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Rating Action:

Moody's Confirms Four Classes of COMM Resecuritization 2003-J2R

30 Jan 2009

Approximately $82.7 Million of Structured Securities Affected

New York, January 30, 2009 -- Moody's Investors Service confirmed the ratings of four classes of Notes issued by COMM Resecuritization 2003-J2R, CMBS Trust Certificates, Series 2003-J2R. The rating actions are as follows:

-Class A-1A, $30,719,482, Fixed Rate Notes Due 2034, confirmed at Aaa; previously on 12/19/2008 Placed Under Review for Possible Downgrade

-Class A-1AIO, Notional, Fixed Rate Notes Due 2034, confirmed at Aaa; previously on 12/19/2008 Placed Under Review for Possible Downgrade

-Class A-1B, $52,015,568, Fixed Rate Notes Due 2034, confirmed at Aaa; previously on 12/19/2008 Placed Under Review for Possible Downgrade

-Class A-1BIO, Notional, Fixed Rate Notes Due 2034, confirmed at Aaa; previously on 12/19/2008 Placed Under Review for Possible Downgrade

Moody's confirmed all classes due to the overall stable performance of the collateral, pay-downs, and the limited impact of key parameter changes on the transaction.

The pool contains 100% concentration in commercial mortgage backed securities ("CMBS") collateral. All of the underlying collateral was issued in 2001. The overall average current credit quality of the underlying collateral is Aaa.

Moody's expects the aggregate default rate on CMBS loans (0.95% as of December 2008) to revert to its long-term historical average of 1.5% to 2.0% in 2009, and most likely to surpass this level as the market begins to form a bottom in 2010 and 2011. Commercial property values, which have declined about 10% from the peak reached in October 2007, are expected to decline an additional 10 to 20% over the next 18 to 24 months.

Moody's has also revised three key parameters in Moody's model for rating and monitoring CRE CDOs --asset correlation, default probability, and recovery rate. These revisions are consistent with recent revisions to the key parameter assumptions for rating and monitoring other collateralized debt obligation transactions backed by structured finance securities ("ABS CDOs").

We have updated our asset correlation assumption for the commercial real estate sector to be consistent with an upcoming release of our CDO rating model, CDOROM v2.5, which will incorporate these new parameters. Previously, the average asset correlations used for CMBS within CRE CDO deals ranged between 15% and 35%, depending on vintage and issuer diversity. In light of the systematic seizure of the credit markets, as well as higher intra industry and inter industry asset correlations, the updated correlation parameters for CRE CDOs will imply an average range of asset correlations of between 30% and 60% for CMBS collateral.

Moody's has previously stated that CRE CDO deals with collateral concentrations in below-investment-grade CMBS certificates will likely be among the first transactions to be affected by credit issues that arise, and that the additional leverage inherent in these deals creates the potential for greater ratings transitions compared to that of a first order transaction (i.e., those containing non-CUSIP assets). We have expanded the scope of our concern to include investment-grade CMBS certificates as well. In 2007, we began applying a default probability stress on late-vintage CMBS collateral to partially offset the leverage effect in CRE CDO deals that can amplify the effect of adverse changes in their underlying collateral performance. Moody's has noted in the past that tenant, property type, and loan size diversification may help performance at the bond level; however, the nature of the current recession is likely to be different from prior recessions, potentially muting the benefits of diversification.

In our analysis of CRE CDOs, we historically have employed a fixed recovery rate by original tranche rating. Our current analysis uses a floating recovery rate model with a mean recovery rate based on the asset rating and a simulation of potential recovery rates around the mean. With this more robust approach, we expect to capture in our ratings more of the tail risk associated with variability of recovery rates.

As always, Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating outcome may differ from the model output.

Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. It is Moody's first review since securitization.

The principal methodology used in rating and monitoring this transaction is "U.S. CMBS: Moody's Approach to Rating Static CDOs Backed by Commercial Real Estate Securities" dated June 17, 2004, which can be found at www.moodys.com in the Credit Policy & Methodologies directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Credit Policy & Methodologies directory.

New York
Deryk Meherik
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 Confirms Four Classes of COMM Resecuritization 2003-J2R
No Related Data.
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