be sufficient to cover our projected losses at the current rating levels," S&P said. "Affirmations of '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. "We withdrew our ratings on 11 classes from three transactions based on our interest-only criteria and on class A2 from Residential Asset Securitization Trust 2005-A9, as the class has been paid in full," S&P said. "In order to maintain a 'B' rating on a class, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis. In order to maintain a rating higher than 'B', we assessed whether the class could withstand losses exceeding the remaining base-case loss assumptions at a percentage specific to each rating category, up to 150% for an 'AAA' rating. For example, in general, we would assess whether one class could withstand approximately 110% of our remaining base-case loss assumptions to maintain a 'BB' rating, while we would assess whether a different class could withstand approximately 120% of our remaining base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in our view, withstand approximately 150% of our remaining base-case loss assumptions under our analysis," S&P said. Subordination, overcollateralization (prior to its depletion), and excess spread, when applicable, provide credit support for the affected transactions. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The 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 Adjustable Rate Mortgage Trust 2004-3 Series 2004-3 Rating Class CUSIP To From C-B-1 007036CX2 CCC (sf) BB (sf) Alternative Loan Trust 2002-15CB Series 2002-28 Rating Class CUSIP To From M 12669DDL9 B- (sf) BB- (sf) Alternative Loan Trust 2003-J1 Series 2003-J11 Rating Class CUSIP To From B-2 12669E2G0 D (sf) CC (sf) Alternative Loan Trust 2004-28CB Series 2004-28CB Rating Class CUSIP To From 1-A-1 12667FYE9 B- (sf) BB (sf) 1-A-2 12667FYF6 B- (sf) BB (sf) 1-A-3 12667FYG4 B- (sf) BB (sf) 2-A-2 12667FYJ8 B- (sf) B+ (sf) 2-A-4 12667FYL3 B- (sf) B+ (sf) 2-A-5 12667FYM1 B- (sf) B+ (sf) 2-A-7 12667FYP4 B- (sf) B+ (sf) 2-A-8 12667FYQ2 B- (sf) B+ (sf) 2-A-9 12667FYR0 B- (sf) B+ (sf) 3-A-1 12667FYS8 B- (sf) B+ (sf) 4-A-1 12667FYT6 B- (sf) BB (sf) 5-A-1 12667FYU3 B- (sf) B+ (sf) 6-A-1 12667FYV1 B- (sf) BB (sf) 7-A-1 12667FYW9 B- (sf) B+ (sf) B-1 12667FZA6 D (sf) CC (sf) Alternative Loan Trust 2004-4CB Series 2004-4CB Rating Class CUSIP To From 1-A-1 12667FCB9 AA (sf) AAA (sf) 1-A-2 12667FCC7 AA (sf) AAA (sf) 1-A-3 12667FCD5 AA (sf) AAA (sf) 1-A-4 12667FCE3 AA (sf) AAA (sf) 1-A-5 12667FCF0 AA (sf) AAA (sf) 1-A-6 12667FCG8 AA- (sf) AAA (sf) 2-A-1 12667FCH6 AA (sf) AAA (sf) 3-A-1 12667FCJ2 AA (sf) AAA (sf) 3-A-2 12667FCK9 AA- (sf) AAA (sf) 3-A-3 12667FCL7 AA- (sf) AAA (sf) 3-A-4 12667FCM5 AA- (sf) AAA (sf) PO 12667FCN3 AA- (sf) AAA (sf) M 12667FCQ6 CC (sf) CCC (sf) Alternative Loan Trust 2004-J11 Series 2004-J11 Rating Class CUSIP To From 1-CB-1 12667FXJ9 B- (sf) BBB- (sf) 1-X 12667FXK6 NR BBB- (sf) 2-CB-1 12667FXL4 B- (sf) BB (sf) 3-A-1 12667FXN0 B- (sf) BB (sf) PO-A 12667FXQ3 B- (sf) BB (sf) PO-B 12667FXZ3 B- (sf) BB (sf) B-2 12667FXU4 D (sf) CC (sf) Alternative Loan Trust 2004-J8 Series 2004-J8 Rating Class CUSIP To From 1-A-1 12667FSF3 A- (sf) AAA (sf) 1-X 12667FSG1 NR AAA (sf) 2-A-1 12667FSH9 A- (sf) AAA (sf) 2-X 12667FSJ5 NR AAA (sf) 3-A-1 12667FSK2 A (sf) AAA (sf) 3-X 12667FSL0 NR AAA (sf) 4-A-1 12667FSM8 A+ (sf) AAA (sf) 4-X 12667FSN6 NR AAA (sf) PO-A 12667FSP1 A- (sf) AAA (sf) PO-B 12667FTT2 A (sf) AAA (sf) Alternative Loan Trust Resecuritization 2005-12R Series 2005-12R Rating Class CUSIP To From A-2 12667GAQ6 B- (sf) B+ (sf) A-3 12667GAR4 B- (sf) B+ (sf) A-4 12667GAS2 B- (sf) B+ (sf) A-5 12667GAT0 BBB- (sf) BBB (sf) A-6 12667GAU7 B- (sf) B+ (sf) Ameriquest Mortgage Securities Inc. Series 2003-IA1 Rating Class CUSIP To From M-3 03072SLJ2 BBB- (sf) BBB (sf) Banc of America Funding 2004-C Trust Series 2004-C Rating Class CUSIP To From 2-A-1 05946XLW1 BBB (sf) AA (sf) 2-A-2 05946XLX9 BBB (sf) AA (sf) 3-A-1 05946XLZ4 B- (sf) BB (sf) 4-A-3 05946XMC4 B+ (sf) BB- (sf) Banc of America Funding 2007-D Trust Series 2007-D Rating Class CUSIP To From 1-A-2 05952GAB7 CC (sf) CCC (sf) 1-A-3 05952GAC5 B (sf) CCC (sf) M-2 05952GAG6 D (sf) CC (sf) M-3 05952GAH4 D (sf) CC (sf) 3-A-1 05952GAT8 CC (sf) CCC (sf) 3-A-2 05952GAU5 CC (sf) CCC (sf) 3-A-3 05952GAV3 CC (sf) CCC (sf) 3-A-4 05952GAW1 CC (sf) CCC (sf) 3-A-5 05952GAX9 CC (sf) CCC (sf) Bear Stearns Asset Backed Securities Trust 2003-AC7 Series 2003-AC7 Rating Class CUSIP To From M-2 07384YPP5 B- (sf) BB- (sf) CHL Mortgage Pass-Through Trust 2005-9 Series 2005-9 Rating Class CUSIP To From 2-A-1 12669GZB0 CC (sf) CCC (sf) Citigroup Mortgage Loan Trust 2003-HYB1 Series 2003-HYB1 Rating Class CUSIP To From B-2 79549AYJ2 B (sf) CCC (sf) Citigroup Mortgage Loan Trust Inc. Series 2004-HYB4 Rating Class CUSIP To From H-AI 17307GLW6 BBB+ (sf) A- (sf) H-AII 17307GLX4 BBB+ (sf) A- (sf) 1-M 17307GMP0 CC (sf) CCC (sf) Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA3 Series 2007-OA3 Rating Class CUSIP To From A-1 25150WAA2 CCC (sf) B (sf) Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA5 Series 2007-OA5 Rating Class CUSIP To From A-1A 25150XAA0 BB (sf) CCC (sf) A-1B 25150XAR3 BB (sf) CCC (sf) First Horizon Alternative Mortgage Securities Trust 2004-AA2 Series 2004-AA2 Rating Class CUSIP To From II-A-1 32051D4S8 AA+ (sf) AAA (sf) First Horizon Alternative Mortgage Securities Trust 2006-FA6 Series 2006-FA6 Rating Class CUSIP To From I-A-2 32052FAB2 D (sf) CCC (sf) I-A-PO 32052FAF3 D (sf) CCC (sf) II-A-11 32052FAT3 CC (sf) CCC (sf) II-A-PO 32052FBC9 D (sf) CCC (sf) First Horizon Mortgage Pass-Through Trust 2006-4 Series 2006-4 Rating Class CUSIP To From I-A-5 32052UAE3 CC (sf) CCC (sf) I-A-6 32052UAF0 CC (sf) CCC (sf) I-A-7 32052UAG8 CC (sf) CCC (sf) I-A-15 32052UAQ6 CC (sf) CCC (sf) II-A-PO 32052UAW3 B- (sf) CC (sf) GreenPoint Mortgage Funding Trust 2005-AR4 Series 2005-AR4 Rating Class CUSIP To From I-A-1 39538WBQ0 BB (sf) CCC (sf) I-A-2a 39538WBR8 B- (sf) CC (sf) I-A-2b 39538WBS6 B- (sf) CC (sf) I-A-3 39538WBT4 B- (sf) CC (sf) IA2b cert 39538WCX4 B- (sf) CC (sf) GSAA Home Equity Trust 2005-3 Series 2005-3 Rating Class CUSIP To From M-2 36242DWV1 BB (sf) CCC (sf) GSR Mortgage Loan Trust 2006-OA1 Series 2006-OA1 Rating Class CUSIP To From 2-A-1 362631AB9 B- (sf) CCC (sf) IndyMac INDX Mortgage Loan Trust 2004-AR15 Series 2004-AR15 Rating Class CUSIP To From 5-A-1 45660LBK4 BBB- (sf) AAA (sf) IndyMac INDX Mortgage Loan Trust 2004-AR3 Series 2004-AR3 Rating Class CUSIP To From B-1 45660NM36 CCC (sf) BB (sf) IndyMac INDX Mortgage Loan Trust 2004-AR7 Series 2004-AR7 Rating Class CUSIP To From A-1 45660NT88 CCC (sf) B+ (sf) A-2 45660NT96 BBB- (sf) AA+ (sf) A-3 45660NU29 CCC (sf) B+ (sf) A-5 45660NU45 CCC (sf) B+ (sf) JPMorgan Alternative Loan Trust 2006-S4 Series 2006-S4 Rating Class CUSIP To From A-2-A 466302AC0 B (sf) CCC (sf) A-2-B 466302AD8 B (sf) CCC (sf) A-3-A 466302AE6 CC (sf) CCC (sf) A-3-B 466302AF3 CC (sf) CCC (sf) A-4 466302AG1 CC (sf) CCC (sf) A-5 466302AH9 CC (sf) CCC (sf) A-6 466302AJ5 CC (sf) CCC (sf) A-7 466302AK2 CC (sf) CCC (sf) M-1 466302AL0 CC (sf) CCC (sf) M-2 466302AM8 D (sf) CC (sf) MASTR Adjustable Rate Mortgages Trust 2003-7 Series 2003-7 Rating Class CUSIP To From B-2 576433HW9 BBB (sf) AA- (sf) B-3 576433HX7 B- (sf) BB+ (sf) MASTR Alternative Loan Trust 2002-2 Series 2002-2 Rating Class CUSIP To From B-3 576434BH6 CCC (sf) B (sf) MASTR Alternative Loan Trust 2003-5 Series 2003-5 Rating Class CUSIP To From 30-B-2 576434FV1 CCC (sf) B+ (sf) MASTR Alternative Loan Trust 2004-10 Series 2004-10 Rating Class CUSIP To From 5-A-7 576434WE0 B- (sf) B (sf) MASTR Alternative Loan Trust 2004-3 Series 2004-3 Rating Class CUSIP To From B-I-2 576434PP3 BBB- (sf) A- (sf) B-I-3 576434PQ1 CC (sf) CCC (sf) MASTR Alternative Loan Trust 2005-2 Series 2005-2 Rating Class CUSIP To From B-1 576434K94 CC (sf) CCC (sf) MASTR Alternative Loan Trust 2007-1 Series 2007-1 Rating Class CUSIP To From 1-A-1 55275SAA8 BB (sf) CCC (sf) 1-A-2 55275SAB6 NR CCC (sf) 1-A-4 55275SAD2 CC (sf) CCC (sf) 1-A-5 55275SAE0 CC (sf) CCC (sf) 1-A-6 55275SAF7 CC (sf) CCC (sf) 2-A-1 55275SAG5 CC (sf) CCC (sf) 2-A-2 55275SAH3 CC (sf) CCC (sf) 2-A-3 55275SAJ9 CC (sf) CCC (sf) 2-A-4 55275SAK6 CC (sf) CCC (sf) 2-A-5 55275SAL4 NR CCC (sf) 2-A-6 55275SAM2 CC (sf) CCC (sf) 2-A-7 55275SAN0 CC (sf) CCC (sf) 2-A-8 55275SAP5 CC (sf) CCC (sf) 2-A-9 55275SAQ3 CC (sf) CCC (sf) 2-A-10 55275SBG4 CC (sf) CCC (sf) 2-A-11 55275SBH2 NR CCC (sf) 2-A-12 55275SBJ8 CC (sf) CCC (sf) 2-A-13 55275SBK5 NR CCC (sf) 2-A-14 55275SBL3 CC (sf) CCC (sf) 2-A-15 55275SBM1 CC (sf) CCC (sf) 3-A-1 55275SAR1 CC (sf) CCC (sf) 3-A-2 55275SAS9 CC (sf) CCC (sf) 15-PO 55275SAV2 CC (sf) CCC (sf) 30-PO 55275SAW0 CC (sf) CCC (sf) 15-A-X 55275SAX8 NR CCC (sf) 30-A-X 55275SAY6 NR CCC (sf) Morgan Stanley Mortgage Loan Trust 2004-11AR Series 2004-11AR Rating Class CUSIP To From 2-A 61748HHD6 BB- (sf) A (sf) 3-A 61748HHE4 BB (sf) A (sf) 4-A 61748HHF1 BB- (sf) A (sf) 5-A 61748HHG9 BBB- (sf) AA- (sf) MortgageIT Trust 2004-1 Series 2004-1 Rating Class CUSIP To From M-2 61913PAC6 B (sf) B- (sf) MortgageIT Trust 2004-2 Series 2004-2 Rating Class CUSIP To From M-2 61913PAN2 B (sf) B- (sf) Nomura Asset Acceptance Corporation Alternative Loan Trust Series 2003-A2 Series 2003-A2 Rating Class CUSIP To From B2 65535VBQ0 B- (sf) BB- (sf) B3 65535VBR8 CC (sf) CCC (sf) RALI Series 2003-QS11 Trust Series 2003-QS11 Rating Class CUSIP To From M-1 76110HFB0 B+ (sf) BBB- (sf) RALI Series 2003-QS19 Trust Series 2003-QS19 Rating Class CUSIP To From M-1 76110HKX6 B- (sf) BB- (sf) RALI Series 2004-QA4 Trust Series 2004-QA4 Rating Class CUSIP To From NB-I-1 76110HZF9 B- (sf) A- (sf) NB-II-3 76110HZK8 B- (sf) AAA (sf) M-1 76110HZP7 CC (sf) CCC (sf) RALI Series 2005-QS1 Trust Series 2005-QS1 Rating Class CUSIP To From M-1 76110HQ28 D (sf) CC (sf)* Residential Asset Securitization Trust 2003-A6 Series 2003-F Rating Class CUSIP To From B-1 45660NRB3 CCC (sf) B+ (sf) Residential Asset Securitization Trust 2003-A8 Series 2003-H Rating Class CUSIP To From B-1 45660NRV9 CCC (sf) B (sf) B-2 45660NRW7 CC (sf) CCC (sf) Residential Asset Securitization Trust 2004-A2 Series 2004-A2 Rating Class CUSIP To From 2-A-1 45660ND28 AA (sf) AAA (sf) 2-A-2 45660ND36 AA (sf) AAA (sf) 1-B-1 45660NC60 CCC (sf) B (sf) 1-B-2 45660NC78 CC (sf) CCC (sf) Residential Asset Securitization Trust 2004-A9 Series 2004-I Rating Class CUSIP To From A-2 45660N5S0 CCC (sf) B+ (sf) A-5 45660N5V3 CCC (sf) B+ (sf) A-9 45660N5Z4 B+ (sf) BBB+ (sf) A-10 45660N6A8 CCC (sf) B+ (sf) PO 45660N6B6 CCC (sf) B+ (sf) B-1 45660N6E0 D (sf) CC (sf) Residential Asset Securitization Trust 2005-A9 Series 2005-I Rating Class CUSIP To From A-1 45660LTN9 CCC (sf) B (sf) A-2 45660LTP4 NR CC (sf) RFMSI Series 2003-S20 Trust Series 2003-S20 Rating Class CUSIP To From II-M-1 76111XET6 B- (sf) BBB- (sf) II-M-2 76111XEU3 CC (sf) CCC (sf) I-M-3 76111XEL3 B- (sf) BB- (sf) Structured Asset Mortgage Investments II Trust 2006-AR3 Series 2006-AR3 Rating Class CUSIP To From I-1A-2 86360KAB4 CC (sf) CCC (sf) I-1A-3 86360KAC2 CC (sf) CCC (sf) I-2A-3 86360KAG3 CC (sf) CCC (sf) II-2A-1 86360KAX6 CC (sf) CCC (sf) II-3A-1 86360KAY4 BB (sf) CCC (sf) II-4A-1 86360KAZ1 CC (sf) CCC (sf) Structured Asset Mortgage Investments II Trust 2006-AR5 Series 2006-AR5 Rating Class CUSIP To From 1-A-3 86360JAC5 D (sf) CC (sf) 4-A-1 86360JAN1 CCC (sf) B (sf) Structured Asset Mortgage Investments II Trust 2007-AR5 Series 2007-AR5 Rating Class CUSIP To From A-1 86364HAA9 CCC (sf) B (sf) A-2 86364HAB7 CC (sf) CCC (sf) Thornburg Mortgage Securities Trust 2003-6 Series 2003-6 Rating Class CUSIP To From M 885220ER0 BB (sf) B- (sf) RATINGS AFFIRMED Adjustable Rate Mortgage Trust 2004-3 Series 2004-3 Class CUSIP Rating 1-A-1 007036CR5 AAA (sf) 2-A-1 007036CT1 AAA (sf) X 007036CV6 AAA (sf) C-M 007036CW4 AA+ (sf) Alternative Loan Trust 2002-15CB Series 2002-28 Class CUSIP Rating A-1 12669DDG0 AAA (sf) X 12669DDH8 AAA (sf) PO 12669DDJ4 AAA (sf) B-1 12669DDM7 CC (sf) Alternative Loan Trust 2003-J1 Series 2003-J11 Class CUSIP Rating 1-A-1 12669EY26 AAA (sf) 1-A-2 12669EY34 AAA (sf) 1-A-3 12669EY42 AAA (sf) 1-A-4 12669EY59 AAA (sf) 1-A-6 12669EY75 AAA (sf) 1-A-7 12669EY83 AA+ (sf) 1-A-8 12669EY91 AAA (sf) 1-A-9 12669EZ25 AA+ (sf) 2-A-1 12669EZ33 AAA (sf) 2-A-2 12669EZ41 AAA (sf) 2-A-3 12669EZ58 AAA (sf) 2-X 12669EZ66 AAA (sf) 3-A-1 12669EZ90 AAA (sf) 3-A-2 12669E2A3 AAA (sf) 3-A-3 12669E2B1 AAA (sf) 3-X 12669EZ74 AAA (sf) 4-A-1 12669E2C9 AAA (sf) 4-X 12669EZ82 AAA (sf) PO 12669E2D7 AA+ (sf) M 12669E2E5 CC (sf) B-1 12669E2F2 CC (sf) Alternative Loan Trust 2004-28CB Series 2004-28CB Class CUSIP Rating 2-A-3 12667FYK5 B- (sf) PO 12667FYX7 B- (sf) M 12667FYZ2 CC (sf) Alternative Loan Trust 2004-4CB Series 2004-4CB Class CUSIP Rating B-1 12667FCR4 CC (sf) B-2 12667FCS2 CC (sf) Alternative Loan Trust 2004-J1 Series 2004-J1 Class CUSIP Rating 1-A-1 12667FBC8 AAA (sf) 1-X 12667FBD6 AAA (sf) 2-A-1 12667FBE4 AAA (sf) 2-X 12667FBF1 AAA (sf) PO 12667FBG9 AAA (sf) M 12667FBJ3 B (sf) B-1 12667FBK0 CC (sf) B-2 12667FBL8 CC (sf) Alternative Loan Trust 2004-J11 Series 2004-J11 Class CUSIP Rating M 12667FXS9 CC (sf) B-1 12667FXT7 CC (sf) Alternative Loan Trust 2004-J8 Series 2004-J8 Class CUSIP Rating M 12667FSR7 CC (sf) Ameriquest Mortgage Securities Inc. Series 2003-IA1 Class CUSIP Rating A-4 03072SLD5 AAA (sf) A-5 03072SLE3 AAA (sf) A-6 03072SLF0 AAA (sf) MV-1 03072SLL7 AA (sf) MF-1 03072SLG8 AA (sf) M-2 03072SLH6 A (sf) Banc of America Funding 2004-C Trust Series 2004-C Class CUSIP Rating 1-A-1 05946XLS0 AAA (sf) 1-B-1 05946XMD2 AA (sf) CB-1 05946XMG5 CC (sf) 1-B-2 05946XME0 A (sf) 4-A-1 05946XMA8 A (sf) 4-A-2 05946XMB6 AA- (sf) 1-B-5 05946XMQ3 CC (sf) 1-B-3 05946XMF7 BB- (sf) 1-B-4 05946XMP5 CC (sf) Banc of America Funding 2005-A Trust Series 2005-A Class CUSIP Rating 1-A-1 05946XQQ9 CC (sf) 2-A-1 05946XQS5 CC (sf) 2-A-2 05946XQT3 CC (sf) 2-A-3 05946XQU0 CC (sf) 3-A-1 05946XQW6 BBB (sf) 4-A-1 05946XQX4 BB- (sf) 4-B-1 05946XRE5 CC (sf) 4-B-2 05946XRF2 CC (sf) 4-B-3 05946XRG0 CC (sf) 5-A-1 05946XQY2 AA+ (sf) 5-A-2 05946XQZ9 AA (sf) 5-A-3 05946XRA3 A- (sf) 5-M-1 05946XRH8 B- (sf) 5-M-2 05946XRJ4 CC (sf) Banc of America Funding 2007-D Trust Series 2007-D Class CUSIP Rating 1-A-1 05952GAA9 CCC (sf) 1-A-4 05952GAD3 CCC (sf) 1-A-5 05952GAE1 CCC (sf) M-1 05952GAF8 CC (sf) Bear Stearns Asset Backed Securities Trust 2003-AC7 Series 2003-AC7 Class CUSIP Rating A-1 07384YPH3 AAA (sf) A-2 07384YPJ9 AAA (sf) A-3 07384YPK6 AAA (sf) A-4 07384YPL4 AAA (sf) M-1 07384YPN0 AA (sf) B 07384YPQ3 CC (sf) CHL Mortgage Pass-Through Trust 2005-9 Series 2005-9 Class CUSIP Rating 1-A-1 12669GYY1 B (sf) 1-A-2 12669GYZ8 CC (sf) 1-A-3 12669GZQ7 B (sf) 1-A-5 12669GZS3 CCC (sf) 1-A-6 12669GZT1 CC (sf) 2-A-2 12669GZC8 CC (sf) M-1 12669GZG9 CC (sf) Citigroup Mortgage Loan Trust 2003-HYB1 Series 2003-HYB1 Class CUSIP Rating A 79549AYG8 AAA (sf) B-1 79549AYH6 A- (sf) Citigroup Mortgage Loan Trust Inc. Series 2004-HYB4 Class CUSIP Rating A-A 17307GMC9 AAA (sf) A-X 17307GMD7 AAA (sf) 2-B1 17307GME5 BBB+ (sf) 2-B2 17307GMF2 CC (sf) Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA3 Series 2007-OA3 Class CUSIP Rating A-2 25150WAB0 CC (sf) Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA5 Series 2007-OA5 Class CUSIP Rating A-2 25150XAB8 CCC (sf) First Horizon Alternative Mortgage Securities Trust 2004-AA2 Series 2004-AA2 Class CUSIP Rating I-A-1 32051D4P4 AAA (sf) B-1 32051D4T6 CC (sf) B-2 32051D4U3 CC (sf) First Horizon Alternative Mortgage Securities Trust 2006-FA6 Series 2006-FA6 Class CUSIP Rating III-A-1 32052FBD7 CCC (sf) III-A-PO 32052FBE5 CCC (sf) First Horizon Mortgage Pass-Through Trust 2006-4 Series 2006-4 Class CUSIP Rating I-A-1 32052UAA1 CCC (sf) I-A-2 32052UAB9 CC (sf) I-A-3 32052UAC7 CC (sf) I-A-8 32052UAH6 CC (sf) I-A-9 32052UAJ2 CC (sf) I-A-10 32052UAK9 CC (sf) I-A-11 32052UAL7 CC (sf) I-A-12 32052UAM5 CC (sf) I-A-16 32052UAR4 CC (sf) I-A-17 32052UAS2 CC (sf) I-A-PO 32052UAT0 CC (sf) II-A-1 32052UAV5 B- (sf) GMACM Mortgage Loan Trust 2005-AA1 Series 2005-AA1 Class CUSIP Rating 1-A-1 76112BNM8 CC (sf) 2-A-1 76112BNN6 B- (sf) 2-A-2 76112BNP1 CC (sf) GreenPoint Mortgage Funding Trust 2005-AR4 Series 2005-AR4 Class CUSIP Rating III-A-1 39538WBW7 CC (sf) IV-A-1a 39538WBY3 CCC (sf) IV-A-1b 39538WBZ0 CCC (sf) IVA1b cert 39538WCY2 CCC (sf) GSAA Home Equity Trust 2005-3 Series 2005-3 Class CUSIP Rating M-1 36242DWU3 AA (sf) B-1 36242DWW9 CC (sf) B-2 36242DWX7 CC (sf) GSR Mortgage Loan Trust 2006-OA1 Series 2006-OA1 Class CUSIP Rating 1-A-1 362631AA1 CCC (sf) 2-A-2 362631AC7 CCC (sf) 2-A-3 362631AD5 CCC (sf) 3-A-1 362631AE3 CCC (sf) 3-A-2 362631AF0 CCC (sf) IndyMac INDX Mortgage Loan Trust 2004-AR15 Series 2004-AR15 Class CUSIP Rating 1-A-1 45660LBE8 B- (sf) 2-A-1 45660LBF5 B- (sf) 3-A-1 45660LBG3 B- (sf) 4-A-1 45660LBH1 BBB- (sf) 4-A-2 45660LBJ7 B- (sf) 5-A-2 45660LBL2 B- (sf) 6-A-1 45660LBM0 B- (sf) IndyMac INDX Mortgage Loan Trust 2004-AR3 Series 2004-AR3 Class CUSIP Rating A-1 45660NL78 AAA (sf) A-X-2 45660NL94 AAA (sf) MASTR Adjustable Rate Mortgages Trust 2003-7 Series 2003-7 Class CUSIP Rating 1-A-1 576433HF6 AAA (sf) 1-A-X 576433HG4 AAA (sf) 2-A-1 576433HH2 AAA (sf) 2-A-X 576433HJ8 AAA (sf) 3-A-1 576433HK5 AAA (sf) 3-A-X 576433HL3 AAA (sf) 4-A-1 576433HM1 AAA (sf) 4-A-X 576433HN9 AAA (sf) B-1 576433HV1 AAA (sf) B-4 576433HY5 CC (sf) 5-M-1 576433HS8 AAA (sf) MASTR Alternative Loan Trust 2002-2 Series 2002-2 Class CUSIP Rating 1-A-1 576434AU8 AAA (sf) 2-A-1 576434AX2 AAA (sf) A-X-1 576434BA1 AAA (sf) PO-1 576434BB9 AAA (sf) PO-2 576434BC7 AAA (sf) B-1 576434BF0 AAA (sf) B-2 576434BG8 BB (sf) MASTR Alternative Loan Trust 2003-5 Series 2003-5 Class CUSIP Rating 1-A-1 576434FC3 AAA (sf) 2-A-1 576434FD1 AAA (sf) 3-A-1 576434FE9 AAA (sf) 4-A-1 576434FF6 AAA (sf) 5-A-1 576434FG4 AAA (sf) 6-A-1 576434FH2 AAA (sf) 7-A-1 576434FJ8 AAA (sf) 8-A-1 576434FK5 AAA (sf) 15-PO 576434FL3 AAA (sf) 15-AX 576434FN9 AAA (sf) 30-PO 576434FM1 AAA (sf) 30-AX 576434FP4 AAA (sf) 15-B-1 576434FR0 B- (sf) 15-B-2 576434FS8 CC (sf) 15-B-3 576434FT6 CC (sf) 30-B-1 576434FU3 AA (sf) 30-B-3 576434FW9 CC (sf) 15-B-4 576434FX7 CC (sf) 30-B-4 576434GA6 CC (sf) MASTR Alternative Loan Trust 2004-10 Series 2004-10 Class CUSIP Rating 1-A-1 576434VU5 BB (sf) 2-A-1 576434VV3 B+ (sf) 3-A-1 576434VW1 BB (sf) 4-A-1 576434VX9 BB- (sf) 5-A-1 576434VY7 B- (sf) 5-A-3 576434WA8 B- (sf) 5-A-4 576434WB6 B- (sf) 5-A-5 576434WC4 B- (sf) 5-A-6 576434WD2 B- (sf) 15-PO 576434WF7 B+ (sf) 30-PO 576434WG5 B- (sf) B-1 576434WN0 CC (sf) B-2 576434WP5 CC (sf) B-3 576434WQ3 CC (sf) MASTR Alternative Loan Trust 2004-3 Series 2004-3 Class CUSIP Rating 1-A-1 576434NU4 AAA (sf) 2-A-1 576434NV2 AAA (sf) 3-A-1 576434NW0 AAA (sf) 4-A-1 576434NX8 AAA (sf) 15-AX 576434PE8 AAA (sf) 30-AX-1 576434PF5 AAA (sf) 15-PO 576434PC2 AAA (sf) 5-A-1 576434NY6 AAA (sf) 6-A-1 576434NZ3 AAA (sf) 7-A-1 576434PA6 AAA (sf) 8-A-1 576434PB4 AAA (sf) 30-AX-2 576434PG3 AAA (sf) 30-PO 576434PD0 AAA (sf) B-I-1 576434PN8 AA- (sf) B-1 576434PK4 BB (sf) B-2 576434PL2 CCC (sf) B-3 576434PM0 CC (sf) B-4 576434PR9 CC (sf) MASTR Alternative Loan Trust 2005-2 Series 2005-2 Class CUSIP Rating 1-A-1 576434H72 AA+ (sf) 1-A-2 576434H80 AA+ (sf) 1-A-3 576434H98 AA+ (sf) 1-A-4 576434J21 AA+ (sf) 2-A-1 576434J39 A+ (sf) 3-A-1 576434J47 A+ (sf) 4-A-1 576434J54 AA+ (sf) 4-A-2 576434J62 AA+ (sf) 4-A-3 576434J70 AA+ (sf) 4-A-4 576434J88 AA+ (sf) 4-A-5 576434K78 AA+ (sf) 5-A-1 576434J96 AA+ (sf) 6-A-1 576434K29 A+ (sf) A-X-1 576434K52 AA+ (sf) A-X-2 576434K60 AA+ (sf) PO 576434K86 A+ (sf) B-2 576434L28 CC (sf) MASTR Alternative Loan Trust 2007-1 Series 2007-1 Class CUSIP Rating 1-A-3 55275SAC4 CCC (sf) Morgan Stanley Mortgage Loan Trust 2004-11AR Series 2004-11AR Class CUSIP Rating 1-A-1 61748HGR6 AAA (sf) 1-A-2A 61748HHB0 AAA (sf) 1-A-2B 61748HHC8 AAA (sf) 1-X-2 61748HGW5 AAA (sf) 1-B-1 61748HGT2 CC (sf) MortgageIT Trust 2004-1 Series 2004-1 Class CUSIP Rating A-1 61913PAA0 AAA (sf) A-2 61913PAF9 AAA (sf) M-1 61913PAB8 A (sf) B-1 61913PAD4 CC (sf) B-2 61913PAE2 CC (sf) MortgageIT Trust 2004-2 Series 2004-2 Class CUSIP Rating A-1 61913PAG7 AAA (sf) A-2 61913PAH5 AAA (sf) M-1 61913PAM4 BB (sf) B-1 61913PAK8 CC (sf) B-2 61913PAL6 CC (sf) MortgageIT Trust 2005-1 Series 2005-1 Class CUSIP Rating 1-A-1 61913PAP7 AAA (sf) 1-A-2 61913PAQ5 AAA (sf) 2-A 61913PAR3 AAA (sf) 1-M-1 61913PAS1 BB (sf) 1-M-2 61913PAT9 BB (sf) 2-M-1 61913PAU6 BBB- (sf) 2-M-2 61913PAV4 B- (sf) 1-B-1 61913PAW2 B- (sf) 1-B-2 61913PAX0 CCC (sf) 2-B-1 61913PAY8 CCC (sf) MortgageIT Trust 2005-4 Series 2005-4 Class CUSIP Rating A-1 61913PAZ5 B- (sf) M-1 61913PBA9 CC (sf) M-2 61913PBB7 CC (sf) Nomura Asset Acceptance Corporation Alternative Loan Trust Series 2003-A2 Series 2003-A2 Class CUSIP Rating M1 65535VBM9 AAA (sf) M2 65535VBN7 AAA (sf) B1 65535VBP2 AAA (sf) B4 65535VBS6 CC (sf) AIO-2 65535VBU1 AAA (sf) Opteum Mortgage Acceptance Corporation Series 2005-1 Class CUSIP Rating A-1A 68383NAA1 AAA (sf) A-1B 68383NAB9 AAA (sf) A-4 68383NAE3 AAA (sf) M-1 68383NAF0 AA+ (sf) M-2 68383NAG8 AA (sf) M-3 68383NAH6 AA- (sf) M-4 68383NAJ2 A (sf) M-5 68383NAK9 BB (sf) M-6 68383NAL7 BB (sf) M-7 68383NAM5 B- (sf) M-8 68383NAN3 CCC (sf) RALI Series 2002-QS7 Trust Series 2002-QS7 Class CUSIP Rating A-7 76110GC41 AAA (sf) A-8 76110GC58 AAA (sf) A-16 76110GD57 AAA (sf) A-P 76110GD65 AAA (sf) A-V 76110GD73 AAA (sf) M-1 76110GE23 AAA (sf) M-2 76110GE31 AAA (sf) M-3 76110GE49 B (sf) B-1 76110GE56 CCC (sf) RALI Series 2003-QS11 Trust Series 2003-QS11 Class CUSIP Rating A-1 76110HEH8 AAA (sf) A-2 76110HEJ4 AAA (sf) A-4 76110HEL9 AAA (sf) A-5 76110HEM7 AAA (sf) A-6 76110HEN5 AAA (sf) A-8 76110HEQ8 AAA (sf) A-9 76110HER6 AAA (sf) A-10 76110HES4 AAA (sf) A-11 76110HET2 AAA (sf) A-12 76110HEU9 AAA (sf) A-13 76110HEV7 AAA (sf) A-14 76110HEW5 AAA (sf) A-P 76110HEX3 AAA (sf) A-V 76110HEY1 AAA (sf) M-2 76110HFC8 CC (sf) RALI Series 2003-QS19 Trust Series 2003-QS19 Class CUSIP Rating A-I 76110HKJ7 AAA (sf) CB 76110HKK4 AAA (sf) NB-1 76110HKL2 AAA (sf) NB-2 76110HKM0 AAA (sf) NB-4 76110HKP3 AAA (sf) NB-5 76110HKQ1 AAA (sf) NB-6 76110HKR9 AAA (sf) NB-7 76110HKS7 AAA (sf) A-P 76110HKT5 AAA (sf) A-V 76110HKU2 AAA (sf) M-2 76110HKY4 CC (sf) RALI Series 2004-QA2 Trust Series 2004-QA2 Class CUSIP Rating A-I 76110HVT3 AAA (sf) A-II 76110HVU0 AAA (sf) M-1 76110HVV8 B- (sf) M-2 76110HVW6 CC (sf) M-3 76110HVX4 CC (sf) RALI Series 2004-QA4 Trust Series 2004-QA4 Class CUSIP Rating CB-I 76110HZE2 AAA (sf) NB-II-1 76110HZH5 AAA (sf) NB-II-2 76110HZJ1 AAA (sf) NB-III 76110HZL6 AAA (sf) RALI Series 2005-QS1 Trust Series 2005-QS1 Class CUSIP Rating A-1 76110HN88 B (sf) A-P 76110HP60 CCC (sf) A-2 76110HN96 CCC (sf) A-3 76110HP29 CCC (sf) A-4 76110HP37 CCC (sf) A-5 76110HP45 CCC (sf) Residential Asset Securitization Trust 2003-A6 Series 2003-F Class CUSIP Rating A-1 45660NQR9 AAA (sf) A-2 45660NQS7 AAA (sf) A-3 45660NQT5 AAA (sf) A-4 45660NQU2 AAA (sf) A-5 45660NQV0 AAA (sf) A-6 45660NQW8 AAA (sf) A-7 45660NQX6 AAA (sf) PO 45660NQY4 AAA (sf) A-X 45660NQZ1 AAA (sf) B-2 45660NRC1 CC (sf) B-3 45660NRD9 CC (sf) B-4 45660NRE7 CC (sf) B-5 45660NRF4 CC (sf) Residential Asset Securitization Trust 2003-A8 Series 2003-H Class CUSIP Rating A-1 45660NRL1 AAA (sf) A-2 45660NRM9 AAA (sf) A-3 45660NRN7 AAA (sf) A-4 45660NRP2 AAA (sf) A-5 45660NRQ0 AAA (sf) PO 45660NRR8 AAA (sf) A-X 45660NRS6 AAA (sf) B-3 45660NRU1 CC (sf) B-4 45660NRH0 CC (sf) B-5 45660NRJ6 CC (sf) Residential Asset Securitization Trust 2004-A2 Series 2004-A2 Class CUSIP Rating 1-A-1 45660NB20 AAA (sf) 1-A-2 45660NB38 AAA (sf) 1-A-3 45660NB46 AAA (sf) 1-A-4 45660NB53 AAA (sf) 1-A-8 45660NB95 AAA (sf) 1-A-9 45660NC29 AAA (sf) 1-A-10 45660NC94 AAA (sf) 1-A-X 45660NC45 AAA (sf) 1-PO 45660NC37 AAA (sf) 1-B-3 45660NC86 CC (sf) 1-B-4 45660ND85 CC (sf) Residential Asset Securitization Trust 2004-A9 Series 2004-I Class CUSIP Rating A-4 45660N5U5 B+ (sf) Residential Asset Securitization Trust 2005-A9 Series 2005-I Class CUSIP Rating A-3 45660LTQ2 CC (sf) A-4 45660LTR0 CC (sf) A-5 45660LTS8 CC (sf) PO 45660LTT6 CC (sf) RFMSI Series 2003-S20 Trust Series 2003-S20 Class CUSIP Rating I-A-5 76111XDV2 AAA (sf) I-A-6 76111XDW0 AAA (sf) I-A-9 76111XDZ3 AAA (sf) II-A-1 76111XEA7 AAA (sf) I-A-P 76111XEW9 AAA (sf) I-A-V 76111XEC3 AAA (sf) II-A-P 76111XEB5 AAA (sf) II-A-V 76111XED1 AAA (sf) I-M-1 76111XEJ8 AA (sf) I-M-2 76111XEK5 A (sf) II-M-3 76111XEV1 CC (sf) I-B-1 76111XEM1 CC (sf) II-B-1 76111XEQ2 CC (sf) II-B-2 76111XER0 CC (sf) Structured Adjustable Rate Mortgage Loan Trust Series 2007-7 Series 2007-7 Class CUSIP Rating 1-A1 86364DAA8 CCC (sf) 2-AP 86364DBM1 CC (sf) Structured Asset Mortgage Investments II Trust 2006-AR3 Series 2006-AR3 Class CUSIP Rating I-1A-1 86360KAA6 CCC (sf) I-2A-1 86360KAE8 CCC (sf) I-2A-2 86360KAF5 CCC (sf) II-1A-1 86360KAW8 CCC (sf) Structured Asset Mortgage Investments II Trust 2006-AR5 Series 2006-AR5 Class CUSIP Rating 1-A-1 86360JAA9 B (sf) 1-A-2 86360JAB7 CC (sf) 2-A-1 86360JAE1 CCC (sf) 3-A-1 86360JAJ0 CCC (sf) 3-A-2 86360JAK7 CC (sf) Structured Asset Mortgage Investments II Trust 2007-AR5 Series 2007-AR5 Class CUSIP Rating A-3 86364HAC5 CC (sf) B-1 86364HAD3 CC (sf) B-2 86364HAE1 CC (sf) B-3 86364HAF8 CC (sf) B-4 86364HAG6 CC (sf) B-5 86364HAH4 CC (sf) B-6 86364HAJ0 CC (sf) Thornburg Mortgage Securities Trust 2003-6 Series 2003-6 Class CUSIP Rating A-1 885220EP4 AAA (sf) A-2 885220EQ2 AA- (sf *Based on application of our interest shortfall criteria * S&P Lowers Ratings on 12 Classes From 5 RMBS Re-REMIC Deals ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 12 classes from five residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions. "Concurrently, we affirmed our ratings on 111 classes from four transactions with lowered ratings and three other transactions and removed one of them from CreditWatch with negative implications. In addition, we withdrew our ratings on 11 classes because they have been paid in full. The eight transactions in this review were issued between 2003 and 2010," S&P said. "Two transactions in this review (JMAC Master Resecuritization Trust I Series 2009-B and Picard Funding 1 Ltd.) pay interest sequentially, five (Morgan Stanley Re-REMIC Trust 2010-R6, Deutsche Mortgage Securities Mortgage Loan Resecuritization Trust, Series 2009-RS1, Jefferies Resecuritization Trust 2009-R1, MASTR Resecuritization Trust 2008-2, and WaMu Mortgage Pass-Through Certificates 2003-XS1) pay interest on a pro rata basis, and one (Morgan Stanley Re-REMIC Trust 2010-R4) contains both sequential and pro rata paying structures," S&P said. "All of the transactions within this review contain subordinate classes that provide credit support to more senior classes, with the exception of two transactions (JMAC Master Resecuritization Trust I Series 2009-B and WaMu Mortgage Pass-Through Certificates 2003-XS1). Each structure within JMAC Master Resecuritization Trust I Series 2009-B contains only one class and overcollateralization within each structure provides support to each related re-REMIC class. WaMu Mortgage Pass-Through Certificates 2003-XS1 has 15 interest-only (IO) classes that are entitled to receive a portion of servicing fees from an underlying pool of mortgage loans," S&P said. "We intend our ratings on the re-REMIC classes to address the timely payment of interest and ultimate payment of principal. We reviewed the interest and principal amounts due on the underlying securities, which are then passed through to the applicable re- REMIC classes. We applied our loss projections and assumptions to the underlying collateral to identify the principal and interest amounts that could be passed through from the underlying securities under our rating scenario stresses. We stressed our loss projections at various rating categories to assess whether the re-REMIC classes could withstand the stressed losses associated with their ratings while receiving timely payment of interest and principal consistent with our criteria," S&P said. "We based our downgrades on our assessment of projected interest shortfalls and/or projected principal losses from the underlying securities that would impair the re-REMIC classes at the applicable rating stresses," S&P said. "The affirmations of ratings above 'CCC (sf)' reflect our assessment that the re-REMIC classes will likely receive timely interest and the ultimate payment of principal under the applicable stressed assumptions for the current ratings," S&P said. "The affirmations of the 'CCC (sf)' and 'CC (sf)' ratings reflect our assessment that the credit enhancement for the applicable classes will be insufficient to cover our 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 Deutsche Mortgage Securities, Inc. Mortgage Loan Resecuritization Trust, Series 2009-RS1 Series 2009-RS1 Rating Class CUSIP To From A3 251568AC5 CC (sf) CCC (sf) A2 251568AB7 AAA (sf) AAA (sf)/Watch Neg Jefferies Resecuritization Trust 2009-R1 Series 2009-R1 Rating Class CUSIP To From 4-A2 47232CAH7 CC (sf) CCC (sf) 4-A5 47232CAU8 CC (sf) CCC (sf) 4-A4 47232CAT1 B- (sf) B (sf) 5-A6 47232CAY0 CC (sf) CCC (sf) 5-A2 47232CAK0 CC (sf) CCC (sf) JMAC Master Resecuritization Trust I Series 2009-B Series 2009-B Rating Class CUSIP To From 2-A 46633WAB3 NR AAA (sf) 50-A 46633WCB1 NR A (sf) 22-A 46633WAX5 NR AAA (sf) 45-A 46633WBW6 NR AAA (sf) 42-A 46633WBT3 NR AAA (sf) 43-A 46633WBU0 NR AAA (sf) 44-A 46633WBV8 NR AAA (sf) 26-A 46633WBB2 NR AAA (sf) 49-A 46633WCA3 NR AA (sf) 19-A 46633WAU1 NR AAA (sf) MASTR Resecuritization Trust 2008-2 Series 2008-2 Rating Class CUSIP To From A-1 55292GAA3 B- (sf) BB (sf) Morgan Stanley Re-REMIC Trust 2010-R4 Series 2010-R4 Rating Class CUSIP To From 3-A 61759FAK7 BB+ (sf) AA (sf) 3-A1 61759FAL5 A (sf) AAA (sf) 3-A2 61759FAM3 BB+ (sf) AA (sf) Morgan Stanley Re-REMIC Trust 2010-R6 Series 2010-R6 Rating Class CUSIP To From 4-A1 61759NAP9 NR AAA (sf) 3-A2 61759NAM6 A+ (sf) AAA (sf) 3-A 61759NAK0 A+ (sf) AAA (sf) RATINGS AFFIRMED Jefferies Resecuritization Trust 2009-R1 Series 2009-R1 Class CUSIP Rating 2-A3 47232CAL8 BB (sf) 4-A3 47232CAS3 AAA (sf) 4-A1 47232CAG9 AAA (sf) 1-A4 47232CBA1 B- (sf) 5-A5 47232CAX2 B+ (sf) 5-A3 47232CAV6 AAA (sf) 2-A1 47232CAC8 AAA (sf) 3-A1 47232CAE4 AAA (sf) 3-A4 47232CAQ7 AAA (sf) 2-A2 47232CAD6 CC (sf) 1-A3 47232CAZ7 AA- (sf) 2-A4 47232CAM6 BB- (sf) 3-A2 47232CAF1 CCC (sf) 5-A1 47232CAJ3 AAA (sf) 3-A3 47232CAP9 AAA (sf) 1-A2 47232CAB0 B- (sf) 1-A1 47232CAA2 AAA (sf) 2-A5 47232CAN4 CC (sf) 5-A4 47232CAW4 AAA (sf) 3-A5 47232CAR5 CCC (sf) JMAC Master Resecuritization Trust I Series 2009-B Series 2009-B Class CUSIP Rating 23-A 46633WAY3 AAA (sf) 15-A 46633WAQ0 A (sf) 39-A 46633WBQ9 AAA (sf) 17-A 46633WAS6 AAA (sf) 10-A 46633WAK3 AAA (sf) 31-A 46633WBG1 AAA (sf) 12-A 46633WAM9 AAA (sf) 48-A 46633WBZ9 AAA (sf) 27-A 46633WBC0 AA (sf) 14-A 46633WAP2 AAA (sf) 6-A 46633WAF4 AAA (sf) 47-A 46633WBY2 AAA (sf) 25-A 46633WBA4 AAA (sf) 36-A 46633WBM8 AAA (sf) 8-A 46633WAH0 AAA (sf) 41-A 46633WBS5 AAA (sf) 37-A 46633WBN6 AAA (sf) 9-A 46633WAJ6 AAA (sf) 33-A 46633WBJ5 AAA (sf) 40-A 46633WBR7 AAA (sf) 46-A 46633WBX4 A (sf) 30-A 46633WBF3 AA (sf) 34-A 46633WBK2 AA (sf) 18-A 46633WAT4 AAA (sf) 1-A 46633WAA5 BB (sf) 32-A 46633WBH9 AA (sf) 16-A 46633WAR8 AA (sf) 5-A 46633WAE7 AAA (sf) 11-A 46633WAL1 AA (sf) 4-A 46633WAD9 AAA (sf) 35-A 46633WBL0 AAA (sf) 20-A 46633WAV9 AAA (sf) 13-A 46633WAN7 AAA (sf) 29-A 46633WBE6 A (sf) 38-A 46633WBP1 AA (sf) 3-A 46633WAC1 AAA (sf) 21-A 46633WAW7 AAA (sf) 28-A 46633WBD8 AAA (sf) Morgan Stanley Re-REMIC Trust 2010-R4 Series 2010-R4 Class CUSIP Rating 4-A4 61759FAT8 BBB (sf) 2-A1 61759FAG6 AAA (sf) 4-A2 61759FAR2 AA (sf) 1-A 61759FAA9 AAA (sf) 1-A2 61759FAC5 AAA (sf) 4-A 61759FAP6 BBB (sf) 2-A3 61759FAW1 A (sf) 1-B 61759FAD3 BBB (sf) 4-A3 61759FAS0 A (sf) 2-A 61759FAF8 A (sf) 4-A1 61759FAQ4 AAA (sf) 2-A2 61759FAH4 AA (sf) Morgan Stanley Re-REMIC Trust 2010-R6 Series 2010-R6 Class CUSIP Rating 2-A 61759NAD6 AAA (sf) 2-A2 61759NAF1 AAA (sf) 3-A1 61759NAL8 AAA (sf) 2-A3 61759NAG9 AAA (sf) 1-A2 61759NAC8 AAA (sf) 2-A4 61759NAH7 AAA (sf) 1-A 61759NAA2 AAA (sf) 4-A 61759NAN4 AAA (sf) 2-A1 61759NAE4 AAA (sf) 2-A5 61759NAJ3 AAA (sf) 1-A1 61759NAB0 AAA (sf) 4-A2 61759NAQ7 AAA (sf) Picard Funding 1 Limited Series 1 Class CUSIP Rating E 71952XAE6 A (sf) H 71952XAH9 BBB (sf) I 71952XAJ5 BBB- (sf) G 71952XAG1 BBB+ (sf) K 71952XAL0 BB (sf) M 71952XAN6 B (sf) L 71952XAM8 BB- (sf) B 71952XAB2 AA (sf) J 71952XAK2 BB+ (sf) A 71952XAA4 AAA (sf) F 71952XAF3 A- (sf) D 71952XAD8 A+ (sf) C 71952XAC0 AA- (sf) WaMu Mortgage Pass-Through Certificates, Series 2003-XSF1 Trust Series 2003-XSF1 Class CUSIP Rating 1-A 92922FAA6 AAA (sf) 1-X 92922FAB4 AAA (sf) 2-A 92922FAC2 AAA (sf) 2-B 92922FAD0 AAA (sf) 2-X 92922FAF5 AAA (sf) 3-A 92922FAG3 AAA (sf) 3-X 92922FAH1 AAA (sf) 4-A 92922FAJ7 AAA (sf) 4-X 92922FAK4 AAA (sf) 5-A 92922FAL2 AAA (sf) 5-B 92922FAM0 AAA (sf) 5-C 92922FAN8 AAA (sf) 5-X 92922FAP3 AAA (sf) 6-A 92922FAQ1 AAA (sf) 6-X 92922FAR9 AAA (sf) * S&P Lowers Ratings on 46 Classes From 31 US RMBS Transactions --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 46 classes from 31 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1997 and 2011. "Concurrently, we raised our ratings on 78 classes from 55 of the reviewed transactions. Furthermore, we affirmed our ratings on 616 classes from 122 of the reviewed transactions. We also withdrew our ratings on five classes from four transactions," S&P said. The complete ratings list is available for free at: http://bankrupt.com/misc/S&P_0727_RMBS_List.pdf The 130 RMBS transactions in this review are backed by various types of mortgage loan collateral. For Springleaf Mortgage Loan Trust 2011-1, the underlying collateral is consists of seasoned subprime loans that were originated predominantly in 2007. "In accordance with our published criteria, these rating actions reflect our view of the recent performance of the collateral backing these transactions, our current projected losses, the timing of the projected defaults and losses, and the projected credit support to cover those losses. The actions also reflect our view of structural features, such as cross collateralization, payment allocations, and super-senior/subordinate senior relationships," S&P said. "The downgrades reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses we applied at the applicable rating stresses. In addition, we lowered our ratings on five classes from four of the transactions based on our interest shortfall criteria. These classes can be identified in the ratings list by an asterisk and accompanying footnote," S&P said. "Among other factors, the upgrades reflect our view of decreased delinquencies within the structures associated with the affected classes. The decreased delinquencies have reduced remaining projected losses for these structures, allowing these classes to withstand more stressful scenarios. The upgrades to 'B- (sf)', 'B (sf)', and 'BB (sf)' from 'CCC (sf)' or 'CC (sf)' reflect our opinion that we no longer expect these classes to default based on the credit enhancement available to cover our projected losses. In addition, each upgrade reflects our assessment that the projected credit enhancement for each affected class will be more than sufficient to cover projected losses at the revised rating levels. However, we are limiting the extent of the upgrades to reflect our view of ongoing market risk," S&P said. "The affirmations reflect our belief that projected credit enhancement available for the affected classes will be sufficient to cover our projected losses at the current rating levels. The affirmed 'CCC (sf)' and 'CC (sf)' ratings reflect our assessment that the credit enhancement for these classes will remain insufficient to cover projected losses," S&P said. "We withdrew our ratings on three classes as these classes are backed by a pool with a small number of remaining loans. If any of the remaining loans default, the resulting loss could have a greater effect on the pool's performance than if the pool consisted of a larger number of loans. Because this performance volatility may have an adverse effect on our outstanding ratings, we withdrew our ratings on the related transactions. We also withdrew our ratings on two classes from two of the reviewed transactions because the classes have been paid in full," S&P said. "In order to maintain a 'B' rating on a class, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis. In order to maintain a rating higher than 'B', we assessed whether the class could withstand losses exceeding our remaining base-case loss assumptions at a percentage specific to each rating category, up to 150% for a 'AAA' rating. For example, in general, we would assess whether one class could withstand approximately 110% of our remaining base-case loss assumptions to maintain a 'BB' rating, while we would assess whether a different class could withstand approximately 120% of our remaining base-case loss assumptions to maintain a 'BBB' rating. Each class with an affirmed 'AAA' rating can, in our view, withstand approximately 150% of our remaining base-case loss assumptions under our analysis," S&P said. "Based on our criteria, the rating on a bond insured class is dependent on the higher of (i) the rating on the respective bond insurer and (ii) the rating on the class without giving benefit to the bond insurance." Subordination, overcollateralization, and excess interest generally provide credit support for the classes within these subprime transactions. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com * S&P Lowers Ratings on 113 Classes From 17 RMBS Prime Jumbo Deals ------------------------------------------------------------------ Standard & Poor's Ratings Services reviewed 42 U.S. residential mortgage-backed securities (RMBS) transactions and lowered its ratings on 113 classes from 17 of these transactions. "In addition, we affirmed our ratings on 149 classes from 21 of the reviewed transactions. We also withdrew our ratings on 114 additional classes: 103 due to the small number of loans in the related mortgage pools and 11 because they have been paid in full," S&P said. The complete rating list is available for free at: to upload http://bankrupt.com/misc/S&P_RMBS_RA_07_30_12.pdf The 42 RMBS transactions included in this review are backed by prime jumbo mortgage loan collateral and were issued between 1992 and 2007. Subordination provides credit support for these transactions. "In accordance with our published criteria, these rating actions reflect our view of the recent performance of the collateral backing these transactions, our current projected losses, the timing of the projected defaults and losses, and the projected credit support to cover those losses. The actions also reflect our view of structural features, such as cross collateralization, payment allocations, and super-senior/subordinate senior relationships," S&P said. "The downgrades reflect our belief that projected credit enhancement for the affected classes will be insufficient to cover the projected losses we applied at the previous rating stresses but will be sufficient to cover projected losses associated with the new rating levels," S&P said. "The affirmations reflect our belief that projected credit enhancement available for these classes will be sufficient to cover projected losses associated with these rating levels," S&P said. "We withdrew our ratings on 103 classes that are backed by pools with a small number of remaining loans. If any of the remaining loans in these pools default, the resulting loss could have a greater effect on the pool's performance than if the pool consisted of a larger number of loans. Because this performance volatility may have an adverse effect on our outstanding ratings, we withdrew our ratings on the related transaction structures. We withdrew our ratings on 11 other classes that have been paid in full," S&P said. "Classes rated 'CCC (sf)' and 'CC (sf)' reflect our assessment that the credit enhancement for these classes will be insufficient to cover projected losses," S&P said. "In order to maintain a 'B (sf)' rating on a class from a prime jumbo transaction, we assessed whether, in our view, a class could absorb the remaining base-case loss assumptions we used in our analysis. In order to maintain a rating higher than 'B (sf)', we assessed whether a class could withstand losses exceeding the base-case loss assumptions at a percentage specific to each rating category, up to 235% of remaining losses for an 'AAA (sf)' rating. For example, in general, we would assess whether one class could withstand approximately 127% of our remaining base-case loss assumption to maintain a 'BB (sf)' rating, while we would assess whether a different class could withstand approximately 154% of our remaining base-case loss assumption to maintain a 'BBB (sf)' rating," 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 * S&P Withdraws Ratings on 29 Note Classes From 11 CDO Deals ------------------------------------------------------------ Standard & Poor's Ratings Services withdrew its ratings on 29 classes of notes from 11 collateralized debt obligation (CDO) transactions. The withdrawals follow the complete paydown of the notes on their most recent payment dates. ACA CLO 2005-1 Ltd. is a cash flow CDO transaction backed by corporate loans (CLO). The transaction paid the class A-1L, A-2L, A-3L, B-1L, and B-2L notes down in full on the July 16, 2012, optional redemption payment date, from outstanding balances of $179.21 million, $18.00 million, $19.00 million, $16.50 million, and $8.00 million. Ares IX CLO Ltd. is a cash flow CLO transaction, which paid the class A-1-A, A-1-B, A-1-C, A-2, B, C, D-1, and D-2 notes down in full on the July 20, 2012, optional redemption payment date, from outstanding balances of $67.18 million, $0.86 million, $18.75 million, $10.46 million, $12.00 million, $33.00 million, $39.00 million, and $3.00 million. Field Point I Ltd. is a cash flow CLO transaction, which paid the class A-1 and A-2 notes down in full on the June 21, 2012, payment date, from outstanding balances of $41.07 million and $34.81 million. Forest Creek CLO Ltd. is a cash flow CLO transaction, which paid the class A-3L notes down in full on the July 10, 2012, payment date, from outstanding balance of $1.57 million. Grand Horn CLO Ltd. is a cash flow CLO transaction, which paid the class A, B, C, D and E notes down in full on the July 12, 2012, optional redemption payment date, from outstanding balances of $56.99 million, $28.50 million, $27.50 million, $20.25 million, and $19.00 million. Landmark VII CDO Ltd. is a cash flow CLO transaction, which paid the class X notes down in full on the July 16, 2012, payment date, from outstanding balance of $0.25 million. Primus CLO I Ltd. is a cash flow CLO transaction, which paid the class A-1-A notes down in full on the July 16, 2012, payment date, from outstanding balance of $182.25 million. Southport CLO, Ltd. is a cash flow CLO transaction, which paid the class A-2 notes down in full on the July 16, 2012, payment date, from outstanding balance of $10.12 million. TCW Select Loan Fund Ltd. is a cash flow CLO transaction, which paid the class composite notes down in full on the April 10, 2012, payment date, when the class D-2 notes backing the composite note paid down from an outstanding balance of $2.27 million. Union Square CDO Ltd. is a cash flow CLO transaction, which paid the class A-2, B, and C notes down in full on the July 16, 2012, optional redemption payment date, from outstanding balances of $33.63 million, $18.75 million, and $16.00 million. Vinacasa CLO Ltd. is a cash flow CLO transaction, which paid the class A1 notes down in full on the July 16, 2012, payment date, from outstanding balance of $1.36 million. RATINGS WITHDRAWN ACA CLO 2005-1, Ltd. Rating Class To From A-1L NR AAA (sf) A-2L NR AA+ (sf) A-3L NR A+ (sf) B-1L NR BBB (sf) B-2L NR BB- (sf) Ares IX CLO Ltd. Rating Class To From A-1-A NR AAA (sf) A-1-B NR AAA (sf) A-1-C NR AAA (sf) A-2 NR AAA (sf) B NR AA+ (sf)/Watch Pos C NR A+ (sf)/Watch Pos D-1 NR BB+ (sf)/Watch Pos D-2 NR BB+ (sf)/Watch Pos Field Point I Ltd. Rating Class To From A-1 NR AA- (sf) A-2 NR AA- (sf) Forest Creek CLO Ltd. Rating Class To From A-3L NR AAA (sf) Grand Horn CLO Ltd. Rating Class To From A NR AAA (sf) B NR AA+ (sf) C NR AA- (sf)/Watch Pos D NR BBB- (sf)/Watch Pos E NR BB (sf)/Watch Pos Landmark VII CDO Ltd. Rating Class To From X NR AAA (sf) Primus CLO I Ltd. Rating Class To From A-1-A NR AAA (sf) Southport CLO, Ltd. Rating Class To From A-2 NR AAA (sf) TCW Select Loan Fund Ltd. Rating Class To From Composite NR B+ (sf)/Watch Pos Union Square CDO Ltd. Rating Class To From A-2 NR AAA (sf) B NR BBB+ (sf) C NR B+ (sf) Vinacasa CLO Ltd. Rating Class To From A1 NR AAA (sf) NR-Not rated. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise Marie Varquez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2012. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $775 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Christopher Beard at 240/629-3300. *** End of Transmission ***