Special Report provides detailed description of 'MoRE Portfolio' model.

London, 24 April 2006 -- Moody's Investors Service has published a follow-up report on Moody's Real Estate ("MoRE") Analysis model to provide further insight into the simulation analysis it conducts when analysing Commercial Mortgage-Backed Securities ("CMBS") transactions in Europe, Middle East and Africa ("EMEA"). Moody's believes that a simulation based approach remains essential to an in-depth understanding of the credit risks inherent in CMBS transactions currently placed in the European markets.

The MoRE Analysis model consists of four modules: 'MoRE Inputs', a data template; (ii) 'MoRE Assets', an analytical tool that uses the aforementioned data to calculate expected property and loan cashflows and to derive annual default probabilities on a loan-by-loan basis; (iii) 'MoRE Portfolio', a simulation model, that computes the portfolio's loss distribution and its timing characteristics; and (iv) 'MoRE Cash Flow',the final building block, which focuses on the liability side of the transaction. Moody's newly published Rating Methodology, entitled "Moody's Real Estate Analysis for CMBS in EMEA: Portfolio Analysis", provides a detailed description of the MoRE Portfolio model.

"MoRE Portfolio is a versatile tool that facilitates the modelling of loan portfolios with very different characteristics. The model enables analysts to analyse in an efficient way the specific implications of each structural or collateral characteristic, rather than relying on averages or specific stress scenarios," says Ifigenia Palimeri, a London-based Vice President-Senior Analyst, and one of the authors of this report.

The simulation model proceeds in two basic steps by modelling the default rates and then the severity rates. A multifactor model is utilised to capture the correlation characteristics of the portfolio and a simulation is also performed to capture the volatility surrounding property values.

"The model is able to perform a large number of simulations in a limited amount of time, and therefore analysts can consider different scenarios and perform sensitivity analysis. With this model, analysts can count on strong quantitative support when analysing CMBS transactions," comments Emmanuel Savoye, a London-based Senior Associate, and co-author of this report.

The first section of the report briefly describes the model and the inputs it requires. This is followed by a description of Moody's methodology for modelling default and severity rates. The outputs produced by the model are then presented. The report concludes with two examples, which highlight the model's ability to deal with different transaction characteristics, and the implications these features have on expected loss and credit enhancement.

-Ends-

London
Daniel Kolter
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Ifigenia Palimeri
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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Press Release 2006