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Moody's Affirms Two Classes of Notes Issued by BAMLL Re-REMIC Trust 2011-07C1

moodys.com | January 12, 2014

New York, January 10, 2014 -- Moody's Investors Service has affirmed the ratings on the following notes issued by BAMLL Re-REMIC Trust 2011-07C1 ("BAMLL 2011-07C1):

Cl. A-3A, Affirmed Aaa (sf); previously on Feb 1, 2013 Affirmed Aaa (sf)

Cl. A-3B, Affirmed Ba1 (sf); previously on Feb 1, 2013 Downgraded to Ba1 (sf)


Ratings Rationale

Moody's has affirmed the ratings on the transaction because its key transaction metrics are commensurate with existing ratings. The affirmation is the result of Moody's on-going surveillance of commercial real estate resecuritization (CRE Non-Pooled ReRemic) transactions.

BAMLL Re-REMIC Trust 2011-07-C1 is a non-pooled Re-Remic pass through Trust ("resecuritization") backed by one ring-fenced commercial mortgage backed security (CMBS) certificate: $141.5 million, or 19.2% of the Class A-3 issued by Credit Suisse Commercial Mortgage Trust 2007-C1. The certificate is backed by fixed-rate mortgage loans secured by first liens on commercial and multifamily properties.

Moody's has affirmed the ratings on the underlying on December 13, 2013. The affirmation reflected a cumulative base expected loss of 16.3% of the current balance.

Updates to key parameters, including the constant default rate (CDR), the constant prepayment rate (CPR), the weighted average life (WAL), and the weighted average recovery rate (WARR), did not materially change the expected loss estimate of the resecuritized classes.

Moody's ran ratings-specific cash flow scenarios using different loss timing, recovery and prepayment assumptions for the pool of mortgages collateralizing the underlying CMBS transaction, using Structured Finance Workstation® (SFW), the cash flow model developed by Moody's Analytics. The analysis incorporates performance variances across the different pools as well as the transaction's structural features, including the priority of payments distribution for the different tranches, the tranche's average life, the current tranche balance and cash flows in both expected and stress scenarios. In each scenario, Moody's analyzed the cash flows and any losses on the collateral, applying different stresses at each rating level. Moody's then used the resulting ratings-specific stressed cash flows as inputs to determine the expected losses, and compared the expected losses to the idealized expected loss, for each class, to gauge the appropriateness of the existing rating. The stress assumptions took into account the attributes of the transaction's underlying collateral, past and current performance and Moody's current negative performance outlook for commercial real estate, among other factors.

The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the rating

The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes.

The WAL of the Class A-3 is 2.6 years, assuming a CDR of 0% and CPR of 0%. For delinquent loans (30-plus days, REO, foreclosure, bankrupt), Moody's assumes a fixed WARR of 40%, and for current loans, 50%. Moody's also ran a sensitivity analysis using a fixed WARR of 40% for current loans. This resulted in a two and three notch downward adjustment to the ratings on Class A-3A and A-3B certificates respectively.

Because the credit quality of the resecuritization depends on that of the underlying CMBS certificate, whose credit quality in turn depends on the performance of the underlying commercial mortgage pool, any change to the rating on the underlying certificate could lead to a review of the ratings of the certificates.

The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate.


Regulatory Disclosures

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.

As the section on loss and cash flow analysis describes, Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.


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CFLA was founded by the Nation's Leading Foreclosure Defense Attorneys back in 2007 to serve the Foreclosure Defense Industry and fight pervasive Bank Fraud. Since opening our virtual doors, CFLA has rapidly expanded to become the premier online legal destination for small businesses and consumers. But as the company continues to grow, we're careful to hold true to our original vision. For us, putting the law within reach of millions of people is more than just a novel idea—it's the founding principle, just ask Andrew P. Lehman, J.D.. With convenient locations in Houston and Los Angeles, you can contact Our National Account Specialist and General Manager / Member Damion W. Emholtz at 888-758-2352 for a free Mortgage Fraud Analysis or to obtain samples of work product, including cutting edge Bloomberg Securitization Audits, Litigation Support, Quiet Title Packages, and for more information about our Nationally Accredited and U.S. Department of Education Approved "Mortgage Securitization Analyst Training Certification" Classes (3 days) 24 hours for approved CLE & MCLE Credit (Now Available Online).

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