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Rating Action:

Moody's Affirms 11, Confirms One and Downgrades 14 CMBS Classes of MLMT 2005-CKI1

30 Jun 2010

Approximately $2.9 Billion of Structured Securities Affected

New York, June 30, 2010 -- Moody's Investors Service (Moody's) affirmed the ratings of 11 classes, confirmed one class and downgraded 14 classes of Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-CKI1. The downgrades are due to higher expected losses for the pool resulting from realized and anticipated losses from specially serviced and highly leveraged watchlisted loans and concerns about refinancing risk associated with loans approaching maturity in an adverse lending environment. Sixteen loans, representing 21% of the pool, mature within the next three years. Six of these loans (10% of the pool) have a Moody's stressed debt service coverage ratio (DSCR) below 1.0X.

The confirmation and affirmations are due to key rating parameters, including Moody's loan-to-value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges.

Moody's placed 15 classes on review for possible downgrade on June 9, 2010. This rating action concludes that review. The rating action is the result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions.

As of the June 12, 2010 statement date, the transaction's aggregate certificate balance decreased 5% to $2.9 billion from $3.1 billion at securitization. The 169 mortgage loans that collateralize these Certificates range in size from less than 1% to 10% of the pool, with the top ten loans representing 39% of the pool. The pool contains four loans, representing 10% of the pool, with investment grade underlying ratings. Three loans, representing 2% of the pool, have defeased and are secured with U.S. Government securities.

Forty loans, representing 14% 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; formerly Commercial Mortgage Securities Association) monthly reporting package. As part of our ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance.

One loan has been liquidated from the pool since last review, resulting in a $7.5 million loss (51% loss severity). Twelve loans, representing 10% of the pool, are currently in special servicing. The largest specially serviced loan is the Louisiana Boardwalk Loan, ($124.9 million, 4.3% of the pool), which is secured by a 544,175 square foot lifestyle center located in Bossier City, Louisiana. This loan was transferred to special servicing March 30, 2010 but has remained current.

The remaining 11 specially serviced loans are secured by a mixture of multi-family, industrial, self storage and retail properties. Moody's estimates an aggregate $71.2 million loss for the specially serviced loans, which represents an overall 23.5% expected loss. The special servicer has recognized an aggregate $26.8 million appraisal reduction for eight of the twelve specially serviced loans.

In addition to recognizing losses from specially serviced loans, Moody's has assumed a high default probability on 33 watchlisted loans, representing 11% of the pool, due to concerns about declining property performance. Moody's estimates an $80.5 million aggregate loss for these troubled loans (overall 25% expected loss based on a 33% probability of default). Moody's rating action recognizes potential uncertainty around the timing and magnitude of loss from these troubled loans.

Moody's was provided with full year 2009 operating statements for 86% of the pool. Moody's weighted average LTV for the conduit pool, excluding specially serviced and troubled loans, is 103% compared to 102% at last review. In addition to an overall increase in leverage, credit quality dispersion has also increased. Based on Moody's analysis, 67% of the conduit pool has an LTV greater than 100% compared to 55% at last review and 16% of the pool has an LTV greater than 120% compared to 3% at last review.

Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.60x and 1.03x, respectively, compared to 1.42x and 1.0x at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loans' actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance.

Moody's uses a variation of Herf to measure loan size diversity, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple-notch downgrades under adverse circumstances. The credit neutral Herf score is 27. The pool has a Herf of 36 compared to 48 at last review.

There are four loans with underlying ratings. The largest loan is the Glendale Galleria loan ($142.5 million -- 4.9% of the pool), which is secured by the borrower's interest in a 1.3 million square foot regional mall (collateral consists of 661,000 square feet of retail and office space) located in Glendale, California. The loan represents a 55% pari-passu interest in a $260 million amortizing loan. There is also a $37 million B Note and $47 million of mezzanine debt held outside the trust. As of December 2009, the property was 95% leased compared to 93% at last review. Financial performance has declined from last review due to lower revenue achievement and higher operating expenses. Moody's current underlying rating and stressed DSCR are Baa1 and 1.3x, respectively, compared to A3 and 1.48x at last review.

The second largest loan with an underlying rating is the International Home Furnishings Center Loan ($100.0 million -- 3.4% of the pool), which is secured by the borrower's interest in the fee and leasehold interest in two, 14-story furniture showroom buildings totaling 2.7 million square feet located in High Point, North Carolina. Performance has declined since last review due to the decline in consumer spending for home furnishings. Moody's current underlying rating and stressed DSCR is Aa3 and 2.02x, respectively, compared to Aaa and 3.25x at last review.

The third largest loan with an underlying rating is the Blue Cross Building Loan ($28.7 million -- 1.0% of the pool), which is secured by two adjacent office buildings totaling 517,244 square feet located in Richardson, Texas. The loan amortizes on a 300-month schedule. Moody's current shadow rating is Baa1, unchanged since last review.

The fourth loan with an underlying rating is The Plaza Loan ($20.0 million -- 0.7% of the pool), which is secured by a 171-unit co-op apartment building located in Ft. Lee, New Jersey. Moody's current LTV and stressed DSCR are 45% and 2.06x, respectively, compared to 41% and 2.38x at last review.

The top three conduit loans represent 17.7% of the pool. The largest conduit loan is the Galileo NXL Retail Portfolio and Westminster City Center Loan ($255.0 million -- 8.7% of the pool), which is secured by the fee and leasehold interests in a portfolio of 19 anchored community shopping centers totaling 3.5 million square feet. The properties are crossed collateralized and cross defaulted and located across 14 states including Colorado (18% of the allocated balance), Florida (16%) and California (11%). This loan is interest-only for its entire term. Performance has declined since last review due to a 9% decline in overall portfolio occupancy from 92% to 83%. Moody's LTV and stressed DSCR are 115% and 0.92x, respectively compared to 96% and 1.05x at last review.

The second largest conduit loan is the Ashford Hotel Portfolio Loan ($160.5 million -- 5.5% of the pool), which is secured by a portfolio of 10 cross-collateralized and cross- defaulted hotel properties totaling 1,703 guestrooms located across seven states including Florida (42% of the allocated balance), California (14%) and Minnesota (12%). Moody's LTV and stressed DSCR are 127% and 0.95x, respectively, compared to 101% and 1.27x at last review.

The third largest conduit loan is the Galileo NXL Retail Portfolio 2 ($99.0 million -- 3.4% of the pool), which is secured by the fee and leasehold interest in a portfolio of 13 retail properties totaling 1.6 million square feet. The properties are cross collateralized and cross defaulted and located across nine states including Texas (36% of the allocated balance), Virginia (18%) and West Virginia (8%). The loan is interest-only for its entire term. Moody's LTV and stressed DSCR is 100% and 0.97x, respectively, compared to 99% and 1.04x at last review.

Moody's rating action is as follows:

-Class A-1, $14,814,440, affirmed at Aaa, previously assigned Aaa on 12/09/2005;

-Class A-1A, $136,726,421, affirmed at Aaa, previously assigned Aaa on 12/09/2005;

-Class A-1D, $11,257,173, affirmed at Aaa, previously assigned Aaa on 12/09/2005;

-Class A-2, $96,600,000, affirmed at Aaa, previously assigned Aaa on 12/09/2005;

-Class A-2FL, 100,000,000, affirmed at Aaa, previously assigned Aaa on 12/09/2005;

-Class A-3, $44,677,000, affirmed at Aaa, previously assigned Aaa on 12/09/2005;

-Class A-4FL, $300,000,000, affirmed at Aaa, previously assigned Aaa on 12/09/2005;

-Class A-5, $50,000,000, affirmed at Aaa, previously assigned Aaa on 12/09/2005;

-Class A-6, $1,069,709,000, affirmed at Aaa, previously assigned Aaa on 12/09/2005;

-Class A-SB, $176,000,000, affirmed at Aaa, previously assigned Aaa on 12/09/2005;

-Class AM, $307,374,000, confirmed at Aaa, previously placed on review for possible downgrade on June 9, 2010;

-Class X, Notional, affirmed at Aaa, previously assigned Aaa on 12/9/05;

-Class AJ, $234,372,000, downgraded to A2 from Aaa, previously placed on review for possible downgrade on June 9, 2010;

-Class B, $53,791,000, downgraded to Baa1 from Aa2, previously placed on review for possible downgrade on June 9, 2010;

-Class C, $26,895,000, downgraded to Baa2 from Aa3, previously placed on review for possible downgrade on June 9, 2010;

-Class D, $53,790,000, downgraded to Ba2 from A2, previously placed on review for possible downgrade on June 9, 2010;

-Class E, $30,738,000, downgraded to B3 from A3, previously placed on review for possible downgrade on June 9, 2010;

-Class F, $53,790,000, downgraded to Caa1 from Baa1, previously placed on review for possible downgrade on June 9, 2010;

-Class G, $30,738,000, downgraded to Ca from Baa2, previously placed on review for possible downgrade on June 9, 2010;

-Class H, $34,579,000, downgraded to C from Baa3, previously placed on review for possible downgrade on June 9, 2010;

-Class J, $7,685,000, downgraded to C from Ba1, previously placed on review for possible downgrade on June 9, 2010;

-Class K, $11,526,000, downgraded to C from Ba2, previously placed on review for possible downgrade on June 9, 2010;

-Class L, $11,527,000, downgraded to C from Ba3, previously placed on review for possible downgrade on June 9, 2010;

-Class M, $3,842,000, downgraded to C from B1, previously placed on review for possible downgrade on June 9, 2010;

-Class N, $7,684,000, downgraded to C from B2, previously placed on review for possible downgrade on June 9, 2010;

-Class P, $11,527,000, downgraded to C from B3, previously placed on review for possible downgrade on June 9, 2010;

Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST® (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp and on a periodic basis through a comprehensive review. Moody's prior review is summarized in a press release dated July 30, 2007.

The principal methodology used in rating and monitoring this transaction is "CMBS: Moody's Approach to Rating Fusion Transactions," published on April 19, 2000. This methodology is available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

New York
Sandra Ruffin
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Affirms 11, Confirms One and Downgrades 14 CMBS Classes of MLMT 2005-CKI1
No Related Data.
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