Ratings

• The loan pool collateral comprises 56 properties spread across Germany. All the loans, except the IBM loan, are secured by more than one property. No property accounts for more than 11% of the total collateral value.
• Standard & Poor's Day 1 ICR is strong at 1.81x.
• Approximately 35% of the Day 1 rental income is secured by substantial, or investment-grade tenants. These are spread over seven of the 10 loans.
• Of the 10 loans, nine have a fixed interest rate and one is hedged against interest rate movements at the borrower level.
• All the loans include scheduled amortization.

• All the loans are subject to a balloon repayment at maturity and therefore are exposed to refinance risk. The exit bank LTV ratios under the loans range from 64.03% for the DT Dozen Portfolio loan to 74.35% for the IBM Portfolio loan. These refinance balloons were reflected in Standard & Poor's analysis.
• Of the properties, 12 require immediate maintenance works or will need attention within the next three years. However, most of the loan agreements include requirements to fund cash reserves from rental income or from deposits at loan closing. These reserves will be used to cover maintenance expenditures for the relevant properties.
• None of the loan agreements contain covenants based on LTV ratios or ICRs. However, each loan has a DSCR covenant: If the DSCR falls below a set level (the level varies loan-by-loan between 1.05x to 1.35x), it will trigger a full sweep of all excess cash remaining after debt service payments.
• Of the loans, four feature additional debt. The junior lenders have certain rights in respect of the administration of the loan. The junior debt is subordinated to the noteholders by an intercreditor deed and the administration rights will fall away in certain circumstances.
• The Day 1 loan balance of four of the loans is higher than the purchase price of the collateral properties. The bank has, however, provided valuations of these properties at levels in excess of the purchase price and loan balances.

All of the mortgage loans are secured by a comprehensive security package, including first-ranking mortgages in respect of all properties, charges over the borrower's bank accounts, and charge over the rental income derived from the secured properties. Where appropriate, charges over the shares in the borrower vehicles are also included.

The security package will be assigned to the trustee under the deed of charge and assignment. In addition, the issuer will grant security to the trustee over its bank accounts and rights in the various transaction documents to the note trustee for the benefit of the noteholders and other secured creditors.

A liquidity facility of €57.86 million will be available to cover any shortfalls in interest payments on the loans, issuer's senior expenses, and certain property expenses. This amount is equivalent to 8% of the initial pool balance.

The size of the facility may be reduced following confirmation from Standard & Poor's that the notes will not be downgraded as a consequence of the proposed reduction. It cannot be reduced to less than €3.34 million or 12% of the outstanding note balance.

The liquidity facility will also be subject to an appraisal reduction mechanism, which will reduce the amount of liquidity available to the junior noteholders after a loan event of default.

Of the loans, nine are fixed-rate loans and one has a floating rate of interest. The issued notes will have floating-rate coupons over three-month EURIBOR.

The issuer has entered into an interest rate swap agreement to hedge its interest rate exposure with respect to each of the fixed-rate loans. Under the terms of the swap, the issuer pays a fixed rate of interest to the swap counterparty, which in return pays a floating rate of interest to the issuer.

Standard & Poor's minimum rating requirement for the swap counterparty is 'A-1'. CSI (A+/Positive/A-1) will act as the initial counterparty.

All scheduled amortization payments received on the loans will be used to redeem the notes sequentially.

Principal prepayments and repayments received on the loans will be used to redeem the notes on a modified pro rata basis. Half of any principal payments will be applied to the notes sequentially and the other half will be applied pro rata.

If the largest loan (the DT Dozen portfolio loan) is repaid or prepaid, the proceeds will only be used to redeem the class A to class F notes. No pro rata payments will be made to reduce the class G and class H note amounts if this loan is repaid or prepaid.

All loan prepayment and repayments will redeem the notes sequentially if:

• Half of the initial note balance has been repaid;
• More than 10% of the loans are specially serviced loans;
• There is a shortfall in principal allocated to any class of notes;
• There is an event of default on the notes, which includes a failure to pay interest to the most senior class of notes then outstanding;
• The cumulative percentage of loans that have defaulted since closing and were not remedied within a cure period exceeds 13.5%; or
• There is an event of default under the notes.

The ratings on the notes may be more likely to be downgraded because of the modified pro rata allocation of principal payments. This risk arises because credit support for the senior notes is eroded in some prepayment scenarios. Standard & Poor's has analyzed a number of prepayment scenarios and is satisfied that the ratings on the notes are appropriate. However, there are many potential prepayment scenarios, not all of which have been modeled and analyzed. The risk of a downgrade as a consequence of prepayments cannot therefore be excluded from the transaction.

Legal final maturity falls in 2016. Optional redemption in full can occur if:

• A change in the tax law in the U.K. or Ireland forces the issuer to make a tax deduction from payments to be made by it; or
• The aggregate principal amount outstanding of all notes is less than 10%.

Excess spread in the transaction is monetized using the class X notes. The interest paid on the class X notes is variable and is determined by calculating the difference between the interest payable on the loans and the weighted-average interest to be paid on the notes, minus administrative expenses. Over time, therefore, these payments may vary, or be reduced to nil, as loans prepay and the notes are paid down, increasing the weighted-average interest rate on the notes. Payments of the class X interest amount will at all times rank pari passu with interest on the class A ('AAA' rated) notes.

The existence of the class X notes may increase transaction costs and liquidity facility drawings relative to those transactions with no class X notes. This is because excess spread is not available to reduce any interest shortfall on the loans in circumstances where one or more of the loans have suffered a shortfall of interest payments. Increased liquidity drawings may be required for those transactions with a class X note to make up any shortfall in the interest received on the loans. These additional drawings will increase the interest costs of the transaction and repayment of these drawings will rank senior to interest payments of the notes.

Class V noteholders will receive payments from prepayment charges, net swap termination payments, and interest earned on amounts deposited in the collection account or from permitted investments.

Prepayment of some of the loans may give rise to circumstances where the interest margin on the loans will not be sufficient to pay the interest coupon on the class G and class H notes. This risk arises as a consequence of spread compression between the interest margins paid on the underlying loans and the weighted-average coupon paid on the notes. This mismatch only arises in certain prepayment scenarios. As a consequence, the class G and class H notes are subject to an available funds cap. If there is insufficient loan margin income to pay the full amount of the interest coupon on the class G and class H notes, the class G and class H noteholders will receive a coupon based on the interest margin received on the remaining loans. Any shortfall in interest will not be paid and will not accrue.

In addition, interest on the class G and class H notes will be further limited as the liquidity subordinated amount will be paid senior to the interest due on the class G and class H notes.

For four of the loans, the whole loan was split into a senior and junior loan. The relationship between the senior and junior loans are governed by the intercreditor agreements. The junior loans do not form part of the securitization.

The junior lenders have certain rights in respect of the administration of the relevant loans. Most of these rights relate to giving consent to amendments to the credit agreement, but they also include consent rights in respect of the release of security and the release of any obligor under the loans. These rights remain with the junior lenders, even after a loan event of default. However, many of these rights pass to the most junior class of noteholders if the market value of the collateral properties declines significantly.

Any payments to the junior lenders due after a material whole loan event of default such as nonpayment, but before security enforcement, will be diverted to an escrow account. The money will be used to pay down the senior loan if enforcement commences.

The junior lenders have the right to cure a loan event of default, subject to certain restrictions, up to four or six times (if at least two of the cure payments related solely to amounts due in respect of the junior debt) during the life of the loan. In addition, the junior lenders can buy the senior loan, subject to certain conditions. The purchase price includes all amounts due to the issuer by the relevant borrower, excluding prepayment fees.

The most junior class of notes outstanding will be the controlling party with respect to all the loans, except those where the debt has been split into senior and junior portions. In these cases, the controlling party will be the subordinated (junior) lender.

The controlling party has a number of rights, including the right to terminate the appointment of the special servicer and appoint a new special servicer. With regard to any specially serviced loan, the controlling party is entitled to either advise on or consent to the actions of the special servicer. The special servicer will, however, remain bound by the terms of the servicing agreement, including its adherence to the servicing standard in all actions.

The largest loan in the transaction is secured on 12 office properties located across Germany (see image 1 and table 2).

Table 2 Key Characteristics Of The DT Dozen Portfolio Loan
City	Area (sq. m.)	Net passing rent (€ per year)	Passing rent per sq. m. per month	External valuation (€)	Percentage of total value
Berlin	14,707	1,405,855	7.97	22,080,000	10.04
Dueren	17,573	1,171,928	5.56	19,550,000	8.89
Dusseldorf	4,793	712,340	12.39	11,700,000	5.32
Essen	12,981	1,432,544	9.20	24,550,000	11.16
Hanau	16,819	1,374,746	6.81	23,530,000	10.70
Heidleberg	9,530	961,309	8.41	15,760,000	7.16
Kronshagen	6,868	427,024	5.18	7,320,000	3.33
Magdeburg	15,459	1,267,698	6.83	24,180,000	10.99
Magdeburg	26,811	1,412,865	4.39	20,540,000	9.34
Mannheim	10,875	720,494	5.52	11,710,000	5.32
Nuremberg	10,516	952,861	7.55	16,330,000	7.42
Potsdam	13,411	1,363,316	8.47	22,740,000	10.34
Total	160,343	13, 202,982	6.86	219,990,000	100.00

The seven-year loan, which matures in October 2012, was advanced to six different borrowers. Of these, five are limited liability companies incorporated in Germany, Luxemburg, or The Netherlands. The last borrower is a limited partnership incorporated in Germany.

The loan was advanced at a fixed interest rate and has minimal amortization. It has a Day 1 LTV ratio of 64.6% and an exit bank LTV ratio of 64.0%. The Day 1 bank ICR ratio is 1.91x.

The loan has been split into a senior portion of €142.12 million, and a junior portion of €20.00 million. Only the senior portion will be securitized. The relationship between the senior and junior loan will be governed by an intercreditor agreement. All scheduled amortization payable on the loan will be applied to the junior debt until its balance has been reduced to zero. The remaining scheduled amortization will then be allocated to the senior loan.

The 12 properties were built between 1927 and 1995. Six of the properties were renovated between 2000 and 2002. The properties are generally in good condition but immediate maintenance works are required to improve the quality of some of the office accommodation.

All the properties are fully let to GMG Generalmietgesellschaft mbH on 12 separate leases expiring from 2015 to 2021. Of the rental income, 32.3% will expire in 2015 and the portfolio has a weighted-average unexpired lease term to first break of 11.37 years.

Deutsche Telekom AG (A-/Stable/A-2), the shareholder of the tenant, is ultimately responsible for the payment of the rent. The tenant is responsible for all maintenance and property costs. However, the landlord bears the cost of capital repairs up to 3% of the annual rent.

There is a cash reserve of €1.85 million that will be funded through a cash trap and can be drawn if the rating on Deutsche Telekom falls below 'BBB-'.

The DT Dozen borrowers have indicated their intention to refinance the loan.

The loan exhibits the following strengths:

• The weighted-average unexpired lease term under the leases is 11.37 years and compares positively with the loan maturity in 6.75 years.
• An investment-grade entity rated 'A-' is jointly and severally liable for the tenant obligations under the leases.
• A cash reserve of €1.85 million will be created if the rating on Deutsche Telekom falls below 'BBB-'.

The following key concerns and mitigating factors were considered in Standard & Poor's rating analysis:

• The portfolio is considered to be over-rented by around 20%. However, using Standard & Poor's adjusted cash flow, Day 1 interest cover remains strong at 1.91x.
• Some properties are located in secondary locations.
• Some assets need immediate repairs and refurbishment to improve the standard of accommodation. Works will be funded out of rental cash flows.
• The loan has minimal amortization. However, the LTV ratio is modest with a Day 1 bank LTV ratio of 64.6%.

The second largest loan in the transaction is secured on 14 properties providing office, retail, residential, and hotel accommodation. The properties are located across Germany (see image 2 and table 3).

Table 3 Key Characteristics Of The Mangusta Portfolio Loan
City	Use	Area (sq. m.)	Net passing (€ per year)	Passing rent per sq. m. per month	External valuation (€)	Percentage of total value
Heidelberg	Mixed	518	159,233	25.60	2,600,000	1.4
Heidelberg	Mixed	695	89,329	12.50	1,500,000	0.8
Heidelberg	Mixed	1,386	82,357	5.00	1,300,000	0.7
Heidelberg	Mixed	550	77,110	11.70	1,300,000	0.7
Heidelberg	Mixed	327	22,278	5.70	400,000	0.2
Heidleberg	Mixed	1,020	295,602	24.20	4,800,000	2.6
Furth	Hotel	8,493	713,584	7.00	11,000,000	5.9
Sandhausen	Mixed	1,632	119,440	6.10	1,800,000	1.0
Frankental	Mixed	6,329	851,583	11.21	14,800,000	8.0
Sigmaringen	Retail	9,773	752,201	6.40	12,760,000	6.9
Wuppertal 1	Retail	22,231	1,949,881	7.31	29,360,000	15.8
Wuppertal 2	Retail/office	22,149	2,816,825	10.60	42,860,000	23.1
Wuppertal 3	Retail/office	21,935	2,802,086	10.65	42,590,000	23.0
Berlin	Office/multifamily	15,327	1,242,986	6.90	18,510,000	10.0
Total		112,365	11,974,484	8.88	185,580,000	100.00

The seven-year loan, which matures in July 2012, was advanced to four limited partnerships incorporated in Germany, to refinance existing debt and finance the acquisition of three new properties. The loan was advanced at a fixed interest rate and has a Day 1 LTV ratio of 75.0% and an exit bank LTV ratio of 66.3%. The Day 1 bank ICR ratio is 1.84x.

The loan has been split into a senior portion of €139.20 million and a junior portion of €19.68 million. Only the senior portion will be securitized. The relationship between the senior and junior loan will be governed by an intercreditor agreement. Scheduled amortization payable on the loan will be allocated pro rata between the senior and junior debt.

The largest property is located in Wuppertal, close to Düsseldorf. It comprises six buildings providing 66,314 sq. m. of retail and office space.

The oldest building was completed in 1890 and refurbished in 1996. The other buildings were built between 1996 and 1999 and provide good quality retail and office accommodation.

Wal-Mart, the main tenant, occupies 25,781 sq. m. of office and retail space and pays almost 45% of the passing rent evenly across two leases, one of which expires in 2018 and the other in 2019. Most of the office accommodation is currently vacant, giving a vacancy level of 13.5% at the property.

At the portfolio level, the weighted-average unexpired lease term to first break is 8.66 years. Almost 10% of the portfolio by area is currently vacant.

The loan exhibits the following strengths:

• Approximately 55% of the rental income at the portfolio level derives from a strong tenant, Wal Mart.
• The portfolio is let to 50 tenants, giving a good diversity of income. The properties generally have good locations in the city centre.
• Using Standard & Poor's adjusted cash flow, the Day 1 interest cover remains strong at 1.80x.

The following key concerns and mitigating factors were considered in Standard & Poor's rating analysis:

• The weighted-average unexpired lease term is two years after loan maturity, giving rise to potential refinance difficulties. However, the loan was structured with scheduled amortization of approximately €16 million, giving a reasonable exit LTV ratio of 66.3%.
• Some assets need immediate repairs and refurbishment to improve the level of accommodation. An immediate reserve of €384,000 has been put in place to cover part of those works.

This loan is secured on five properties located in Essen, Berlin, and Hamburg, providing a mixture of office, retail, and residential accommodation (see image 3 and table 4).

Table 4 Key Characteristics Of The Kronos Portfolio Loan
City	Area (sq. m.)	Net passing (€ per year)	Passing rent per sq. m. per month	External valuation (€)	Percentage of total value
Essen	23,751	1,778,904	6.24	30,700,000	28.06
Berlin	4,149	621,875	10.11	8,000,000	7.31
Hamburg	33,308	2,646,666	6.62	38,000,000	34.73
Berlin	34,893	1,173,758	2.80	8,820,000	8.06
Berlin	36,461	2,029,422	4.64	23,900,000	21.84
Total	132,562	8,250,625	5.19	109,420,000	100.00

The five-year fixed interest loan matures in July 2010. It was advanced to one borrower, a limited partnership registered in Germany, to finance the acquisition of the properties.

The loan has a Day 1 LTV ratio of 80.5% and an exit bank LTV ratio of 72.5%. The Day 1 bank ICR ratio is 2.10x.

The five properties were built between 1905 and 1975. The largest two properties, which represent 50.0% of the loan collateral by value and 46.6% of the passing rent, provide a mixture of office and residential accommodation. One is in the center of Berlin and the other is in the center of Essen. They provide a reasonable, if dated, quality of accommodation.

Approximately 50% of the rental income derives from the retail tenancies, 25% each from office and multifamily units. The portfolio has a current vacancy of 13.6% by floor area.

The loan exhibits the following strengths:

• Using Standard & Poor's adjusted cash flow, the Day 1 interest cover is strong at 1.87x.
• The properties are located in good locations in large German cities.
• The portfolio generates income from a diverse range of 121 tenants.

The following key concerns and mitigating factors were considered in Standard & Poor's rating analysis:

• All of the leases will expire before loan maturity. However, Standard & Poor's does not expect all tenants to vacate at lease expiry date.
• One of the properties is affected by potential environmental issues. A reserve of €11 million was established to cover the potential remediation costs.
• The loan is relatively highly geared at 80.5%, but amortizes to a more modest 72.5% by loan maturity.

The fourth-largest loan in the pool, the KQ Warehouse Portfolio loan matures on Jan. 18, 2011, and is secured by two large freehold industrial warehouse/distribution complexes, one in Leipzig and one in Munich, plus a 9.47 hectare parcel of development land.

The Munich property provides 24,099 sq. m. of warehousing space and 2,458 sq. m. of office/ancillary space and was built in 1978. The Leipzig property provides 133,214 sq. m. of specialist warehouse distribution, office, and ancillary facilities, and was constructed between 1991 and 1995 (see image 4).

The assets were purchased by the borrower and leased back to the vendor's subsidiaries (Karstadt Warehaus - Munich and Karstadt-Quelle - Leipzig) in a "sale and leaseback" transaction in October 2005. The price paid by the borrower shows a loan-to-cost ratio of 80.8%.

The loan was advanced at a floating rate of interest and has a Day 1 LTV ratio of 67.4%, amortizing to 65.4% at exit. The bank Day 1 ICR is 2.36x.

The Munich property will be occupied by Karstadt Warehaus until July 31, 2012 (6.53 years unexpired). The Leipzig property is let to Karstadt-Quelle until Aug. 31, 2020 (14.78 years unexpired).

The landlords' costs under both leases are limited to 1% of passing rent a year, under the current leases.

The loan has been split into a senior portion of €82.93 million, and a junior portion of €15.00 million. Only the senior portion will be securitized. The relationship between the senior and junior loan will be governed by an intercreditor agreement. Scheduled amortization paid on the loan will be applied to the senior