/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/130224.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, February 24, 2013, Vol. 17, No. 54 Headlines APIDOS CDO I: Moody's Raises Rating on $8MM Class D Notes to Ba2 ASC 1997-D5: Moody's Cuts Rating on Cl. PS-1 CMBS to 'Caa2' ASSURED GUARANTY: S&P Corrects Ratings on Five Note Classes ATRIUM II: Moody's Lifts Ratings on 2 CLO Note Classes to 'Baa2' BACM COMMERCIAL 2008-LS1: Moody's Cuts Rating on 8 CMBS Classes BANC OF AMERICA 2004-4: Fitch Affirms 'C' Ratings on Six Certs BANC OF AMERICA 2007-2: Fitch Cuts Ratings on Four Certs to 'C' BANC ONE 2000-C1: Moody's Cuts Rating on Class X Certs. to 'C' BEAR STEARNS: Fitch Downgrades Rating on Class P Cert. to 'C' BLUEMOUNTAIN CLO 2012-1: S&P Affirms 'BB' Rating on Class E Notes CENT CDO 12: S&P Assigns 'BB' Rating to Class E Notes CENT CLO 17: S&P Assigns 'BB' Rating on Class D Notes CITIGROUP 2009-1: S&P Reinstates CC Rating to Cl. 1A2C Securities COMM 2012-LC4: Fitch Affirms 'B' Rating on Class F Certificates COMM 2005-LP5: Moody's Affirms Ratings on 18 CMBS Classes COMMERCIAL MORTGAGE 2013-CCRE6: DBRS Rates Class E Certs 'BB' CREDIT SUISSE 2004-C3: Moody's Lowers Ratings on Six CMBS Classes CREDIT SUISSE 2007-C4: Moody's Cuts Ratings on 9 CMBS Classes CREST 2000-1: Fitch Affirms 'C' Rating on Class D Notes CREST CLARENDON: Fitch Lowers Rating on Class D Notes to 'CC' CS FIRST 1998-C1: Moody's Affirms Caa1 Rating on Cl. A-X CMBS DBUBS 2011-LC1: Moody's Affirms B2 Rating on Class G Certificates DEUTSCHE MORTGAGE 1998-C1: Moody's Cuts Rating on X CMBS to Caa3 DIVERSIFIED ASSET: Fitch Affirms 'C' Rating on Class B-1 Notes DLJ COMMERCIAL 1998-CF1: Mood's Keeps Caa1 Rating on Cl. S CMBS DRYDEN XI: S&P Affirms 'BB+' Rating to Class D Notes FIGUEROA CLO 2013-1: S&P Assigns Prelim. BB Rating on Cl. D Notes GALE FORCE 3: Moody's Ups Rating on $21.6MM Class E Notes to Ba1 GMAC COMMERCIAL 1997-C1: Fitch Affirms 'BB' Rating on Cl. G Certs GMAC COMMERCIAL 1997-C1: Moody's Keeps Caa3 Rating on Cl. X CMBS GOLUB CAPITAL: S&P Assigns 'BB' Rating on Class D Notes GRESHAM CAPITAL: S&P Raises Rating on Class E Notes to 'B+' GS MORTGAGE 2013-G1: DBRS Rates Class DM Certificates 'BB(sf)' GS MORTGAGE 2013-G1: Fitch Assigns 'BB' Rating to Class DM Certs. GS MORTGAGE 2013-G1: S&P Gives Prelim. 'BB-' Rating on DM Notes GS MORTGAGE 2013-KYO: Moody's Rates Class E CMBS 'Ba2' INSTITUTIONAL MORTGAGE: Fitch Assigns 'B' Rating on Class G Certs JAMESTOWN CLO II: S&P Assigns Prelim. BB Rating on Class D Notes JP MORGAN 1997-C5: Moody's Affirms Caa2 Rating on Class X CMBS JP MORGAN 2002-C3: Moody's Cuts Rating on Cl. X-1 CMBS to 'Caa3' JP MORGAN 2007-CIBC18: Moody's Cuts Ratings on 9 CMBS Classes LANDMARK VI CDO: Moody's Lifts Rating on $10MM of Notes to 'Ba3' LB COMMERCIAL 1998-C1: Moody's Cuts Rating on Cl. IO CMBS to Caa2 MARATHON CLO V: S&P Assigns 'BB' Rating on Class D Notes MERRILL LYNCH 1998-C2: Moody's Keeps Caa3 Rating on Cl. IO Certs MERRILL LYNCH 2002-CA: DBRS Hikes Rating on 2 Securities From 'B' MORGAN STANLEY 2003-IQ4: Fitch Affirms 'C' Rating on Cl. N Certs MORGAN STANLEY 2003-TOP9: Fitch Affirms 'CCsf' Rating on N Certs MORGAN STANLEY 2011-C1: Fitch Affirms 'BB' Rating on Class G Certs MORGAN STANLEY 2013-C8: Fitch Assigns 'B' Rating to Class F Certs. MORGAN STANLEY 2013-8: S&P Assigns 'BB' Rating on Class E Notes MORTGAGE CAPITAL 1998-MC2: Moody's Cuts Rating on X CMBS to Caa2 MOUNTAIN CAPITAL IV: Moody's Raises Cl. B-2L Notes' Rating to Ba2 MOUNTAIN HAWK I: S&P Assigns 'BB' Rating to Class E Notes N-45O FIRST CBMS: Fitch Affirms 'B+' Rating on Class F Notes NEMUS FUNDING NO. 1: S&P Withdraws 'B-' Rating on Class F Notes NORTHWOODS CAPITAL VI: Moody's Raises Cl. C Notes' Rating to Ba1 OCTAGON INVESTMENT VIII: Moody's Ups Rating on $16MM Notes to Ba2 OCTAGON INVESTMENT XV: S&P Assigns 'BB' Rating to Class E Notes OZLM FUNDING: S&P Assigns 'BB' Rating to Class D Notes RACE POINT VIII: S&P Assigns 'BB-' Rating to Class E Notes RADAMANTIS (ELOC 24): S&P Lowers Rating on Class E Notes to 'B-' RBS COMMERCIAL: S&P Assigns 'BB+' Rating on Class F Notes REGATTA II: S&P Assigns 'BB' Rating on Class D Notes RESI FINANCE: Moody's Affirms 'C' Ratings on Five Loan Tranches RESIDENTIAL REINSURANCE: S&P Affirms 'B+' Rating on Class 5 Notes RESTRUCTURED ASSET 2002-10-TR: Moody's Cuts Certs Rating to 'C' SALOMON BROTHERS 1999-C1: Moody's Keeps Caa1 Rating on Cl. X CMBS SEAWALL 2006-1: Moody's Affirms 'Ba1' Rating on 3 Cert. Classes SEMPER FINANCE 2006-1: S&P Withdraws 'BB-' Rating on Class F Notes SEMPER FINANCE 2007-1: S&P Withdraws 'B' Rating on Class G Notes SEQUOIA MORTGAGE: Fitch to Assign 'BB' Rating to Class B-4 Certs. SILVERLEAF FINANCE: S&P Withdraws 'BB+' Rating on Class G Notes SLM PRIVATE 2007-A: Fitch Cuts Ratings on 2 Note Classes to 'BB+' SPRINGLEAF FUNDING: S&P Assigns 'B' Rating on Class D Notes STONE TOWER: Moody's Ups Rating on $20MM Cl. A-3L Notes to 'Ba2' SYMPHONY CLO III: Moody's Hikes Rating on Class E Notes to 'Ba2' TCW GLOBAL: S&P Affirms 'BB+' Ratings on 2 Note Classes TRAPEZA CDO II: S&P Raises Rating on Class A-1B Notes to BB+ TROPIC CDO I: Fitch Lowers Rating on Class A-3L Notes to 'D' UBS-BB 2013-C5: Moody's Assigns '(P)B2' Rating to Class F CMBS WACHOVIA BANK 2005-WHALE 6: Moody's Keeps Caa2 Rating on 3 CMBS * Moody's Cuts Ratings on 29 Tranches of 4 Wells Fargo RMBS Deals * Moody's Takes Rating Actions on 36 Tranches of Alt-A Loans * Moody's Takes Action on 84 RMBS Tranches Issued 2003 and 2004 * Moody's Takes Action on $17.7MM of Credit Suisse Alt-A RMBS * Wind-Down of TARP's CPP May Impact TruPS CDOs, Fitch Says * U.S. CREL CDO Delinquencies Drop 12.7% in January, Fitch Says ********* APIDOS CDO I: Moody's Raises Rating on $8MM Class D Notes to Ba2 ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Apidos CDO I: USD15,000,000 Class A-2 Floating Rate Notes Due July 27, 2017, Upgraded to Aaa (sf); previously on August 8, 2011 Upgraded to Aa1 (sf); USD20,500,000 Class B Floating Rate Notes Due July 27, 2017, Upgraded to Aa2 (sf); previously on August 8, 2011 Upgraded to A2 (sf); USD13,000,000 Class C Floating Rate Notes Due July 27, 2017, Upgraded to Baa2 (sf); previously on August 8, 2011 Upgraded to Ba1 (sf); USD8,000,000 Class D Floating Rate Notes Due July 27, 2017, Upgraded to Ba2 (sf); previously on August 8, 2011 Upgraded to Ba3 (sf). Moody's also affirmed the ratings of the following notes: U.S. $265,000,000 Class A-1 Floating Rate Notes Due July 27, 2017 (current outstanding balance of $120,140,909), Affirmed Aaa (sf); previously on August 8, 2011 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in August 2011. Moody's notes that the Class A-1 Notes have been paid down by approximately 54% or $143.9 million since the last rating action. Based on the latest trustee report dated January 24, 2013, the Class A, Class B, Class C and Class D overcollateralization ratios are reported at 135.76%, 120.65%, 112.70% and 108.31% respectively, versus July 2011 levels of 122.01%, 113.69%, 108.97% and 106.26%, respectively. The January overcollateralization ratios do not reflect the principal payment to the Class A-1 notes on the January 28, 2013 payment date. Moody's also notes that the deal has benefited from an improvement in the credit quality of the underlying portfolio since the last rating action in August 2011. Based on the January 2013 trustee report, the weighted average rating factor is currently 2423 compared to 2522 in July 2011. Notwithstanding the improvement in credit quality of the underlying portfolio, Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the January 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 5.19% of the underlying portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $192.5 million, defaulted par of $4.3 million, par that matures beyond the maturity date of the notes of $13.2 million, a weighted average default probability of 15.27% (implying a WARF of 2568), a weighted average recovery rate upon default of 50.0%, and a diversity score of 54. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Apidos CDO I, issued in August 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2055) Class A-1: 0 Class A-2: 0 Class B: +2 Class C: +2 Class D: +1 Moody's Adjusted WARF + 20% (3082) Class A-1: 0 Class A-2: 0 Class B: -2 Class C: -2 Class D: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. ASC 1997-D5: Moody's Cuts Rating on Cl. PS-1 CMBS to 'Caa2' ----------------------------------------------------------- Moody's Investors Service downgraded the rating of the IO class of Asset Securitization Corporation, Commercial Mortgage Pass-Through Certificates, Series 1997-D5 as follows: Cl. PS-1, Downgraded to Caa2 (sf); previously on Feb 22, 2012 Downgraded to B3 (sf) Ratings Rationale: The downgrade of the IO Class, Class PS-1, is due to the recent paydown of its highest-rated referenced classes. The rating of the IO Class is based on the weighted average rating factor (WARF) of its referenced classes. Moody's current base expected loss is less than 1% of the current pooled balance. Moody's base expected loss plus realized losses is now 6% of the original pooled balance, unchanged from Moody's last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit assessments for the principal classes could decline below their current levels. If future performance materially declines, the expected credit assessments of the referenced tranches may be insufficient to support the current ratings of the interest-only classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class PS-1. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5, the same as at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 29, 2012. Deal Performance As of the January 16, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $57 million from $1.79 billion at securitization. The Certificates are collateralized by 17 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans (excluding defeasance) representing 33% of the pool. The pool contains no loans with investment-grade credit assessments. Seven loans, representing approximately 67% of the pool, are defeased and are collateralized by U.S. Government securities. One loan, representing 1% of the pool, is 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) monthly reporting package. The servicer has notified Moody's that the single watchlisted loan was officially removed from its watchlist on January 14, 2013. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty loans have liquidated from the pool, resulting in an aggregate realized loss of $105 million (67% average loan loss severity). Currently, one loan, representing 3% of the pool, is in special servicing. Moody's does not anticipate a loss from this loan. Moody's was provided with full-year 2011 and partial year 2012 operating results for 100% and 78% of the performing pool, respectively. Excluding the specially-serviced loan, Moody's weighted average LTV is 53% compared to 60% at last full review. Moody's net cash flow reflects a weighted average haircut of 11.2% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.2% Excluding the specially-serviced loan, Moody's actual and stressed DSCRs are 0.95X and 2.22X, respectively, compared to 1.71X and 2.47X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 22% of the pool. The Cablevision Net Lease Loan, the 2080 North Black Horse Pike Loan, and the Value City -- Gurnee Loan, are each fully- amortizing, and are secured by properties which are 100% leased through the loan term to Cablevision, Sam's Club (Wal-Mart Stores), and Value City, respectively. Moody's current LTV ranges from 44% to 64% and Moody's stressed DSCR metric is >1.60X for each of these loans. ASSURED GUARANTY: S&P Corrects Ratings on Five Note Classes ----------------------------------------------------------- Standard & Poor's Ratings Services corrected its ratings on five classes from five U.S. RMBS transactions issued between 2001 and 2008. Three of the classes affected benefit from a certificate guaranty insurance policy issued by Assured Guaranty Corp. (AGC; 'AA-' financial strength rating). The two remaining classes benefit from a certificate guaranty insurance policy issued by MBIA Insurance Corp. (MBIA; 'B' financial strength rating). Due to an error, S&P lowered these ratings incorrectly. The ratings reflect S&P's bond insurance criteria, whereby it assign to an insured class either the rating on the insurance provider or the rating S&P would assign to the class without the benefit of the insurance, whichever is higher. These transactions are backed by subprime mortgage collateral. Overcollateralization, excess spread, subordination, and bond insurance provide credit support for these transactions. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS CORRECTED CDC Mortgage Capital Trust 2002-HE1 Series 2002-HE1 Rating Class CUSIP Current 2/04/13 Pre-2/04/13 A 12506YAF6 AA- (sf) A+ (sf) AA+ (sf) CSFB ABS Trust Series 2001-HE16 Series 2001-HE16 Rating Class CUSIP Current 2/04/13 Pre-2/04/13 A 22540A3L0 AA- (sf) AA+ (sf) AAA (sf) CWABS Asset Backed Certificates Trust 2005-13 Series 2005-13 Rating Class CUSIP Current 11/16/12 Pre-11/16/12 AF-5 126670GS1 B (sf) CCC (sf) B (sf) CWABS Asset-Backed Certificates Trust 2005-4 Series 2005-4 Rating Class CUSIP Current 11/16/12 Pre-11/16/12 AF-5B 126673N81 B (sf) B- (sf) BBB- (sf) Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2000-B Series SPMD 2000B Rating Class CUSIP Current 2/04/13 Pre-2/04/13 AF-1 456606AS1 AA-(sf) BBB+ (sf) AAA (sf) ATRIUM II: Moody's Lifts Ratings on 2 CLO Note Classes to 'Baa2' ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Atrium II: USD11,000,000 Class B Deferrable Floating Rate Notes Due 2016, Upgraded to Aaa (sf); previously on April 19, 2012 Upgraded to A1 (sf); USD6,000,000 Class C-1 Floating Rate Notes Due 2016, Upgraded to Baa2 (sf); previously on April 19, 2012 Upgraded to Ba2 (sf); USD6,000,000 Class C-2 Fixed Rate Notes Due 2016, Upgraded to Baa2 (sf); previously on April 19, 2012 Upgraded to Ba2 (sf). Moody's also affirmed the ratings of the following notes: USD185,000,000 Class A-1 Floating Rate Notes Due 2016 (current balance of $11,551,428), Affirmed Aaa (sf); previously on July 19, 2011 Upgraded to Aaa (sf); USD12,000,000 Class A-2a Floating Rate Notes Due 2016, Affirmed Aaa (sf); previously on April 19, 2012 Upgraded to Aaa (sf); USD5,000,000 Class A-2b Fixed Rate Notes Due 2016, Affirmed Aaa (sf); previously on April 19, 2012 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in April 2012. Moody's notes that the Class A-1 Notes have been paid down by approximately 82% or $52 million since the last rating action. Based on the latest trustee report dated January 14, 2013, the Class A, Class B and Class C overcollateralization ratios are reported at 192.7%, 151.4%, and 122.7%, respectively, versus March 2012 levels of 147.2%, 129.5%, and 114.5%, respectively. The trustee reported overcollateralization ratios do not reflect the principal payments distributed on the January 22, 2013 payment date. Notwithstanding benefits of the deleveraging, Moody's notes that the underlying portfolio includes a number of investment in securities that mature after the maturity date of the notes. Based on the January 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 53% of the underlying portfolio. These investment potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $63.5 million, defaulted par of $8.8 million, a weighted average default probability of 12.19% (implying a WARF of 2611), a weighted average recovery rate upon default of 50.92%, and a diversity score of 23. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Atrium II, issued on December 18, 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF + 20% (3133) Class A-1: 0 Class A-2a: 0 Class A-2b: 0 Class B: 0 Class C-1: -2 Class C-2: -2 Moody's Adjusted WARF - 20% (2089) Class A-1: 0 Class A-2a: 0 Class A-2b: 0 Class B: 0 Class C-1: +1 Class C-2: +1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities, which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3)Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. In consideration of the large size of the deal's exposure to long-dated assets, which increase its sensitivity to the liquidation assumptions used in the rating analysis, Moody's ran different scenarios considering a range of liquidation value assumptions. However, actual long-dated asset exposure and prevailing market prices and conditions at the CLO's maturity will drive the extent of the deal's realized losses, if any, from long dated assets. BACM COMMERCIAL 2008-LS1: Moody's Cuts Rating on 8 CMBS Classes --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of eight classes and affirmed the ratings of nine classes of BACM Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2008-LS1 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Mar 24, 2008 Definitive Rating Assigned Aaa (sf) Cl. A-4A, Affirmed Aaa (sf); previously on Apr 28, 2010 Confirmed at Aaa (sf) Cl. A-4B, Affirmed Aa1 (sf); previously on Apr 28, 2010 Downgraded to Aa1 (sf) Cl. A-4BF, Affirmed Aa1 (sf); previously on Apr 28, 2010 Downgraded to Aa1 (sf) Cl. A-1A, Affirmed Aa1 (sf); previously on Apr 28, 2010 Downgraded to Aa1 (sf) Cl. A-SM, Affirmed Aa3 (sf); previously on Apr 28, 2010 Downgraded to Aa3 (sf) Cl. A-M, Downgraded to Ba1 (sf); previously on Feb 9, 2012 Downgraded to Baa1 (sf) Cl. A-J, Downgraded to B3 (sf); previously on Feb 9, 2012 Downgraded to Ba2 (sf) Cl. B, Downgraded to Caa2 (sf); previously on Feb 9, 2012 Downgraded to B1 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Feb 9, 2012 Downgraded to B3 (sf) Cl. D, Downgraded to C (sf); previously on Feb 9, 2012 Downgraded to Caa1 (sf) Cl. E, Downgraded to C (sf); previously on Feb 9, 2012 Confirmed at Caa2 (sf) Cl. F, Downgraded to C (sf); previously on Feb 9, 2012 Confirmed at Caa3 (sf) Cl. G, Downgraded to C (sf); previously on Apr 28, 2010 Downgraded to Ca (sf) Cl. H, Affirmed C (sf); previously on Feb 9, 2012 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Feb 9, 2012 Downgraded to C (sf) Cl. XW, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The downgrades of the eight principal bonds are due to higher than expected realized and anticipated losses from specially serviced and troubled loans. The affirmations of the principal and interest bonds are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class XW, is consistent with the credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 11.8% of the current pooled balance compared to 10.4% at last review. Moody's base expected loss plus realized losses is now 16.5% of the original pooled balance compared to 14.1% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. The methodology used in rating the Interest-Only Security was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class XW. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 52 compared to 53 at Moody's prior review. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 9, 2012. Deal Performance As of the January 10, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 16% to $2.0 billion from $2.35 billion at securitization. The Certificates are collateralized by 205 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 33% of the pool. The pool does not contain any defeased loans or loans with credit assessments. Fifty one loans, representing 22% 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) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirty four loans have been liquidated from the pool, resulting in an aggregate realized loss of $153 million (50.4% average loss severity). Twenty eight loans, representing 16% of the pool, are currently in special servicing. The largest specially serviced exposure is the Boulder Green Office & Industrial Portfolio ($53 million -- 2.7% of the pool) The portfolio consists of one loan secured by five office buildings and one industrial building. The loan is REO and the servicer has recognized a combined $26 million appraisal reduction for this portfolio. The remaining 27 specially serviced loans are secured by a mix of property types. Moody's has estimated a $147 million loss (48% expected loss) for all the specially serviced loans. The servicer has recognized a $118 million aggregate appraisal reduction for 19 of the 28 specially serviced loans. Moody's has assumed a high default probability for 23 poorly performing loans representing 10% of the pool and has estimated a $40.5 million aggregate loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 and partial year 2012 operating results for 96% and 87% of the pool's loans, respectively. Moody's weighted average conduit LTV is 107% compared to 109% at last review. The conduit portion of the pool excludes specially serviced, troubled and defeased loans. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.33X and 0.98X, respectively, compared to 1.33X and .96X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 18% of the pool balance. The largest loan is the COPT Office Portfolio Loan ($150 million -- 8% of the pool), which is secured by a 694,000 SF of office space in the Westfields Corporate Center. The loan's sponsor, Corporate Office Properties, owns a total of nine buildings totaling 1.5 million SF in Westfields Corporate Center, which is located in Chantilly, Virginia. The portfolio is 96% leased as of September 2012 compared to 93% at last review. Moody's LTV and stressed DSCR are 140% and 0.69X, respectively, compared to 132% and 0.74X at last review. The second largest loan is the 600 West Chicago Loan ($134 million -- 7% of the pool), which is secured by a 1.6 million SF Class A office complex located on the edge of River North in Chicago's central business district. The collateral is the former Montgomery Ward & Co. catalog building and is a landmarked asset. It also serves as Groupon's headquarters. CommonWealth REIT acquired the property for $390 million in September 2011. Moody's LTV and stressed DSCR are 107% and 0.94X, respectively, compared to 118% and 0.85X at last review. The third largest loan is the Hallmark Building Loan ($64 million -- 3% of the pool), which is secured by a 305,000 SF office building located in Dulles, Virginia. The Dulles Hilton Hotel is attached to the Hallmark Building, but it is not part of the collateral. The property was 99% leased as of September 2012 compared to 89% at last review. This loan is included as one of the 22 poorly performing loans that Moody's has identified as a troubled loan. Moody's LTV and stressed DSCR are 174% and 0.59X, respectively, compared to 181% and 0.57X at last review. Based on the most recent remittance statement, Classes D through J have experienced cumulative interest shortfalls totaling $2 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs), extraordinary trust expenses, loan modifications that include either an interest rate reduction or a non-accruing note component, and non-recoverability determinations by the servicer that involve either a clawback of previously made advances or a decision to stop making future advances. BANC OF AMERICA 2004-4: Fitch Affirms 'C' Ratings on Six Certs -------------------------------------------------------------- Fitch Ratings has affirmed 23 classes of Banc of America Commercial Mortgage Inc. commercial mortgage pass-through certificates series 2004-4. Key Rating Drivers The affirmations reflect sufficient credit enhancement to the remaining Fitch rated classes after consideration for expected losses and significant maturity concentration in 2014. Fitch modeled losses of 10% of the remaining pool; expected losses on the original pool balance total 4.8%, including losses already incurred. The pool has experienced $4 million (0.3% of the original pool balance) in realized losses to date. Fitch has designated 17 loans (22.9%) as Fitch Loans of Concern, which includes eight specially serviced assets (15.1%). As of the January 2013 distribution date, the pool's aggregate principal balance has been reduced by 57.5% to $606.7 million from $1.43 billion at issuance. Per the servicer reporting, four loans (5.6% of the pool) have defeased since issuance. Interest shortfalls are currently affecting classes H through P. The largest contributor to expected losses is a 723,971 square foot (sf) industrial property (3.2%) located in North Kingstown, RI. The loan transferred to special servicing in October 2008 for payment default and is real estate owned (REO). The servicer is working to improve occupancy prior to marketing the property for sale. The second largest contributor to expected losses is a 161,727 sf retail property (1.7%) located in Philadelphia, PA. The loan transferred to special servicing in April 2009 due to maturity default and is REO. Several anchor tenants have relocated to a nearby retail center and the servicer is marketing the vacant spaces. Fitch affirms and revises the Outlooks of the following classes as indicated: -- $16.2 million class F at 'Bsf', Outlook to Stable from Negative; -- $11.3 million class G at 'B-sf', Outlook to Stable from Negative; Fitch affirms the following classes as indicated: -- $35.3 million class A-5 at 'AAAsf', Outlook Stable; -- $272.2 million class A-6 at 'AAAsf', Outlook Stable; -- $111.6 million class A-1A at 'AAAsf', Outlook Stable; -- $35.6 million class B at 'AAAsf', Outlook Stable; -- $11.3 million class C at 'AAsf', Outlook Stable; -- $21.1 million class D at 'BBBsf', Outlook Stable; -- $9.7 million class E at 'BBB-sf', Outlook Stable; -- $16.2 million class H at 'CCCsf', RE 0%; -- $6.5 million class J at 'Csf', RE 0%; -- $6.5 million class K at 'Csf', RE 0%; -- $6.5 million class L at 'Csf', RE 0%; -- $3.2 million class M at 'Csf', RE 0%; -- $3.2 million class N at 'Csf', RE 0%; -- $4.9 million class O at 'Csf', RE 0%; -- $1.9 million class DM-A at 'A+sf', Outlook Stable; -- $4.1 million class DM-B at 'Asf', Outlook Stable; -- $3.3 million class DM-C at 'A-sf', Outlook Stable; -- $3.5 million class DM-D at 'BBB+sf', Outlook Stable; -- $3.7 million class DM-E at 'BBBsf', Outlook Stable; -- $3.4 million class DM-F at 'BBB-sf', Outlook Stable; -- $3.2 million class DM-G at 'BBB-sf', Outlook Stable. Fitch does not rate the class P and BC certificates. Fitch previously withdrew the ratings on the interest-only class X-C and X-P certificates. The class DM certificates are related to a non-pooled B-note secured by the Dallas Market Center. The underlying collateral is a 3 million sf trade mart property located in Dallas, TX. Fitch affirms these classes as performance of the property has remained stable with trailing 12 month (TTM) servicer reported debt service coverage ratio (DSCR) of 6.66x and occupancy of 80% as of September 2012. BANC OF AMERICA 2007-2: Fitch Cuts Ratings on Four Certs to 'C' --------------------------------------------------------------- Fitch Ratings has downgraded five classes and affirmed 19 classes of Banc of America Commercial Mortgage Trust's commercial mortgage pass-through certificates series 2007-2 due primarily to increased loss expectations on the specially serviced assets. Key Rating Drivers Fitch modeled losses of 15.6% of the remaining pool; expected losses on the original pool balance total 14.7%, including losses already incurred. The pool has experienced $152.1 million (4.8% of the original pool balance) in realized losses to date. Fitch has designated 35 loans (20.1%) as Fitch Loans of Concern, which includes 20 specially serviced assets (15.9%). The Negative Rating Outlook on Class A-M is due to the high loan to value ratios on several large retail loans located in weaker markets. As of the February 2013 distribution date, the pool's aggregate principal balance has been reduced by 36.5% to $2.01 billion from $3.17 billion at issuance. No loans have defeased since issuance. Interest shortfalls are currently affecting classes D through S. The largest contributor to expected losses is the Beacon Seattle & DC Portfolio loan (11.1% of the pool), which was initially secured by 16 properties, the pledge of the mortgage and the borrower's ownership interest in one property, as well as the pledge of cash flows from three properties. In the aggregate, the 20 properties comprised approximately 9.8 million square feet (sf) of space. The loan transferred to special servicing in April 2010 and remained current as the borrower was negotiating a modification, which closed in December 2010. Key modification terms included a five- year extension of the loan to May 2017, a deleveraging structure that provided for the release of properties over time, and an interest rate reduction. The loan was returned to the master servicer in May 2012 and is performing under the modified terms. Under the modification, nine properties were released in total, which included Market Square (Washington, D.C.), Key Center (Bellevue, WA), City Center Bellevue (Bellevue, WA), 1616 North Fort Myer Drive (Arlington, VA), Liberty Place (Washington, D.C.), Army and Navy Building (Washington, D.C.), 1300 North Seventeenth Street (Arlington, VA), Reston Town Center (Reston, VA), and Washington Mutual Tower (Seattle, WA). As of the February 2013 remittance, the loan has been paid down by $1.1 billion or 41%. Following the sale and release of the Market Square property in March 2011, the contract interest rate adjusted to 5.00% from 5.797% retroactively effective as of Dec. 7, 2010. Since the total debt was paid down by at least $900 million by May 7, 2012 (the original maturity date), the interest rate was reduced further to 4.50%. Beginning in June 2012, the pay rate became 3.75% with required quarterly payments of excess cash flow up to a pay rate of 4.50%. Combined occupancy for the 11 remaining properties is 78.4%, down sharply from 96.4% at issuance for the same properties. For the nine months ended Sept. 30, 2012, annualized servicer-reported net operating income (NOI) was $86.6 million for the remaining properties, a 1% increase from the same period in 2011 for the same properties. The next largest contributor to expected losses is the specially- serviced Connecticut Financial Center loan (6.5%), which is secured by a 27-story, 466,073-sf office building in the CBD of New Haven, CT. The property's largest tenant, United Illuminating Company, leased approximately 47% of the net rentable area (NRA) but vacated a large block of space at its June 2012 lease expiration. This caused occupancy to fall to 70% as of September 2012, according to the servicer. The loan transferred to special servicing in June 2012 and workout negotiations are ongoing. The third largest contributor to expected losses is the specially- serviced Venture Pointe loan (1.3%), which is secured by a 335,420-sf shopping center in Atlanta, GA. The loan transferred to special servicing in March 2011 for imminent default. A receiver is in place and is working to lease-up and stabilize the property before it is marketed for sale. Fitch downgrades the following class and removes it from Rating Watch Negative: -- $317.3 million class A-M to 'Asf' from 'AAAsf', assigns Negative Outlook. Fitch downgrades the following classes as indicated: -- $31.7 million class D to 'Csf' from 'CCsf', RE 0%; -- $15.9 million class E to 'Csf' from 'CCsf', RE 0%; -- $27.8 million class F to 'Csf' from 'CCsf', RE 0%; -- $27.8 million class G to 'Csf' from 'CCsf', RE 0%. Fitch affirms the following classes as indicated: -- $114.5 million class A-2 at 'AAAsf', Outlook Stable; -- $8.4 million class A-2FL at 'AAAsf', Outlook Stable; -- $162.6 million class A-3 at 'AAAsf', Outlook Stable; -- $52.4 million class A-AB at 'AAAsf', Outlook Stable; -- $602 million class A-4 at 'AAAsf', Outlook Stable; -- $276.3 million class A-1A at 'AAAsf', Outlook Stable; -- $153.8 million class A-J at 'CCCsf', RE 65%; -- $100 million class A-JFL at 'CCCsf', RE 65%; -- $15.9 million class B at 'CCCsf', RE 0%; -- $47.6 million class C at 'CCsf', RE 0%; -- $43.6 million class H at 'Csf', RE 0%; -- $17 million class J at 'Dsf', RE 0%; -- $0 class K at 'Dsf', RE 0%; -- $0 class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%; -- $0 class O at 'Dsf', RE 0%; -- $0 class P at 'Dsf', RE 0%; -- $0 class Q at 'Dsf', RE 0%. The class A-1 certificates have paid in full. Fitch does not rate the class S certificates. Fitch previously withdrew the rating on the interest-only class XW certificates. BANC ONE 2000-C1: Moody's Cuts Rating on Class X Certs. to 'C' -------------------------------------------------------------- Moody's Investors Service downgraded the rating of one class of Banc One/FCCC Commercial Mortgage Loan Trust, Series 2000-C1 as follows: Cl. X, Downgraded to C (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale: Moody's currently only rates Class X, the interest-only class. The downgrade is due to this security not receiving any excess interest generated from the spread between the net collateral weighted-average coupon (WAC) of the loans and the WAC pass- through rate of the remaining principal bond, which the IO references. Moody's anticipates that the IO class will not receive any interest in the future because no single loan in the pool has a coupon greater than the pass-through rate of the remaining bond. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. The hotel and multifamily sectors are in recovery and improvements in the office sector continue, with fundamentals in Gateway cities outperforming their suburban counterparts. However, office demand is closely tied to employment, where fundamentals remain weak, so significant improvement may be delayed. Performance in the retail sector has been mixed with on-going rent deflation and leasing challenges. Across all property sectors, the availability of debt capital continues to improve with monetary policy expected to remain supportive and interest rate hikes postponed. Moody's central global macroeconomic scenario reflects an overall downward revision of forecasts since last quarter, amidst ongoing fiscal consolidation efforts, household and banking sector deleveraging, persistently high unemployment levels, and weak housing markets that will continue to constrain growth. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The principal methodology used in this rating was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS IO calculator v1.1 which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. 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 currently rates only the IO class; the previous review was done on February 22, 2012. Deal Performance As of the January 18, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $1.86 million from $857.1 million at securitization. The Certificates are collateralized by 15 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 86% of the pool. Approximately 85% of the loans fully amortize. All properties are located in the Greater Chicago MSA area, of which 66% are secured by multi-family properties. Three loans, representing 28% 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) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Ten loans have been liquidated since securitization, which have generated a loss of $1.76 million (11% average loss severity). Currently, there is one loan in special servicing, representing 7% of the pool. Moody's does not estimate a loss from this loan at this time. BEAR STEARNS: Fitch Downgrades Rating on Class P Cert. to 'C' ------------------------------------------------------------- Fitch Ratings has downgraded seven classes and affirmed eight classes of Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass-through certificates 2004-PWR5. Rating Sensitivities The downgrades are primarily due to increased loss expectations. Fitch modeled losses of 3.2% of the remaining pool; expected losses on the original pool balance total 3%, including $12.1 million in losses already incurred. Fitch has designated 20 loans (10.2%) as Fitch Loans of Concern, which includes one specially serviced loan (0.8%). As of the February 2013 distribution date, the pool's aggregate principal balance has been reduced by 37.5% to $770.9 million from $1.23 billion at issuance. Per the servicer reporting, nine loans (26.5% of the pool) are defeased. Interest shortfalls are currently affecting class Q. The largest contributor to expected losses consists of a four- building office property totaling 151,895 square feet (sf) located in San Diego, CA (0.9% of the pool). According to the 2010 rent roll, the occupancy rate dropped sharply to 12.6% due to vacancies upon lease expirations. Occupancy has gradually increased and as of year-end (YE) 2011, occupancy was reported at 45.2%. A new lease for 22.1% of the net rentable area (NRA) (March 1, 2013 move-in date) will further improve occupancy. In association with the low occupancy and related income loss, the loan has not covered its debt service over the last few years; however, the borrower has kept the loan current. The second largest contributor to expected losses is a 36,066 sf retail property (0.9%) in Denver, CO (0.9%). The servicer reported 3Q'12 DSCR was 0.86x, compared to 0.76x at YE2011 and 1.48x at issuance. The property has experienced occupancy declines, and concessions have been offered to attract new tenants. The 3Q'12 occupancy was 79%, compared to 85% at YE2011 and 93.4% at issuance. The loan remains current and with the master servicer. The third largest contributor to expected losses consists of five free-standing retail/branch bank buildings in Dallas, TX (0.8%). All were previously occupied by Bank of America. Four of the leases expired in October 2012 and one in December 2012. Bank of America renewed three of the leases for five years and vacated the other two buildings, reportedly reducing cash flow by approximately 25%. The loan, scheduled to mature in October 2012, was not able to refinance given the loss of tenancy and transferred to special serving at that time (October 2012). The property values obtained by the servicer indicate losses upon liquidation of the loan. Fitch downgrades the following classes and assigns or revises Recovery Estimates (REs) as indicated: -- $18.5 million class H to 'Bsf' from 'BBsf', Outlook Stable; -- $4.6 million class J to 'CCCsf' from 'Bsf', RE 95%; -- $4.6 million class K to 'CCCsf' from 'B-sf', RE 0%; -- $6.2 million class L to 'CCsf' from 'CCCsf', RE 0%; -- $4.6 million class M to 'CCsf' from 'CCCsf', RE 0%; -- $4.6 million class N to 'CCsf' from 'CCCsf', RE 0%; -- $3.1 million class P to 'Csf' from 'CCsf', RE 0%. Fitch affirms the following classes as indicated: -- $46.7 million class A-4 at 'AAAsf', Outlook Stable; -- $579.1 million class A-5 at 'AAAsf', Outlook Stable; -- $29.3 million class B at 'AAAsf', Outlook Stable; -- $9.3 million class C at 'AAsf', Outlook Positive; -- $20 million class D at 'AAsf', Outlook Stable; -- $13.9 million class E at 'Asf', Outlook Stable; -- $15.4 million class F at 'BBB+sf', Outlook Stable; -- $9.3 million class G at 'BBBsf', Outlook Stable. Fitch does not rate the class Q certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. BLUEMOUNTAIN CLO 2012-1: S&P Affirms 'BB' Rating on Class E Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on BlueMountain CLO 2012-1 Ltd./BlueMountain CLO 2012-1 LLC's $369.20 million floating-rate notes following the transaction's effective date as of Aug. 24, 2012. Most U.S. cash flow collateralized loan obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio. An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to us by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that S&P assigned on the transaction's closing date. The effective date reports provide a summary of certain information that S&P used in its analysis and the results of its review based on the information presented to them. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of S&P's criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect S&P's assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. In S&P's published effective date report, it discusses its analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, S&P intends to publish an effective date report each time it issues an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED BlueMountain CLO 2012-1 Ltd./BlueMountain CLO 2012-1 LLC Class Rating Amount (mil. $) A AAA (sf) 253.90 B AA (sf) 43.70 C (deferrable) A (sf) 34.80 D (deferrable) BBB (sf) 19.40 E (deferrable) BB (sf) 17.40 CENT CDO 12: S&P Assigns 'BB' Rating to Class E Notes ----------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class B note from Cent CDO 12 Ltd., a collateralized loan obligation (CLO) transaction that is managed by Columbia Management. S&P affirmed its ratings on the other four classes of notes. S&P last took rating actions on this transaction in January 2011, when it upgraded various classes due to an improvement in the portfolio credit quality and an increase to the overcollateralization (O/C) ratios. This transaction remains in its reinvestment phase until November 2013. As of the January 2013 trustee report, the balance of defaulted assets has decreased to $2.42 from $13.99 million in December 2010, while the class A/B senior O/C ratio increased to 123.9% from 122.4%. S&P affirmed its ratings on the other four classes of notes to reflect the availability of sufficient credit support at the current rating level. Although there has been a notable increase in credit enhancement since S&P's last rating action, the improvements were not sufficient to support a higher rating for these notes at this time. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Cent CDO 12 Ltd. Rating Class To From A AA+(sf) AA+(sf) B AA(sf) AA-(sf) C A(sf) A(sf) D BBB(sf) BBB(sf) E BB(sf) BB(sf) CENT CLO 17: S&P Assigns 'BB' Rating on Class D Notes ----------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Cent CLO 17 Ltd./ Cent CLO 17 Corp.'s $370.50 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.30%-11.36%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1295.pdf RATINGS ASSIGNED Cent CLO 17 Ltd./Cent CLO 17 Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 262.00 A-2A AA (sf) 22.50 A-2B AA (sf) 20.00 B (deferrable) A (sf) 29.00 C (deferrable) BBB (sf) 19.50 D (deferrable) BB (sf) 17.50 Subordinated notes NR 44.30 NR-Not rated. CITIGROUP 2009-1: S&P Reinstates CC Rating to Cl. 1A2C Securities ----------------------------------------------------------------- S&P Corrects Ratings On Citigroup Mortgage Loan Trust 2009-1 Classes 1A2A, 1A2B, And 1A2C Standard & Poor's Ratings Services corrected on February 15, 2013, its ratings on Classes 1A2A, 1A2B, and 1A2C from Citigroup Mortgage Loan Trust 2009-1 by reinstating them to BB(sf), BB-(sf), and CC(sf), respectively. S&P then placed its ratings on Classes 1A2A and 1A2B back on CreditWatch negative, where they were placed on Oct. 26, 2012. On Dec. 7, 2012, S&P incorrectly withdrew its ratings on Classes 1A2A, 1A2B, and 1A2C due to a trustee reporting error in the October 2012 remittance period. The reinstated ratings take into account the exchangeable schedule and payment priority for these classes. The underlying collateral for this transaction consists of U.S. residential mortgage-backed securities (RMBS) certificates. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS CORRECTED Citigroup Mortgage Loan Trust 2009-1 Rating Class CUSIP Current 12/7/12 Pre-12/7/12 1A2A 17314UAE8 BB (sf)/ NR BB (sf)/ Watch Neg Watch Neg 1A2B 17314UAF5 BB- (sf)/ NR BB- (sf)/ Watch Neg Watch Neg 1A2C 17314UAG3 CC (sf) NR CC (sf) COMM 2012-LC4: Fitch Affirms 'B' Rating on Class F Certificates --------------------------------------------------------------- Fitch Ratings has affirmed 11 classes of German American Capital Corp.'s COMM 2012-LC4 commercial mortgage pass-through certificates. Key Rating Drivers Fitch's affirmations are based on the stable performance of the underlying collateral pool. There have been no delinquent or specially serviced loans since issuance. Fitch reviewed the most recently available quarterly financial performance of the pool as well as updated rent rolls for the top 15 loans, which represent 69.3% of the transaction. As of the February 2012 distribution date, the pool's aggregate principal balance has been reduced by 1% to $942.3 million from $951.3 million at issuance. The largest loan in the pool is secured by 541,128 square feet (sf) of a 928,667 sf two-level regional mall located in Saugus, MA (10.5% of the pool), approximately 10 miles north of Boston. The collateral is shadow anchored by Sears and Macy's, which own their own stores. Largest tenants include Dick's Sporting Goods (12.7% of NRA) and Best Buy (11.1%). Per the servicer, the Best Buy lease expires on Feb. 28, 2013 and negotiations for an extension are underway. As of third quarter 2012, the property was 88% occupied, compared to 90% at UW. The second largest loan is secured by the leasehold interest in a 236,215 sf multi-level anchored retail center located in the Union Square area of Manhattan (8%). The property is 100% occupied by seven tenants, including a 14-screen Regal Cinemas theater (50.3%), Best Buy (19.5%), and Nordstrom Rack (13.6%). The earliest lease expiration date is January 2017. The loan has an investment grade credit opinion by Fitch. Fitch affirms the following classes and maintains the Stable Outlook: -- $40.1 million class A-1 at 'AAAsf', Outlook Stable; -- $77.8 million class A-2 at 'AAAsf', Outlook Stable; -- $115.6 million class A-3 at 'AAAsf', Outlook Stable; -- $416.5 million class A-4 at 'AAAsf', Outlook Stable; -- $93 million class A-M at 'AAAsf', Outlook Stable; -- Interest-Only class X-A at 'AAA', Outlook Stable; -- $44.7 million class B at 'AAsf', Outlook Stable; -- $32.9 million class C at 'Asf', Outlook Stable; -- $52.9 million class D at 'BBB-sf', Outlook Stable; -- $15.3 million class E at 'BBsf', Outlook Stable; -- $11.8 million class F at 'Bsf', Outlook Stable. Fitch does not rate the class G and HP certificates, or the interest-only class X-B. COMM 2005-LP5: Moody's Affirms Ratings on 18 CMBS Classes --------------------------------------------------------- Moody's Investors Service affirmed eighteen classes of COMM 2005- LP5 Commercial Mortgage Pass-Through Certificates as follows: Cl. A-3, Affirmed Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed Aaa (sf); previously on May 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Mar 2, 2011 Confirmed at Aa2 (sf) Cl. C, Affirmed Aa3 (sf); previously on Mar 2, 2011 Confirmed at Aa3 (sf) Cl. D, Affirmed A2 (sf); previously on Mar 2, 2011 Confirmed at A2 (sf) Cl. E, Affirmed A3 (sf); previously on Mar 2, 2011 Confirmed at A3 (sf) Cl. F, Affirmed Baa2 (sf); previously on Mar 2, 2011 Confirmed at Baa2 (sf) Cl. G, Affirmed Baa3 (sf); previously on Mar 2, 2011 Confirmed at Baa3 (sf) Cl. H, Affirmed Ba3 (sf); previously on Mar 2, 2011 Confirmed at Ba3 (sf) Cl. J, Affirmed B3 (sf); previously on Mar 2, 2011 Downgraded to B3 (sf) Cl. K, Affirmed Caa2 (sf); previously on Mar 2, 2011 Downgraded to Caa2 (sf) Cl. L, Affirmed Caa3 (sf); previously on Mar 2, 2011 Downgraded to Caa3 (sf) Cl. M, Affirmed Ca (sf); previously on Mar 2, 2011 Downgraded to Ca (sf) Cl. O, Affirmed C (sf); previously on Mar 2, 2011 Downgraded to C (sf) Cl. X-C, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations for seventeen principal and interest bond classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X-C, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 3.6% of the current pooled balance compared to 3.3% at last review. Moody's based expected loss plus realized losses is now 2.5% of the original pooled balance compared to 2.3% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. The methodology used in rating the Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class X-C. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 25 compared to 30 at Moody's prior review. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 29, 2012. Deal Performance As of the February 11, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 51% to $842.3 million from $1.7 billion at securitization. The Certificates are collateralized by 111 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 47% of the pool. Five loans, representing 6% of the pool, have defeased and are collateralized with U.S. Government Securities. Twenty-four loans, representing 36% 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) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $12.3 million (7% average loss severity). There are two loans, representing 2% of the pool, that are currently in special servicing. The servicer has recognized an aggregate $2.3 million appraisal reduction for one of the specially serviced loans and Moody's has estimated an aggregate $10.6 million loss (56% average expected loss) for all specially serviced loans. Moody's has assumed a high default probability for four poorly performing loans representing 4% of the pool and has estimated a $5.7 million aggregate loss (17% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 and partial year 2012 operating results for 99% and 27% of the pool's non-defeased and non-specially serviced loans, respectively. Moody's weighted average conduit LTV is 85% compared to 90% at Moody's prior review. The conduit portion of the pool excludes specially serviced, troubled and defeased loans. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.63X and 1.32X, respectively, compared to 1.55X and 1.22X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 27% of the pool. The largest performing loan is the Bank of America Tower at Las Olas City Centre Loan ($90.0 million -- 10.7% of the pool), which is secured by a 409,075 square foot (SF) Class A office and retail building located in Fort Lauderdale, Florida. The property was 95% leased as of January 2013 compared to 97% leased at last review. Financial performance improved in 2012 after declining in 2011 due to major tenant lease expirations that lowered revenue achievement. Moody's LTV and stressed DSCR are 99% and 1.01X, respectively, compared to 103% and 0.97X at last review. The second largest performing loan is the Lakeside Mall Loan ($82.3 million -- 9.8% of the pool), which represents the borrower's interest in a 50% pari-passu A note in a 643,375 SF regional shopping mall located in Sterling Heights, Michigan. The property was 93% leased as of September 2012 versus 90% at last review. The in-line tenant occupancy rate was 70% as of September 2012 compared to 66% at last review. Financial performance has improved in concert with occupancy since last review. The loan sponsor is General Growth Properties (GGP). Moody's LTV and stressed DSCR are 88% and 1.11X, respectively, compared to 110% and 0.89X at last review. The third largest performing loan is the Continental Park Plaza Loan ($52.0 million -- 6.2% of the pool), which is secured by three attached six-story Class A office buildings totaling 476,852 SF located in El Segundo, California. The property was 83% leased as of September 2012 compared to 86% at last review. Financial performance has improved since last review. Moody's LTV and stressed DSCR are 56% and 1.89X, respectively, compared to 57% and 1.85X at last review. COMMERCIAL MORTGAGE 2013-CCRE6: DBRS Rates Class E Certs 'BB' ------------------------------------------------------------- DBRS has assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE6 (the Certificates), to be issued by the COMM 2013-CCRE6 Mortgage Trust. The trends are Stable. - Class A-1 at AAA (sf) - Class A-2 at AAA (sf) - Class A-SB at AAA (sf) - Class A-4 at AAA (sf) - Class X-A at AAA (sf) - Class A-3FL at AAA (sf) - Class A-3FX at AAA (sf) - Class X-B at AAA (sf) - Class A-M at AAA (sf) - Class B at AA (sf) - Class PEZ at A (sf) - Class C at A (sf) - Class D at BBB (low) (sf) - Class E at BB (sf) - Class F at B (sf) Classes A-3FL, A-3FX, X-B, A-M, B, PEZ, C, D, E and F have been privately placed pursuant to Rule 144A. The Class X-A and Class X-B balances are notional. DBRS ratings on interest-only certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the interest-only certificate's position within the transaction payment waterfall when determining the appropriate rating. The Class PEZ certificates are exchangeable for the Class A-M, B and C certificates (and vice versa). The collateral consists of 48 fixed-rate loans secured by 80 commercial properties. The transaction has a balance of $1,494,076,230. The pool consists of relatively low-leverage financing, with a DBRS weighted-average term debt service coverage ratio (DSCR) and debt yield of 1.99 times and 10.4%, respectively. The pool is relatively concentrated by loan balance and geography, with a concentration level equivalent to a pool of 20 equal-sized loans. Loans secured by hotels represent 25.9% of the pool, including three of the largest ten loans. Hotel properties have higher cash flow volatility than traditional property types because their income, which is derived from daily contracts rather than multi- year leases, and their expenses, which are often mostly fixed, are quite high as a percentage of revenue. These two factors cause revenue to fall swiftly during a downturn and cash flow to fall even faster because of the high operating leverage. The DBRS sample included 26 loans, representing 87.6% of the pool balance. A relatively high percentage of properties from the DBRS sample were classified as Above Average or Excellent (29.5% of the sample, 25.8% of the pool), above the respective figures for other recently rated DBRS conduit transactions. The largest loan in the pool, representing 8.7% of the deal balance, was shadow-rated investment grade by DBRS. The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. CREDIT SUISSE 2004-C3: Moody's Lowers Ratings on Six CMBS Classes ----------------------------------------------------------------- Moody's Investors Service downgraded six classes and affirmed four classes of Credit Suisse First Boston Commercial Mortgage Pass- Through Certificates, Series 2004-C3 as follows: Cl. A-1-A, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Downgraded to Baa2 (sf); previously on Mar 4, 2010 Downgraded to Aa3 (sf) Cl. C, Downgraded to Ba3 (sf); previously on Feb 29, 2012 Downgraded to Baa1 (sf) Cl. D, Downgraded to B3 (sf); previously on Feb 29, 2012 Downgraded to Ba1 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Feb 29, 2012 Downgraded to B3 (sf) Cl. F, Downgraded to C (sf); previously on Feb 29, 2012 Downgraded to Caa3 (sf) Cl. G, Downgraded to C (sf); previously on Feb 29, 2012 Downgraded to Ca (sf) Cl. A-X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations for the three principal and interest bond classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The downgrades for the six principal and interest bond classes are due to realized losses and an increase in expected losses from specially serviced and troubled loans. The rating of the IO Class, Class A-X is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 6.3% of the current pooled balance compared to 6.3% at last review. Moody's based expected loss plus realized losses is now 9.4% of the original pooled balance compared to 7.4% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating the Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class A-X. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 17 compared to 22 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the Large Loan / Single borrower methodology. This methodology uses the excel-based Large Loan Model v. 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 29, 2012. Deal Performance As of the January 17, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 35% to $1.07 billion from $1.6 billion at securitization. The Certificates are collateralized by 136 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 32% of the pool. Twenty-nine loans, representing 38% of the pool, have defeased and are collateralized with U.S. Government Securities. Twenty-one loans, representing 6% 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) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nineteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $86.3 million (55% average loss severity). There are thirteen loans, representing 7% of the pool, that are currently in special servicing. The servicer has recognized an aggregate $36.5 million in appraisal reductions for nine of the specially serviced loans and Moody's has estimated an aggregate $41.7 million loss (56% average expected loss) for all specially serviced loans. Moody's has assumed a high default probability for six poorly performing loans representing 5% of the pool and has estimated a $8.2 million aggregate loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 and partial year 2012 operating results for 100% and 26% of the pool's non-defeased and non-specially serviced loans, respectively. Moody's weighted average conduit LTV is 89% compared to 88% at Moody's prior review. The conduit portion of the pool excludes specially serviced, troubled and defeased loans. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.36X and 1.23X, respectively, compared to 1.38X and 1.21X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 20% of the pool. The largest performing loan is the Pacific Design Center Loan ($138.1 million -- 12.9% of the pool), which is secured by a 916,000 square foot (SF) office and design showroom building located in West Hollywood, California. In addition to the showroom and office space, the property also houses a 384-seat theater and screening room, conference facilities, a two-story gallery leased to the Museum of Contemporary Art, a fitness facility and two restaurants. The property is 68% leased compared to 70% at last review. Financial performance has declined since last review. Moody's LTV and stressed DSCR are 100% and 1.08X, respectively, compared to 95% and 1.14X at last review. The second largest performing loan is the BC Wood Portfolio Loan ($39.5 million -- 3.7% of the pool), which is secured by four shopping centers located in Louisville, Lexington and Paris, Kentucky, all built between 1951 and 1989. The weighted average occupancy for all properties was 92% compared to 90% at last review. The loan sponsor is Brian C. Wood. Financial performance has declined slightly since last review which is offset by the benefits of amortization. Moody's LTV and stressed DSCR are 95% and 1.12X, respectively, compared to 96% and 1.1X at last review. The third largest performing loan is the Private Mini Storage Portfolio Loan ($36.4 million -- 3.4% of the pool), which is secured by nine self-storage properties located in seven different markets within the state of Texas. Financial performance has improved since last review and the loan benefits from amortization. Moody's LTV and stressed DSCR are 83% and 1.21X, respectively, compared to 91% and 1.1X at last review. CREDIT SUISSE 2007-C4: Moody's Cuts Ratings on 9 CMBS Classes ------------------------------------------------------------- Moody's Investors Service downgraded the ratings of nine classes and affirmed 16 classes of Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007- C4 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Downgraded to A1 (sf); previously on Nov 19, 2009 Downgraded to Aa2 (sf) Cl. A-1-A, Downgraded to A1 (sf); previously on Nov 19, 2009 Downgraded to Aa2 (sf) Cl. A-M, Downgraded to Ba1 (sf); previously on Nov 19, 2009 Downgraded to A3 (sf) Cl. A-1-AM, Downgraded to Ba1 (sf); previously on Nov 19, 2009 Downgraded to A3 (sf) Cl. A-J, Downgraded to B3 (sf); previously on Nov 19, 2009 Downgraded to Ba2 (sf) Cl. A-1-AJ, Downgraded to B3 (sf); previously on Nov 19, 2009 Downgraded to Ba2 (sf) Cl. B, Downgraded to Caa2 (sf); previously on Nov 19, 2009 Downgraded to B2 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Nov 19, 2009 Downgraded to Caa2 (sf) Cl. D, Affirmed Ca (sf); previously on Nov 19, 2009 Downgraded to Ca (sf) Cl. E, Affirmed Ca (sf); previously on Nov 19, 2009 Downgraded to Ca (sf) Cl. F, Affirmed Ca (sf); previously on Nov 19, 2009 Downgraded to Ca (sf) Cl. G, Affirmed Ca (sf); previously on Nov 19, 2009 Downgraded to Ca (sf) Cl. H, Affirmed C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. O, Affirmed C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. P, Affirmed C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. Q, Affirmed C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. A-X, Downgraded to B1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The downgrades to the principal classes are due to higher than expected realized and anticipated losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class A-X, is downgraded based on a decline in the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 15.2% of the current pooled balance compared to 10% at last review. Moody's base expected loss plus realized losses is 15.9% compared to 11.8% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The principal methodology used in this rating was " Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class A-X. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 21 compared to 24 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 23, 2012. Deal Performance As of the January 17, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 7% to $1.84 billion from $2.08 billion at securitization. The Certificates are collateralized by 180 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten non-defeased loans representing 49% of the pool. One loan, representing 0.1% of the pool, has defeased and is secured by U.S. Government securities. There are no loans with investment grade credit assessments. Forty-eight loans, representing 24% 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) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-one loans have been liquidated from the pool, resulting in approximately a $50.7 million loss (52.8% loss severity on average). Twenty-six loans, representing 22.8% of the pool, are currently in special servicing. The largest specially serviced loan is the 245 Fifth Avenue Loan ($130.0 million -- 7.0% of the pool), which is secured by a 303,139 square foot (SF) Class B office building located at the intersection of 5th Avenue and 28th street in Manhattan. The property was 80% leased as of November 2012 compared to 82% at last review. The largest tenant, Citibank (15% of the NRA) vacated the building as of December 2012, reducing occupancy to 65%. The borrower has executed a modification as of December 2012. Per the modification, the Borrower paid down the loan by $10 million while posting approximately $13 million of additional reserves. Maturity has been extended till January 2016 on an interest only basis with a new interest rate of 6.114% (0.641% increase) to offset any monthly workout fees along with any anticipated liquidation expenses. The loan is expected to return to the master servicer in March 2013. The second largest specially serviced loan is the City Tower Loan ($115.0 million -- 6.2% of the pool), which is secured by a 411,000 SF Class A office building located in Orange County, California. The loan transferred to special servicing in October 2010 due to monetary default. The special servicer appointed a receiver in June 2011. The loan is cash managed and all property revenues are being deposited into an account controlled by the court-appointed receiver in accordance with the receivership order. The property is currently 64% occupied, the same at last review. The remaining 24 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $143.3 million loss for the specially serviced loans (34% expected loss on average). Moody's has assumed a high default probability for 24 poorly performing loans representing 14% of the pool and has estimated an aggregate $72.9 million loss (28.1% expected loss on average) from these troubled loans. Moody's was provided with full year 2011 operating results for 94% of the pool's non-specially serviced and non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 129% compared to 132% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 6.5% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.18X and 0.83X, respectively, compared to 1.18X and 0.80X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 25.6% of the pool. The largest conduit loan is the Shutters on The Beach & Casa Del Mar Loan ($310.0 million -- 16.8% of the pool), which is secured by two luxury hotel properties located in Santa Monica, California. Shutters on the Beach is a 198-room full service hotel and Casa Del Mar is a 129-room bed and breakfast inn. In addition to the first mortgage loan, there is a $72.0 million mezzanine loan held outside the trust. Moody's LTV and stressed DSCR are 157% and 0.69X, respectively, the same as last review. The second largest conduit loan is the Meyberry House Loan ($90 million -- 4.9% of the pool), which is secured by a 180-unit apartment building located on the Upper East Side of Manhattan in New York City. In addition to the first mortgage loan, there is a $34 million mezzanine loan held outside the trust. The loan is currently on the watchlist due to identified repair and maintenance issues. As of October 2012, the property was 94% occupied compared to 96% at last review. Moody's analysis of this loan is based on a floor value. Moody's LTV and stressed DSCR are 125% and 0.82X, respectively, compared to 143% and 0.72X at last review. The third largest conduit loan is the Hamburg Trust Portfolio Loan ($71.6 million --3.9% of the pool), which is secured by five cross-collateralized and cross-defaulted properties located in Florida and Texas. The properties were renovated in 2005 and 2006. As of September 2012, combined occupancy was 93%. The loan has steadily improved and benefiting from amortization, which began in August 2012. Moody's LTV and stressed DSCR are 128% and 0.72X, respectively, compared to 137% and 0.67X at last review. CREST 2000-1: Fitch Affirms 'C' Rating on Class D Notes ------------------------------------------------------- Fitch Ratings has affirmed one class issued by Crest 2000-1 Ltd./Corp. Key Rating Drivers: The class D notes are currently under-collateralized by approximately $4.2 million and have been affirmed at 'Csf', indicating that default is inevitable. With 84.2% of the remaining collateral rated investment grade, Fitch expects a moderate recovery on the notes. Since the last rating action in March 2012, approximately 10.7% of the collateral has been downgraded. Currently, 15.8% of the portfolio has a Fitch derived rating below investment grade and 4.6% has a rating in the 'CCC' category and below, compared to 2.9% and 2.9%, respectively, at the last rating action. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. The transaction was not analyzed within a cash flow model framework, as the impact of structural features and excess spread, or conversely, principal proceeds being used to pay collateralized debt obligation (CDO) liabilities, was determined to be minimal in the context of the CDO's rating. Crest 2000-1 is a static collateralized debt obligation (CDO) that closed on Nov. 3, 2000. The current portfolio consists of four bonds from four obligors, of which 84.2% are commercial mortgage backed securities (CMBS), 11.2% are residential mortgage-backed securities (RMBS), and 4.6% are commercial asset-backed securities. Additionally, there is one interest only (IO) security. Fitch has affirmed this class: -- $15,647,674 class D notes at 'Csf'. CREST CLARENDON: Fitch Lowers Rating on Class D Notes to 'CC' ------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed two classes issued by Crest Clarendon Street 2002-1, Ltd./Corp. Sensitivity/Rating Drivers: Since the last rating action in March 2012, approximately 30% of the collateral has been downgraded and 11.9% has been upgraded. Currently, 47% of the portfolio has a Fitch derived rating below investment grade with 40.4% of the portfolio having a rating in the 'CCC' category and below, compared to 14.5% and 6%, respectively, at the last rating action. Over this period, the transaction has received $77.3 million in pay downs which has resulted in the full repayment of the class A notes and $25 million in paydowns to the class B notes. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Based on this analysis, the class B and C notes' breakeven rates are generally consistent with the ratings assigned below. For the class D notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class D notes have been downgraded to 'CCsf', indicating that default is probable. The Stable Outlook on the class B notes reflects Fitch's view that the transaction will continue to delever. The Negative Outlook on the class C notes reflects the risk of adverse selection as the portfolio continues to amortize. Crest Clarendon Street 2002-1 is a cash flow commercial real estate collateralize debt obligations (CRE CDO) issued in September 2002. The current portfolio consists of 14 bonds from 13 obligors, all of which are commercial mortgage backed securities (CMBS) from the 1998 through 2002 vintages. Fitch has affirmed and revised Outlooks on these classes: -- $10,407,506 class B-1 notes at 'Asf'; Outlook to Stable from Negative; -- $3,588,795 class B-2 notes at 'Asf'; Outlook to Stable from Negative. Fitch has downgraded these classes: -- $15,000,000 class C notes to 'Bsf' from 'BBsf'; Outlook Negative; -- $10,364,749 class D notes to 'CCsf' from 'CCCsf'. CS FIRST 1998-C1: Moody's Affirms Caa1 Rating on Cl. A-X CMBS ------------------------------------------------------------- Moody's Investors Service affirmed the rating of one interest-only class of CS First Boston Mortgage Securities Corp 1998-C1 as follows: Cl. A-X, Affirmed Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale: The affirmation of the IO Class, Class A-X, is consistent with the credit performance of its referenced classes and thus is affirmed. The IO class is the only outstanding Moody's rated class in this transaction. Moody's analysis reflects a base expected loss of 17.1% of the current balance. Moody's base expected loss plus realized losses is now 4.8% of the original pooled balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit assessments for the principal classes could decline below their current levels. If future performance materially declines, the expected credit assessments of the referenced tranches may be insufficient to support the current ratings of the interest-only classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The conduit pool has a Herf of 1. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's currently uses a Gaussian copula model to evaluate pools of credit tenant loans (CTLs) within CMBS transactions. Moody's public CDO rating model CDOROMv2.8-5 is used to generate a portfolio loss distribution to assess the ratings. Under Moody's CTL approach, the rating of a transaction's certificates is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock- box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined to determine a recovery rate upon a loan's default. Moody's also considers the overall structure and legal integrity of the transaction. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Deal Performance As of the January 17, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $168 million from $2.5 billion at securitization. The Certificates are collateralized by 60 mortgage loans ranging in size from less than 1% to 10% of the pool. Thirty-eight of the loans are credit tenant lease (CTL) loans secured by properties leased to ten corporate credits, representing 77% of the pool. Thirteen loans, representing 13% of the pool, have defeased and are secured by U.S. Government securities. Seven loans, representing 18% 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) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Forty-nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $89.7 million. There are no loans currently in special servicing. The pool's largest exposures are Best Buy ($31.4 million - 19% of the pool balance; Moody's senior unsecured rating Baa2 - developing outlook), CarMax ($24.7 million - 15%) and Elder- Beerman ($23.6 million -- 14%; parent company is Bon-Ton Stores, Moody's senior unsecured rating Caa3 -- negative outlook). Corporate tenants representing approximately 45% of the pool, excluding defeased loans, are publicly rated by Moody's. Moody's was provided with full year 2011 operating results for 89% of the pool's non-defeased loans. The conduit pool, which excludes CTL loans and defeased loans, represents approximately 10% of the pool. Moody's conduit weighted average LTV is 65%. Moody's net cash flow reflects a weighted average haircut of 17% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.1%. Moody's conduit actual and stressed DSCRs are 1.22X and 3.14X, respectively. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. DBUBS 2011-LC1: Moody's Affirms B2 Rating on Class G Certificates ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 11 classes of DBUBS 2011-LC1, Commercial Mortgage Pass-Through Certificates as follows: Cl. A-1, Affirmed Aaa (sf); previously on Mar 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Mar 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Mar 1, 2011 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Mar 1, 2011 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on Mar 1, 2011 Definitive Rating Assigned Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on Mar 1, 2011 Definitive Rating Assigned Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Mar 1, 2011 Definitive Rating Assigned Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on Mar 1, 2011 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of the principal classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The affirmations of the IO Classes, Classes X-A and X-B, are consistent with credit performance of their referenced classes and are thus affirmed. Moody's rating action reflects a base expected loss of 2.6% of the current balance compared to 2.2% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the ratings of X- A and X-B. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 18, the same as at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel based Large Loan Model v8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. 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. Deal Performance As of the February 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 2.2% to $2.13 billion from $2.18 billion at securitization. The Certificates are collateralized by 47 mortgage loans ranging in size from less than 0.1% to 11% of the pool, with the top ten loans representing 66% of the pool. The pool includes two loans, representing 11% of the pool, with credit assessments. Four loans, representing 10% 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) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. No loans have liquidated and none are in special servicing. Moody's did not identify any troubled loans. Moody's was provided with full year 2011 and partial year 2012 operating results for 100% of the pool. Moody's weighted average conduit LTV is 93%compared to 96% at prior review. Moody's net cash flow reflects a weighted average haircut of 7.2% to the most recently available net operating income, compared to 9.4% at prior review. Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's conduit actual and stressed DSCR are 1.46X and 1.13X, respectively, compared to 1.37X and 1.05X at prior review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the Kenwood Towne Centre Loan ($227.9 million -- 10.7% of the pool), which is secured by a super-regional mall located in Cincinnati, Ohio. The property was constructed in 1956 and renovated most recently in 2009. The mall contains approximately 1,157,077 square foot (SF) in the aggregate; 756,412 SF of which is owned by the sponsor. Anchor tenants include Macy's (non-collateral), Dillard's and Nordstrom (non-collateral). The loan is sponsored by GGP and The Teachers' Retirement of the State of Illinois. As of September 2012 the mall was 97% leased compared to 96% at securitization. Moody's credit assessment and stressed DSCR are Baa3 and 1.33X, compared to Baa3 and 1.31X at prior review. The second loan with a credit assessment is the ARC IHOP Portfolio Loan ($12.5 million -- 0.6% of the pool), which is secured by 18 IHOP properties located across 13 states. All of the properties are end-cap or pad locations at established retail properties with good visibility. There is no rollover scheduled within the loan term and all leases are long term, triple net and guaranteed by DineEquity, Inc (Moody's Senior Unsecured Rating B3, Stable Outlook). Moody's credit assessment and stressed DSCR are Baa3 and 1.7X, respectively, the same as at the prior review. The top three performing conduit loans represent 26% of the pool. The largest conduit loan is the 353 North Clark Street Loan ($219.78 million -- 10.3% of the pool), which is secured by a 45- story, Class A office building located in downtown Chicago, Illinois. The property contains approximately 1,180,220 SF of office space and an underground parking garage that provides 164 spaces. The building was constructed between 2006 and 2009. As of June 2012 the property was 88% leased compared to 82% at prior review and 80% at securitization. The property has high tenant concentration with top two tenants comprising 65% of the NRA. However, there is no lease turnover during loan term. Moody's LTV and stressed DSCR 108% and 0.9X, respectively, compared to 97% and 1.01X the prior review. The second largest loan is the Temple Marketplace Loan ($194.9 million -- 9.1% of the pool), which is secured by a 1,069,593 SF lifestyle/power center located in Tempe, Arizona. The property was constructed in 2007 and is anchored by Target (non-collateral), JC Penney, Harkins Tempe Marketplace movie theater and Dave & Buster's. The property also contains a pad space leased to Sam's Club, which is currently under construction. As of October 2011, the property was 93% leased, the same as at securitization. The property benefits from a Governmental Property Lease Excise Tax (GPLET) statute that significantly reduces real estate tax assessments at the property through 2037. The property also benefits from an Arizona authorized sales tax reimbursement development agreement with the city of Tempe, which allows the property to share a portion of sales tax revenue with the city subject to a cap of $26.7 million. Moody's LTV and stressed DSCR 94% and 1.01X, respectively, compared to 95% and 1.0X at the prior review. The third largest loan is the 7 Hanover Square Loan ($143.4 million -- 6.7% of the pool), which is secured by a Class A office building located within the South Ferry Financial District submarket of New York City. The property offers 26 stories of rentable space that contain approximately 842,415 SF in the aggregate. Guardian Life Insurance Company of America (Insurance Financial Strength rating Aa2, Stable Outlook) leases virtually the entire building through September 2019 and has occupied the building as its headquarters since 1998. Property improvements were constructed in 1983 and most recently renovated in 2000. This loan is currently on the watchlist due to major damages caused by Hurricane Sandy. Moody's analysis is based on a lit/dark approach because of the risk of single tenancy. Moody's LTV and stressed DSCR 96% and 1.07X, respectively, compared to 97% and 1.06X at prior review. DEUTSCHE MORTGAGE 1998-C1: Moody's Cuts Rating on X CMBS to Caa3 ---------------------------------------------------------------- Moody's Investors Service downgraded the rating of one class of Deutsche Mortgage & Asset Receiving Corporation, Commercial Mortgage Pass-Through Certificates, Series 1998-C1 as follows: Cl. X, Downgraded to Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Ratings Rationale: The downgrade of the rating of the IO Class, Class X, is due to the payoff of highly rated classes and a decline in performance of its referenced classes. The IO class is the only outstanding Moody's rated class in this transaction. Moody's analysis reflects a base expected loss of 12.9% of the current pooled balance. Moody's base expected loss plus realized losses is now 5.3% of the original pooled balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit assessments for the principal classes could decline below their current levels. If future performance materially declines, the expected level of credit assessments of the referenced tranches may be insufficient to support the current ratings of the interest-only class. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 16. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. 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. Deal Performance As of the January 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $47.1 million from $1.8 billion at securitization. The Certificates are collateralized by 16 mortgage loans ranging in size from less than 1% to 32% of the pool, with the top ten loans representing 92% of the pool. The pool includes one defeased loan representing 3% of the pool. Four loans, representing 12% 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) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fifty-four loans have been liquidated from the pool, resulting in a realized loss of $89 million (40% loss severity). Three loans, representing 20% of the pool, are currently in special servicing. The largest specially-serviced loan is the Old Town Center Loan ($5.6 million -- 12% of the pool), which is secured by a 101,000 square-foot theme park located in Kissimmee, Florida. The property includes 75 specialty shops, eight restaurants and 18 thrill rides. The loan was transferred to special servicing in February 2012. Per the Special Servicer, the most recent financials received are as of September 2011. As of September 2011, the property was 88% leased. The second-largest specially-serviced loan is the North Main Place Loan ($3.3 million -- 7% share of the pool), which is secured by a 61,000 square-foot anchored retail property located in High Point, North Carolina. The loan was transferred to special servicing in November 2012. As of September 2012, the property was 100% leased. The third-largest specially-serviced loan is the Newport Business Plaza Loan ($573,812 -- 1% share of the pool), which is secured by a 88,000 square-foot industrial property located in Newport, Oregon. As of March 2012, the property was 91% leased. Moody's estimates an aggregate $5.6 million loss for the specially serviced loans (58% expected loss on average). Moody's was provided with full year 2011 and partial year 2012 operating results for 100% and 92% of the pool, respectively. Excluding specially serviced loans, Moody's weighted average LTV is 60%. Moody's net cash flow reflects a weighted average haircut of 18% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.2%. Excluding specially serviced loans, Moody's actual and stressed DSCRs are 1.42X and 2.04X, respectively. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 54% of the pool balance. The largest loan is the Brea Union Plaza Loan ($14.9 million -- 32% of the pool), which is secured by a 164,000 square- foot grocery anchored retail property located in Brea, California. As of September 2012, the property was 100% leased. Moody's LTV and stressed DSCR are 53% and 1.73X. The second largest loan is the Homebase Brea Union Plaza Loan ($7.5 million -- 16% of the pool), which is secured by a 110,000 square-foot Home Depot (Moody's senior unsecured rating A3; positive outlook) located in Brea, California. Home Depot's lease currently expires in August 2017. Moody's performed a "lit/dark" analysis on this property. Moody's LTV and stressed DSCR are 83% and 1.18X. The third largest loan is the Wichita Square Shopping Center Loan ($3.0 million -- 6% of the pool), which is secured by a 58,000 square-foot retail property located in Wichita Fall, Texas. As of December 2012, the property was 100% leased. Moody's LTV and stressed DSCR are 92% and 1.28X, respectively. DIVERSIFIED ASSET: Fitch Affirms 'C' Rating on Class B-1 Notes -------------------------------------------------------------- Fitch Ratings has affirmed four classes and revised the Outlook on two classes of notes issued by Diversified Asset Securitization Holdings II, L.P./Corp. as: -- $6,992,481 class A-1 notes at 'BBsf'; Outlook to Stable from Negative; -- $44,285,724 class A-1L notes at 'BBsf'; Outlook to Stable from Negative; -- $50,000,000 class A-2L notes at 'Csf'; -- $37,000,000 class B-1 notes at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also considered additional qualitative factors into its analysis, as described below, to conclude the rating affirmations for the rated notes. The affirmations for the class A-1 and A-1L notes are due to the relatively stable performance of the transaction, with continued note paydowns offsetting negative deterioration of the underlying collateral. Since the last review, the notes have amortized approximately $38.4 million, or 42.8% of its previous balance, increasing the amount of credit enhancement available to the classes. Excess spread has also been available to pay down these notes on the past four payment dates due to a failing class B overcollateralization (OC) ratio. The affirmations are in line with the breakeven levels from the cash flow model. The Outlook Stable on the class A-1 and A-1L notes reflects Fitch's expectations of near-term rating stability for the notes. Breakevens for the class A-2L and class B notes were below the SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For these classes, Fitch compared the respective credit enhancement levels to expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates that default appears to remain inevitable for both classes of notes at or prior to maturity. Accordingly, these notes are affirmed at 'Csf'. DASH II is a cash flow structured finance collateralized debt obligation that closed on Sept. 13, 2000. The portfolio is currently monitored by Western Asset Management Co., who became the substitute asset manager for Asset Allocation & Management, LLC in November 2002 and actively managed the portfolio until DASH II exited its reinvestment period in 2005. The portfolio is composed of 55.8% residential mortgage-backed securities, 29.7% commercial and consumer asset-backed securities, and 14.5% commercial mortgage-backed securities from 1995 through 2005 vintage transactions. DLJ COMMERCIAL 1998-CF1: Mood's Keeps Caa1 Rating on Cl. S CMBS --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of one class of DLJ Commercial Mortgage Corp., Commercial Mortgage Pass-Through Certificates, Series 1998-CF1 as follows: Cl. S, Affirmed Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale: The rating of the IO Class, Class S, is consistent with the expected credit performance of its referenced classes and thus is affirmed. The IO class is the only outstanding Moody's rated class in this transaction. Moody's rating action reflects a base expected loss of 5.9% of the current pooled balance. Moody's base expected loss plus realized losses is now 1.9% of the original pooled balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit assessments for the principal classes could decline below their current levels. If future performance materially declines, the expected credit assessments of the referenced tranches may be insufficient to support the current ratings of the interest-only classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5 compared to 10 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated May 20, 2010. Deal Performance As of the January 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $36.6 million from $838.8 million at securitization. The Certificates are collateralized by 15 mortgage loans ranging in size from 1.6% to 24% of the pool, with the top ten non-defeased loans representing 93% of the pool. One loan, representing 7% of the pool, have defeased and are secured by U.S. Government securities. The pool has no loans with investment grade credit assessments. Three loans, representing 33% 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) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $13.7 million (25% loss severity on average). Currently there are no loans in special servicing. Moody's has assumed a high default probability for one poorly performing loan representing 24% of the pool and has estimated an aggregate $1.3 million loss (15% expected loss based on a 50% probability default) from this troubled loan. Moody's was provided with full year 2011 operating results for 93% of the pool's non-defeased loans. Excluding troubled loans, Moody's weighted average LTV is 86%. Moody's net cash flow reflects a weighted average haircut of 9% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 11.0%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.05X and 1.50X, respectively. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 48% of the pool. The largest conduit loan is the Walgreens Portfolio Loan ($11.1 million -- 30.4% of the pool), which is cross-collateralized and cross- defaulted of five Walgreens properties. Two are located in California, two in Nevada and one in Washington. Moody's LTV and stressed DSCR are 96% and 1.24X, respectively. The second largest conduit loan is the Randall's Store Loan ($3.8 million -- 10.4% of the pool), which is secured by 59,000 square foot (SF) grocery store located in Sugar Land, Texas. The loan matures in December 2017 with the properties lease extending an additional five years till 2022. Moody's LTV and stressed DSCR are 87% and 1.37X, respectively. The third largest conduit loan is the Walgreens - Seattle Loan ($2.6 million -- 7.1% of the pool), which is secured by a 13,900 SF retail store located in Seattle, Washington. The loan matures in November 2017. Moody's LTV and stressed DSCR are 90% and 1.32X, respectively. DRYDEN XI: S&P Affirms 'BB+' Rating to Class D Notes ---------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on all eight classes of notes from Dryden XI-Leveraged Loan CDO 2006, a collateralized loan obligation (CLO) transaction managed by Prudential Investment Management. S&P last took rating actions on this transaction in January 2011, when it upgraded various tranches due to significant improvements to the credit quality of the portfolio and the overcollateralization (O/C) ratios. The credit quality of the portfolio and the O/C ratios have not changed notably since. There is a significant balance of assets with LIBOR floor base rates which can provide additional credit given a low interest rate environment. The affirmations reflect the availability of sufficient credit support at the current rating levels. The transaction will continue to reinvest until April 2013. S&P will continue to review its ratings on the notes and assess whether, in its view, the ratings remain consistent with the credit enhancement available. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Dryden XI-Leveraged Loan CDO 2006 Class Rating A-1 AA+ (sf) A-2A AAA (sf) A-2B AA+ (sf) A-3 AA+ (sf) B A+ (sf) C-1 BBB (sf) C-2 BBB (sf) D BB+ (sf) FIGUEROA CLO 2013-1: S&P Assigns Prelim. BB Rating on Cl. D Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Figueroa CLO 2013-1 Ltd./Figueroa CLO 2013-1 LLC's $356.0 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Feb. 21, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated, speculative-grade, senior secured term loans. -- The collateral manager's experienced management team. -- The timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.3105%-13.8391%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, collateral manager incentive fees, and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1324.pdf PRELIMINARY RATINGS ASSIGNED Figueroa CLO 2013-1 Ltd./Figueroa CLO 2013-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 249.0 A-2 AA (sf) 43.0 B (deferrable) A (sf) 20.0 C (deferrable) BBB (sf) 19.0 D (deferrable) BB (sf) 25.0 Subordinated notes NR 44.0 NR-Not rated. GALE FORCE 3: Moody's Ups Rating on $21.6MM Class E Notes to Ba1 ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Gale Force 3 CLO, Ltd.: USD32,400,000 Class B-1 Second Priority Senior Secured Floating Rate Notes Due 2021, Upgraded to Aa1 (sf); previously on September 30, 2011 Upgraded to A1 (sf); USD12,000,000 Class B-2 Second Priority Senior Secured Fixed Rate Notes Due 2021, Upgraded to Aa1 (sf); previously on September 30, 2011 Upgraded to A1 (sf); USD26,100,000 Class C Third Priority Senior Secured Deferrable Floating Rate Notes Due 2021, Upgraded to A2 (sf); previously on September 30, 2011 Upgraded to Baa1 (sf); USD27,600,000 Class D Fourth Priority Mezzanine Deferrable Floating Rate Notes Due 2021, Upgraded to Baa3 (sf); previously on September 30, 2011 Upgraded to Ba1 (sf); USD21,600,000 Class E Fifth Priority Mezzanine Deferrable Floating Rate Notes Due 2021, Upgraded to Ba1 (sf); previously on September 30, 2011 Upgraded to Ba3 (sf). Moody's also affirmed the ratings of the following notes: USD300,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2021, Affirmed Aaa (sf); previously on September 30, 2011 Upgraded to Aaa (sf); USD143,300,000 Class A-2 First Priority Senior Secured Floating Rate Term Notes Due 2021, Affirmed Aaa (sf); previously on September 30, 2011 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in April 2013. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive buffer relative to certain covenant requirements. In particular, the deal is assumed to benefit from lower WARF and higher spread levels compared to the levels assumed at the last rating action in September 2011. Moody's modeled a WARF of 2624 compared to 3182 at the time of the last rating action and a WAS of 4.00% compared to 3.00% at the time of the last rating action. Moody's also notes that the transaction's reported overcollateralization ratios are stable since the last rating action. Moody's notes that the deal has benefited from an improvement in the credit quality of the underlying portfolio. Based on the latest trustee report dated January 9, 2013, the weighted average rating factor is currently 2582 compared to 2623 in September 2011. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $576.5 million, defaulted par of $14 million, a weighted average default probability of 21.28% (implying a WARF of 2624), a weighted average recovery rate upon default of 50.07%, and a diversity score of 75. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Gale Force 3 CLO, Ltd., issued in March 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2099) Class A-1: 0 Class A-2: 0 Class B-1: +1 Class B-2: +1 Class C: +3 Class D: +1 Class E: +2 Moody's Adjusted WARF + 20% (3149) Class A-1: 0 Class A-2: 0 Class B-1: -2 Class B-2: -2 Class C: -2 Class D: -2 Class E: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Post-Reinvestment Period Trading: Subject to certain requirements, the deal may be allowed to reinvest certain proceeds after the end of the reinvestment period. Moody's tested for a possible extension of the actual weighted average life in its analysis given that the post-reinvestment period reinvesting criteria provides some reinvestment flexibility that may have the result of increasing the weighted average life of the portfolio relative to its current level. GMAC COMMERCIAL 1997-C1: Fitch Affirms 'BB' Rating on Cl. G Certs ----------------------------------------------------------------- Fitch Ratings has affirmed one class of GMAC Commercial Mortgage Securities, Inc. commercial mortgage pass-through certificates series 1997-C1. Key Rating Drivers The affirmation is due to sufficient credit enhancement to the remaining Fitch rated class and minimal Fitch expected losses across the pool. Fitch modeled losses of 2.8% of the remaining pool; expected losses on the original pool balance total 3.7%, including losses already incurred. The pool has experienced $60.9 million (3.6% of the original pool balance) in realized losses to date. Fitch has designated three loans (8.5%) as Fitch Loans of Concern, which includes the two specially serviced assets. As of the January 2013 distribution date, the pool's aggregate principal balance has been reduced by 95.2% to $80.9 million from $1.7 billion at issuance. Per the servicer reporting, one loan (25.4% of the pool) is defeased. Interest shortfalls are currently affecting classes H through K. Although credit enhancement of the one remaining rated class G is high for a 'BB' rating, upgrades are not warranted. The pool is concentrated with 10 of the remaining 22 loans secured by properties occupied by single tenants and thus carry a great deal of binary risk. The largest contributor to expected losses is secured by a 52,419 square foot (sf) business park (1.9% of the pool) located in Plantation, Florida. The Borrower has been involved in two recent lawsuits, though these legal issues have since been cleared and the borrower has expressed a desire to pay the loan in full. The borrower is, however, contesting amounts due. The next largest contributor to expected losses is a loan secured by two shopping centers totaling 175,369-sf located in Portage, WI and Waseca, MN. Occupancy declined 23% when Wal-Mart vacated upon its Feb. 27, 2007 lease expiration date. The market remains slow in the local area. Fitch affirms these classes: -- $34.3 million class G at 'BBsf'; Outlook Stable. Classes A-1 through F are paid in full. Fitch does not rate the class H or K certificates. Fitch previously withdrew the rating on the interest-only class X certificates. GMAC COMMERCIAL 1997-C1: Moody's Keeps Caa3 Rating on Cl. X CMBS ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of one class of GMAC Commercial Mortgage Securities, Inc., 1997-C1, Mortgage Pass- Through Certificates, Series 1997-C1 as follows: Cl. X, Affirmed Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale: The rating of the IO Class, Class X, is consistent with the expected credit performance of its referenced classes and thus is affirmed. The IO class is the only outstanding Moody's rated class in this transaction. Moody's rating action reflects a base expected loss of 3.0% of the current balance. Moody's base expected loss plus realized losses is now 4.0% of the original pooled balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit assessments for the principal classes could decline below their current levels. If future performance materially declines, the expected credit assessments of the referenced tranches may be insufficient to support the current ratings of the interest-only classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12 compared to 19 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Moody's prior transaction review is summarized in a press release date May 20, 2010. Deal Performance As of the January 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $81.1 million from $1.7 billion at securitization. The Certificates are collateralized by 22 mortgage loans ranging in size from less than 1% to 25% of the pool, with the top ten non-defeased loans representing 58% of the pool. One loan, representing 25% of the pool, have defeased and are secured by U.S. Government securities. The pool contains no loans with investment grade credit assessments. Four loans, representing 23% 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) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $65.1 million (61% loss severity on average). Two loans, representing 3% of the pool, are currently in special servicing. Moody's estimates approximately an aggregate $920,000 loss for the specially serviced loans (35.4% expected loss on average). Moody's has assumed a high default probability for one poorly performing loans representing 2.5% of the pool and has estimated an aggregate $308,000 loss (15% expected loss based on a 50% probability default) from the troubled loans. Moody's was provided with full year 2011 operating results for 63% of the pool's non-specially serviced and non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 65%. Moody's net cash flow reflects a weighted average haircut of 9.6% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.4%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.12X and 2.42X, respectively. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 26% of the pool. The largest conduit loan is the Central Valley Plaza Shopping Center Loan ($11.7 million -- 14.5% of the pool), which is secured by a 300,000 square foot (SF) retail center in Modesto, California anchored by Wal-Mart. The property was 90% leased as of October 2012 compared to 93% as of October 2011. Moody's LTV and stressed DSCR are 69% and 1.56X, respectively. The second and third conduit loans are both CarMax Loans ($5.1 million -- 6.3% of the pool) & ($4.6 million -- 5.6% of the pool), respectively. Both loans are backed by properties 100% occupied by CarMax, one in Stockbridge, GA and one in Houston, TX. In addition, both loans are fully amortizing. GOLUB CAPITAL: S&P Assigns 'BB' Rating on Class D Notes ------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Golub Capital Partners CLO 15 Ltd./ Golub Capital Partners CLO 15 LLC's $452.0 million floating-rate notes. The note issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBOR ranging from 0.3439%-12.6500%. -- The transaction's overcollateralization and interest coverage tests, a failure of which would lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1280.pdf RATINGS ASSIGNED Golub Capital Partners CLO 15 Ltd./Golub Capital Partners CLO 15 LLC Class Rating Amount (mil. $)(i) A-1 AAA (sf) 296.00 A-2 AA (sf) 56.00 B (deferrable) A (sf) 40.50 C (deferrable) BBB (sf) 20.50 D (deferrable) BB (sf) 39.00 Subordinated NR 61.20 NR-Not rated. N/A-Not applicable. GRESHAM CAPITAL: S&P Raises Rating on Class E Notes to 'B+' ----------------------------------------------------------- Standard & Poor's Ratings Services raised its credit ratings on Gresham Capital CLO 1 B.V.'s class B, C, D, and E notes. At the same time, S&P has affirmed its ratings on the class A1, RLF, and A2 notes. The rating actions follow S&P's assessment of the transaction's performance using data from the latest available trustee report and its credit and cash flow analysis. S&P has taken into account recent developments in the transaction and reviewed it under S&P's relevant criteria. S&P has observed a number of positive developments in this transaction. The class A-1 and RLF notes have partially redeemed in 2012. The level of available credit enhancement has increased across all rated classes of notes, compared with S&P's previous review of the transaction. Over the same period, the percentage of defaulted assets has decreased to 1.59% of the pool from 3.33%. The transaction now has a shorter weighted-average life of 4.09 years. In addition, the weighted-average spread has increased to 3.63% for euro- denominated assets in the pool, and to 3.84% for pound sterling- denominated assets. Those positive developments were partially mitigated by the increased proportion of assets that S&P rates in the 'CCC' category (i.e., rated 'CCC+', 'CCC', or 'CCC-') has increased to 12.98% of the remaining pool, from 8.97% as of S&P's December 2011 review. This is mainly explained by the presence of junior tranches of other collateralized loan obligations in the portfolio. "We subjected the transaction's capital structure to a cash flow analysis to determine the break-even default rate for each rated class of notes at each rating level. We applied a number of cash flow stress scenarios, using various default patterns, in conjunction with different interest rate and foreign exchange stress scenarios. Our analysis shows that the BDRs for class B, C, and D notes now pass at higher rating level and their credit enhancement has increased. We have therefore raised our ratings on the class B notes to 'AAA (sf)', on the class C notes to 'AA- (sf)', and on the class D notes to 'BB+ (sf)'," S&P said. At the same time, S&P has affirmed its 'AAA (sf)' ratings on the class A1, RLF, and A2 notes. Their level of available credit enhancement has improved and is commensurate with the currently assigned ratings. S&P's rating on the class E notes is constrained by the application of the largest obligor test, a supplemental stress test that S&P introduced in its 2009 criteria for cash flow collateralized debt obligations (CDOs). This test addresses event and model risk that might be present in the transaction. The BDRs for class E are now passing at a higher rating level compared with previous review and its credit enhancement has increased. However, the extent of rating uplift was limited by the application of the supplemental test. S&P has therefore raised to 'B+ (sf)' from 'CCC+ (sf)' its rating on the class E notes. The Bank of New York Mellon (AA-/Negative/A-1+) acts as account bank and custodian in the transaction. Under S&P's 2012 counterparty criteria, the counterparty is appropriately rated to support its ratings in Gresham Capital CLO 1. At closing, Gresham Capital CLO 1 entered into currency options agreements with Merrill Lynch Capital Markets Ltd. S&P considers that the documentation for these options is not fully in line with its 2012 counterparty criteria. S&P did not therefore give benefit to the currency options in stress scenarios above a 'A' rating level in S&P's cash flow analysis. Gresham Capital CLO 1 is a cash flow CLO transaction that securitizes loans to primarily speculative-grade corporate firms. The transaction closed in March 2006 and is managed by Investec Bank (U.K.) Ltd. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating To From Gresham Capital CLO 1 B.V. EUR300 Million Secured Floating-Rate Notes And Revolving Loan Facility Ratings Raised B AAA (sf) AA (sf) C AA- (sf) A- (sf) D BB+ (sf) BB (sf) E B+ (sf) CCC+ (sf) Ratings Affirmed A1 AAA (sf) RLF AAA (sf) A2 AAA (sf) RLF-Rev ln fac. GS MORTGAGE 2013-G1: DBRS Rates Class DM Certificates 'BB(sf)' --------------------------------------------------------------- DBRS has assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2013-G1 (the Certificates), to be issued by GS Mortgage Securities Trust 2013- G1. The trends are Stable. - Class A-1 at AAA (sf) - Class A-2 at AAA (sf) - Class X-A at AAA (sf) - Class B at AA (sf) - Class C at A (sf) - Class D at BBB (low) (sf) - Class DM at BB (sf) All classes will be privately placed pursuant to Rule 144a. Class DM is secured by a non-pooled subordinate rake bond associated solely with the Deptford Mall loan. The Class X-A balance is notional. DBRS ratings on interest-only certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the interest-only (IO) certificate's position within the transaction payment waterfall when determining the appropriate rating. The collateral consists of three fixed-rate loans that are secured by two outlet malls and one regional mall - Great Lakes Crossing Outlets, Katy Mills and Deptford Mall - located in established suburban markets outside of Detroit, Houston and Philadelphia. Combined, the three senior pooled mortgage loans total $543,885,000 and are not cross-collateralized or cross-defaulted. The three ten-year loans carry a weighted-average interest rate of 3.619%, with Great Lakes Crossing Outlets and Deptford Mall amortizing on 30-year schedules and Katy Mills IO for the entire loan term. Each of the three loans is sponsored by a major mall operator (Taubman Centers Inc., The Macerich Company and Simon Property Group, Inc.) with significant national relationships and financial resources. For malls, it is highly desirable to have an owner that owns many other malls, as they can leverage their relationships with tenants in order to bring certain tenants to the mall that otherwise would not locate there. With only three loans, the pool is concentrated by loan size. This lack of diversity exposes the pool to event risk, as losses incurred to any of the three senior trust loans would result in losses to investment-grade rated bonds. The DBRS sizing hurdles, which were used to arrive at the ratings for the pool, contemplate stand- alone transactions with no diversity. DBRS gave minimal credit to the diversity afforded by pooling the three loans, which amounted to increasing the AAA loan-to-value (LTV) hurdle by 3.75%. As a result of the stable market positions, strong in-line sales performance, high-quality sponsorship and the low-leverage financing, Great Lakes Crossing Outlets and Katy Mills carry DBRS shadow ratings oft A (low) and BBB (high), respectively, while DBRS considers the credit qualities associated with the senior pooled portion of the Deptford Mall loan to be BBB (low). The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. GS MORTGAGE 2013-G1: Fitch Assigns 'BB' Rating to Class DM Certs. ----------------------------------------------------------------- Fitch Ratings has issued a presale report on the Goldman Sachs & Co. GS Mortgage Securities Trust Series 2013-G1 transaction. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $84,172,000 class A-1 'AAAsf'; Outlook Stable; -- $295,683,000 class A-2 'AAAsf'; Outlook Stable; -- $379,855,000* class X-A 'AAAsf'; Outlook Stable; -- $76,045,000 class B 'AA-sf'; Outlook Stable; -- $49,700,000 class C 'A-sf'; Outlook Stable; -- $38,285,000 class D 'BBB-sf'; Outlook Stable; -- $25,080,073** class DM 'BBsf'; Outlook Stable. * Interest-only class; notional balance of classes A-1 and A-2. ** Class DM represents an interest solely in the subordinate component of the Deptford Mall Mortgage Loan. The expected ratings are based on information provided by the issuer as of Feb. 14, 2013. The certificates represent the beneficial ownership in the trust, the primary assets of which are three loans secured by three separate regional malls having an aggregate pooled principal balance of approximately $569 million as of the cutoff date. The loans are not cross-collateralized or cross-defaulted. The loans were originated by Goldman Sachs Mortgage Company. Fitch reviewed the transaction's collateral, including site inspections, cash flow analysis and asset summary reviews. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.27x, a Fitch stressed loan-to value (LTV) of 69.6%, and a Fitch debt yield of 11.1%. Fitch's net cash flow represents a variance of 5.4% to the issuer cash flow. The Master Servicer and Special Servicer will be KeyCorp Real Estate Capital Markets, Inc, rated 'CMS1' and 'CSS2+', respectively, by Fitch. GS MORTGAGE 2013-G1: S&P Gives Prelim. 'BB-' Rating on DM Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to GS Mortgage Securities Trust 2013-G1's $569.0 million commercial mortgage pass-through certificates. The note issuance is a CMBS securitization backed by three commercial mortgage loans secured by three regional shopping malls: Great Lakes Crossing Outlets, Deptford Mall, and Katy Mills. The preliminary ratings are based on information as of Feb. 21, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflects S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. Standard & Poor's has determined that the loans have a beginning and ending loan-to-value ratio of 71.7% and 59.0%, respectively, based on its values. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 disclosure report included in this credit rating report is available at: http://www.standardandpoorsdisclosure-17g7.com/1325.pdf PRELIMINARY RATINGS ASSIGNED GS Mortgage Securities Trust 2013-G1 Class Prelim. rating Prelim. amount ($) LTV (%) A-1 AAA (sf) 84,172,000 46.7 A-2 AAA (sf) 295,683,000 46.7 X-A AAA (sf) 379,855,000(i) N/A B AA- (sf) 76,045,000 56.1 C A- (sf) 49,700,000 62.2 D BBB- (sf) 38,285,000 66.9 DM(ii) BB- (sf) 25,080,073 84.6 (i) Notional balance. (ii) Loan-specific class. LTV - Loan-to-value ratio, based on Standard & Poor's Ratings Services' values. NR - Not rated. N/A - Not applicable. GS MORTGAGE 2013-KYO: Moody's Rates Class E CMBS 'Ba2' ------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to eight classes of CMBS securities, issued by GS Mortgage Securities Corporation Trust 2013-KYO, Commercial Mortgage Pass-Through Certificates, Series 2013-KYO. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. XA-1, Definitive Rating Assigned Aaa (sf) Cl. XA-2, Definitive Rating Assigned Aa1 (sf) Cl. XB-1, Definitive Rating Assigned Baa3 (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Ratings Rationale: The Certificates are collateralized by a single loan backed by cross collateralized and cross defaulted first lien commercial mortgage related to six full-service hotel properties. The ratings are based on the collateral and the structure of the transaction. Moody's rating approach for securities backed by a single loan compares the credit risk inherent in the underlying properties with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of the loan is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by the DSCR, and 2) Moody's assessment of the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. Moody's Trust LTV Ratio is 76.8%. Moody's Total LTV ratio (inclusive of subordinated debt) of 129.2% is also considered when analyzing various stress scenarios for the rated debt. The Moody's Trust Stressed DSCR of 1.37X and Moody's Total Stressed DSCR (inclusive of subordinated debt) is 0.82X. The loan is solely collateralized by full-service hotel properties that are cross-collateralized and cross-defaulted. Lodging properties are more correlated than properties of other commercial real estate sector. In addition, this pool is geographically concentrated as over 80% of the collateral (by allocated loan balance) are located on Waikiki Beach, HI. The pool's performance has tracked that of the lodging sector as a whole, with both having deteriorated dramatically beginning in 2008 and rebounding sharply beginning in 2010. The pool's performance was also impacted by significant capital projects that were underway during this time. The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Interest- Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Classes XA-1, XA-2, and XB-1. Moody's analysis employs the excel-based Large Loan Model v.8.5 which derives credit enhancement level based on an adjusted loan level proceeds derived from Moody's loan level LTV ratio. Major adjustments to determining proceeds include leverage, loan structure, property type, sponsorship and diversity. Moody's analysis also uses the CMBS IO calculator version 1.1 which references the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The V Score for this transaction is assessed as Medium, the same as the V score assigned to the U.S. Single Borrower CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 15%, or 25%, the model-indicated rating for the currently rated Aaa classes would be Aa1, Aa2, or A2, respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. INSTITUTIONAL MORTGAGE: Fitch Assigns 'B' Rating on Class G Certs ----------------------------------------------------------------- Fitch Ratings has assigned these ratings and Rating Outlooks to Institutional Mortgage Capital, LP's Commercial Mortgage Pass- Through Certificates, Series 2013-3: -- $37,370,000 class A-1 'AAAsf'; Outlook Stable; -- $96,370,000 class A-2 'AAAsf'; Outlook Stable; -- $81,600,000 class A-3 'AAAsf'; Outlook Stable; -- $5,321,000 class B 'AAsf'; Outlook Stable; -- $8,451,000 class C 'Asf'; Outlook Stable; -- $6,886,000 class D 'BBBsf'; Outlook Stable; -- $3,756,000 class E 'BBB-sf'; Outlook Stable; -- $3,129,941a class F 'BBsf'; Outlook Stable; -- $2,503,953a class G 'Bsf'; Outlook Stable. (a) Non-offered certificates. All currencies are in Canadian dollars (CAD). Fitch does not rate the $250,395,295 (notional) interest-only class X or the non-offered $5,007,401 class H certificate. JAMESTOWN CLO II: S&P Assigns Prelim. BB Rating on Class D Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Jamestown CLO II Ltd./Jamestown CLO II Corp.'s $460.00 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Feb. 21, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.3005%-12.813%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees; subordinated collateral management fees; collateral manager incentive fees; and subordinated note payments into principal proceeds for the purchase of additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1326.pdf PRELIMINARY RATINGS ASSIGNED Jamestown CLO II Ltd./Jamestown CLO II Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 307.50 A-2A AA (sf) 31.25 A-2B AA (sf) 31.25 B (deferrable) A (sf) 42.50 C (deferrable) BBB (sf) 28.00 D (deferrable) BB (sf) 19.50 Subordinated notes NR 50.10 NR-Not rated. JP MORGAN 1997-C5: Moody's Affirms Caa2 Rating on Class X CMBS -------------------------------------------------------------- Moody's Investors Service affirmed the rating of one class of J.P Morgan Commercial Mortgage Finance Corp., Mortgage Pass-Through Certificates, Series 1997-C5 as follows: Cl. X, Affirmed Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale: The rating of the IO Class, Class X, is consistent with the expected credit performance of its referenced classes and thus is affirmed. The IO class is the only outstanding Moody's rated class in this transaction. Moody's rating action reflects a base expected loss of 4.8% of the current pooled balance. Moody's base expected loss plus realized losses is now 2.6% of the original pooled balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit assessments for the principal classes could decline below their current levels. If future performance materially declines, the expected credit assessments of the referenced tranches may be insufficient to support the current ratings of the interest-only classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 2 compared to 10 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated May 19, 2010. Deal Performance As of the January 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by approximately 97% to $27.4 million from $1.0 billion at securitization. The Certificates are collateralized by 8 mortgage loans ranging in size from 1.4% to 67% of the pool, with the top ten non-defeased loans representing 100% of the pool. No loans have defeased and are secured by U.S. Government securities. The pool also does not contain any loans with investment grade credit assessments. Three loans, representing 20% 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) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty loans have been liquidated from the pool, resulting in an aggregate realized loss of $25.4 million (49% loss severity on average). There are currently no loans in special servicing. Moody's has assumed a high default probability for one poorly performing loan representing 14% of the pool and has estimated an aggregate $764 thousand loss (20% expected loss based on a 50% probability default) from this troubled loan. Moody's was provided with full year 2011 operating results for 100% of the pool. Moody's weighted average LTV is 34%. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10%. Moody's actual and stressed DSCRs are 1.94X and 3.18X, respectively. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 76% of the pool. The largest conduit loan is The Spectrum at Reston Town Center Loan ($18.5 million -- 67.3% of the pool), which is secured by a 202,000 square foot (SF) anchored retail center located in Reston, Virginia. As of September 2012, the property was 100% leased. Performance has improved due to increased revenues and decreasing expenses. Moody's LTV and stressed DSCR are 34% and 3.23X, respectively. The second largest conduit loan is the Whitehall Apartments Loan ($1.3 million -- 4.7% of the pool), which is secured by a 68-unit multifamily complex located in Clarksville, Tennessee. As of September 2012, the property was 96% occupied. Performance has improved due to increased occupancy while the loan has amortized 36%. Moody's LTV and stressed DSCR are 34% and 3.03X, respectively. The third largest conduit loan is the Clopper II Research & Development Loan ($1.2 million -- 4.4% of the pool), which is secured by a 79,000 SF industrial building located in Gaithersburg, Maryland. As of February 2013, the property was 86% leased compared to 84% leased as of January 2012. Moody's LTV and stressed DSCR are 27% and 4.03X, respectively. JP MORGAN 2002-C3: Moody's Cuts Rating on Cl. X-1 CMBS to 'Caa3' ---------------------------------------------------------------- Moody's Investors Service downgraded the rating of one class, confirmed three classes and affirmed three classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2002-C3 as follows: Cl. D, Confirmed at B1 (sf); previously on Nov 15, 2012 Downgraded to B1 (sf) and Placed Under Review for Possible Downgrade Cl. E, Confirmed at B3 (sf); previously on Nov 15, 2012 Downgraded to B3 (sf) and Placed Under Review for Possible Downgrade Cl. F, Confirmed at Caa2 (sf); previously on Nov 15, 2012 Downgraded to Caa2 (sf) and Placed Under Review for Possible Downgrade Cl. G, Affirmed C (sf); previously on Nov 10, 2011 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Jun 9, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Jun 9, 2010 Downgraded to C (sf) Cl. X-1, Downgraded to Caa3 (sf); previously on Nov 15, 2012 Downgraded to B3 (sf) and Placed Under Review for Possible Downgrade Ratings Rationale: The rating of the IO Class, Class X-1, is downgraded following the recent paydown of highly-rated referenced classes. The rating of the IO Class is now consistent with the credit performance of its referenced classes. The confirmations and affirmations are due to key parameters, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges, in addition to the ongoing risk of interest shortfalls from specially-serviced loans. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a base expected loss of approximately 49% of the current deal balance. At last review, Moody's base expected loss was approximately 16%. Moody's base expected loss plus realized losses metric remained nearly unchanged, at approximately 11% of the original balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class X-1. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 7 compared to a Herf of 16 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated November 15, 2012. Deal Performance As of the January 14, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $73 million from $745 million at securitization. The Certificates are collateralized by 14 mortgage loans ranging in size from 2% to 24% of the pool, with the top ten loans (excluding defeasance) representing 87% of the pool. The pool contains no loans with investment-grade credit assessments. There is one defeased loan, representing approximately 7% of the pool, which is collateralized by U.S. Government securities. Two loans, representing 8% 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) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have liquidated from the pool, resulting in an aggregate realized loss of $45 million (56% average loan loss severity). Currently, seven loans, representing 74% of the pool, are in special servicing. The largest specially serviced loan is the 78 Corporate Center Loan ($17 million -- 24% of the pool), which is secured by a 185,000 square foot, two-building office complex located in Lebanon, New Jersey, approximately 50 miles west of New York City. The loan transferred to special servicing in January 2009 due to delinquency. The servicer assumed title in a deed-in-lieu of foreclosure transaction in August 2009 and the property is now real estate owned (REO). The property has remained in the range of 20-25% occupied for more than one year, despite leasing efforts. The servicer now intends to pursue the sale of the asset within the coming months. Moody's estimates an aggregate $35 million loss (65% expected loss) for all specially serviced loans. Moody's was provided with full-year 2011 and partial year 2012 operating results for 100% of the performing pool. Excluding specially-serviced loans, Moody's weighted average LTV is 54% compared to 73% at last full review. Moody's net cash flow reflects a weighted average haircut of 10.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6% Excluding specially-serviced loans, Moody's actual and stressed DSCRs are 1.36X and 2.05X, respectively, compared to 1.49X and 1.53X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 11% of the pool. The largest loan is the Conroe Shopping Center Loan ($3 million -- 4% of the pool), which is secured by a 51,000 square foot retail center located approximately 41 miles north of downtown Houston, in Conroe, Texas. The property was 100% leased as of September 30, 2012. The lead tenant, Michael's, recently renewed its lease through February 2016. Moody's current LTV and stressed DSCR are 55% and 1.88X, respectively, compared to 58% and 1.77X at last review. The second-largest loan is the Aero Plastics Loan ($3 million -- 4% of the pool). The loan is secured by a 144,000 square foot industrial property located in Leominster, Massachusetts. The property was 100% leased as of September 30, 2012. The loan's scheduled maturity date was February 12, 2013, and the servicer has confirmed the loan has paid off in full. Moody's most recent LTV and stressed DSCR were 55% and 1.85X, respectively. The third-largest loan is the Shoal Creek Apartments, Phase II Loan ($3 million -- 4% of the pool). The loan is secured by an 87- unit multifamily complex located in Athens, Georgia, near the University of Georgia campus. The property was 98% occupied as of September 30, 2012 compared to 91% as of year-end 2011. The property, built in 2002, may face increased competition from newer multifamily projects which have recently come online in the area. Moody's current LTV and stressed DSCR are 66% and 1.47X, respectively -- unchanged since Moody's last review. JP MORGAN 2007-CIBC18: Moody's Cuts Ratings on 9 CMBS Classes ------------------------------------------------------------- Moody's Investors Service downgraded the ratings of nine classes and affirmed four CMBS classes of J.P. Morgan Chase Commercial Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates, Series 2007-CIBC18 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Mar 8, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 8, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 8, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-M, Downgraded to A2 (sf); previously on Nov 17, 2010 Downgraded to Aa3 (sf) Cl. A-MFL, Downgraded to A2 (sf); previously on Nov 17, 2010 Downgraded to Aa3 (sf) Cl. A-MFX, Downgraded to A2 (sf); previously on Feb 28, 2012 Assigned Aa3 (sf) Cl. A-J, Downgraded to B2 (sf); previously on Nov 17, 2010 Downgraded to Ba1 (sf) Cl. B, Downgraded to Caa2 (sf); previously on Feb 23, 2012 Downgraded to B1 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Feb 23, 2012 Downgraded to B2 (sf) Cl. D, Downgraded to C (sf); previously on Feb 23, 2012 Downgraded to Caa1 (sf) Cl. E, Downgraded to C (sf); previously on Feb 23, 2012 Downgraded to Caa3 (sf) Cl. F, Downgraded to C (sf); previously on Nov 17, 2010 Downgraded to Ca (sf) Cl. X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The downgrades are due primarily to higher expected realized and anticipated losses from specially-serviced and troubled loans. The affirmations of the principal classes are due to key parameters, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X, is consistent with the credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of approximately 8.1% of the current deal balance. At last review, Moody's base expected loss was approximately 7.8%. Moody's base expected loss plus realized losses figure increased to 12.5% of the original balance, up from 9.9% at Moody's last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class X. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 52 compared to a Herf of 56 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 23, 2012. Deal Performance As of the January 14, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 13% to $3.39 billion from $3.90 billion at securitization. The Certificates are collateralized by 193 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans (excluding defeasance) representing 34% of the pool. The pool contains no loans with investment-grade credit assessments and no defeased loans. Fifty-four loans, representing 25% 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) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirty-nine loans have liquidated from the pool, resulting in an aggregate realized loss of $213 million (39% average loan loss severity). Currently, 11 loans, representing 10% of the pool, are in special servicing. The largest specially serviced loan is the Bryant Park Hotel Loan ($87 million -- 3% of the pool), which is secured by a 128-key, boutique hotel in Midtown Manhattan. The loan transferred to special servicing in October 2011 due to imminent default. As of most recent reporting, the property is not cash-flow positive. Nevertheless, the loan remains current as the borrower has funded shortfalls out of pocket. The borrower filed a recent legal complaint against the lender seeking monetary damages related to alleged improper loan administration. The servicer strongly disagrees with the borrower's assertion and continues to seek a positive resolution. The remaining ten specially serviced loans are secured by a mix of commercial, retail and hotel property types. Moody's estimates an aggregate $128 million loss (37% expected loss) for all specially serviced loans. Moody's has assumed a high default probability for 25 poorly- performing loans representing 14% of the pool. Moody's analysis attributes to these troubled loans an aggregate $74 million loss (16% expected loss severity based on a 50% probability default). Moody's was provided with full-year 2011 and partial year 2012 operating results for 90% and 80% of the performing pool, respectively. Excluding troubled and specially-serviced loans, Moody's weighted average LTV is 104% compared to 107% at last full review. Moody's net cash flow reflects a weighted average haircut of 11.8% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2% Excluding troubled and specially-serviced loans, Moody's actual and stressed DSCRs are 1.36X and 0.99X, respectively, compared to 1.36X and 0.97X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 18% of the pool. The largest loan is the 131 South Dearborn Loan ($236 million -- 7% of the pool), which represents a participation interest in a $472 million senior mortgage secured by the 37-story "Citadel Center", a 1.5 million square-foot (SF) office tower in the Central Loop submarket of Chicago, Illinois. The property is also encumbered by $25 million of mezzanine debt. The property's lead tenants are JP Morgan Chase, Citadel, LLC, and Seyfarth Shaw, LLP. Citadel's current lease (325,000 square feet; 22% of property NRA) is set to expire at the end of 2013, though the firm recently renewed its lease for additional ten years. As part of the deal, Citadel will give back approximately 100,000 SF -- or about one third -- of its current space. The available space is already being marketed. Moody's current LTV and stressed DSCR are 119% and 0.77X, respectively, compared to 118% and 0.78X at last review. The second-largest loan is the Centro Heritage Portfolio IV Loan ($226 million -- 7% of the pool). The loan is secured by a portfolio of 16 anchored retail properties across ten U.S. states. Anchors include Lowe's, TJ Maxx, Burlington, Kmart, Marshall's, and ShopRite. The portfolio was 90% leased as of year-end 2011 reporting. Moody's current LTV and stressed DSCR are 84% and 1.10X, respectively, compared to 80% and 1.16X at last review. The third-largest loan is the Quantico Portfolio Loan ($131 million -- 4% of the pool). The loan is secured by a portfolio of 11 industrial and three office properties located near Washington- Dulles International Airport in Northern Virginia. Duke Realty Corporation is the loan sponsor. The portfolio was 92% leased as of June 2011 reporting. Moody's current LTV and stressed DSCR are 122% and 0.80X, respectively, compared to 118% and 0.82X at last review. LANDMARK VI CDO: Moody's Lifts Rating on $10MM of Notes to 'Ba3' ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Landmark VI CDO Ltd. $15,000,000 Class B Senior Secured Floating Rate Notes due 2018, Upgraded to Aaa (sf); previously on August 8, 2011 upgraded to Aa1 (sf); $19,000,000 Class C Secured Deferrable Floating Rate Notes due 2018, Upgraded to Aa1 (sf); previously on August 8, 2011 upgraded to A1 (sf); $15,000,000 Class D Secured Deferrable Floating Rate Notes due 2018 Upgraded to A3 (sf); previously on August 8, 2011 upgraded to Baa3 (sf); $10,000,000 Class E Secured Deferrable Floating Rate Notes due 2018 Upgraded to Ba3 (sf); previously on August 8, 2011 upgraded to B1 (sf). Moody's also affirmed the ratings of the following notes: $222,000,000 Class A Senior Secured Floating Rate Notes due 2018 (current balance of $110,563,912.26), affirmed Aaa (sf); previously on August 8, 2011 upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in August 2011. Moody's notes that the Class A Notes have been paid down by approximately $100 million since the last rating action. Based on the latest trustee report dated January 2013 the Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 134.68%, 119.99%, 110.48% and 104.93%, respectively, compared to 124.44%, 114.47%, 107.74% and 103.66%, at the last rating action. The January 2013 OC levels reported by the trustee do not account for the January 2013 principal distribution amount to the Class A Notes. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $174 million, defaulted par of $17 million, a weighted average default probability of 17.88% (implying a WARF of 2834), a weighted average recovery rate upon default of 49.72%, and a diversity score of 59. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Landmark CLO VI Ltd., issued in January of 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2267) Class A: 0 Class B: 0 Class C: +1 Class D: +2 Class E: +1 Moody's Adjusted WARF + 20% (3401) Class A: 0 Class B: 0 Class C: -1 Class D: -2 Class E: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Post-Reinvestment Period Trading: Subject to certain requirements, the deal may be allowed to reinvest certain proceeds after the end of the reinvestment period. Moody's tested for a possible extension of the actual weighted average life in its analysis given that the post-reinvestment period reinvesting criteria provides some reinvestment flexibility that may have the result of increasing the weighted average life of the portfolio relative to its current level. LB COMMERCIAL 1998-C1: Moody's Cuts Rating on Cl. IO CMBS to Caa2 ----------------------------------------------------------------- Moody's Investors Service downgraded the rating of one interest- only class of LB Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 1998-C1 as follows: Cl. IO, Downgraded to Caa2 (sf); previously on Feb 22, 2012 Downgraded to B3 (sf) Ratings Rationale: The downgrade of the IO Class, Class IO, is due to the decline in credit performance of its reference classes as a result of principal paydowns of higher quality referenced classes. Moody's rating action reflects a base expected loss of 3.9% of the current balance. At last review, Moody's cumulative base expected loss was 2.1%. The increase in the cumulative base expected loss percentage is due to the deal being paid down over 50% from Moody's prior review. On a dollar basis the base expected loss actually decreased to $3.9 million from $4.2 million at last review. Moody's base expected loss plus realized losses is now 3.3% of the original pooled balance, the same as at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit assessments for the principal classes could decline below their current levels. If future performance materially declines, the expected credit assessments of the referenced tranches may be insufficient to support the current ratings of the interest-only classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 6 compared to 15 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance As of the January 18, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $100.5 million from $1.7 billion at securitization. The Certificates are collateralized by 23 mortgage loans ranging in size from less than 1% to 32% of the pool, with the top ten non-defeased loans representing 82% of the pool. Five loans, representing 7% of the pool, have defeased and are secured by U.S. Government securities. Seven loans, representing 56% 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) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty loans have been liquidated from the pool, resulting in an aggregate realized loss of $53 million (47% loss severity on average). One loan, representing 4% of the pool, is currently in special servicing. Moody's has assumed a high default probability for two poorly performing loans representing 3% of the pool. Moody's has estimated an aggregate $3 million loss (44% expected loss on average) from the specially serviced and troubled loans. Moody's was provided with full year 2011 and partial year 2012 operating results for 100% and 82% of the pool's non-specially serviced and non-defeased loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 59% compared to 66% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.27X and 2.08X, respectively, compared to 1.30X and 1.79X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 51% of the pool. The largest loan is Ohio Valley Plaza Loan ($32.1 million -- 31.9% of the pool), which is secured by a 577,000 square foot (SF) power center located in St. Clairsville, Ohio. Major tenants include Lowe's Home Improvement Warehouse, Wal-Mart, Sam's Club and Kroger. The property was 99% leased as of September 2012 compared to 98% at last review. The loan has passed its anticipated repayment date (ARD) of January 2013. Overall, property performance is stable and the loan has benefitted from amortization. Moody's LTV and stressed DSCR are 74% and 1.40X, respectively, compared to 75% and 1.36X at last review. The second largest conduit loan is the Parkway Plaza Shopping Center Loan ($9.9 million -- 9.9% of the pool), which is secured by a 165,000 SF anchored retail center located in Vestal, New York. Major tenants include Kohl's, PriceRite, Bed Bath & Beyond and PetSmart. The property was 100% leased as of October 2012, the same as prior review. The loan has passed its ARD of December 2012. Moody's LTV and stressed DSCR are 75% and 1.37X, respectively, compared to 73% and 1.40X at last review. The third largest conduit loan is the 1900 Imperial Palm Apartments Loan ($9.1 million -- 9.0% of the pool), which is secured by a 638 unit senior rental community located in Largo, Florida. As of September 2012, the property was 93% leased. The loan is stable and benefitting from amortization. Moody's LTV and stressed DSCR are 52% and 1.86X, respectively, compared to 54% and 1.82X at last review. MARATHON CLO V: S&P Assigns 'BB' Rating on Class D Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Marathon CLO V Ltd./Marathon CLO V LLC's $409.5 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's cash flow structure, as assessed by Standard & Poor's using the assumptions and methods outlined in the corporate collateralized debt obligation (CDO) criteria, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's expectation of the timely interest and ultimate principal payments on the rated notes, assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBORs ranging from 0.31%-12.81%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of a certain amount of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, subordinated hedge termination payments, collateral manager incentive fees, and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1309.pdf RATINGS ASSIGNED Marathon CLO V Ltd./Marathon CLO V LLC Class Rating Amount (mil. $) A-1 AAA (sf) 371.10 A-2a AA (sf) 50.25 A-2b AA (sf) 9.00 B-1 (deferrable) A (sf) 51.00 B-2 (deferrable) A (sf) 7.50 C (deferrable) BBB (sf) 31.20 D (deferrable) BB (sf) 30.90 Subordinated notes NR 63.30 NR-Not rated. MERRILL LYNCH 1998-C2: Moody's Keeps Caa3 Rating on Cl. IO Certs ---------------------------------------------------------------- Moody's Investors Service affirmed one class of Merrill Lynch Mortgage Investors, Inc., Mortgage Pass-Through Certificates, Series 1998-C2 as follows: Cl. IO, Affirmed Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale: The rating of the IO Class, Class IO, is consistent with the credit quality of its referenced classes and thus is affirmed. The IO class is the only outstanding Moody's rated class in this transaction. Moody's rating action reflects a base expected loss of 1.1% of the current pooled balance. Moody's base expected loss plus realized losses is 4.7% of the original pooled balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit assessments for the principal classes could decline below their current levels. If future performance materially declines, the expected level of credit assessments of the referenced tranches may be insufficient to support the current ratings of the interest-only class. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 15. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. 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. Deal Performance As of the January 13, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $10.2 million from $1.1 billion at securitization. The Certificates are collateralized by 15 mortgage loans ranging in size from roughly 3% to 11% of the pool, with the top ten loans representing 63% of the pool. The pool consists of three defeased loans representing 31% of the pool and no specially serviced loans. Four loans, representing 24% 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) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-five loans have been liquidated from the pool, resulting in a realized loss of $51.4 million (45% loss severity). Moody's was provided with full year 2011 and partial year 2012 operating results for 50% and 25% of the pool, respectively. Moody's weighted average LTV is 52%. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.6%. Moody's actual and stressed DSCRs are 1.29X and 2.98X, respectively. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 27% of the pool balance. The largest loan is the Holiday Inn Express - Brownsburg Loan ($1.1 million -- 11% of the pool), which is secured by a 75 key limited service hotel located in Brownsville, Indiana, approximately 17 miles west of Indianapolis, Indiana. The loan is currently on the watchlist due to low DSCR however the loan is fully amortizing and the borrower is current on principal and amortization payments. Moody's LTV and stressed DSCR are 42% and 3.07X. The second largest loan is the Best Western Anaheim Hills Loan ($919,006 -- 9% of the pool), which is secured by a 118 key limited service hotel located in Anaheim, California, approximately 12 miles east of Disneyland. Moody's LTV and stressed DSCR are 93% and 1.34X. The third largest loan is the Concord Green Apartments Loan ($770,452 -- 8% of the pool), which is secured by a 188 unit multifamily property located in Houston, Texas. As of September 2012, the property was 99% leased. Moody's LTV and stressed DSCR are 20% and 5.19X. MERRILL LYNCH 2002-CA: DBRS Hikes Rating on 2 Securities From 'B' ----------------------------------------------------------------- DBRS has upgraded the following two classes of Merrill Lynch Financial Assets Inc., Series 2002-Canada 7 as follows: -- Class H to AAA (sf) from B (sf) -- Class J to BBB (low) (sf) from B (low) (sf) DBRS has also confirmed the following class of Merrill Lynch Financial Assets Inc., Series 2002-Canada 7: -- Class X at AAA (sf) All trends are Stable. These rating actions reflect the overall stable performance of the three remaining loans in the pool, with a weighted-average debt service coverage ratio (DSCR) of 1.34 times (x) and a weighted- average debt yield of 33.38% as of the YE2011 financials. The pool has seen a significant collateral reduction of 98.49% since issuance. Two of the remaining three loans are fully amortizing with a combined balance of $1.67 million, representing approximately 40% of the remaining trust balance. Both of those loans are scheduled to mature in 2016. The largest loan remaining in the pool has a balance of $2.56 million, representing 60% of the remaining pool balance, and is expected to mature in 2014. The loan is secured by a 62,848 sf office building in Ontario. The property is 100% occupied, as of the July 2012 rent roll; however, the property has significant roll over risk before loan maturity. The property is currently performing at a stable level with a DSCR of 1.27x. As there has been significant paydown since issuance for the pool overall, the trust's exposure is heavily concentrated on a loan- by-loan basis. Given these factors, DBRS sized each loan individually for the purpose of this review. DBRS stressed existing cash flows and applied higher end cap rates by property type to derive a conservative value for modelling purposes. Despite the stressed scenario, the resulting credit indicators are still healthy for the pool overall, providing substantiation for the rating upgrades. In addition, all three of the remaining loans are performing, and there are no loans on the servicer's watchlist or in special servicing, as of the February 2013 remittance report. MORGAN STANLEY 2003-IQ4: Fitch Affirms 'C' Rating on Cl. N Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Morgan Stanley Capital I Trust's commercial mortgage pass-through certificates, series 2003-IQ4. Key Rating Drivers Fitch modeled losses of 5% of the remaining pool; expected losses on the original pool balance total 1.7%, including losses already incurred. The pool has experienced $2.2 million (0.3% of the original pool balance) in realized losses to date. Fitch has designated 19 loans (31.2%) as Fitch Loans of Concern, which includes three specially serviced assets (9.7%) and the three largest loans in the pool (43.4%). As of the January 2013 distribution date, the pool's aggregate principal balance has been reduced by 71.6% to $206.5 million from $727.8 million at issuance. Per the servicer reporting, four loans (9% of the pool) have defeased. Interest shortfalls are currently affecting classes K through O. Following the January distribution date the largest specially- serviced loan, which was secured by a 260,000 square foot (sf) mixed-use complex in Cranford, NJ (4.8% of the pool) was sold. A loss of approximately $3.5 million is expected to be reflected in the next distribution report. The largest contributor to modeled losses is secured by a 122-unit multifamily apartment building in Tampa, FL (1.8%). The servicer reported year-end (YE) 2011 debt service coverage ratio (DSCR) was 0.72 times (x) with 96% occupancy rate, compared to a DSCR of 1.44x with 98.4% occupancy rate at issuance. Low DSCR was the result of reduced revenue due to lower occupancy and significant increase in operating expenses. The borrower was renovating units before they were turned over to new tenants. The loan remains current and with the master servicer. The next largest contributor to expected losses is the specially- serviced loan secured by a 101,286-sf office building in Wauwatosa, WI. The loan transferred to the special servicer on Aug. 21, 2009 due to servicer determination of imminent default. As of July 31, 2012, the building is 69.3% occupied. A property inspection on Aug. 6, 2012 revealed property to be in good condition. However, weak financials continue to result from occupancy issues. The borrower is currently seeking a modification of the loan terms, with negotiations ongoing. The largest loan in the pool, the Federal Center Plaza (30.4%), is secured by two eight-story office buildings totaling 722,000-sf located on Fourth Street between C and D streets in the Washington, D.C. CBD. The General Service Administration (GSA) lease (50% of total space) was set to expire on Jan. 2, 2013. The borrower is in process of extending with GSA. According to the borrower, the process has been slow due to Congressional pressure. The loan remains current and with the master servicer as of the January 2013 Remittance Report. Fitch expects no loss on the loan as the loan per square foot is low at $174 per foot. However, the refinance of the loan at its maturity of March 2013 may be delayed due to the ongoing lease negotiations. The second largest loan, Encino Place (9%), is secured by the fee- simple interest in an 84,395-sf property located in Encino, CA. The first two stories (57,206 sf) of the three-story property consist of retail space, and the third story (27,189 sf) consists of office space. Recent poor performance (DSCR is 1.05x as of Sept. 30, 2012) is the result of reduced revenue due to lower occupancy, combined with increased operating expenses, when compared to underwriting. Occupancy has steadily declined since 2008 and rebound to 81% as of Sept. 30, 2012. The third largest loan, 1801 North Military Trail, is secured by a 60,135-sf suburban office building in Boca Raton, FL. Poor performance (DSCR is 0.93x as of Sept. 30, 2012) is the result of reduced revenue due to decreased rents combined with increased R&M expenses. Revenue reduced when tenant Hodgson Russ vacated upon the lease expiration date of March 31, 2011. Competition could prove problematic as well, due to the availability of vacancies at other properties. Fitch affirms these classes as indicated: -- $109.5 million class A-2 at 'AAAsf', Outlook Stable; -- $18.2 million class B at 'AAAsf', Outlook Stable; -- $23.7 million class C at 'AAsf', Outlook Stable; -- $4.5 million class D at 'Asf', Outlook Stable; -- $7.3 million class E at 'A-sf', Outlook Stable; -- $7.3 million class F at 'BBBsf', Outlook Stable; -- $8.2 million class G at 'BBsf', Outlook Stable; -- $8.2 million class H at 'B-sf', Outlook Stable; -- $3.6 million class J at 'CCCsf', RE 100%; -- $1.8 million class K at 'CCCsf', RE 100%; -- $5.5 million class L at 'CCsf', RE 100%; -- $1.8 million class M at 'CCsf', RE 90%. -- $1.8 million class N at 'Csf', RE 0%. The class A-1 certificates have paid in full. Fitch does not rate the class O certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. MORGAN STANLEY 2003-TOP9: Fitch Affirms 'CCsf' Rating on N Certs ---------------------------------------------------------------- Fitch Ratings upgrades five and affirms six classes of Morgan Stanley Dean Witter Capital I Trust commercial mortgage pass- through certificates, series 2003-TOP9. Sensitivity/Rating Drivers The upgrades reflect a significant increase in credit enhancement as a result of paydowns and stable performance of the underlying collateral. Fitch has designated seven of the 18 loans remaining as a Fitch Loan of Concern. The pool's aggregate principal balance has been paid down by 91.3% to $93.7 million from $1 billion at issuance with only 0.3% in realized losses. Interest shortfalls of $424,693 are affecting the non-rated class. In addition, two loans (1.5%) are defeased. The largest loan of the pool is secured by a 258,685sf office building located in Washington D.C. (41.5% of the pool). The General Services Administration (GSA) is the sole tenant of the property. However, in third quarter-2012, they downsized their space and now occupy 84% of the property. The lease was extended for two years to August 2014. The loan matures December 2014. The largest contributor to Fitch modeled losses is a 121,618 sf neighborhood shopping center located in North Highlands, CA. The center is anchored by Raley's grocery store (50% of GLA). The property suffered from a decline in occupancy and a decrease in rental rates in 2012. The rental rate decrease was due to a large rent reduction for Raley's, which was agreed upon when the loan was in special servicing in 2011. The loan has been modified with an extended maturity to November 2016. Fitch upgrades these classes and assigns the Rating Outlook as indicated: -- $16.2 million class C to 'AAAsf' from 'AAsf'; Outlook Stable; -- $12.1 million class D to 'AAsf' from 'A+sf'; Outlook Stable; -- $14.8 million class E to 'Asf' from 'A-sf'; Outlook Stable; -- $5.4 million class L to 'Bsf' from 'CCCsf'; assigned Outlook Stable; -- $2.7 million class M to 'CCCsf' from 'CCsf'; RE 100%; In addition, Fitch affirms these classes and revises Outlooks as indicated: -- $6.7 million class F at 'BBB+sf'; Outlook Stable; -- $5.4 million class G at 'BBBsf'; Outlook Stable; -- $10.8 million class H at 'BBsf'; Outlook Stable; -- $4 million class J at 'BBsf'; Outlook Stable. -- $5.4 million class K at 'Bsf'; Outlook to Stable from Negative; --$2.7 million class N at 'CCsf'; RE 100%. Fitch does not rate the $7.4 million class O. Fitch previously withdrew the rating on the interest-only class X- 1. In addition, class A-1, A-2, B, and X-2 have been paid in full. MORGAN STANLEY 2011-C1: Fitch Affirms 'BB' Rating on Class G Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 11 classes of Morgan Stanley Capital I Trust commercial mortgage pass-through certificates series 2011-C1 due to stable performance. Key Rating Drivers Fitch's affirmations are based on the stable performance of the underlying collateral pool. There have been no delinquent or specially serviced loans since issuance. The pool has experienced no realized losses to date. As of the January 2013 distribution date, the pool's aggregate principal balance has been reduced by 1.9% to $1.52 billion from $1.55 billion at issuance. No loans have defeased since issuance. The largest loan in the transaction (15.5%) is secured by a 1.1 million square foot (sf) (435,219 sf owned) regional mall located in Newark, DE. The mall is anchored by Macy's, JC Penney, Target, and Nordstrom. Major tenants include Barnes & Noble (anchor owned), Forever 21 (2.5%) net rentable area (NRA) and H&M (1.8%) NRA. In-line tenants include Express/Express Men, Anthropologie, Victoria's Secret, and Urban Outfitters. Total mall occupancy as of Sept. 30, 2012 was 98%, compared to 94% at issuance. The most recent servicer-reported debt service coverage ratio (DSCR) as of third quarter 2012 was 2.67 times (x) up from 1.88x at issuance. The loan sponsors are Prime Property Fund and General Growth Properties. The second largest loan in the pool (11.5%) is secured by a two- building office complex consisting of 1.9 million sf located in Chicago, IL. Major tenants are Blue Cross and Blue Shield Association (12%), lease expiration in March 2024, Fox Television Studios (5%), lease expiration December 2022, and Teng & Associates (4%), lease expiration June 2017. There is limited near-term rollover with 8% rolling in 2013. Additionally, less than 15% rolls annually through 2020. The property is currently 79% leased, which compares to 73% at issuance. The most recent servicer-reported DSCR as of third quarter 2012 was 1.99x up from 1.87x at issuance. The largest Fitch Loan of Concern is the eighth largest loan in the deal (3.6%) and is secured by a 222,768 sf office building located in the Westwood section of Los Angeles, CA. The property has seen a decline in occupancy since issuance. The largest tenants at issuance were Richardson & Patel (10.3%) NRA, with a lease expiration in October 2011, Castle & Cook (10.2%), lease expiration July 2015, and The Regency Club (8.2%), lease expiration in June 2011. The most recent servicer-reported occupancy as of September 2012 is 60% down from 70% at year-end 2011 and 84.2% at issuance. The most recent servicer-reported DSCR as of September 2012 was 1.04x, down from 1.55x at issuance. Fitch is awaiting an updated rent roll. Fitch will continue to closely monitor this loan. Fitch affirms these classes: -- $58 million class A-1 at 'AAAsf'; Outlook Stable; -- $597.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $105.1 million class A-3 at 'AAAsf'; Outlook Stable; -- $404.1 million class A-4 at 'AAAsf'; Outlook Stable; -- Interest-only class X-A 'at 'AAAsf'; Outlook Stable; -- $60 million class B at 'AAsf'; Outlook Stable; -- $89 million class C at 'Asf'; Outlook Stable; -- $85.2 million class D at 'BBBsf'; Outlook Stable; -- $19.4 million class E at 'BBB-sf'; Outlook Stable; -- $13.5 million class F at 'BB+sf'; Outlook Stable; -- $15.5 million class G at 'BBsf'; Outlook Stable. Fitch does not rate the class H, J, K, L, M and interest-only class X-B certificates. MORGAN STANLEY 2013-C8: Fitch Assigns 'B' Rating to Class F Certs. ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Outlooks to the Morgan Stanley Capital I, Inc. MSBAM 2013-C8 commercial mortgage pass-through certificates: -- $75,700,000 class A-1 'AAAsf'; Outlook Stable; -- $145,900,000 class A-2 'AAAsf'; Outlook Stable; -- $98,964,000 class A-SB 'AAAsf'; Outlook Stable; -- $140,000,000 class A-3 'AAAsf'; Outlook Stable; -- $335,996,000 class A-4 'AAAsf'; Outlook Stable; -- $904,665,000c class X-A 'AAAsf'; Outlook Stable; -- $108,105,000b class A-S 'AAAsf'; Outlook Stable; -- $68,276,000b class B 'AA-sf'; Outlook Stable; -- $219,054,000b class PST 'A-sf'; Outlook Stable; -- $42,673,000b class C 'A-sf'; Outlook Stable; -- $68,276,000a,c class X-B 'AA-sf'; Outlook Stable; -- $48,363,000a class D 'BBB-sf'; Outlook Stable; -- $19,914,000a class E 'BBsf'; Outlook Stable; -- $12,802,000a class F 'Bsf'; Outlook Stable. a Privately placed pursuant to Rule 144A. b Class A-S, class B, and class C certificates may be exchanged for class PST certificates, and class PST certificates may be exchanged for class A-S, class B and class C certificates. c Notional amount and interest only. Fitch does not rate the $21,336,000 class G or the $19,914,694 class H. The certificates represent the beneficial ownership in the trust, primary assets of which are 54 loans secured by 62 commercial properties having an aggregate principal balance of approximately $1.14 billion as of the cutoff date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC and Bank of America, National Association. A detailed description of Fitch's rating analysis including key rating drivers, stresses, rating sensitivity, analysis, model, criteria application and data adequacy is available in Fitch's presale report dated Jan. 29, 2013. MORGAN STANLEY 2013-8: S&P Assigns 'BB' Rating on Class E Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8's $1,137.9 million commercial mortgage pass-through certificates series 2013- C8. The note issuance is a commercial mortgage-backed securities transaction backed by 54 commercial mortgage loans with an aggregate principal balance of $1,137.9 million, secured by the fee and leasehold interests in 62 properties across 20 states. The ratings reflect the credit support provided by the transaction structure, S&P's view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1271.pdf RATINGS ASSIGNED Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 Class Rating Amount ($) A-1 AAA (sf) 75,700,000 A-2 AAA (sf) 145,900,000 A-SB AAA (sf) 98,964,000 A-3 AAA (sf) 140,000,000 A-4 AAA (sf) 335,996,000 X-A AAA (sf) 904,665,000(i) A-S AAA (sf) 108,105,000 B AA- (sf) 68,276,000 PST(ii) A- (sf) 219,054,000 C A- (sf) 42,673,000 X-B(iii) AA- (sf) 68,276,000(i) D(iii) BBB- (sf) 48,363,000 E(iii) BB (sf) 19,914,000 F(iii) BB- (sf) 12,802,000 G(iii) B (sf) 21,336,000 H(iii) NR 19,914,694 (i) Notional balance. (ii) Exchangeable certificates. (iii) Non-offered certificates. NR - Not rated. MORTGAGE CAPITAL 1998-MC2: Moody's Cuts Rating on X CMBS to Caa2 ---------------------------------------------------------------- Moody's Investors Service downgraded the rating of an interest- only class of Mortgage Capital Funding, Inc., Multifamily/Commercial Mortgage Pass-Through Certificates, Series 1998-MC2 as follows: Cl. X, Downgraded to Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale: The downgrade of the IO Class, Class X, is due to the decline in credit performance of its reference classes as a result of principal paydowns of higher quality referenced classes. Moody's rating action reflects a base expected loss of 3.0% of the current balance. Moody's base expected loss plus realized losses is now 1.6% of the original pooled balance. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit assessments for the principal classes could decline below their current levels. If future performance materially declines, the expected credit assessments of the referenced tranches may be insufficient to support the current ratings of the interest-only classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 3. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance As of the January 18, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $28.3 million from $1.0 billion at securitization. The Certificates are collateralized by 19 mortgage loans ranging in size from less than 1% to 17% of the pool. Eleven of the loans are cross-collaterized and cross-defaulted and in total represent 50% of the pool. Eight loans, representing 34% 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) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $15.2 million. No loans are currently in special servicing. Moody's has assumed a high default probability for one poorly performing loan representing 2% of the pool and has estimated an approximate $190,000 loss (30% expected loss). Moody's was provided with full year 2011 and partial year 2012 operating results for 100% and 95% of the pool's loans, respectively. Excluding the troubled loan, Moody's weighted average LTV is 55%. Moody's net cash flow reflects a weighted average haircut of 18% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.4%. Excluding the troubled loan, Moody's actual and stressed DSCRs are 1.02X and 2.64X, respectively. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest exposure is the Reuben Portfolio ($14.3 million -- 50.4% of the pool), which is comprised of 11 cross-collaterized and cross-defaulted loans that are secured by 12 retail, office and multifamily properties located in Columbus, Ohio. The portfolio has amortized over 50% since securitization and all the loans mature in March 2018. Moody's LTV and stressed DSCR are 57% and 2.02X, respectively. The second largest conduit loan is the K-Mart Kahului Loan ($4.9 million -- 17.4% of the pool), which is secured by a retail property located in Maui, Hawaii. The property is fully leased to K-Mart through February 2014, which coincides with the loan maturity date. Moody's LTV and stressed DSCR are 75% and 1.45X, respectively. The third largest conduit loan is the 3300 N. 27th Street Loan ($4.6 million -- 16.4% of the pool), which is secured by retail property located in Lincoln, Nebraska. The property is fully leased to Home Depot through October 2018. The loan is fully amortizing and matures in March 2018. Moody's LTV and stressed DSCR are 48% and 2.24X, respectively. MOUNTAIN CAPITAL IV: Moody's Raises Cl. B-2L Notes' Rating to Ba2 ----------------------------------------------------------------- Moody's Investors Service announced upgraded the ratings of the following notes issued by Mountain Capital CLO IV Ltd.: USD21,000,000 Class A-2L Floating Rate Notes Due March 15, 2018, Upgraded to Aaa (sf); previously on April 3, 2012 Upgraded to Aa2 (sf) USD15,000,000 Class A-3L Floating Rate Notes Due March 15, 2018, Upgraded to Aa2 (sf); previously on April 3, 2012 Upgraded to A2 (sf) USD13,500,000 Class B-1L Floating Rate Notes Due March 15, 2018, Upgraded to Baa1 (sf); previously on April 3, 2012 Upgraded to Baa3 (sf) USD12,000,000 Class B-2L Floating Rate Notes Due March 15, 2018 (current outstanding balance of $11,280,993.56), Upgraded to Ba2 (sf); previously on April 3, 2012 Upgraded to Ba3 (sf) Moody's also affirmed the ratings of the following notes: USD134,000,000 Class A-1L Floating Rate Notes Due March 15, 2018 (current outstanding balance of $85,067,837.22), Affirmed Aaa (sf); previously on August 3, 2011 Upgraded to Aaa (sf) USD75,000,000 Class A-1LA Floating Rate Notes Due March 15, 2018 (current outstanding balance of $44,326,106.90), Affirmed Aaa (sf); previously on December 28, 2005 Assigned Aaa (sf) USD9,000,000 Class A-1LB Floating Rate Notes Due March 15, 2018, Affirmed Aaa (sf); previously on August 3, 2011 Upgraded to Aaa (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in April 2012. Moody's notes that the Class A-1L and Class A-1LA Notes have been paid down by approximately 36% or $47.3 million and 40% or $29.6 million, respectively, since the last rating action. Based on the latest trustee report dated January 3, 2013, the Senior Class A, Class A, Class B-1L and Class B-2L overcollateralization ratios are reported at 133.1%, 121.7%, 112.9% and 106.5%, respectively, versus March 2012 levels of 123.2%, 115.8%, 109.9% and 105.4%, respectively. Moody's notes that the deal also benefited from an improvement in the weighted average recovery rate of the underlying portfolio since the last rating action in April 2012. Moody's modeled a weighted average recovery rate of 50.9% versus 47.7% in April 2012. Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the January 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 8.2% of the underlying portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $192.6 million, defaulted par of $3.2 million, a weighted average default probability of 18.76% (implying a WARF of 2899), a weighted average recovery rate upon default of 50.86%, and a diversity score of 52. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Mountain Capital CLO IV Ltd., issued in December 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2319) Class A-1L: 0 Class A-1LA: 0 Class A-1LB: 0 Class A-2L: 0 Class A-3L: +2 Class B-1L: +2 Class B-2L: +1 Moody's Adjusted WARF + 20% (3479) Class A-1L: 0 Class A-1LA: 0 Class A-1LB: 0 Class A-2L: 0 Class A-3L: -2 Class B-1L: -2 Class B-2L: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. MOUNTAIN HAWK I: S&P Assigns 'BB' Rating to Class E Notes --------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Mountain Hawk I CLO Ltd./Mountain Hawk I CLO Corp.'s $451.5 million floating- and fixed-rate notes. The note issuance is collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior-secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which primarily comprises broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash-flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBOR ranging from 0.31%-12.53%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying subordinated management fees, uncapped administrative expenses, hedge payments, and income note payments into principal proceeds for the purchase of additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1282.pdf RATINGS ASSIGNED Mountain Hawk I CLO Ltd./Mountain Hawk I CLO Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 310.00 A-X AAA (sf) 10.00 B-1 AA (sf) 40.00 B-2 AA (sf) 10.00 C (deferrable) A (sf) 29.00 D (deferrable) BBB (sf) 23.00 E (deferrable) BB (sf) 29.50 Income notes NR 49.75 NR-Not rated. N-45O FIRST CBMS: Fitch Affirms 'B+' Rating on Class F Notes ------------------------------------------------------------- Fitch Ratings affirms the ratings on N-45o First CMBS Issuer Corporation, series 2003-1. Key Rating Drivers The affirmations are due to sufficient credit enhancement in light of the pool's stable performance and significant concentration with only five of the original 63 loans remaining, all but one of which matures in the next 12 months. As of the January 2012 distribution date, the pool's certificate balance has paid down 85% to $85.8 million from $559.7 million at issuance. One of the remaining loans (9.9%) is defeased, with a maturity date of March 2013. There are no specially serviced or delinquent loans as of the January 2013 remittance report. All loans have a debt service coverage ratio (DSCR) above 1.25 times (x). The weighted average loan to value (LTV) for the remaining loans is 67.2%. There are currently no interest shortfalls or losses to any classes of this transaction. The largest loan in the pool, State Street Financial Centre (61.2% of the pool), is secured by a 413,937 square foot (sf) office building located in the financial district of Toronto, Ontario. The A class building located on the eastern edge of the financial core has numerous on-site and near-by amenities. A lease to International Financial Data Services Inc. (representing 33% of NRA) expires in October 2013. However, the tenant has a renewal option and the high likelihood of renewal due to the tight market supply was considered. According to CBRE, Class A office properties in Toronto have a vacancy rate of 5.4%. The loan matures September 2013. The second largest loan in the pool, Zellers Centre (13.8%), is the former industrial warehouse facility for Zellers stores; the property is currently vacant. The loan matures February 2014. A deterministic test was performed and any loss incurred on this loan would not impact the ratings. Fitch has affirmed these classes and Outlooks as indicated: -- $4.6 million class A-2 at 'AAAsf'; Outlook Stable; -- $8.4 million class B at 'AAAsf'; Outlook Stable; -- $16.8 million class C at 'AAAsf'; Outlook Stable; -- $19.6 million class D at 'Asf'; Outlook Stable; -- $14 million class E at 'BBB-sf'; Outlook Stable; -- $9.1 million class F at 'B+sf'; Outlook Stable. Fitch does not rate the $13.3 million class G. Class IO was previously withdrawn and class A-1 is paid in full. NEMUS FUNDING NO. 1: S&P Withdraws 'B-' Rating on Class F Notes --------------------------------------------------------------- Standard & Poor's Ratings Services has withdrawn its credit ratings on NEMUS Funding No. 1 PLC's class A, B, C, D, E, and F notes. The rating actions follow the cash manager's confirmation that NEMUS Funding No. 1's class A, B, C, D, E, and F notes fully repaid on Jan. 28, 2013. S&P had placed its ratings on the class A, B, C, D, and E notes on CreditWatch negative on Dec. 6, 2012, following an update to its criteria for rating European commercial mortgage-backed securities (CMBS) transactions. The scheduled maturity date of the class A, B, C, D, E, and F notes was Jan. 28, 2013. S&P has received confirmation from HSBC Bank PLC (the calculation and reporting agent in this transaction), that all of the classes of notes have fully repaid on their scheduled maturity date. S&P has therefore withdrawn its ratings on the class A, B, C, D, E, and F notes. NEMUS Funding No. 1 is a synthetic CMBS transaction. It involves payments to noteholders synthetically tied to the performance of a reference pool of commercial property loans. HSBC Bank originated and serviced all of the reference loans. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating To From Ratings Withdrawn NEMUS Funding No. 1 PLC GBP178.647 Million Commercial Mortgage-Backed Floating-Rate Notes A NR AA (sf)/Watch Neg B NR AA (sf)/Watch Neg C NR AA (sf)/Watch Neg D NR BBB+ (sf)/Watch Neg E NR BB (sf)/Watch Neg F NR B- (sf) NR-Not rated. NORTHWOODS CAPITAL VI: Moody's Raises Cl. C Notes' Rating to Ba1 ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Northwoods Capital VI Ltd. USD402,000,000 Class A-1 Senior Secured Floating Rate Notes Due March 16, 2021, Upgraded to Aaa (sf); previously on August 10, 2011 Confirmed at Aa1 (sf); USD30,000,000 Class A-2 Senior Secured Floating Rate Notes Due March 16, 2021, Upgraded to Aa1 (sf); previously on August 10, 2011 Confirmed at A2 (sf); USD49,000,000 Class B Senior Secured Deferrable Floating Rate Notes Due March 16, 2021, Upgraded to A3 (sf); previously on August 10, 2011 Confirmed at Baa3 (sf); USD43,250,000 Class C Senior Secured Deferrable Floating Rate Notes Due March 16, 2021, Upgraded to Ba1 (sf); previously on August 10, 2011 Upgraded to Ba3 (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in April 2013. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive buffer relative to certain covenant requirements. In particular, the deal is assumed to benefit from higher spread compared to the levels assumed at the last rating action in August 2011. Moody's modeled a weighted average spread of 4.10% compared to 2.80% at the time of the last rating action. Additionally, the deal benefited from a reduction in the weighted average life of the underlying portfolio compared to the last rating action in August 2011. Moody's notes that the deal also benefited from an improvement in the weighted average recovery rate of the underlying portfolio since the last rating action in August 2011. Moody's modeled a weighted average recovery rate of 48.27% versus 46.52% in August 2011. The overcollateralization ratios of the rated notes have also improved since the rating action in August 2011. The Class A, Class B and Class C overcollateralization ratios are reported at 140.8%, 126.4% and 116.0%, respectively, versus July 2011 levels of 137.0%, 123.1% and 112.9%, respectively, and all related overcollateralization tests are currently in compliance. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $608 million, no defaulted par, a weighted average default probability of 24.19% (implying a WARF of 3431), a weighted average recovery rate upon default of 48.27%, and a diversity score of 39. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Northwoods Capital VI Ltd., issued in March 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. For securities whose default probabilities are assessed through credit estimates ("CEs"), Moody's applied additional default probability adjustments. For each CE where the related exposure constitutes more than 3% of the collateral pool, Moody's applied a 2-notch equivalent assumed downgrade (but only on the CEs representing in aggregate the largest 30% of the pool) as described in Moody's Ratings Implementation Guidance "Updated Approach to the Usage of Credit Estimates in Rated Transactions", October 2009. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2745) Class A-1: 0 Class A-2: +1 Class B: +2 Class C: +2 Moody's Adjusted WARF + 20% (4118) Class A-1: -1 Class A-2: -2 Class B: -1 Class C: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence on July 16th and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability adjustments Moody's may assume in lieu of updated credit estimates. Moody's also conducted tests to assess the collateral pool's concentration risk in obligors bearing a credit estimate that constitute more than 3% of the collateral pool. OCTAGON INVESTMENT VIII: Moody's Ups Rating on $16MM Notes to Ba2 ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Octagon Investment Partners VIII, Ltd.: U.S.$18,000,000 Class B Senior Secured Floating Rate Notes due September 15, 2017, Upgraded to Aaa (sf); previously on July 22, 2011 Upgraded to Aa2 (sf); U.S.$22,500,000 Class C Secured Deferrable Floating Rate Notes due September 15, 2017, Upgraded to Aa2 (sf); previously on July 22, 2011 Upgraded to A2 (sf); U.S.$22,400,000 Class D Secured Floating Rate Notes due September 15, 2017, Upgraded to Baa1 (sf); previously on July 22, 2011 Upgraded to Ba1 (sf); U.S.$16,500,000 Class E Secured Floating Rate Notes due September 15, 2017 (current outstanding balance of $15,348,673), Upgraded to Ba2 (sf); previously on July 22, 2011 Upgraded to B1 (sf); Moody's also affirmed the ratings of the following notes: USD318,000,000 Class A-1 Senior Secured Floating Rate Notes due September 15, 2017 (current outstanding balance of $182,007,201), Affirmed Aaa (sf); previously on July 22, 2011 Upgraded to Aaa (sf). USD25,000,000 Class A-2 Revolving Senior Secured Floating Rate due September 15, 2017 (current outstanding balance of $14,308,742), Affirmed Aaa (sf); previously on July 22, 2011 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in July 2011. Moody's notes that the Class A Notes have been paid down by approximately 43% or $146.7 million since the last rating action. Based on the latest trustee report dated December 31, 2012, the Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 137.0%, 124.0%, 113.3% and 107.0%, respectively, versus May 2011 levels of 121.7%, 114.5%, 108.2% and 104.3%, respectively. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $293.7 million, no defaulted par, a weighted average default probability of 14.31% (implying a WARF of 2421), a weighted average recovery rate upon default of 47.66%, and a diversity score of 41. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Octagon Investment Partners VIII, Ltd., issued in August 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, with some exposure to corporate bonds. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (1937) Class A-1: 0 Class A-2: 0 Class B: 0 Class C: +1 Class D: +2 Class E: +1 Moody's Adjusted WARF + 20% (2905) Class A-1: 0 Class A-2: 0 Class B: 0 Class C: -2 Class D: -2 Class E: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. OCTAGON INVESTMENT XV: S&P Assigns 'BB' Rating to Class E Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Octagon Investment Partners XV Ltd./Octagon Investment Partners LLC's $516.176 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior- secured term loans. -- The portfolio manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBOR ranging from 0.31%-11.67%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification up to 50% of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, subordinated hedge termination payments, portfolio manager incentive fees, and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1317.pdf RATINGS ASSIGNED Octagon Investment Partners XV Ltd./Octagon Investment Partners LLC Class Rating Amount (mil. $) A AAA (sf) 318.75 B-1 AA (sf) 15.50 B-2 AA (sf) 46.25 C (deferrable) A (sf) 38.75 D (deferrable) BBB (sf) 22.185 E (deferrable) BB (sf) 21.565 Subordinated notes NR 53.676 NR-Not rated. OZLM FUNDING: S&P Assigns 'BB' Rating to Class D Notes ------------------------------------------------------ Standard & Poor's Ratings Services assigned its ratings to OZLM Funding III Ltd./OZLM Funding III LLC's $583.25 million floating- rate notes. The note issuance is collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.305%-12.813%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1277.pdf RATINGS ASSIGNED OZLM Funding III Ltd./OZLM Funding III LLC Class Rating Amount (mil. $) A-1 AAA (sf) 396.500 A-2A AA (sf) 59.875 A-2B AA (sf) 19.000 B (deferrable) A (sf) 47.375 C (deferrable) BBB (sf) 30.500 D (deferrable) BB (sf) 30.000 Subordinated notes NR 70.000 NR-Not rated. RACE POINT VIII: S&P Assigns 'BB-' Rating to Class E Notes ---------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Race Point VIII CLO Ltd./Race Point VIII CLO Corp.'s $468.5 million floating-rate notes. The note issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The portfolio manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.3005% to 13.8391%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, subordinated hedge termination payments, portfolio manager incentive fees, and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period and to reduce the balance of the rated notes outstanding, sequentially, after the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1310.pdf RATINGS ASSIGNED Race Point VIII CLO Ltd./Race Point VIII CLO Corp. Class Rating Amount (mil. $) X AAA (sf) 4.00 A AAA (sf) 310.00 B AA (sf) 58.00 C (deferrable) A (sf) 43.00 D (deferrable) BBB (sf) 26.50 E (deferrable) BB- (sf) 27.00 Subordinated notes NR 53.25 NR-Not rated. RADAMANTIS (ELOC 24): S&P Lowers Rating on Class E Notes to 'B-' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its credit ratings on Radamantis (European Loan Conduit No. 24) PLC's class B, C, D, and E notes. At the same time, S&P affirmed its ratings on the class A and G notes. The rating actions follow S&P's review of the credit quality of the two remaining underlying loans in the pool under S&P's updated criteria for European commercial mortgage-backed securities (CMBS) transactions, and reflect S&P's view that the current available credit enhancement levels on the class B and lower notes is insufficient under its various stress scenarios to maintain the current ratings on these notes. WESTFERRY CIRCUS LOAN (57.20% OF THE POOL BY LOAN BALANCE) The loan is secured by a single, modern office property in the Canary Wharf area of London Docklands. It is a well-located, good-quality asset that was constructed in 2001. The entire property is let to Morgan Stanley UK Group under a full repairing and insuring lease, providing a remaining weighted-average lease term of 13.6 years. S&P considers the property to be over rented. The loan was transferred to special servicing in April 2012, a few days before defaulting. This loan has been enforced and fixed- charged receivers appointed over the property. S&P understands that discussions between the receivers and one potential purchaser are ongoing. The property was last valued in 2006, at GBP145.00 million. In January 2013 the special servicing reported a securitized loan-to- value (LTV) ratio of 65.44%, and a securitized interest coverage ratio (ICR) of 1.58x. As the property has not been revalued since closing, S&P considers that the reported LTV ratio is unlikely to adequately reflect the current property value. Although in S&P's opinion it thinks that the property value is likely to have declined, S&P do not anticipate principal losses. SOUTH QUAY PLAZA LOAN (42.80% OF THE POOL BY LOAN BALANCE) This loan is backed by a predominantly office-use premises, together with an ancillary retail arcade, known collectively as South Quay Plaza. The property is considered to be in a reasonable London Docklands location, close to Canary Wharf. The main tenant within the building is Financial Ombudsman Service Ltd., which provides 43.50% of the current rental income, under a lease expiring in 2014. The current remaining weighted-average lease term of the asset is 2.45 years. The loan was transferred on October 2012 to special servicing following the borrower's failure to repay the loan balance at maturity. S&P understands that discussions between the special servicer and the borrower are continuing. The property was last valued in 2005, at GBP126.50 million. In January 2013, the special servicer reported an LTV ratio of 56.12%, and an ICR of 5.79. As the property has not been revalued since closing, S&P considers that the reported LTV ratio is unlikely to adequately reflect the current property value. Although in S&P's opinion it thinks that the property value is likely to have declined, S&P do not anticipate principal losses. CASH FLOW REVIEW According to the October 2012 cash manager report, the class D notes experienced interest shortfalls. While this was repaid on the January 2013 payment date, given the recent transfer of the South Quay Plaza loan to special servicing, S&P believes that the current level of excess funds may not be sufficient to absorb potential additional fees or expenses. COUNTERPARTY REVIEW The maximum rating achievable for this transaction under S&P's 2012 counterparty criteria is constrained to its long-term rating on the liquidity facility provider Lloyds TSB Bank PLC (A/Negative/A-1). RATING ACTIONS Although S&P believes that the class A notes continue to be adequately protected to achieve high ratings, S&P's rating remains constrained by counterparty considerations. Therefore, S&P has affirmed its rating on the class A notes. S&P considers that the available credit enhancement levels to the class B, C, D, and E notes are no longer sufficient to cover asset-credit risk at their current rating levels. Additionally, the class C, D, and E notes have become more vulnerable, to various degrees, to interest shortfalls, in S&P's opinion. As a consequence, S&P has lowered its ratings on these four classes of notes. The class G notes experienced interest shortfalls in the past and NAI has been applied. Therefore, S&P affirmed its rating on the class G notes. Radamantis (European Loan Conduit No. 24) closed in August 2006 with notes totaling GBP493.5 million. The transaction originally comprised four loans. However, two have since been repaid with GBP394,604 of losses allocated to the class G notes as net accrued interest (NAI) amounts. The two remaining loans are secured against commercial property in the London Docklands area. The notes have a legal final maturity date of October 2015 and a current reduced balance of GBP165.89 million. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating Rating To From Radamantis (European Loan Conduit No. 24) PLC GBP493.525 Million Commercial Mortgage Backed Floating Rate Notes Ratings Lowered B BBB+ (sf) A (sf) C BBB- (sf) A- (sf) D BB+ (sf) BBB+ (sf) E B- (sf) BB- (sf) Ratings Affirmed A A (sf) G D (sf) RBS COMMERCIAL: S&P Assigns 'BB+' Rating on Class F Notes --------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to RBS Commercial Funding Inc. 2013-SMV Trust's $295.0 million commercial mortgage pass-through certificates series 2013-SMV. The note issuance is a commercial mortgage-backed securities transaction backed by a $295.0 million commercial mortgage loan, secured by the fee interest in the Shops at Mission Viejo, a 1.16 million-sq.-ft. super-regional shopping mall located in Mission Viejo, Calif., and the accompanying leases, rents, and other income. Of the total mall square footage, 931,054 sq. ft. will serve as the loan's collateral. The ratings reflect S&P's view of the transaction's structure, the trustee-provided liquidity, the loan's terms, the underlying collateral's historical and projected performance, and the sponsor's and manager's experience, among other factors. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1270.pdf RATINGS ASSIGNED RBS Commercial Funding Inc. 2013-SMV Trust Class Rating Amount ($) A AAA (sf) 179,000,000 X-A AAA (sf) 179,000,000(i) X-B A (sf) 56,000,000(i) B AA (sf) 28,000,000 C A (sf) 28,000,000 D BBB- (sf) 37,000,000 E BBB- (sf) 13,000,000 F BB+ (sf) 10,000,000 R NR N/A (i) Notional balance. NR - Not rated. N/A - Not applicable. REGATTA II: S&P Assigns 'BB' Rating on Class D Notes ---------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Regatta II Funding L.P./Regatta II Funding LLC's $371.0 million floating- rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior-secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is intended to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior- secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.30%-12.81%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest reinvestment test, a failure of which during the reinvestment period will lead to the reclassification of excess interest proceeds that are available prior to paying subordinated management fees, uncapped administrative expenses, and limited partnership certificate payments to principal proceeds for the purchase of collateral assets or, at the collateral manager's discretion, to reduce the balance of the rated notes outstanding sequentially. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1320.pdf RATINGS ASSIGNED Regatta II Funding L.P./Regatta II Funding LLC Class Rating Amount (mil. $) A-1 AAA (sf) 256.50 A-2 AA (sf) 43.00 B (deferrable) A (sf) 32.00 C (deferrable) BBB (sf) 20.00 D (deferrable) BB (sf) 19.50 L.P. certificates NR 43.95 NR-Not rated. RESI FINANCE: Moody's Affirms 'C' Ratings on Five Loan Tranches --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of four tranches and affirmed the ratings of ten tranches, backed by synthetic prime jumbo loans, issued by RESI Finance Limited Partnership. The actions impact approximately $898 million of RMBS issued in 2004. Issuer: RESI Finance Limited Partnership 2004-A RESI Finance Limited Partnership 2004-A/RESI Finance DE Corporation 2004-A Cl. B1, Downgraded to Baa3 (sf); previously on Apr 10, 2012 Confirmed at Baa1 (sf) Cl. B2, Downgraded to Ba2 (sf); previously on Apr 10, 2012 Confirmed at Baa3 (sf) Cl. B3, Downgraded to B3 (sf); previously on Apr 10, 2012 Confirmed at B1 (sf) Cl. B4, Downgraded to Caa1 (sf); previously on Apr 10, 2012 Confirmed at B2 (sf) Cl. B5, Affirmed Ca (sf); previously on Apr 10, 2012 Confirmed at Ca (sf) Cl. B6, Affirmed C (sf); previously on Apr 21, 2011 Downgraded to C (sf) Cl. B7, Affirmed C (sf); previously on Apr 21, 2011 Downgraded to C (sf) Cl. B8, Affirmed C (sf); previously on Apr 21, 2011 Downgraded to C (sf) Cl. B9, Affirmed C (sf); previously on Apr 21, 2011 Downgraded to C (sf) Cl. B10, Affirmed C (sf); previously on Apr 21, 2011 Downgraded to C (sf) Class A2 Notes, Affirmed Aaa (sf); previously on Apr 21, 2011 Confirmed at Aaa (sf) Class A3 Notes, Affirmed Aaa (sf); previously on Apr 21, 2011 Confirmed at Aaa (sf) Class A4 Notes, Affirmed Aaa (sf); previously on Apr 21, 2011 Confirmed at Aaa (sf) Class A5 Notes, Affirmed A1 (sf); previously on Apr 10, 2012 Confirmed at A1 (sf) Ratings Rationale: These synthetic transactions provide the owner of a sizable pool of mortgages (the "Protection Buyer") credit protection through a credit default swap with the issuer (the "Protection Seller") of the notes. The reference portfolios of these transactions include prime conforming and nonconforming fixed-rate and adjustable-rate mortgages purchased from various originators. The actions are a result of the recent performance review of Prime pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for certain bonds than previously anticipated. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. Moody's adjusts the methodologies noted above for Moody's current view on loan modifications. As a result of an extension of the Home Affordable Modification Program to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in September 2011 to 7.9% in January 2013. Moody's forecasts a further drop to 7.5% by 2014. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. RESIDENTIAL REINSURANCE: S&P Affirms 'B+' Rating on Class 5 Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services said that it affirmed its 'B+(sf)' rating on Residential Reinsurance 2011 Ltd.'s (Res Re 2011) Series 2011-1 Class 5 notes and its 'BB(sf)' rating on Residential Reinsurance 2012 Ltd.'s (Res Re 2012) Series 2012-1 Class 5 notes and removed each series from CreditWatch Negative, where they were placed Nov. 6, 2012. Residential Reinsurance is an ongoing natural peril catastrophe bond program (since 1997) sponsored by United Services Automobile Association (USAA; AA+/Negative/-). Each class of notes covers losses from hurricane, earthquake, severe thunderstorm, winter storm, and wildfire on an annual aggregate basis. The current risk period began on June 1, 2012, and ends on May 31, 2013. S&P had lowered its rating on the Res Re 2011 Class 5 notes, and kept the ratings on each class on CreditWatch with negative implications on Nov. 15, 2012, due to a loss estimate notice related to Catastrophe Series 90 (Hurricane Sandy) submitted by USAA to Res Re 2011 and 2012. At that time, there had been two covered events -- Catastrophe Series 77 (a central and northeast U.S. wind and hail tornado that occurred on June 6) and Catastrophe Series 83 (a central and northeast U.S. wind and hail tornado that occurred on June 28) -- that generated estimated covered losses. These events plus the losses from Sandy decreased the amount of future losses necessary to trigger an event payment and in S&P's view, increased the risk associated with these bonds. Since Nov. 15, the estimate of ultimate net losses from Sandy has been updated. In addition, the covered loss amount from Catastrophe 77 has increased and the loss estimate from Catastrophe Series 78 (a Texas wind and hail tornado that occurred on June 11) was updated so that it now exceeds the franchise deductible amount. The ultimate net loss from this event will be added to the total losses covered by the notes. The attachment points are $1.365 billion for the Res Re 2011 notes and $1.571 billion for the Res Re 2012 notes during the current annual risk period. The current estimate of covered losses from the four events is less than the total loss estimate S&P had on Nov. 15, assuming the high point estimates from Hurricane Sandy. S&P has received from AIR Worldwide Corp. (the reset and calculation agent) updated probabilities of attachment for each class of notes for the remaining risk period, using each of the loss estimates listed above. The current ratings reflect these results. S&P is not aware of any additional or potential covered events since Sandy. If the covered losses through the end of the current risk period do not reach the attachment point on the Res Re 2011 notes, S&P could raise the rating. Depending on the modeled results at the time of the reset, S&P could raise the rating by one notch. RATINGS LIST Ratings Affirmed, Removed From CreditWatch Negative To From Residential Reinsurance 2011 Ltd. Series 2011-1 Class 5 Notes B+(sf) B+(sf)/Watch Neg Residential Reinsurance 2012 Ltd. Series 2012-1 Class 5 Notes BB(sf) BB(sf)/Watch Neg RESTRUCTURED ASSET 2002-10-TR: Moody's Cuts Certs Rating to 'C' --------------------------------------------------------------- Moody's Investors Service downgraded its rating of the following certificates issued by Restructured Asset Certificates with Enhanced Returns, Series 2002-10-TR Trust: Restructured Asset Certificates with Enhanced Returns, RACERS Series 2002-10-TR, RACERS Series 2002-10-TR Certificates, Downgraded to C (sf); previously on April 23, 2009 Downgraded to Ca (sf). Ratings Rationale: According to Moody's, the rating action taken on the certificates is primarily because the rating of the Reference Obligation, $14,000,000 of Class C-1 of Coast Investment Grade 2002-1, Limited has been downgraded to C. The transaction is a repackaged security whose rating is based primarily upon the transaction's structure and the credit quality of the Reference Obligation, Swap Counterparty and Underlying Asset. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Moody's conducted no additional cash flow analysis or stress scenarios because the rating is based on the credit quality of the Reference Obligation, Swap Counterparty and Underlying Asset. Moody's says that the underlying securities are subject to a high level of macroeconomic uncertainty, which is manifest in uncertain credit conditions across the general economy. Because these conditions could negatively affect the ratings on the underlying securities, they could also negatively impact the ratings on the note. SALOMON BROTHERS 1999-C1: Moody's Keeps Caa1 Rating on Cl. X CMBS ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of two classes of Salomon Brothers Mortgage Securities VII, Inc., Commercial Mortgage Pass-Through, Series 1999-C1 as follows: Cl. G Certificate, Affirmed Aaa (sf); previously on Dec 20, 2007 Upgraded to Aaa (sf) Cl. X Certificate, Affirmed Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale: The affirmation of the principal class is due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement level for the affirmed class is sufficient to maintain its current rating. The rating of the IO Class, Class X, is consistent with the credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 3.3% of the current pooled balance compared to 5.0% at last review. Moody's base expected loss plus realized losses is now 2.9% of the original pooled balance, compared to 3.1% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class X. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 14 compared to 22 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel based Large Loan Model v8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance As of the January 18, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 93% to $51 million from $735 million at securitization. The Certificates are collateralized by 34 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans, excluding defeasance, representing 50% of the pool. There are no loans with credit assessments. The pool contains six loans, representing 30% of the pool, that have defeased and are collateralized with US Government bonds. Eleven loans, representing 23% 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) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $20 million (64% average loss severity). Two loans, representing 4% of the pool, are currently in special servicing. The largest specially serviced loan is OfficeMax-American Fork loan ($1.4 million -- 4.3% of the pool), which is secured by a 23,500 square foot (SF) single tenant retail property located in American Fork, Utah. The loan transferred to special servicing in August 2012 because OfficeMax, the sole tenant, did not renew its lease which expired at the end of 2012. OfficeMax did not vacate on the lease expiration date and according to the special servicer indicated it wants an extension. The loan matured on February 18, 2013. Moody's has estimated an aggregate $761 thousand loss for the specially serviced loans (34.5% expected loss). Moody's has assumed a high default probability for three poorly performing loans representing 5% of the pool and has estimated a $551 thousand aggregate loss (20% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2011 and partial year 2012 operating results for 100% of the pool's non-defeased loans. Moody's weighted average conduit LTV is 53% compared to 56% at last review. The conduit portion of the pool excludes specially serviced, troubled and defeased loans. Moody's net cash flow reflects a weighted average haircut of 14% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.0%. Moody's actual and stressed conduit DSCRs are 1.84X and 2.89X, respectively, compared to 1.64X and 2.41X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 27% of the pool balance. The largest loan is the Centrepointe Apartments Loan ($5 million -- 10.3% of the pool), which is secured by a 361 unit apartment complex located in Colton, California. The property was 95% leased as of December 2012 compared to 96% at last review. Moody's LTV and stressed DSCR are 50% and 2.05X, respectively, compared to 64% and 1.59X at last review. The second largest loan is the 605 & Firestone Shopping Center Loan ($4.8 million -- 9.3% of the pool), which is secured by a 50,000 SF retail center located in Norwalk, California. The property was 91% leased as of September 2012 compared to 83% at last review. The property's two largest tenants, occupying 47% of the NRA, both had October 2011 lease expirations. The tenants remain in place on month to month terms. Moody's stressed the property's net cash flow to account for the lease renewal uncertainty. Moody's LTV and stressed DSCR are 74% and 1.45X, respectively, compared to 87% and 1.25X at last review. The third largest loan is Randolph Village Apartments ($3.7 million -- 7.3% of the pool), which is secured by a 130 unit apartment building in Silver Spring, Maryland. The property is 100% leased as of October 2012 as compared to 99% at June 2011. Moody's LTV and stressed DSCR are 56% and 1.84X, respectively, compared to 51% at 2.01X at last review. SEAWALL 2006-1: Moody's Affirms 'Ba1' Rating on 3 Cert. Classes --------------------------------------------------------------- Moody's has affirmed the ratings of all classes of Notes issued by Seawall 2006-1, Ltd. and Seawall SPC -- Series 2005-2. The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO Synthetic) transactions. Issuer: Seawall 2006-1, Ltd. Cl. A-2, Affirmed Baa2 (sf); previously on Apr 28, 2010 Downgraded to Baa2 (sf) Cl. B, Affirmed Baa3 (sf); previously on Apr 28, 2010 Downgraded to Baa3 (sf) Cl. C-1, Affirmed Ba1 (sf); previously on Apr 28, 2010 Downgraded to Ba1 (sf) Cl. C-2, Affirmed Ba1 (sf); previously on Apr 28, 2010 Downgraded to Ba1 (sf) Cl. X, Affirmed Aa3 (sf); previously on Feb 22, 2012 Downgraded to Aa3 (sf) Issuer: Seawall SPC - Series 2005-2 Cl. C-2, Affirmed Ba1 (sf); previously on Apr 30, 2010 Downgraded to Ba1 (sf) Ratings Rationale: Seawall 2006-1, Ltd. is a static synthetic CRE CDO transaction backed by a portfolio of credit default swaps on commercial mortgage backed securities (CMBS) (100.0% of the pool balance). As of the January 18, 2013 Trustee report, the aggregate issued Note balance of the transaction, was $290.0 million, the same as that at issuance. Seawall SPC -- Series 2005-2 is a direct pass-through of the Class C-2 (Reference Class) from the Seawall 2006-1, Ltd. As of the January 18, 2013 Trustee report, the aggregate issued Note balance of the transaction, was $11.0 million, the same as that at issuance. Since the ratings of Seawall SPC -- Series 2005-2 are linked to the rating of the Reference Class, any credit action on the Reference Class may trigger a review of the ratings of Seawall SPC -- Series 2005-2. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated reference obligations. Moody's modeled a bottom-dollar WARF of 6 compared to 4 at last review. The current distribution of Moody's rated reference obligations and assessments for non- Moody's rated reference obligations is as follows: Aaa-Aa3 (96.6% compared to 100% at last review) and A1-A3 (3.4% compared to 0.0% at last review). Moody's modeled a WAL of 1.1 years compared to 2.1 years at last review. Moody's modeled a variable WARR with a mean of 74.0% compared to 74.7% at last review. Moody's modeled a MAC of 69.5% compared to 66.5% at last review. Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating models, which was released on March 22, 2012. Moody's analysis encompasses the assessment of stress scenarios. Moody's review also incorporated the CMBS IO calculator ver 1.0, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to rating changes within the reference obligation pool. Holding all other key parameters static, changing the current ratings and credit estimates of the reference obligations by one notch downward or by one notch upward affects the model results by approximately 1.1 to 1.5 notches downward and 0.9 to 1.2 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in May 2012. The methodology used in rating Interest-Only Security was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for Seawall 2006-1, Ltd.'s rating of Classes X. SEMPER FINANCE 2006-1: S&P Withdraws 'BB-' Rating on Class F Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered to 'A- (sf)' its credit ratings on Semper Finance 2006-1 Ltd.'s class A+, A, B, and C notes. S&P subsequently withdrew its ratings on all classes of notes. Semper Finance 2006-1 is a synthetic, partially funded German commercial mortgage-backed securities (CMBS) transaction. Its purpose is to transfer the credit risk associated with a pool of commercial mortgage loans secured mainly on multifamily real estate in eastern Germany. The loans were originated by Hypothekenbank Frankfurt AG or its predecessors. The issuer's payment obligations under the notes are secured against "lettres de gage publiques" (covered bonds) issued by Hypothekenbank Frankfurt International S.A., the note collateral provider. As such, S&P's ratings on the CMBS notes are linked to the higher of the rating on the lettres de gage publiques and the rating on the collateral provider. In May 2012, S&P withdrew its ratings on the lettres de gage publiques, at the request of the issuer, Hypothekenbank Frankfurt International. Due to an administrative error, S&P did not at that time lower its ratings on the class A+, A, B, and C notes to 'A- (sf)', which was the maximum rating that the note collateral provider (Hypothekenbank Frankfurt International) could support. S&P has lowered its ratings on the class A+, A, B, and C notes to 'A- (sf)' to correct this error. On Dec. 28, 2012, S&P withdrew its ratings on Hypothekenbank Frankfurt and its core subsidiary, Luxembourg-based Hypothekenbank Frankfurt International S.A., at the issuer's request. As a result of these events, the issuer's obligation is no longer supported by either a rated counterparty or rated collateral. S&P understands from the servicer that no action will be taken by the issuer to provide replacement support in the form of rated collateral or a rated counterparty. S&P has therefore withdrawn its ratings on all classes of notes in Semper Finance 2006-1. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating Rating To From Semper Finance 2006-1 Ltd. EUR465.6 Million Floating-Rate Credit Linked Notes Ratings Lowered And Subsequently Withdrawn A+ A- (sf) AAA (sf) NR A- (sf) A A- (sf) AAA (sf) NR A- (sf) B A- (sf) AAA (sf) NR A- (sf) C A- (sf) AA (sf) NR A- (sf) Ratings Withdrawn D NR BBB (sf) E NR BB (sf) F NR BB- (sf) NR-Not rated. SEMPER FINANCE 2007-1: S&P Withdraws 'B' Rating on Class G Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered to 'A- (sf)' its credit ratings on Semper Finance 2007-1 GmbH's class A1+, A2, B, and C notes. S&P subsequently withdrew its ratings on all classes of notes. Semper Finance 2007-1 is a synthetic, fully funded German commercial mortgage-backed securities (CMBS) transaction. Its purpose is to transfer the credit risk associated with a pool of small mortgage loans (each a reference claim and together the reference pool) secured predominately on commercial properties in Germany. All loans in the reference pool were originated by Eurohypo AG or its predecessors. The issuer's payment obligations under the notes are secured against "lettres de gage publiques" (covered bonds) issued by Hypothekenbank Frankfurt International S.A., the note collateral provider. As such, S&P's ratings on the CMBS notes are linked to the higher of the rating on the lettres de gage publiques and the rating on the collateral provider. In May 2012, S&P withdrew its ratings on the lettres de gage publiques, at the request of the issuer, Hypothekenbank Frankfurt International. Due to an administrative error, S&P did not at that time lower its ratings on the class A1+, A2, B, and C notes to 'A- (sf)', which was the maximum rating that the note collateral provider (Hypothekenbank Frankfurt International) could support. S&P has lowered its ratings on the class A1+, A2, B, and C notes to 'A- (sf)' to correct this error. On Dec. 28, 2012, S&P withdrew its ratings on Hypothekenbank Frankfurt and its core subsidiary, Luxembourg-based Hypothekenbank Frankfurt International S.A., at the issuer's request. As a result of these events, the issuer's obligation is no longer supported by either a rated counterparty or rated collateral. S&P understands from the servicer that no action will be taken by the issuer to provide replacement support in the form of rated collateral or a rated counterparty. S&P has therefore withdrawn its ratings on all classes of notes in Semper Finance 2007-1. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Class Rating Rating To From Semper Finance 2007-1 GmbH EUR994.2 Million Floating-Rate Credit Linked Notes Ratings Lowered And Subsequently Withdrawn A1+ A- (sf) AAA (sf) NR A- (sf) A2 A- (sf) AAA (sf) NR A- (sf) B A- (sf) AAA (sf) NR A- (sf) C A- (sf) AA (sf) NR A- (sf) Ratings Withdrawn D NR BBB (sf) E NR BB+ (sf) F NR BB- (sf) G NR B (sf) NR-Not rated. SEQUOIA MORTGAGE: Fitch to Assign 'BB' Rating to Class B-4 Certs. ----------------------------------------------------------------- Fitch Ratings expects to rate Sequoia Mortgage Trust 2013-3 as follows: -- $187,065,000 class A-1 certificate 'AAAsf'; Outlook Stable; -- $187,065,000 class A-2 certificate 'AAAsf'; Outlook Stable; -- $187,066,000 class A-3 certificate 'AAAsf'; Outlook Stable; -- $187,065,000 class A-IO1 notional certificate 'AAAsf'; Outlook Stable; -- $187,065,000 class A-IO2 notional certificate 'AAAsf'; Outlook Stable; -- $561,196,000 class A-IO3 notional certificate 'AAAsf'; Outlook Stable; -- $11,404,000 class B-1 certificate 'AAsf'; Outlook Stable; -- $9,904,000 class B-2 certificate 'Asf'; Outlook Stable; -- $8,102,000 class B-3 certificate 'BBBsf'; Outlook Stable; -- $3,001,000 non-offered class B-4 certificate 'BBsf'; Outlook Stable; The non-offered class B-5 certificate will not be rated. SILVERLEAF FINANCE: S&P Withdraws 'BB+' Rating on Class G Notes --------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on the Class A, B, C, D, E, F, and G notes from Silverleaf Finance VI LLC Series 2008-A. These notes are collateralized by vacation ownership interval (timeshare) loans. The rating withdrawals follow the complete principal paydown of the notes on Jan. 24, 2013. RATING WITHDRAWN Silverleaf Finance VI LLC Series 2008-A Rating Class To From A NR (sf) AAA (sf) B NR (sf) AA (sf) C NR (sf) A (sf) D NR (sf) BBB+ (sf) E NR (sf) BBB (sf) F NR (sf) BBB- (sf) G NR (sf) BB+ (sf) NR-Not rated. SLM PRIVATE 2007-A: Fitch Cuts Ratings on 2 Note Classes to 'BB+' ----------------------------------------------------------------- Fitch Ratings has downgraded the subordinate and junior subordinate notes issued by SLM Private Credit Student Loan Trust 2007-A. At the same time, Fitch has affirmed the senior notes issued by SLM Private Education Loan Trust 2007-A and all outstanding classes of notes issued by SLM Private Credit Student Loan Trust 2005-B, 2006-B and 2006-C. The Rating Outlook for these ratings has been revised to Negative from Stable. Furthermore, Fitch has affirmed the ratings issued by SLM Private Credit Student Loan Trust 2006-A, and the Outlook remains Positive. Fitch used its 'Global SF Criteria' and 'U.S. Private SL ABS Criteria' to review the transaction. The downgrades on the ratings issued by SLM Private Credit Student Loan Trust 2007-A reflect insufficient loss coverage multiples to support existing ratings. Fitch estimates the remaining defaults to range approximately from 14%-16% on the trust. Losses have been accumulating at a faster pace over the last several quarters. In addition, the class C-2 notes are auction rate securities which could decrease the future amount of excess spread. Furthermore, cumulative realized losses as of the December 2012 distribution date are 14.12% and are likely to breach the cumulative loss trigger within the next two years which would cause all principal payments to be directed to the class A notes. The affirmation on the class A notes issued by SLM Private Education Loan Trust 2007-A reflects sufficient loss coverage multiples to support the existing rating and the high probability that the transaction will breach the cumulative loss trigger and senior parity will increase significantly as the class A notes receive all principal payments until paid in full. The affirmation on the outstanding notes issued by SLM Private Education Loan Trust 2005-B, 2006-A, 2006-B and 2006-C reflects sufficient loss coverage multiples to support the existing rating. Fitch estimates remaining defaults for the 2005-B, 2006-B and 2006-C trusts to range from 8%-12% and for the 2006-A trust 4%-6%. Current parity levels are sufficient to cover the projected remaining defaults at the current rating levels. The Negative Outlook is driven by an increase in projected default levels in excess of Fitch's initial expectations. In addition, the Outlooks reflect Fitch's negative view on the private student loan sector in general. The Positive Outlook on the rating issued by SLM Private Education Loan Trust 2006-A is due to lower remaining projected defaults than the other trusts and credit enhancement that is sufficient to cover the remaining defaults even as the trust releases excess cash. Fitch projected future losses and derived loss coverage multiples based on the latest performance data. The projected net loss amounts were compared to available credit enhancement to determine the loss multiples appropriate for each rating category. Credit enhancement consists of a combination of excess spread, overcollateralization, and subordination. The collateral securing the notes are private student loans originated to undergraduate, graduate, law, Med and MBA students under the Signature and EXCEL programs. In addition, the 2007-A trust is comprised of direct-to-consumer loans and private consolidation loans. The private student loans are intended to assist individuals in financing their undergraduate or graduate education beyond FFELP limits. Fitch takes these actions: SLM Private Credit Student Loan Trust 2007-A: -- Class A-2 affirmed at 'AA-sf'; Outlook revised to Negative from Stable; -- Class A-3 affirmed at 'AA-sf'; Outlook revised to Negative from Stable; -- Class A-4 affirmed at 'AA-sf'; Outlook revised to Negative from Stable; -- Class B downgraded to 'BBB+sf' from 'A+sf'; Outlook revised to Negative from Stable; -- Class C-1 downgraded to 'BB+sf' from 'A-sf'; Outlook revised to Negative from Stable; -- Class C-2 downgraded to 'BB+sf' from 'A-sf'; Outlook revised to Negative from Stable. SLM Private Credit Student Loan Trust 2005-B: -- Class A-2 affirmed at 'AAAsf'; Outlook revised to Negative from Stable; -- Class A-3 affirmed at 'AAAsf'; Outlook revised to Negative from Stable; -- Class A-4 affirmed at 'AAAsf'; Outlook revised to Negative from Stable; -- Class B affirmed at 'AAsf'; Outlook revised to Negative from Stable; -- Class C affirmed at 'Asf'; Outlook revised to Negative from Stable. SLM Private Credit Student Loan Trust 2006-A: -- Class A-3 affirmed at 'AAsf'; Outlook Positive; -- Class A-4 affirmed at 'AAsf'; Outlook Positive; -- Class A-5 affirmed at 'AAsf'; Outlook Positive; -- Class B affirmed at 'AA-sf'; Outlook Positive; -- Class C affirmed at 'A-sf'; Outlook Positive. SLM Private Credit Student Loan Trust 2006-B: -- Class A-3 affirmed at 'AAAsf'; Outlook revised to Negative from Stable; -- Class A-4 affirmed at 'AAAsf'; Outlook revised to Negative from Stable; -- Class A-5 affirmed at 'AAAsf'; Outlook revised to Negative from Stable; -- Class B affirmed at 'AAsf'; Outlook revised to Negative from Stable; -- Class C affirmed at 'Asf'; Outlook revised to Negative from Stable. SLM Private Credit Student Loan Trust 2006-C: -- Class A-2 Paid in Full; -- Class A-3 affirmed at 'AA-sf'; Outlook revised to Negative from Stable; -- Class A-4 affirmed at 'AA-sf'; Outlook revised to Negative from Stable; -- Class A-5 affirmed at 'AA-sf'; Outlook revised to Negative from Stable; -- Class B affirmed at 'A+sf'; Outlook revised to Negative from Stable; -- Class C affirmed at 'A-sf'; Outlook revised to Negative from Stable. SPRINGLEAF FUNDING: S&P Assigns 'B' Rating on Class D Notes ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Springleaf Funding Trust 2013-A's $604.30 million asset-backed notes series 2013-A. The note issuance is an asset-backed securitization backed by personal consumer loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 38.6%, 32.4%, 29.4%, and 24.8% credit support to the class A, B, C, and D notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the ratings on the notes based on S&P's stressed cash flow scenarios. -- S&P's expectation that under a moderate, or 'BBB', stress scenario, the ratings on the class A, B, and C notes would remain within two rating categories of S&P's 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings. These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bound of credit deterioration equal to a two-category downgrade within the first year for 'A (sf)' through 'BB (sf)' rated securities under moderate stress conditions. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- The characteristics of the pool being securitized. -- The operational risks associated with Springleaf Finance Corp.'s decentralized business model. -- The transaction's payment and legal structures. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1278.pdf RATINGS ASSIGNED Springleaf Funding Trust 2013-A Class Rating Type Interest Amount rate (mil. $) A A (sf) Senior Fixed 500.00 B BBB (sf) Subordinate Fixed 46.35 C BB (sf) Subordinate Fixed 21.53 D B (sf) Subordinate Fixed 36.42 STONE TOWER: Moody's Ups Rating on $20MM Cl. A-3L Notes to 'Ba2' ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Stone Tower CDO, Ltd.: U.S. $37,000,000 Class A-1LB Floating Rate Notes, Due 2040 (current balance of $34,025,947), Upgraded to Aaa (sf); previously on March 30, 2012 Upgraded to Aa3 (sf); U.S. $44,000,000 Class A-2L Floating Rate Notes, Due 2040, Upgraded to A2 (sf); previously on March 30, 2012 Upgraded to Baa2 (sf); U.S. $20,000,000 Class A-3L Floating Rate Notes, Due 2040, Upgraded to Ba2 (sf); previously on March 30, 2012 Upgraded to B1 (sf). Moody's also affirmed the rating of the following class of notes: U.S. $24,000,000 Class B-1L Floating Rate Notes Due January 29, 2040 (current balance of $17,435,102), Affirmed Caa3 (sf); previously on September 30, 2011 Upgraded to Caa3 (sf). Ratings Rationale: According to Moody's, the rating upgrade is the result of improvement in the credit quality of the underlying portfolio. Such credit improvement is observed primarily through an increase in the transaction's overcollateralization ratios due to note paydowns, including payment in full of the Class A-1LA Notes. Based on the latest trustee report dated January 2013, the Senior Class A and Class A overcollateralization test ratios are reported at 163.86% and 132.53%, respectively, versus March 2012 levels of 147.36% and 124.91%, respectively. Additionally, the Class A-1LB Notes are benefitting from the diversion of excess interest proceeds as a result of the continuing Class B Overcollateralization Test failure. Stone Tower CDO, Ltd., issued in December 2004, is a collateralized debt obligation backed primarily by a portfolio of CLOs originated in 2004. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's applied the Monte Carlo simulation framework within CDOROMv2.8 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model. The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's notes that in arriving at its ratings of SF CDOs backed by CLOs, there exist a number of sources of uncertainty, operating both on a transaction-specific and on a macroeconomic level. CLO notes' performance may be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Moody's rating action factors in a number of sensitivity analyses and stress scenarios. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal: Moody's Ba1 and below rated assets notched down by 2 rating notches: Class A-1LB: -1 Class A-2L: -2 Class A-3L: -2 Class B-1L: -2 Moody's Ba1 and below rated assets notched up by 2 rating notches: Class A-1LB: 0 Class A-2L: +2 Class A-3L: +2 Class B-1L: +3 SYMPHONY CLO III: Moody's Hikes Rating on Class E Notes to 'Ba2' ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Symphony CLO III, Ltd.: USD22,700,000 Class A-1b Senior Notes Due May 15, 2019, Upgraded to Aaa (sf); previously on September 6, 2011 Upgraded to Aa1 (sf) USD75,000,000 Class A-2a Senior Revolving Notes Due May 15, 2019, Upgraded to Aaa (sf); previously on September 6, 2011 Confirmed at Aa1 (sf) USD1,000,000 Class A-2b Senior Notes Due May 15, 2019, Upgraded to Aaa (sf); previously on September 6, 2011 Upgraded to Aa2 (sf) USD24,000,000 Class B Senior Notes Due May 15, 2019, Upgraded to Aa1 (sf); previously on September 6, 2011 Upgraded to A2 (sf) USD22,500,000 Class C Deferrable Mezzanine Notes Due May 15, 2019, Upgraded to A2 (sf); previously on September 6, 2011 Upgraded to Baa2 (sf) USD18,000,000 Class D Deferrable Mezzanine Notes Due May 15, 2019, Upgraded to Baa3 (sf); previously on September 6, 2011 Upgraded to Ba2 (sf) USD11,500,000 Class E Deferrable Junior Notes Due May 15, 201, Upgraded to Ba2 (sf); previously on September 6, 2011 Upgraded to B1 (sf) Moody's also affirmed the rating of the following notes: USD204,300,000 Class A-1a Senior Notes Due May 15, 2019, Affirmed Aaa (sf); previously on September 6, 2011 Upgraded to Aaa (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in May 2013. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive buffer relative to certain covenant requirements. In particular, the deal is assumed to benefit from lower WARF and higher spread levels compared to the levels assumed at the last rating action in May 2013. Moody's modeled a WARF of 2797 compared to 3022 at the time of the last rating action and a weighted average spread of 3.82% compared to 2.94% at the time of the last rating action. In addition, the weighted average recovery rate has increased since the last rating action. Moody's modeled a recovery rate of 49.95% compared to 47.89% at the time of the last rating action. In addition, the deal's overcollateralization ratios have been stable since the last rating action. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $407 million, defaulted par of $4.8 million, a weighted average default probability of 18.53% (implying a WARF of 2797), a weighted average recovery rate upon default of 49.95%, and a diversity score of 53. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Symphony CLO III, Ltd, issued in March 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2238) Class A-1a: 0 Class A-1b: 0 Class A-2a: 0 Class A-2b: 0 Class B: +1 Class C: +2 Class D: +2 Class E: +2 Moody's Adjusted WARF + 20% (3356) Class A-1a: 0 Class A-1b: -1 Class A-2a: 0 Class A-2b: -1 Class B: -2 Class C: -2 Class D: -1 Class E: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. TCW GLOBAL: S&P Affirms 'BB+' Ratings on 2 Note Classes ------------------------------------------------------- Standard & Poor's Ratings Services raised its rating to 'AAA (sf)' on the class A-1 notes issued by TCW Global Project Fund III Ltd., a cash flow CDO managed by EIG Management Co. LLC and collateralized by project finance securities. Concurrently, S&P affirmed its ratings on the class revolving, A-2, B-1, B-2 and C notes. The upgrade mainly reflects paydowns to the class revolving notes and a subsequent improvement in the credit support available to the notes since May 2011, when S&P affirmed its ratings on all of the notes. Since that time, the transaction has paid down the class revolving notes by approximately $464 million. These paydowns have left the class revolving notes at 34.86% of their original balance. The upgrade also reflects an improvement in the overcollateralization (O/C) available to support the notes, primarily because of the aforementioned paydowns. The trustee reported the following O/C ratios in the December 2012 quarterly report: -- The class A O/C ratio was 140.3% compared with a reported ratio of 120.8% in February 2011; -- The class B O/C ratio was 123.9% compared with a reported ratio of 113.2% in February 2011; and -- The class C O/C ratio was 113.4% compared with a reported ratio of 107.8% in February 2011. The affirmations of S&P's ratings on the class revolving, A-2, B- 1, B-2, and C notes reflect the availability of credit support at the current rating levels. The actions incorporate S&P's criteria for rating corporate CDO transactions including its application of the largest-obligor default test, one of the two supplemental tests that S&P introduced as part of its revised corporate CDO criteria. S&P applies the supplemental tests to address event risk and model risk that may be present in rated transactions. The largest- obligor default test assesses whether a CDO tranche has sufficient credit enhancement (excluding excess spread) to withstand specified combinations of underlying asset defaults based on the ratings on the underlying assets, with a flat recovery. S&P will continue to review whether, in its view, the ratings it assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING RAISED TCW Global Project Fund III Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf) RATINGS AFFIRMED TCW Global Project Fund III Ltd. Class Rating Revolving AAA (sf) A-2 A+ (sf) B-1 BB+ (sf) B-2 BB+ (sf) C B+ (sf) TRANSACTION INFORMATION Issuer: TCW Global Project Fund III Ltd. Coissuer: TCW Global Project Fund III Inc. Collateral manager: EIG Management Co. LLC Underwriter: Citigroup Inc. Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO TRAPEZA CDO II: S&P Raises Rating on Class A-1B Notes to BB+ ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the Class A-1B notes from Trapeza CDO II LLC and the Class A-1A and A-1B notes from Trapeza CDO III LLC. The two deals are U.S. collateralized bond obligation (CBO) transactions backed by trust preferred securities (TruPs) issued by financial institutions. Both transactions are managed by Trapeza Capital Management. The upgrades reflect paydowns to the senior notes and an improvement in the credit support available to the notes in both transactions since S&P last upgraded the notes in mid-2012. Last year's upgrade followed an update to S&P's criteria for rating CDOs backed by bank TruPs. Since then, the Trapeza CDO II LLC transaction has paid down its Class A-1B notes by approximately $14 million, leaving the note's balance at 70.02% of the original amount. Through the same period, the Trapeza CDO III LLC transaction has paid down its Class A-1A notes by approximately $30 million, leaving the note's balance at 11.65% of its original amount. The upgrades also reflect an improvement in the overcollateralization (O/C) available to the notes since the time of the last actions, mainly due to the aforementioned paydowns. The trustee reported the following O/C ratios in the December 2012 monthly report for the Trapeza CDO II LLC transaction: -- The class A/B O/C ratio was 175.86% compared with a reported ratio of 140.96% in April 2012. -- The class C/D O/C ratio was 77.78% compared with a reported ratio of 71.65% in April 2012. The trustee reported the following O/C ratios in the January 2013 monthly report for the Trapeza CDO III LLC transaction: -- The class A/B O/C ratio was 117.66% compared with a reported ratio of 108.66% in April 2012. -- The class C/D O/C ratio was 70.57% compared with a reported ratio of 69.47% in April 2012. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deem necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Trapeza CDO II LLC Rating Class To From A-1B BBB+ (sf) BB+/Watch Pos (sf) Trapeza CDO III LLC Rating Class To From A-1A A+ (sf) BBB-/Watch Pos (sf) A-1B BB+ (sf) B+/Watch Pos (sf) TROPIC CDO I: Fitch Lowers Rating on Class A-3L Notes to 'D' ------------------------------------------------------------ Fitch Ratings has downgraded two classes of notes issued by Tropic CDO I, Ltd./Corp. as follows: -- $51,228,367 class A-2L notes to 'BBsf' from 'BBBsf'; Outlook revised to Negative from Stable; -- $42,000,000 class A-3L notes to 'Dsf' from 'Bsf'. The rating downgrades reflect the heightened risk of a possible interest shortfall to the class A-2L notes and the partial default in the payment of interest to the class A-3L notes. Tropic I entered an Event of Default on Jan. 24, 2013 due to the partial default in the payment of interest to the class A-3L notes. The default was the result of a decrease in interest proceeds following the redemption of one performing issuer. While the redemptions by performing issuers pay down the CDO notes, the resulting reduction of the CDO's cost of funding is exceeded by the reduction of the interest proceeds. The A-2L notes coupon is three-month LIBOR(3mL) plus 90 basis points (bps) while the coupon of the asset that redeemed since Fitch's last rating action on Aug. 31, 2012 is 3mL + 325 bps. There have been no new deferrals since the last Fitch action and only one cure which subsequently redeemed. The credit quality of the performing issuers remained stable. With an increasingly concentrated portfolio of only 13 performing issuers, the possibility of one additional deferral or redemption, whereby decreasing interest proceeds available, could adversely affect timely interest payments on the class A-2L notes. As such, the notes have been downgraded to 'BBsf' and the Rating Outlook has been revised to Negative to reflect the risk of interest shortfall. The non-deferrable class A-3L notes are not expected to receive their full periodic interest amount due going forward and accordingly, have been downgraded to 'Dsf'. Tropic CDO I, Ltd./Corp. is a trust preferred collateralized debt obligation (TruPS CDO), which closed April 23, 2003. The portfolio is composed of bank (95.9%) and insurance (4.1%) trust preferred securities. UBS-BB 2013-C5: Moody's Assigns '(P)B2' Rating to Class F CMBS -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to fourteen classes of CMBS securities, issued by UBS-BB 2013-C5, Commercial Mortgage Pass-Through Certificates, Series 2013-C5. Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-AB, Assigned (P)Aaa (sf) Cl. A-S, Assigned (P)Aaa (sf) ** Cl. X-A, Assigned (P)Aaa (sf) * Cl. X-B, Assigned (P)A2 (sf) * Cl. B, Assigned (P)Aa3 (sf) ** Cl. EC, Assigned (P)A2 (sf) ** Cl. C, Assigned (P)A3 (sf) ** Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba2 (sf) Cl. F, Assigned (P)B2 (sf) * Reflects Interest Only Classes ** Reflects Exchangeable Certificates Ratings Rationale: The Certificates are collateralized by 81 fixed rate loans secured by 122 properties. The ratings are based on the collateral and the structure of the transaction. Moody's CMBS ratings methodology combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR; and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The Moody's Actual DSCR of 1.96X is greater than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.07X is greater than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 95.7% is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's Total LTV ratio (inclusive of subordinated debt) of 96.5% is also considered when analyzing various stress scenarios for the rated debt. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level (includes cross collateralized and cross defaulted loans) Herfindahl Index is 17.3., which is slightly lower than Herfindahl scores found in most multi-borrower transactions issued since 2009. With respect to property level diversity, the pool's property level Herfindahl Index is 20.0, which is also slightly lower than the indices calculated in most multi-borrower transactions issued since 2009. Both Herfindahl scores, however, are significantly impacted by the presence of the two largest loans in the pool, which account for 27.6% of the pool balance. The two loans, identified as Santa Anita Mall and Valencia Mall, are of relatively low leverage as they are assigned a Moody's LTV's of 81.3% and 84.2%, respectively. Excluding these two properties, the pool's loan level and property level Herfindahl scores are 26.9 and 46.4, respectively. This deal has a super-senior Aaa class with 30% credit enhancement. Although the additional enhancement offered to the senior most certificate holders provides additional protection against pool loss, the super-senior structure is credit negative for the certificate that supports the super-senior class. If the support certificate were to take a loss, the loss would have the potential to be quite large on a percentage basis. Thin tranches need more subordination to reduce the probability of default in recognition that their loss-given default is higher. This adjustment helps keep expected loss in balance and consistent across deals. The transaction was structured with additional subordination at class A-S to mitigate the potential increased severity to class A-S. Moody's also grades properties on a scale of 1 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.17, which is higher than the indices calculated in most multi-borrower transactions since 2009. In terms of waterfall structure, the transaction contains a unique group of exchangeable certificates. Classes A-S((P) Aaa (sf)), B ((P) Aa3 (sf)) and C ((P) A3 (sf)) may be exchanged for Class EC ((P) A2 (sf)) certificates and Class EC may be exchanged for the Classes A-S, B and C. The EC certificates will be entitled to receive the sum of interest distributable on the Classes A-S, B and C certificates that are exchanged for such EC certificates. The initial certificate balance of the Class EC certificates is equal to the aggregate of the initial certificate balances of the Class A-S, B and C and represent the maximum certificate balance of the EC certificates that may be issued in an exchange. Moody's considers the probability of certificate default as well as the estimated severity of loss when assigning a rating. As a thick vertical tranche, Class EC has the default characteristics of the lowest rated component certificate ((P) A3 (sf)), but a very high estimated recovery rate if a default occurs given the certificate's thickness. The higher estimated recovery rate resulted in a provisional A2 (sf) rating, a rating higher than the lowest provisionally rated component certificate. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Classes X-A1, and X-B1. Moody's analysis employs the excel-based CMBS Conduit Model v2.62 which derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level DSCR and LTV ratios. Major adjustments to determining proceeds include loan structure, property type, sponsorship, and diversity. Moody's analysis also uses the CMBS IO calculator ver_1.1, which references the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The V Score for this transaction is assessed as Low/Medium, the same as the V score assigned to the U.S. Conduit and CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling, and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 14%, and 22%, the model-indicated rating for the currently rated Aaa Super Senior class would be Aaa, Aaa, and Aa1, respectively; for the most junior Aaa rated class A-S would be Aa1, Aa3, and A1, respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. WACHOVIA BANK 2005-WHALE 6: Moody's Keeps Caa2 Rating on 3 CMBS --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of three classes of Wachovia Bank Commercial Mortgage Pass-Through Certificates, Series 2005-WHALE 6. Moody's rating action is as follows: Cl. K, Affirmed Caa2 (sf); previously on Jul 14, 2010 Downgraded to Caa2 (sf) Cl. X-1B, Affirmed Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Cl. X-2, Affirmed Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Ratings Rationale: The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) remaining within acceptable ranges. The rating of the two IO Classes, Class X-1B and X-2, are consistent with the credit performance of its referenced classes and thus are affirmed. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction 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, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GPD growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Rating Caps for CMBS in the Tail Period" published in October 2011. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Classes X1-B and X-2. Moody's review incorporated the use of the excel-based Large Loan Model v 8.5. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The model incorporates the CMBS IO calculator ver1.1, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports, Servicer Reports, and Remittance Statements. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated March 15, 2012. Deal Performance As of the January 17, 2013 Payment Date, the transaction's aggregate certificate balance has not changed since last review. The one remaining loan in the pool was transferred to special servicing on May 25, 2010 due to imminent default but remains current. The loan has matured after two years of forbearance period (July 9, 2012). The pooling and servicing agreement for the transaction prohibits loans being extended beyond the date which is five years prior to the Rated Final Distribution Date (October 2017), and the deal is currently in its tail period. The special servicer completed the foreclosure sale in October 2012. As of the current Payment Date, there are outstanding interest shortfalls totaling $10,350 and cumulative loss of $3,750 affecting Class K. The 230 Peachtree Loan ($18 million - 100% of the trust balance) is secured by a 414,768 square foot Class A office building located in downtown Atlanta, GA. The building was completed in 1965 and renovated in 1997. The collateral consists of office, ground floor retail and below grade parking. The property's net cash flow (NCF) for the trailing twelve month period ending September 2012 was approximately $1.8 million. According to the rent roll dated September 2012, the building is 53% leased. An updated appraisal dated November 1, 2012 valued the property at $15.4 million, down from a February 20, 2012 appraisal which valued the property at $16.7 million. The decrease in value reflects stressed Atlanta office market conditions and lease rollover at the property. Moody's trust LTV ratio is over 100%. Moody's stressed debt service coverage ratio (DSCR) for the trust is 1.02X. * Moody's Cuts Ratings on 29 Tranches of 4 Wells Fargo RMBS Deals ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 29 tranches and affirmed the ratings of 20 tranches from four RMBS transactions issued by Wells Fargo. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate Prime Jumbo residential mortgages. The actions impact approximately $535 million of RMBS issued in 2003 and 2004. Issuer: Wells Fargo Mortgage Backed Securities 2003-N Trust Cl. I-A-1, Downgraded to Baa1 (sf); previously on Apr 18, 2011 Downgraded to A1 (sf) Cl. II-A-1, Downgraded to Baa3 (sf); previously on Apr 10, 2012 Downgraded to Baa1 (sf) Cl. I-A-2, Downgraded to A3 (sf); previously on Apr 18, 2011 Downgraded to Aa2 (sf) Cl. I-A-3, Downgraded to Ba1 (sf); previously on Apr 10, 2012 Downgraded to A3 (sf) Cl. I-A-6, Downgraded to Baa1 (sf); previously on Apr 18, 2011 Downgraded to A1 (sf) Cl. II-A-3, Downgraded to Ba1 (sf); previously on Apr 10, 2012 Downgraded to Baa2 (sf) Cl. II-A-4, Downgraded to Ba2 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Cl. III-A-1, Affirmed A1 (sf); previously on Apr 18, 2011 Downgraded to A1 (sf) Cl. II-A-2, Affirmed A3 (sf); previously on Apr 10, 2012 Downgraded to A3 (sf) Cl. III-A-2, Affirmed Baa1 (sf); previously on Apr 10, 2012 Downgraded to Baa1 (sf) Cl. III-A-4, Affirmed A1 (sf); previously on Apr 18, 2011 Downgraded to A1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2004-6 Trust Cl. A-4, Downgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to A2 (sf) Cl. A-6, Downgraded to Baa1 (sf); previously on Apr 18, 2011 Downgraded to A2 (sf) Cl. A-7, Downgraded to Baa1 (sf); previously on Apr 18, 2011 Downgraded to A3 (sf) Cl. A-12, Downgraded to Baa3 (sf); previously on Apr 18, 2011 Downgraded to Baa2 (sf) Cl. A-2, Affirmed A1 (sf); previously on Apr 18, 2011 Downgraded to A1 (sf) Cl. A-3, Affirmed Baa2 (sf); previously on Apr 18, 2011 Downgraded to Baa2 (sf) Cl. A-8, Affirmed Ba1 (sf); previously on Apr 10, 2012 Confirmed at Ba1 (sf) Cl. A-9, Affirmed A1 (sf); previously on Apr 18, 2011 Downgraded to A1 (sf) Cl. A-10, Affirmed A3 (sf); previously on Apr 18, 2011 Downgraded to A3 (sf) Cl. A-11, Affirmed Baa2 (sf); previously on Apr 18, 2011 Downgraded to Baa2 (sf) Cl. A-16, Affirmed Ba1 (sf); previously on Apr 10, 2012 Confirmed at Ba1 (sf) Cl. A-PO, Affirmed Baa2 (sf); previously on Apr 18, 2011 Downgraded to Baa2 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2004-K Trust Cl. I-A-1, Downgraded to Ba1 (sf); previously on Apr 10, 2012 Downgraded to Baa1 (sf) Cl. II-A-1, Downgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to A1 (sf) Cl. I-A-2, Downgraded to Ba1 (sf); previously on Apr 10, 2012 Downgraded to A3 (sf) Cl. I-A-3, Downgraded to Ba1 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Cl. II-A-2, Downgraded to Baa3 (sf); previously on Apr 10, 2012 Downgraded to Baa1 (sf) Cl. II-A-3, Downgraded to A3 (sf); previously on Apr 10, 2012 Downgraded to Aa3 (sf) Cl. II-A-6, Downgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to A1 (sf) Cl. II-A-8, Downgraded to A3 (sf); previously on Apr 10, 2012 Downgraded to Aa3 (sf) Cl. II-A-11, Downgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to A1 (sf) Cl. II-A-12, Downgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to A1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2003-J Trust Cl. II-A-1, Downgraded to Baa1 (sf); previously on Apr 10, 2012 Confirmed at A2 (sf) Cl. V-A-1, Downgraded to Ba1 (sf); previously on Apr 10, 2012 Downgraded to A3 (sf) Cl. I-A-5, Downgraded to Baa3 (sf); previously on Apr 10, 2012 Downgraded to Baa1 (sf) Cl. I-A-9, Downgraded to Baa3 (sf); previously on Apr 10, 2012 Downgraded to Baa1 (sf) Cl. I-A-10, Downgraded to Baa3 (sf); previously on Apr 10, 2012 Downgraded to Baa1 (sf) Cl. I-A-12, Downgraded to Ba3 (sf); previously on Apr 10, 2012 Downgraded to Ba1 (sf) Cl. III-A-2, Downgraded to Ba1 (sf); previously on Apr 10, 2012 Downgraded to Baa1 (sf) Cl. III-A-3, Downgraded to B1 (sf); previously on Apr 10, 2012 Downgraded to Ba1 (sf) Cl. IV-A-1, Affirmed A1 (sf); previously on Apr 10, 2012 Downgraded to A1 (sf) Cl. II-A-2, Affirmed A1 (sf); previously on Apr 18, 2011 Downgraded to A1 (sf) Cl. II-A-3, Affirmed Baa2 (sf); previously on Apr 10, 2012 Downgraded to Baa2 (sf) Cl. II-A-5, Affirmed Aa3 (sf); previously on Apr 10, 2012 Downgraded to Aa3 (sf) Cl. II-A-6, Affirmed Aa1 (sf); previously on Apr 10, 2012 Downgraded to Aa1 (sf) Cl. II-A-7, Affirmed A3 (sf); previously on Apr 10, 2012 Downgraded to A3 (sf) Cl. IV-A-2, Affirmed A2 (sf); previously on Apr 10, 2012 Downgraded to A2 (sf) Cl. IV-A-3, Affirmed Baa1 (sf); previously on Apr 10, 2012 Downgraded to Baa1 (sf) Ratings Rationale: The actions are a result of the recent performance of Prime jumbo pools originated before 2005 and reflect Moody's updated loss expectations on the pools. The downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for certain bonds than previously anticipated. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. Moody's adjusts the methodologies for 1) Moody's current view on loan modifications and 2) small pool volatility. Loan Modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013. Small Pool Volatility The RMBS approach only applies to structures with at least 40 loans and a pool factor of greater than 5%. Moody's can withdraw its rating when the pool factor drops below 5% and the number of loans in the deal declines to 40 loans or lower. If, however, a transaction has a specific structural feature, such as a credit enhancement floor, that mitigates the risks of small pool size, Moody's can choose to continue to rate the transaction. To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools originated before 2005, Moody's first applies a baseline delinquency rate of 3.0%. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a pool with 75 loans, the adjusted rate of new delinquency would be 3.03%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in September 2011 to 7.9% in January 2013. Moody's forecasts a further drop to 7.5% by 2014. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. * Moody's Takes Rating Actions on 36 Tranches of Alt-A Loans ------------------------------------------------------------ Moody's Investors Service has upgraded the rating of two tranches, downgraded the rating of seven tranches, and affirmed the rating of 27 tranches from six transactions, backed by Alt-A loans. Ratings Rationale: The actions are a result of recent performance review of these deals and reflect Moody's updated loss expectations on these pools. The upgrades on two tranches are due to an increase in the credit enhancement that is provided by subordination, overcollateralization, and excess spread. The majority of the downgrades are primarily due to the weak interest shortfall reimbursement mechanism. Moody's caps the ratings of tranches with weak interest shortfall reimbursement at A3 as long as they have not experienced any shortfall. The tranches downgraded do not have current interest shortfalls but in the event of an interest shortfall, structural limitations in the transactions will prevent recoupment of interest shortfalls even if funds are available in subsequent periods. Missed interest payments on mezzanine tranches can only be made up from excess interest and in many cases after the overcollateralization is built to a target amount. In these transactions where overcollateralization is already below target due to poor performance, any missed interest payments to mezzanine tranches is unlikely to be paid. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) small pool volatility. Loan Modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013. Small Pool Volatility The above RMBS approach only applies to structures with at least 40 loans and pool factor of greater than 5%. Moody's can withdraw its rating when the pool factor drops below 5% and the number of loans in the deal declines to lower than 40. If, however, a transaction has a specific structural feature, such as a credit enhancement floor, that mitigates the risks of small pool size, Moody's can choose to continue to rate the transaction. For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on Alt-A pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For Alt-A pools, Moody's first applies a baseline delinquency rate of 10% for 2004, 5% for 2003 and 3% for 2002 and prior. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2004 pool with 75 loans, the adjusted rate of new delinquency is 10.1%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate calculated above by a factor ranging from 0.50 to 2.0 for current delinquencies that range from less than 2.5% to greater than 30% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in September 2011 to 7.9% in January 2013. Moody's forecasts a further drop to 7.5% by 2014. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. Complete rating actions are as follows: Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, Series 2004-5 Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. A-1, Affirmed Aa1 (sf); previously on Mar 25, 2011 Downgraded to Aa1 (sf) Cl. M-2, Affirmed Baa2 (sf); previously on May 10, 2012 Downgraded to Baa2 (sf) Cl. M-3, Affirmed Baa3 (sf); previously on May 10, 2012 Confirmed at Baa3 (sf) Cl. M-4, Affirmed Ba2 (sf); previously on May 10, 2012 Confirmed at Ba2 (sf) Cl. M-5, Affirmed B3 (sf); previously on May 10, 2012 Downgraded to B3 (sf) Cl. M-6, Affirmed Ca (sf); previously on Mar 25, 2011 Downgraded to Ca (sf) Cl. M-7, Affirmed C (sf); previously on Mar 25, 2011 Downgraded to C (sf) Cl. A-4, Affirmed Aa1 (sf); previously on Mar 25, 2011 Downgraded to Aa1 (sf) Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, Series 2004-6 Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. M-4, Upgraded to B2 (sf); previously on May 10, 2012 Downgraded to B3 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on May 10, 2012 Downgraded to Ca (sf) Cl. A-3A, Affirmed Aaa (sf); previously on Jan 27, 2005 Assigned Aaa (sf) Cl. M-3, Affirmed Baa2 (sf); previously on May 10, 2012 Confirmed at Baa2 (sf) Cl. M-6, Affirmed C (sf); previously on Mar 25, 2011 Downgraded to C (sf) Cl. M-7, Affirmed C (sf); previously on Mar 25, 2011 Downgraded to C (sf) Cl. A-3B, Affirmed Aaa (sf); previously on Jan 16, 2008 Confirmed at Aaa (sf) Underlying Rating: Affirmed Aaa (sf); previously on Jul 9, 2008 Assigned Aaa (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. M-8, Affirmed C (sf); previously on Mar 25, 2011 Downgraded to C (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2002-3 Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. B, Affirmed B1 (sf); previously on Oct 24, 2005 Downgraded to B1 (sf) Issuer: MASTR Adjustable Rate Mortgages Trust 2004-11 Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Affirmed B1 (sf); previously on May 2, 2012 Downgraded to B1 (sf) Cl. B-1, Affirmed C (sf); previously on May 2, 2012 Downgraded to C (sf) Cl. B-2, Affirmed C (sf); previously on Feb 28, 2011 Downgraded to C (sf) Issuer: MASTR Adjustable Rate Mortgages Trust 2004-2 Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Affirmed Ba3 (sf); previously on May 2, 2012 Downgraded to Ba3 (sf) Cl. B, Affirmed C (sf); previously on May 2, 2012 Downgraded to C (sf) Issuer: MASTR Adjustable Rate Mortgages Trust 2004-9 Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-3, Affirmed Aaa (sf); previously on Feb 14, 2005 Assigned Aaa (sf) Cl. 1-A-4, Affirmed Aaa (sf); previously on Feb 14, 2005 Assigned Aaa (sf) Cl. 1-A-5, Affirmed Aaa (sf); previously on Feb 14, 2005 Assigned Aaa (sf) Cl. 1-A-6, Affirmed Aaa (sf); previously on Feb 14, 2005 Assigned Aaa (sf) Cl. M-2, Affirmed Caa2 (sf); previously on May 2, 2012 Downgraded to Caa2 (sf) Cl. B-1, Affirmed C (sf); previously on Feb 28, 2011 Downgraded to C (sf) Cl. B-2, Affirmed C (sf); previously on Feb 28, 2011 Downgraded to C (sf) * Moody's Takes Action on 84 RMBS Tranches Issued 2003 and 2004 --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 13 tranches and affirmed the ratings of 71 tranches from six RMBS transactions issued by miscellaneous issuers, backed by Prime loans, and issued between 2003 and 2004. Complete rating actions are as follows: Issuer: Citicorp Mortgage Securities, Inc. 2004-6 Cl. IA-3, Affirmed A1 (sf); previously on May 2, 2011 Downgraded to A1 (sf) Cl. IA-6, Affirmed A1 (sf); previously on May 2, 2011 Downgraded to A1 (sf) Cl. IA-7, Affirmed A2 (sf); previously on Apr 6, 2012 Confirmed at A2 (sf) Cl. IA-10, Affirmed A1 (sf); previously on May 2, 2011 Downgraded to A1 (sf) Cl. IA-PO, Affirmed A1 (sf); previously on May 2, 2011 Downgraded to A1 (sf) Cl. IIA-1, Affirmed A1 (sf); previously on May 2, 2011 Downgraded to A1 (sf) Cl. IIA-PO, Affirmed Baa2 (sf); previously on May 2, 2011 Downgraded to Baa2 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-23 Cl. II-A-1, Affirmed A3 (sf); previously on Apr 10, 2012 Downgraded to A3 (sf) Cl. IV-A-1, Affirmed A1 (sf); previously on Apr 10, 2012 Upgraded to A1 (sf) Cl. V-A-1, Affirmed A1 (sf); previously on Apr 10, 2012 Upgraded to A1 (sf) Cl. VI-A-1, Affirmed A2 (sf); previously on Apr 10, 2012 Upgraded to A2 (sf) Cl. VII-A-1, Affirmed A1 (sf); previously on Apr 10, 2012 Upgraded to A1 (sf) Cl. VIII-A-1, Affirmed Aa3 (sf); previously on Apr 10, 2012 Upgraded to Aa3 (sf) Cl. I-A-4, Affirmed A3 (sf); previously on Apr 10, 2012 Downgraded to A3 (sf) Cl. I-A-6, Affirmed A2 (sf); previously on Apr 10, 2012 Downgraded to A2 (sf) Cl. I-A-7, Affirmed Ba1 (sf); previously on Apr 10, 2012 Downgraded to Ba1 (sf) Cl. I-A-11, Affirmed Baa3 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Cl. I-A-15, Affirmed Baa2 (sf); previously on Apr 10, 2012 Downgraded to Baa2 (sf) Cl. I-A-18, Affirmed A3 (sf); previously on Apr 10, 2012 Downgraded to A3 (sf) Cl. I-A-19, Affirmed Baa3 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Cl. I-A-21, Affirmed Ba3 (sf); previously on Apr 10, 2012 Downgraded to Ba3 (sf) Cl. I-X, Affirmed Ba3 (sf); previously on Apr 10, 2012 Confirmed at Ba3 (sf) Cl. I-P, Affirmed Ba3 (sf); previously on Apr 10, 2012 Downgraded to Ba3 (sf) Cl. A-P, Affirmed Baa2 (sf); previously on Apr 10, 2012 Downgraded to Baa2 (sf) Cl. II-A-5, Affirmed A3 (sf); previously on Apr 10, 2012 Downgraded to A3 (sf) Cl. II-A-6, Affirmed Baa2 (sf); previously on Apr 10, 2012 Downgraded to Baa2 (sf) Cl. II-A-8, Affirmed A3 (sf); previously on Apr 10, 2012 Downgraded to A3 (sf) Cl. II-X, Affirmed Ba3 (sf); previously on Apr 10, 2012 Confirmed at Ba3 (sf) CL. III-A-3, Affirmed Aa1 (sf); previously on Apr 29, 2011 Downgraded to Aa1 (sf) CL. III-A-4, Affirmed Aa1 (sf); previously on Apr 10, 2012 Upgraded to Aa1 (sf) CL. III-A-5, Affirmed Aa2 (sf); previously on Apr 10, 2012 Upgraded to Aa2 (sf) CL. III-A-6, Affirmed Aa3 (sf); previously on Apr 10, 2012 Upgraded to Aa3 (sf) CL. III-A-8, Affirmed Aa3 (sf); previously on Apr 10, 2012 Upgraded to Aa3 (sf) CL. III-A-9, Affirmed A1 (sf); previously on Apr 10, 2012 Upgraded to A1 (sf) CL. III-X, Affirmed Ba3 (sf); previously on Apr 10, 2012 Confirmed at Ba3 (sf) CL. D-X, Affirmed Ba3 (sf); previously on Apr 10, 2012 Confirmed at Ba3 (sf) CL. D-P, Affirmed Baa1 (sf); previously on Apr 10, 2012 Confirmed at Baa1 (sf) CL. III-P, Affirmed A1 (sf); previously on Apr 10, 2012 Upgraded to A1 (sf) CL. D-B-3, Affirmed Ca (sf); previously on Apr 29, 2011 Downgraded to Ca (sf) CL. D-B-4, Affirmed Ca (sf); previously on Apr 29, 2011 Downgraded to Ca (sf) Cl. VII-X, Affirmed Ba3 (sf); previously on Apr 10, 2012 Confirmed at Ba3 (sf) Cl. VIII-X, Affirmed Ba3 (sf); previously on Apr 10, 2012 Confirmed at Ba3 (sf) Issuer: GMACM Mortgage Loan Trust 2003-AR1 Cl. A-5, Downgraded to Baa3 (sf); previously on Apr 25, 2012 Downgraded to A2 (sf) Cl. A-4, Downgraded to Baa1 (sf); previously on Apr 25, 2012 Downgraded to A2 (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 25, 2012 Downgraded to Ba3 (sf) Cl. M-2, Downgraded to Ca (sf); previously on Apr 25, 2012 Downgraded to Caa3 (sf) Cl. A-6, Downgraded to Ba1 (sf); previously on Apr 25, 2012 Downgraded to A3 (sf) Cl. M-3, Affirmed C (sf); previously on Apr 21, 2011 Downgraded to C (sf) Issuer: GMACM Mortgage Loan Trust 2004-J1 Cl. A-3, Downgraded to A3 (sf); previously on Apr 25, 2012 Downgraded to A2 (sf) Cl. A-21, Downgraded to Baa2 (sf); previously on Apr 25, 2012 Downgraded to A3 (sf) Cl. A-7, Affirmed Aa3 (sf); previously on Apr 21, 2011 Downgraded to Aa3 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Developing on Nov 19, 2012) Cl. A-8, Affirmed Aa1 (sf); previously on Apr 21, 2011 Downgraded to Aa1 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Developing on Nov 19, 2012) Cl. A-12, Affirmed Aa2 (sf); previously on Apr 21, 2011 Downgraded to Aa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Developing on Nov 19, 2012) Cl. A-13, Affirmed A1 (sf); previously on Apr 25, 2012 Downgraded to A1 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Developing on Nov 19, 2012) Cl. A-20, Affirmed A1 (sf); previously on Apr 25, 2012 Downgraded to A1 (sf) Cl. PO, Affirmed A2 (sf); previously on Apr 25, 2012 Downgraded to A2 (sf) Cl. IO, Affirmed Ba3 (sf); previously on Apr 25, 2012 Confirmed at Ba3 (sf) Issuer: GMACM Mortgage Loan Trust 2004-J3 Cl. A-4, Downgraded to Ba3 (sf); previously on Apr 25, 2012 Downgraded to Ba1 (sf) Cl. A-5, Downgraded to Ba3 (sf); previously on Apr 25, 2012 Downgraded to Baa3 (sf) Cl. A-7, Downgraded to Baa2 (sf); previously on Apr 25, 2012 Downgraded to Baa1 (sf) Cl. A-8, Downgraded to Ba3 (sf); previously on Apr 25, 2012 Downgraded to Ba2 (sf) Cl. A-10, Downgraded to Ba3 (sf); previously on Apr 25, 2012 Downgraded to Baa3 (sf) Cl. PO, Downgraded to Ba3 (sf); previously on Apr 25, 2012 Downgraded to Baa3 (sf) Cl. A-2, Affirmed Baa2 (sf); previously on Apr 25, 2012 Downgraded to Baa2 (sf) Cl. A-3, Affirmed Baa2 (sf); previously on Apr 25, 2012 Downgraded to Baa2 (sf) Cl. A-9, Affirmed A2 (sf); previously on Apr 25, 2012 Downgraded to A2 (sf) Cl. IO, Affirmed Ba3 (sf); previously on Apr 25, 2012 Confirmed at Ba3 (sf) Issuer: Chase Mortgage Finance Trust, Series 2003-S14 Cl. IA-1, Affirmed Aa3 (sf); previously on Apr 22, 2011 Downgraded to Aa3 (sf) Cl. IA-2, Affirmed A1 (sf); previously on Apr 5, 2012 Confirmed at A1 (sf) Cl. IA-4, Affirmed Aa1 (sf); previously on Apr 22, 2011 Downgraded to Aa1 (sf) Cl. IA-5, Affirmed Aa3 (sf); previously on Apr 22, 2011 Downgraded to Aa3 (sf) Cl. A-X, Affirmed Ba3 (sf); previously on Apr 5, 2012 Confirmed at Ba3 (sf) Cl. M, Affirmed Ba1 (sf); previously on Apr 5, 2012 Downgraded to Ba1 (sf) Cl. B-1, Affirmed B2 (sf); previously on Apr 5, 2012 Downgraded to B2 (sf) Cl. B-2, Affirmed Caa2 (sf); previously on Apr 5, 2012 Confirmed at Caa2 (sf) Cl. B-3, Affirmed C (sf); previously on Apr 22, 2011 Downgraded to C (sf) Cl. IIA-7, Affirmed Aa1 (sf); previously on Apr 22, 2011 Downgraded to Aa1 (sf) Cl. IIA-8, Affirmed Aa2 (sf); previously on Apr 22, 2011 Downgraded to Aa2 (sf) Cl. IIA-9, Affirmed Aa2 (sf); previously on Apr 5, 2012 Downgraded to Aa2 (sf) Cl. IIA-10, Affirmed Aa3 (sf); previously on Apr 22, 2011 Downgraded to Aa3 (sf) Cl. IIIA-7, Affirmed Aa1 (sf); previously on Apr 22, 2011 Downgraded to Aa1 (sf) Cl. IIIA-8, Affirmed Aa3 (sf); previously on Apr 22, 2011 Downgraded to Aa3 (sf) Cl. IIIA-9, Affirmed Aa3 (sf); previously on Apr 22, 2011 Downgraded to Aa3 (sf) Cl. IIIA-10, Affirmed A1 (sf); previously on Apr 5, 2012 Confirmed at A1 (sf) Ratings Rationale: The actions are a result of the recent performance of Prime jumbo pools originated before 2005 and reflect Moody's updated loss expectations on the pools. The downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for certain bonds than previously anticipated. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating interest-only securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) small pool volatility 3) bonds that financial guarantors insure. Loan Modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013. Small Pool Volatility To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools originated before 2005, Moody's first applies a baseline delinquency rate of 3.0%. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a pool with 75 loans, the adjusted rate of new delinquency would be 3.03%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate calculated above is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Bonds insured by financial guarantors The credit quality of RMBS that a financial guarantor insures reflect the higher of the credit quality of the guarantor or the RMBS without the benefit of the guarantee. As a results, the rating on the security is the higher of 1) the guarantor's financial strength rating and 2) the current underlying rating, which is what the rating of the security would be absent consideration of the guaranty. The principal methodology Moody's uses in determining the underlying rating is the same methodology for rating securities that do not have financial guaranty, described earlier. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in September 2011 to 7.9% in January 2013. Moody's forecasts a further drop to 7.5% by 2014. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. * Moody's Takes Action on $17.7MM of Credit Suisse Alt-A RMBS ------------------------------------------------------------- Moody's Investors Service has confirmed the rating of two tranches and affirmed the rating of four tranches from two transactions, backed by Alt-A loans, issued by Credit Suisse First Boston in 2002 and 2004. Ratings Rationale: The actions are a result of recent performance review of these deals and reflect Moody's updated loss expectations on these pools. The rating actions constitute of a number of confirmations and affirmations. The confirmations on the two tranches are due to the strong interest shortfall reimbursement mechanism in the subordinated tranches. Previously, Moody's had placed these two tranches on review for downgrade due to the interest shortfall reimbursement risk. However, per the pooling and servicing agreement these mezzanine tranches do not have a subordinated interest shortfall reimbursement. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) small pool volatility. Loan Modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013. Small Pool Volatility The above RMBS approach only applies to structures with at least 40 loans and pool factor of greater than 5%. Moody's can withdraw its rating when the pool factor drops below 5% and the number of loans in the deal declines to lower than 40. If, however, a transaction has a specific structural feature, such as a credit enhancement floor, that mitigates the risks of small pool size, Moody's can choose to continue to rate the transaction. For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on Alt-A pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For Alt-A pools, Moody's first applies a baseline delinquency rate of 10% for 2004, 5% for 2003 and 3% for 2002 and prior. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2004 pool with 75 loans, the adjusted rate of new delinquency is 10.1%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate calculated above by a factor ranging from 0.50 to 2.0 for current delinquencies that range from less than 2.5% to greater than 30% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in September 2011 to 7.9% in January 2013. Moody's forecasts a further drop to 7.5% by 2014. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. Complete rating actions are as follows: Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-10 I-M-1, Confirmed at A1 (sf); previously on Jan 10, 2013 A1 (sf) Placed Under Review for Possible Downgrade I-M-2, Affirmed Baa2 (sf); previously on Jul 16, 2012 Confirmed at Baa2 (sf) I-B, Affirmed Ca (sf); previously on Mar 18, 2011 Confirmed at Ca (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR3 Cl. VI-M-1, Confirmed at Aa2 (sf); previously on Jan 10, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. VI-M-2, Affirmed Ba2 (sf); previously on Jul 16, 2012 Downgraded to Ba2 (sf) Cl. VI-M-3, Affirmed Ca (sf); previously on Mar 18, 2011 Downgraded to Ca (sf) * Wind-Down of TARP's CPP May Impact TruPS CDOs, Fitch Says ----------------------------------------------------------- Fitch believes steps taken by the U.S. Treasury to wind down TARP's largest bank program could lead to incremental cures in some Fitch-rated CDOs collateralized by bank-issued trust preferred securities (TruPS CDOs). Fitch estimates there are currently 109 issuers across Fitch-rated TruPS CDOs that remain participants in the Capital Purchase Program (CPP). At its peak, Fitch estimates this exposure reached 208 issuers. By comparison, only 218 of the 707 banks that originally used CPP remained in the program as of December 2012. The Treasury intends to wind down the remaining CPP investments over the next year through a series of repayments, restructurings, and sales, which include auctioning investments in banks that are not expected to pay in the near future. With the dividend step-up from 5% to 9% five years after issuance, banks have a strong incentive to exit the CPP. "Securities issued under CPP are considered junior to TruPS and, to the extent a bank is deferring on its TruPS interest, it may be limited in its ability to distribute payments to securities issued under the CPP program. We believe the Treasury's intent and the incentives described above will likely lead to an acceleration in the pace of banks' exits from the program, which in turn may have implications for CPP recipients held across TruPS CDOs that are currently deferring on their TruPS," Fitch says. "Although based on a relatively small number of observations, across Fitch's CDO universe, 12 previously deferring former CPP participants were able to cure their deferrals and exit the CPP program. Nine out of these 12 cured their TruPS interest within a year prior to exiting the CPP program. In addition to these 12 issuers, seven cured their TruPS but remain in the CPP program. Conversely, only four of the 45 currently deferring issuers that received CPP funds have exited the program. Of these four issuers, two cured their TruPS prior to or at the time of their CPP exit only to re-defer shortly after. The remaining 41 deferring issuers remaining in the CPP program collectively represent $1.3 billion in notional value across Fitch-rated TruPS CDOs." * U.S. CREL CDO Delinquencies Drop 12.7% in January, Fitch Says --------------------------------------------------------------- Delinquencies on U.S. CREL CDOs began 2013 lower, according to the latest index results from Fitch Ratings. Following a sharp spike late last year, CREL CDO late-pays fell for a second straight month to 12.7% last month (from 13.4% in December). New delinquent assets in January consisted of only two term defaults, one matured balloon loan, and one credit impaired security. The largest new delinquency is a term default on a B-note and mezzanine debt backed by a 410,000 sf Atlanta office building. Property cash flow declined significantly after the largest tenant (37% of NRA) vacated the property at the end of October 2012. In January, asset managers reported approximately $50 million in realized principal losses from the disposal of several assets. The largest reported loss was a 33% realized loss on the discounted sale of a 350,000 sf REO office property located in San Diego, CA. Foreclosure occurred in December 2011, and the loss was anticipated at last rating action for the transaction. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Carmel Paderog, Meriam Fernandez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2013. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000 or Nina Novak at 202-241-8200. *** End of Transmission ***