/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/130421.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, April 21, 2013, Vol. 17, No. 109 Headlines ACA ABS 2003-2: Guaranty Policy Termination No Impact on Ratings ACE SECURITIES: Moody's Lowers Ratings on Two RMBS Issues to 'Ca' AIRPLANES PASS-THROUGH: Fitch Affirms C Rating on 4 Cert. Classes ALESCO PREFERRED I: S&P Raises Rating on Class A-2 Notes to 'B+' APIDOS CLO XII: S&P Assigns 'BB' Rating to Class E Notes ARCAP 2003-1: Fitch Cuts Ratings on Two Note Classes to 'C(sf)' ARCAP 2005-1: Moody's Affirms 'C' Ratings on 5 Cert. Classes ARES XVIII: Moody's Hikes Rating on $10MM Class D Notes to 'Ba3' ATRIUM VIII: S&P Affirms 'BB' Rating on Class E Notes BALLYROCK CLO 2006-1: S&P Raises Rating on Class E Notes to 'BB+' BAMLL COMMERCIAL: DBRS Assigns BB Rating on Class E Certs BANC OF AMERICA 2005-1: Fitch Affirms 'D' Rating on Class H Certs BLACK DIAMOND 2012-1: S&P Affirms 'BB' Rating on Class D Notes BLUE HERON V: S&P Retains 'D' Rating on Class B Notes BLUE HERON IX: S&P Retains 'D' Rating on 7 Note Classes BRIDGEPORT CLO II: Debt Purchase No Impact on Moody's Ratings BV LEGACY: Fitch Takes Rating Actions on 18 Securities CBA COMMERCIAL 2004-1: Moody's Affirms Ratings on 7 CMBS Classes CDC COMMERCIAL 2002-FX1: Moody's Takes Actions on 13 CMBS Classes CEDARWOODS CRE II: S&P Lowers Rating on 3 Note Classes to 'CCC-' CITICORP: Moody's Cuts Ratings on $128.8MM of Prime Jumbo RMBS COBALT CMBS 2007-C3: Fitch Affirms D Rating on $3.5MM Cl. L Certs COOKSON SPC 2007-1LAC: Moody's Cuts Rating on EUR24MM Notes to C CORPORATE OFFICE: Fitch Assigns 'BB' Preferred Stock Rating COMM 2013-CCRE7: Moody's Takes Actions on 17 CMBS Classes CREDIT SUISSE 1999-C1: Moody's Affirms 'C' Rating on Cl. L CMBS CREDIT SUISSE 2002-CP3: Moody's Cuts Rating on A-X Certs to Caa3 CREDIT SUISSE 2007-C1: Rights Deal No Impact on Moody's Ratings CREDIT SUISSE 2007-C3: Rights Deal No Impact on Ratings CREDIT SUISSE 2007-TFL1: Rights Deal No Impact on Moody's Ratings CREST G-STAR: Fitch Affirms 'C' Rating on $24.78MM Class C Notes DISCOVER FINANCIAL: Fitch Affirms 'B+' Preferred Stock Rating DIVERSIFIED ASSET: Fitch Affirms 'C' Rating on Class B-1L Notes FIRST ALLIANCE 1998-3: Moody's Corrects Ratings on Cl. A-3 Certs FIRST HORIZON: Moody's Takes Action on $58.6MM Prime Jumbo RMBS FLAGSHIP CREDIT 2013-1: S&P Assigns 'BB' Rating to Class D Notes FOREST CREEK: Moody's Lifts Rating on $7MM Cl. B-2L Notes to B3 GE COMMERCIAL 2006-C1: Fitch Affirms 'D' Rating on Class J Certs GRAMERCY REAL 2007-1: Fitch Cuts Ratings on 8 Cert. Classes to 'D' GREENWICH CAPITAL: Fitch Affirms 'D' Rating on Class L Certs GTP ACQUISITION: Fitch to Rate Class 2013-1F Notes at 'BB-' JP MORGAN 1999-C8: Fitch Affirms 'D' Rating on Class J Notes JP MORGAN 2003-ML1: Fitch Lowers Rating on Class N Certs to 'CCC' JP MORGAN 2013-FL3: Fitch to Rate US$33MM Class E Certs 'BB' JP MORGAN: Moody's Takes Action on $729MM of Prime Jumbo RMBS JP MORGAN-CIBC 2006-RR1: Moody's Affirms C Rating on A-2 Secs. LB-UBS COMMERCIAL 2005-C7: Fitch Affirms 'D' Rating on Cl. K Certs LNR CDO 2003-1: Moody's Affirms Ratings on Six Note Classes MERRILL LYNCH 2005-CKI1: S&P Lowers Rating on Class G Notes to D MORGAN STANLEY 2001-TOP1: S&P Hikes Rating on Class G Notes to B- MORGAN STANLEY 2002-IQ3: Moody's Cuts Rating on X-1 Certs to Caa1 MORGAN STANLEY 2002-IQ2: Fitch Affirms CCC Rating on Class N Certs MORGAN STANLEY 2004-IQ8: S&P Affirms 'B+' Rating on Class F Notes MORGAN STANLEY 2005-HQ5: Fitch Affirms 'D' Rating on Class K Certs MORGAN STANLEY 2007-IQ14: S&P Withdraws CCC- Rating on A-JFL Secs. MORGAN STANLEY 2007-IQ15: S&P Cuts Rating on Class E Notes to 'D' MORGAN STANLEY 2013-C9: Moody's Takes Actions on 18 CMBS Classes N-STAR REAL VII: Moody's Affirms 'Caa3' Rating on 5 Note Classes NAVIGATOR 2004: Moody's Hikes Ratings on 2 Note Classes to 'Ba1' NELNET STUDENT: Fitch Affirms Ratings on Student Loan Trusts NEW YORK MORTGAGE 2006-1: Moody's Cuts 2 Tranche Ratings to Caa2 NON-PROFIT PREFERRED: Fitch Affirms 'CC' Rating on Class D Certs PETRA CRE 2007-1: Fitch Cuts Ratings on 2 Cert. Classes to 'CC' PPLUS TRUST SPR-1: B3-Rated $42.5-Mil. Certs on Moody's Review SALOMON BROTHERS 2000-C2: Fitch Affirms 'D' Rating on Cl. K Certs SARATOGA CLO I: S&P Raises Rating on Class D Notes to 'BB' SEQUOIA MORTGAGE 2013-5: Fitch Rates Class B-4 Certificates 'BB' SLM STUDENT 2004-2: Fitch Affirms 'BB' Rating on Class B Notes SPRINT CAPITAL 2003-17: B3-Rated Cl. A-1 Certs on Moody's Review SPRINT CAPITAL 2004-2: B3-Rated Cl. A-1 Certs on Moody's Review STUDENT LOAN 2007-1: S&P Affirms 'B-' Rating on 4 Note Classes THL CREDIT 2013-1: S&P Assigns 'BB' Rating on Class D Notes TIAA CMBS 2001-C1: S&P Raises Rating on Class M Notes to 'BB+' TRIMARAN VII: Moody's Lifts Rating on Class B-2L Notes to 'Ba3' TROPIC CDO I: S&P Lowers Rating on Class A-2L Notes to 'D' WACHOVIA BANK 2007-C32: Moody's Keeps C Rating on 12 CMBS Classes WFRBS 2013-C13: Fitch Assigns 'B' Rating to $16.43MM Class F Certs * Fitch Says Skyrocketing U.S. CLO Issuance Likely to Level Off * Fitch Says Office Woes Lead to Uptick in U.S. CMBS Delinquencies * Fitch Says Short Sales Drive U.S. RMBS Losses Lower * Fitch Takes Various Rating Actions on 24 FHA/VA U.S. RMBS Deals * Fitch Takes Various Actions on 126 Manufactured Housing RMBS * Fitch Reviews U.S. Small-Balance CMBS Sector * Fitch Reviews U.S. Scratch & Dent RMBS Deals * Moody's Withdraw Ratings on Eight CDO Transactions * Moody's Downgrades Ratings on 12 Tranches of Subprime RMBS * Moody's Takes Action on 5 RMBS Transactions from 3 Issuers * Moody's Takes Action on $32MM RMBS Tranches from Two Issuers * Moody's Takes Action on 79 Tranches of Alt-A Backed RMBS Deals * Moody's Takes Actions on $59MM Subprime RMBS from 2 Issuers * S&P Takes Various Rating Actions on 19 Classes From RV/Marine ********* ACA ABS 2003-2: Guaranty Policy Termination No Impact on Ratings ---------------------------------------------------------------- Moody's Investors Service determined that termination by ACA ABS 2003-2, Limited (the "Issuer"), an SF CDO, effective as of April 16, 2013 of an existing Insurance and Indemnity Agreement dated November 6, 2003 and a Class A-1SW Insurance Policy No. CIFGNA-218 (the "Policy") issued by CIFC Assurance North America, Inc. (formerly CDC IXIS Financial Guaranty North America, Inc.) (the "Termination") and performance of the activities contemplated therein will not in and of themselves and at this time result in the reduction, placement on credit watch with negative outlook or withdrawal of the rating on any Class of Notes (in the case of any Class A-SW Notes, without giving effect to the Class A-1SW Insurance Policy) issued by the Issuer. Moody's does not express an opinion as to whether the Termination could have non-credit- related effects. Moody's has been informed that the Termination is taking place at the request of and with the consent of the Class A-1SW noteholders. The principal methodology used in reaching its conclusion and in monitoring the ratings of the Notes issued by the Issuer is "Moody's Approach to Rating SF CDOs", published in May 2012. Other methodologies and factors that may have been considered in the process of rating the Notes issued by the Issuer can also be found in the Rating Methodologies sub-directory on Moody's website. Moody's carries the following not-prime ratings for ACA ABS 2003- 2: $10,000,000 Class A1-SW Floating Rate Notes; Ca(sf) $108,000,000 Class A1-J Floating Rate Notes; C(sf) $108,000,000 Class A1-J Floating Rate Notes; C(sf) $146,500,000 Class A1-SD Floating Rate Notes; Ca(sf) $15,000,000 Cl. BV Floating Rate Deferrable Int. Notes; C (sf) $3,000,000 Class C Fixed Rate Notes; C(sf) $315,000,000 Class A1-SU Floating Rate Notes; Ca(sf) $36,000,000 Class A3 Floating Rate Notes; C(sf) $51,000,000 Class A2 Floating Rate Notes; C $7,000,000 Class BF Fixed Rate Deferrable Interest Notes; C(sf) ACE SECURITIES: Moody's Lowers Ratings on Two RMBS Issues to 'Ca' ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two tranches from two transactions, backed by Subprime mortgage loans issued by ACE Securities Corp. Home Equity Loan Trust. Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- HE4 Cl. A-2A, Downgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007- HE1 Cl. A-2A, Downgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Ratings Rationale: The rating action reflects recent performance of the underlying pools and Moody's updated expected losses on the pools. The downgrades are primarily due to the crossover to pro-rata pay for the seniors classes after credit support depletion. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008 and "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. The approach "2005 -- 2008 US RMBS Surveillance Methodology " is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. 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 is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. When assigning the final ratings to senior bonds, in addition to the methodologies, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. Moody's also adjusts the methodologies for Moody's current view on 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 into 2014. These methodologies only apply to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.3% in February 2012 to 7.6% in March 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. AIRPLANES PASS-THROUGH: Fitch Affirms C Rating on 4 Cert. Classes ----------------------------------------------------------------- Fitch Ratings has affirmed Airplanes Pass-Through Trust as follows: -- Class A-9 at 'Csf', RE 45%; -- Class B at 'Csf', RE0%; -- Class C at 'Csf', RE0%; -- Class D at 'Csf', RE0%. Key Rating Drivers The affirmation of the classes at 'Csf' reflects Fitch's view that default is considered inevitable. The pool of aircraft consists predominately of aged, lower tier aircraft which Fitch believes will be unable to generate sufficient cash flow to repay the note in full. The Recovery Estimate (RE) of 45% reflects Fitch's expectation of principal allocation relative to the current class A-9 note balance under a base scenario. The class B, C, and D REs are 0% as no principal is expected to be paid because any collections will only be applied to the senior note and large interest shortfalls continue to grow across these three classes. Rating Sensitivity If the outcome of the trust's ongoing litigation is different than Fitch's modeled assumption, the RE on the class A-9 note may be impacted. Due to the correlation between global economic conditions and the airline industry, the ratings may be pressured by the strength of the macro-environment over the remaining term of this transaction. Global economic scenarios that are inconsistent with Fitch's expectations could lead to lower recovery estimates. For example the occurrence of an extended global recession of significantly greater severity than the last two experienced, and the resulting strain on aircraft lease cash flow, could lead to lower principal recovery on the notes. The analysis of the trust is consistent with 'Global Rating Criteria for Aircraft Operating Lease ABS,' dated April 17, 2012, with one exception. Fitch's criteria assume a useful life of 25 years for all aircraft, but the assumption was adjusted to 30 years for aircraft based on the characteristics of the current leases in place. ALESCO PREFERRED I: S&P Raises Rating on Class A-2 Notes to 'B+' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1 and A-2 notes from ALESCO Preferred Funding I Ltd., a U.S. collateralized debt obligation (CDO) transaction, backed by trust preferred securities (TruPs) issued by financial institutions. At the same time, S&P removed its ratings on the class A-1 and A-2 notes from CreditWatch with positive implications, where S&P placed them on March 6, 2013. The upgrades mainly reflect pay-downs to the class A-1 notes and an improvement in the credit support available to the rated notes since S&P last upgraded the class A-1 and A-2 notes on May 2, 2012, following an update to its criteria for rating CDOs backed by bank TruPs. Since that time, the transaction has paid down the class A-1 notes by approximately $32.8 million, leaving the notes at 33.29% of their original issuance amount. The upgrades also reflect a decline in the amount of nonperforming assets since the time of the last action. According the to the April 2013 monthly trustee report, there was $25 million in defaulted and deferring securities, down from $49 million reported in the April 2012 report. Furthermore, the upgrades also reflect an improvement in the overcollateralization (O/C) available to the notes since the time of the last action, mainly because of the aforementioned factors. The trustee reported the following O/C ratios in the April 2013 monthly report: -- The class A O/C ratio was 164.13%, compared with a reported ratio of 128.77% in April 2012; and -- The class B O/C ratio was 85.96%, compared with a reported ratio of 75.04% in April 2012. 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 AND CREDITWATCH ACTIONS RATINGS RAISED; REMOVED FROM CREDITWATCH ALESCO Preferred Funding I Ltd. Rating Class To From A-1 BBB+ (sf) BBB-/Watch Pos (sf) A-2 B+ (sf) CCC/Watch Pos (sf) APIDOS CLO XII: S&P Assigns 'BB' Rating to Class E Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Apidos CLO XII/Apidos CLO XII LLC's $476.75 million floating- and fixed- 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 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 0.29%-11.57%. -- 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 up to 50% of excess interest proceeds during the reinvestment period (and up to 75% after the reinvestment period) that are available before paying trustee indemnities; uncapped administrative expenses and fees; subordinated collateral management fees; deposits to the supplemental reserve account; collateral manager incentive fees; and subordinated note payments into principal proceeds for the purchase of additional collateral assets during the reinvestment period (and to pay the notes 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/1479.pdf RATINGS ASSIGNED Apidos CLO XII/Apidos CLO XII LLC Class Rating Amount (mil. $) X AAA (sf) 3.00 A AAA (sf) 314.00 B-1 AA (sf) 55.25 B-2 AA (sf) 12.50 C (deferrable) A (sf) 33.50 D (deferrable) BBB (sf) 25.25 E (deferrable) BB (sf) 21.00 F (deferrable) B (sf) 12.25 Subordinated notes NR 46.25 NR--Not rated. ARCAP 2003-1: Fitch Cuts Ratings on Two Note Classes to 'C(sf)' --------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed seven classes issued by ARCap 2003-1 Resecuritization, Inc. Key Rating Drivers Since the last rating action in May 2012, approximately 40.9% of the collateral has been downgraded and 5.1% has been upgraded. Currently, 83.4% of the portfolio has a Fitch derived rating below investment grade and 56.1% has a rating in the 'CCC' category and below, compared to 90.2% and 64.9%, respectively, at the last rating action. Over this period, the transaction has received $33.4 million in pay downs and experienced $114 million in principal losses. 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 A through C notes' breakeven rates are generally consistent with the ratings assigned below. For the class D through K 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 'CCCsf', indicating that default is possible. Similarly, the class E and F notes have been downgraded and the class G through K notes affirmed at 'Csf', indicating that default is inevitable. The Stable Outlook on the class A and B notes reflects Fitch's view that the transaction will continue to delever. Rating Sensitivities Further negative migration and defaults beyond those projected by SF PCM as well as increasing concentration in assets of a weaker credit quality could lead to downgrades. ARCAP 2003-1 is backed by 27 bonds from 11 commercial mortgage backed securities (CMBS) transactions and is considered a CMBS B- piece resecuritization (also referred to as first loss commercial real estate collateralized debt obligation [CRE CDO]/ReREMIC) as it includes the most junior bonds of CMBS transactions. The transaction closed Aug. 27, 2003. Fitch has downgraded these classes: -- $20,500,000 class C notes to 'CCCsf' from 'Bsf'; -- $36,100,000 class E notes to 'Csf' from 'CCCsf'; -- $13,000,000 class F notes to 'Csf' from 'CCsf'. Fitch has affirmed these classes and revised Outlooks as indicated: -- $10,189,650 class A notes at 'BBsf'; Outlook Stable; -- $36,000,000 class B notes at 'Bsf'; Outlook to Stable from Negative; -- $15,400,000 class D notes at 'CCCsf'; -- $45,000,000 class G notes at 'Csf'; -- $9,000,000 class H notes at 'Csf'; -- $28,000,000 class J notes at 'Csf'; -- $24,000,000 class K notes at 'Csf'. ARCAP 2005-1: Moody's Affirms 'C' Ratings on 5 Cert. Classes ------------------------------------------------------------ Moody's affirmed the ratings of seven classes of Certificates issued by ARCap 2005-1 Resecuritization Trust 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 and Re-Remic) transactions. Moody's rating action is as follows: Cl. A, Affirmed Caa3 (sf); previously on Apr 26, 2012 Downgraded to Caa3 (sf) Cl. B, Affirmed Ca (sf); previously on Apr 26, 2012 Downgraded to Ca (sf) Cl. C, Affirmed C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Jun 4, 2010 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Jun 4, 2010 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Jun 4, 2010 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Jun 4, 2010 Downgraded to C (sf) Ratings Rationale: ARCap 2005-1 Resecuritization Trust is a static transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100% of the pool balance) with a majority of the collateral issued between 2004 and 2005. As of the March 21, 2013 Trustee report, the aggregate Note balance of the transaction has decreased to $549.5 million from $568.4 million at issuance, with the paydown directed to the Class A Certificates. The paydown was due to: I) defaulted securities interest proceeds being re- classified as principal proceeds and ii) the re-classification of interest proceeds due to the failure of certain par value tests. The current collateral par amount is $240.9, a decrease of $327.5 million since securitization. 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 credit assessments for the non- Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 7,625 compared to 7,933 at last review. The distribution of current ratings and credit assessments is as follows: Aaa-Aa3 (3.9% compared to 2.8% at last review), Baa1-Baa3 (0% compared to 1.7% at last review), Ba1-Ba3 (10.5% compared to 7.4% at last review), B1-B3 (8.5% compared to 7.3% at last review), and Caa1-C (77.1% compared to 80.8% at last review). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 6.0 compared to 7.4 at last review. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed 2.8% WARR compared to 2.4% at last review. MAC is a single factor that describes the pair-wise asset correlation to the default distribution among the instruments within the collateral pool (i.e. the measure of diversity). Moody's modeled a MAC of 100.0%, the same as at last review. Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating models, which was released on March 25, 2013. The cash flow model, CDOEdge v3.2.1.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Moody's analysis encompasses the assessment of stress scenarios. 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. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 2.8% to 0.0% or up to 7.8% would result in a modeled rating movement on the rated tranches 0 to 1 notch downward and 0 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 methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in May 2012 and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. ARES XVIII: Moody's Hikes Rating on $10MM Class D Notes to 'Ba3' ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Ares XVIII CLO, Ltd.: $11,500,000 Class C-1 Floating Rate Notes Due August 25, 2016, Upgraded to Aa3 (sf); previously on June 15, 2012 Upgraded to A2 (sf) $2,500,000 Class C-2 Fixed Rate Notes Due August 25, 2016, Upgraded to Aa3 (sf); previously on June 15, 2012 Upgraded to A2 (sf) $10,000,000 Class D Floating Rate Notes Due August 25, 2016, Upgraded to Ba3 (sf); previously on August 22, 2011 Upgraded to B1 (sf) Moody's also affirmed the ratings of the following notes: $22,500,000 Class A-2 Floating Rate Notes Due August 25, 2016 (current outstanding balance of $12,888,845), Affirmed Aaa (sf); previously on August 22, 2011 Upgraded to Aaa (sf) $13,250,000 Class B-1 Deferrable Floating Rate Notes Due August 25, 2016, Affirmed Aaa (sf); previously on June 15, 2012 Upgraded to Aaa (sf) $5,750,000 Class B-2 Deferrable Fixed Rate Notes Due August 25, 2016, Affirmed Aaa (sf); previously on June 15, 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 June 2012. Moody's notes that the Class A-1 Notes have been paid down in full and the Class A-2 Notes have been paid down by approximately 43% or $9.6 million since the last rating action. Based on the latest trustee report dated March 15, 2013, the Class A, Class B, Class C and Class D overcollateralization ratios are reported at 300.3%, 173.0%, 131.8% and 112.7% respectively, versus May 2012 levels of 191.0%, 144.8%, 122.9% and 110.9%, respectively. The trustee reported overcollateralization ratios do not reflect pay down of $12.9 million to the Class A-1 and A-2 Notes on the April 15, 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 March 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 25.6% 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 million, defaulted par of $2.8 million, a weighted average default probability of 12.08% (implying a WARF of 2312), a weighted average recovery rate upon default of 51.31%, and a diversity score of 21. 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. Ares XVIII CLO, Ltd., issued in August 2004, 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% (2774) Class A-1: 0 Class A-2: 0 Class B-1: 0 Class B-2: 0 Class C-1: -1 Class C-2: -1 Class D: -1 Moody's Adjusted WARF - 20% (1850) Class A-1: 0 Class A-2: 0 Class B-1: 0 Class B-2: 0 Class C-1: +2 Class C-2: +2 Class D: +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. ATRIUM VIII: S&P Affirms 'BB' Rating on Class E Notes ----------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Atrium VIII/Atrium VIII LLC's $460.0 million floating-rate notes following the transaction's effective date as of March 13, 2013. Most U.S. cash flow collateralized debt 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 (typically referred to as an "effective date rating affirmation"). An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to S&P 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 its 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 S&P received a request to issue an effective date rating affirmation, it performs quantitative and qualitative analysis of the transaction in accordance with S&P's criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. S&P's 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 S&P's supplemental tests, and the analytical judgment of a rating committee. 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 Atrium VIII/Atrium VIII LLC Class Rating Amount (mil. $) A-1 AAA (sf) 298.00 A-2 AAA (sf) 20.00 B AA (sf) 53.00 C (deferrable) A (sf) 42.00 D (deferrable) BBB (sf) 26.00 E (deferrable) BB (sf) 21.00 BALLYROCK CLO 2006-1: S&P Raises Rating on Class E Notes to 'BB+' ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, B, C, D, and E notes from Ballyrock CLO 2006-1 Ltd., a collateralized loan obligation (CLO) transaction managed by Ballyrock Investment Advisors LLC, and removed them from CreditWatch, where S&P placed them with positive implications on March 6, 2013. Ballyrock CLO 2006-1 Ltd. ended its reinvestment period on Aug. 27, 2012, and all principal proceeds are being used to pay down the senior notes. The class A-1 notes have had a paydown of $116.53 million since S&P's last upgrade in November 2011 and are currently about 59.54% of their original notional balance. The transaction has seen many improvements since November 2011. There has been a large increase in the overcollateralization (O/C) available to support the notes since October 2011. On average the O/C ratios have improved about 8.25% since S&P's last upgrade in November 2011. Additionally, as of the March 20, 2013, trustee report, the transaction held no defaulted assets compared with the $1.94 million noted in the Oct. 20, 2011, trustee report, which S&P referenced for its November 2011 rating actions. The class D and E notes are driven by the top obligor test, a supplemental test S&P introduced as part of its criteria in September 2009. 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 RATINGS RAISED Ballyrock CLO 2006-1 Ltd. Rating Class To From A AAA (sf) AA+ (sf)/Watch Pos B AAA (sf) AA (sf)/Watch Pos C AA+ (sf) A (sf)/Watch Pos D BBB+ (sf) BB+ (sf)/Watch Pos E BB+ (sf) B+ (sf)/Watch Pos TRANSACTION INFORMATION Issuer: Ballyrock CLO 2006-1 Ltd. Co-issuer: Ballyrock CLO 2006-1 Inc. Collateral manager: Ballyrock Investment Advisors LLC Trustee: U.S. Bank N.A. Transaction type: Cash flow CLO BAMLL COMMERCIAL: DBRS Assigns BB Rating on Class E Certs --------------------------------------------------------- DBRS has finalized the provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2013-WBRK (the Certificates), issued by the BAMLL Commercial Mortgage Securities Trust 2013-WBRK. The trends are Stable. -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) All classes have been privately placed pursuant to Rule 144A. The collateral for the transaction consists of the fee and leasehold interest in an enclosed, partial two-story super- regional mall located in Wayne, New Jersey. The fee interest consists of 463,774 square feet (sf) of major tenant and in-line space, currently occupied by 133 national and regional tenants. The leasehold interest consists of 28,875 sf of in-line space subject to a long-term ground lease with Lord & Taylor. The anchor tenants, Bloomingdale's, Macy's, Lord & Taylor and Sears, do not serve as collateral for the loan. The property is directly owned by General Growth Properties, Inc. (GGP), and will be managed by an affiliate of the borrower. Proceeds from the loan were used to retire the existing debt and return $210 million to GGP. Willowbrook Mall has performed very well historically, with occupancy averaging 98.8% since 2007. As of the January 31, 2013, rent roll, the collateral was 97.5% leased. Sales productivity is quite strong, with YE2012 sales for in-line tenants less than 10,000 sf (excluding Apple) of $625 per square foot (psf). This represents a 13% increase over the YE2011 level. In 2012, 38 tenants reported sales in excess of $900 psf. While not collateral for the loan, the anchor tenants perform very well, with the stores generating estimated annual sales volumes of between $25 million and $88 million. The loan is interest only during the entire 12-year loan term. Although the loan does not amortize, the going-in leverage is relatively low, with the DBRS Debt Yield at 9.0%. In addition, the DBRS Refi debt service coverage ratio (DSCR) is a healthy 1.20 times (x), based on a stressed 7.50% refinance constant that implies a 6.07% interest rate and a 30-year amortization schedule. This stressed refinance rate is 2.52% above the current loan's interest rate of 3.55%. The loan has minimal default risk during the ten-year loan term, as the DBRS Term DSCR is quite high at 2.40x, with no individual tenant contributing more than 3.2% of total income. DBRS value, a 28.7% discount to the appraised value, results in a modest DBRS loan-to-value (LTV) of 80.8%. As a result of the quality of the asset, a high-profile tenant roster with strong market demand, strong sales, consistent historical occupancy and a strong sponsor, the Certificates backed by the $360 million first mortgage debt are assigned ratings between AAA (sf) and BB (high) (sf). The transaction is a sequential-pay structure. 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. BANC OF AMERICA 2005-1: Fitch Affirms 'D' Rating on Class H Certs ----------------------------------------------------------------- Fitch Ratings has removed four classes from Rating Watch Negative and downgraded seven classes of Banc of America Commercial Mortgage Inc., commercial mortgage pass-through certificates, series 2005-1 due to an increase in Fitch's expected losses. Fitch has also affirmed 11 classes from the transaction. Key Rating Drivers Fitch modeled losses of 12.8% of the remaining pool; expected losses on the original pool balance total 9.6%, including losses already incurred. The pool has experienced $77.8 million (3.3% of the original pool balance) in realized losses to date. Fitch has designated 35 loans (35.7%) as Fitch Loans of Concern, which includes six specially serviced assets (18%). Rating Sensitivities The ratings of the super senior classes are expected to remain stable. The B class may be subject to a downgrade if there is further deterioration to the pool's cash flow performance and/or decrease in value of the specially serviced loans. Additional downgrades to the distressed classes (those rated below 'B') are expected as losses are realized. As of the March 2013 distribution date, the pool's aggregate principal balance has been reduced by 51.4% to $1.15 billion from $2.36 billion at issuance. Per the servicer reporting, eight loans (9.8% of the pool) have defeased since issuance. Interest shortfalls are currently affecting classes E through P. The largest contributor to expected losses is the specially- serviced The Mall at Stonecrest loan (8.6% of the pool), which is secured by the 396,840 sf portion of a regional mall totaling 1.2 million sf located in Lithonia, GA, approximately 20 miles east of downtown Atlanta. The loan transferred to the special servicer in January 2013 for imminent payment default. The collateral consists of a 16-screen AMC Theater, approximately 140 in-line tenants, a food court, kiosk space and strip space. As of March 2013 the mall has a collateral occupancy of approximately 80% and a total occupancy of 93%. From February through October 2012 the net operating income debt service coverage ratio (NOI DSCR) is 1.10x. The next largest contributor to expected losses is the specially- serviced Tri-Star Estates Manufactured Housing Community loan (3.4%), which is secured by a 902-pad manufactured housing community located in Bourbonnais, IL, about 50 miles south of Chicago. The loan transferred to special servicing in August 2010 for imminent default. The property became real estate owned (REO) in January 2013 and is currently 48.3% occupied. The property is currently being marketed for sale. The third largest contributor to expected losses is the specially- serviced Ashford Perimeter (B note) loan (1.4%), which is secured by a 288,175 sf office property in Atlanta, GA. The loan on this property, which transferred to special servicing in June 2009 for imminent default, was modified in December 2009. Terms of the modification included an extension to the original loan term and bifurcation of the loan into a senior and junior component. In May 2012, both the A and B note were again transferred to the special servicer and they are expected to be included in an upcoming note sale. Any recovery to the B note is contingent upon full recovery to the A-note proceeds when the loans are sold. Unless collateral performance improves, recovery to the B-note component is unlikely. Fitch removes the following classes from Rating Watch Negative, downgrades the ratings, and assigns Outlooks as indicated: -- $168.4 million class A-J to 'Asf' from 'AAAsf'; Outlook Stable; -- $61 million class B to 'BBsf' from 'AAsf'; Outlook Negative; -- $20.3 million class C to 'CCCsf' from 'Asf'; RE 45%; -- $43.5 million class D to 'CCCsf' from 'Bsf'; RE 0%. In addition, Fitch downgrades the following: -- $20.3 million class E to 'CCsf' from 'CCCsf'; RE 0%; -- $26.1 million class F to 'Csf' from 'CCsf'; RE 0%; -- $20.3 million class G to 'Csf' from 'CCsf'; RE 0%. Fitch affirms the following classes as indicated: -- $104.5 million class A-1A at 'AAAsf'; Outlook Stable; -- $246.7 million class A-4 at 'AAAsf'; Outlook Stable; -- $381.2 million class A-5 at 'AAAsf'; Outlook Stable; -- $28.7 million class A-SB at 'AAAsf'; Outlook Stable; -- $25.6 million class H at 'Dsf'; RE 0%; -- $0 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%. The class A-1, A-2, A-3, SM-A, SM-B, SM-C, SM-D, SM-E, SM-F, SM-G, SM-H, FM-A, FM-B, FM-C, and FM-D certificates have paid in full. Fitch previously withdrew the rating on the interest-only class XW certificates. Fitch does not rate class P, which has been reduced to zero due to realized losses. Additionally, Fitch did not rate the SM-J and LM rake classes. BLACK DIAMOND 2012-1: S&P Affirms 'BB' Rating on Class D Notes -------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Black Diamond CLO 2012-1 Ltd./Black Diamond CLO 2012-1 LLC's $371.04 million floating-rate notes following the transaction's effective date as of March 8, 2013. Most U.S. cash flow collateralized debt 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 S&P 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 its 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 S&P received a request to issue an effective date rating affirmation, it perform quantitative and qualitative analysis of the transaction in accordance with its criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. S&P's 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 S&P's supplemental tests, and the analytical judgment of a rating committee. 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 Black Diamond CLO 2012-1 Ltd./Black Diamond CLO 2012-1 LLC Class Rating Amount (mil. $) X AAA (sf) 2.250 A-1 AAA (sf) 260.000 A-2 AA (sf) 41.140 B (deferrable) A (sf) 31.425 C (deferrable) BBB (sf) 19.425 D (deferrable) BB (sf) 16.800 BLUE HERON V: S&P Retains 'D' Rating on Class B Notes ----------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'AA+ (sf)' ratings on the certificates from Blue Heron Funding V Ltd., Blue Heron Funding VI Ltd., and Blue Heron Funding VII Ltd. and the class P-1 and P-2 combo notes from Soloso CDO 2007-1 Ltd. S&P affirmed its ratings based on the principal protection to the notes in the form of separate collateral, which are either obligations of U.S. government-related entities or U.S. Treasury strips. The three certificates and two notes are outstanding according to the most recent trustee report for each U.S. cash flow collateralized debt obligation transaction. The three Blue Heron certificates have principal protection through REFCO zero coupon bonds, and the class P-1 and P-2 notes are fully backed by U.S. Treasury principal strips. The ratings on the certificates and notes only address the return of the face amount of each note by the legal final maturity date, whether received from interest or principal proceeds, and does not address the payment of interest. Standard & Poor's will continue to review whether, in its view, the ratings currently 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 RATINGS AFFIRMED Blue Heron Funding V Ltd. Class Rating Certificate AA+ (sf) Blue Heron Funding VI Ltd. Class Rating Certificate AA+ (sf) Blue Heron Funding VII Ltd. Class Rating Certificate AA+ (sf) Soloso CDO 2007-1 Ltd. Class Rating P-1 Combo AA+ (sf) P-2 Combo AA+ (sf) OTHER OUTSTANDING RATINGS Blue Heron Funding V Ltd. Class Rating B D Soloso CDO 2007-1 Ltd. Class Rating A-1LA D A-1LB D BLUE HERON IX: S&P Retains 'D' Rating on 7 Note Classes ------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'AA+ (sf)' rating on one class from Blue Heron Funding IX Ltd. At the same time, S&P withdrew its 'AA+ (sf)' rating on one class from Belle Haven ABS CDO Ltd.. The affirmation is based on the underlying collateral that support the notes, which is a U.S. Treasury REFCO bond. The withdrawal follows the redemption of the principal protected notes in full. S&P will continue to review whether the current ratings on both transactions remain consistent with the credit enhancement available to support the ratings 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 Blue Heron Funding IX Ltd. Class Rating Certs AA+ (sf) Belle Haven CDO ABS Ltd. Class To From Com Sec NR AA+ (sf) OTHER OUTSTANDING RATINGS Belle Haven ABS CDO Ltd. Class Rating A1SB-1 D (sf) A1SB-2 D (sf) A1ST D (sf) A1J D (sf) A2 D (sf) A3 D (sf) Sub Nts D (sf) BRIDGEPORT CLO II: Debt Purchase No Impact on Moody's Ratings ------------------------------------------------------------- Moody's Investors Service has determined that the purchase by Bridgeport CLO II, Ltd. (the "Issuer") of a debt obligation that satisfies the definition of "Structured Finance Obligation" set forth in the Indenture dated as of June 27, 2007 between the Issuer and Deutsche Bank Trust Company Americas, as Trustee, will not in and of itself at this time cause the current ratings of any outstanding Class of Rated Notes issued by the Issuer to be reduced, suspended or withdrawn. Moody's does not express an opinion as to whether the proposed acquisition of the designated Structured Finance Obligation could have noncredit-related effects. According to the Indenture, Collateral Debt Obligations eligible for purchase by the Issuer include certain Structured Finance Obligations, as long as the applicable Percentage Limitation and the Rating Condition are satisfied. Moody's analyzed the proposed purchase by examining the impact the asset acquisition would have on various measurements of the pool of Collateral Debt Obligations set forth in the Indenture, such as weighted average rating factor, weighted average recovery rate, weighted average spread and weighted average life. The analysis indicates that purchasing the designated Structured Finance Obligation will not cause the current Moody's ratings assigned to any outstanding Class of Rated Notes issued by the Issuer to be reduced, suspended or withdrawn. The principal methodology used in reaching its conclusion and in monitoring the ratings of the Notes issued by the Issuer is "Moody's Approach to Rating Collateralized Loan Obligations", published in June 2011. Other methodologies and factors that may have been considered in the process of rating the Notes issued by the Issuer can also be found in the Rating Methodologies sub-directory on Moody's website. Moody's will continue to monitor the ratings of the Notes issued by the Issuer, and any change in the ratings will be publicly disseminated by Moody's through appropriate media. Moody's carries not-prime ratings on these note classes: $19,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2021; Ba3 $22,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2021; Ba1 BV LEGACY: Fitch Takes Rating Actions on 18 Securities ------------------------------------------------------ Fitch Ratings has taken various rating actions on 18 securities sponsored by BV Legacy L.P., fka Bayview Financial, L.P. The securities include 12 Bayview Financial Asset Trust (BFAT) transactions, 4 Bayview Financial Asset Trust Re-Securitization transactions and 2 Bayview Financial Revolving Trust transactions. A detailed list of the rating actions is in Fitch's report entitled 'U.S. RMBS Bayview Rating Actions for April 16, 2013.' In addition, a summary of the mortgage pool and bond analysis is in a Fitch report entitled 'RMBS Loss Metrics'. Fitch's rating actions are as follows: -- 129 affirmed classes; -- 22 downgraded classes; -- 1 upgraded class. The 12 (BFAT) transactions were issued between 2003 and 2007 and are collateralized by fixed- and adjustable-rate senior liens on single-family, commercial, multifamily and mixed-use properties. The four Bayview Re-securitizations are secured by underlying classes of asset-backed securities. Each of the underlying securities are secured by an interest in an underlying pool of loans consisting of fixed- and adjustable-rate residential mortgage loans, small balance commercial, multi-family and mixed- use loans, installment contracts for the purchase of real property, and disaster assistance loans both unsecured and secured by second liens on commercial property and various types of non- real estate collateral. The two Bayview Revolving Trust transactions are securitized by a mix of small balance commercial micro transactions, two collateral pools of non-conforming residential loans, a collateral pool of Canadian small balance commercial loans, and several classes from Bayview Commercial Asset Trust 2008-2, 2008-3, and 2008-4 transactions. Key Rating Drivers The collateral performance has generally remained stable since the last review. As of this review the average percent of current loans is 63%, losses to date are 10% and the 60+ delinquency is 32%. The weighted average probability of default (PD), loss severity (LS) and expected loss (XL) for the base, 'BBBsf', and 'AAAsf' rating stresses are: PD LS XL Base 58% 88% 52% 'BBBsf' 68% 95% 65% 'AAAsf 78% 100% 79% The investment grade classes affirmed at their current rating have an average credit enhancement of 50% and average time to pay off of 44 months. All but one of the classes downgraded were in BFAT transactions. The majority of the affected classes were already rated below investment grade and the downgrades were limited to one or two rating categories. One class in the Bayview 2007-SSR2 was downgraded from 'CCsf' to 'Csf' due to deterioration in credit enhancement. Four investment grade classes were downgraded to remove a rating tick of '+' or '-'. Fitch generally no longer maintains rating ticks for seasoned US RMBS classes. Two investment grade classes were downgraded due to small-pool risk. Three investment grade classes were downgraded due to increased loan default expectations. Fitch revised its methodology of projecting defaults for the BFAT mortgage pools from an approach based on historical net-loss-rate trends to one consistent with the Alt-A sector default assumptions determined by Fitch's loss model. Although the four Bayview Re-securitizations benefit from excess spread, overcollateralization and a reserve fund, the transactions contain two characteristics that increase their sensitivity to stressed scenarios. First, principal is paid pro-rata across senior and subordinate classes. This feature results in a reduction of the subordination for senior classes over time and can increase their vulnerability to higher losses later in the transaction's life. Second, the transactions all have varying degrees of basis risk as a result of fixed-rate coupons on the underlying bonds collateralizing floating-rate coupons in the Re- securitization. The ratings of the Bayview revolvers reflect the poor performance of the underlying collateral and the structural features of the BFAT transactions. All classes have received principal payments pro-rata since the revolving period ended in 2009, and there are no performance triggers that will change the payment structure to re-direct cash flow to the senior classes. The pro-rata pay structure decreases the credit enhancement of the senior classes over time, since the subordinate classes receive principal payments as well as principal writedowns due to losses. In addition this structure shows sensitivity to projected interest shortfalls in the 'CCCsf' rating stresses. Rating Sensitivities Fitch used pool level collateral data to analyze the Bayview transactions. If the underlying collateral was small balance commercial/mixed assets the default assumptions were based off of the Alt-A vintage default assumptions from Fitch's non-prime loss model and were adjusted for pool specific product composition and performance. For the remaining asset types, Fitch used the subprime vintage default assumptions from Fitch's non-prime loss model adjusted for pool specific product composition and performance. Fitch assumed a 75% base case loss severity for the loans in the twelve BFAT transactions. For the Bayview Revolvers and BFAT resecuritizations an 80% severity was used if the collateral was small balance commercial, a 90% severity was used if the assets were first liens and a 100% severity was used for second liens. The stressed loss assumptions were determined using Fitch's non- prime loss model default and severity multiples. This determined Fitch's expected losses in the 'Bsf-AAAsf' stresses. The cash flow analysis assumed Fitch's benchmark CDR and CPR curves, zero servicer advance rate for all second liens while the advance rates for first liens reflected Alt-A or subprime advance rates, and a haircut to the WAC in the 'Asf-AAAsf' rating stresses. Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications. The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less-likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario. Classes currently rated below 'Bsf' are at-risk to default at some point in the future. As default becomes more imminent, bonds currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and eventually 'Dsf'. The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices nationally to decline further before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch. The spreadsheet 'U.S. RMBS Bayview Rating Actions for April 16, 2013' provides the contact information for the performance analyst. CBA COMMERCIAL 2004-1: Moody's Affirms Ratings on 7 CMBS Classes ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of seven classes of CBA Commercial Assets, Small Balance Commercial Mortgage Pass- Through Certificates Series 2004-1 as follows: Cl. A-1, Affirmed Aa3 (sf); previously on Jan 28, 2010 Downgraded to Aa3 (sf) Cl. A-2, Affirmed Aa3 (sf); previously on Jan 28, 2010 Downgraded to Aa3 (sf) Cl. A-3, Affirmed Aa3 (sf); previously on Jan 28, 2010 Downgraded to Aa3 (sf) Cl. M-1, Affirmed B3 (sf); previously on Sep 16, 2010 Downgraded to B3 (sf) Cl. M-2, Affirmed Caa3 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Cl. M-3, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. IO, Affirmed Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale: The affirmation of the principal classes are due to key rating parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf) remain 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 Class IO is consistent with the expected credit performance of its referenced classes and thus is affirmed. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent less than 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transactions. Moody's rating action reflects a base expected loss of 15.9% of the current balance. At last review, Moody's base expected was 13.4%. Moody's base expected loss plus realized losses is now 13.0% of the original pooled balance compared to 10.5% at the prior review. 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. 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 IO Class 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 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 60 compared to 76 at last 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(R) (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 April 18, 2012. Deal Performance: As of the March 25, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 74% to $26.1 million from $102.0 million at securitization. The Certificates are collateralized by 83 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 28% of the pool. The pool is characterized by both geographic and property type concentrations. Approximately 78% of the pool is secured by multi-family properties; a combined 53% of the pool is located in California, Arizona and Michigan. There are currently no loans on the watchlist. Forty-four loans have been liquidated from the pool since securitization, resulting in an aggregate $9.9 million loss (67% loss severity on average). Currently, there are six loans, representing 5% of the pool in special servicing. Moody's has estimated an aggregate $809 thousand loss (60% expected loss on average) for all of the specially serviced loans. Moody's has also assumed a high default probability for 24 poorly performing loans, representing 32% of the pool, and has estimated an aggregate $2.5 million loss (30% expected loss based on a 50% probability default) for the troubled loans. Moody's was provided with full year and partial year 2011 operating results for 34% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 98% compared to 94% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 10.2% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.8%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.23X and 1.21X, respectively, compared to 1.35X and 1.31X 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. CDC COMMERCIAL 2002-FX1: Moody's Takes Actions on 13 CMBS Classes ----------------------------------------------------------------- Moody's Investors Service upgraded three classes and affirmed the ratings of ten classes of CDC Commercial Mortgage Trust, Commercial Mortgage Pass-Thru Certificates, Series 2002-FX1 as follows: Cl. C, Affirmed Aaa (sf); previously on Nov 11, 2005 Upgraded to Aaa (sf) Cl. D, Affirmed Aaa (sf); previously on Nov 11, 2005 Upgraded to Aaa (sf) Cl. E, Affirmed Aaa (sf); previously on Apr 18, 2007 Upgraded to Aaa (sf) Cl. F, Affirmed Aaa (sf); previously on May 14, 2008 Upgraded to Aaa (sf) Cl. G, Affirmed Aaa (sf); previously on Dec 2, 2010 Upgraded to Aaa (sf) Cl. H, Affirmed Aaa (sf); previously on Jun 24, 2011 Upgraded to Aaa (sf) Cl. J, Upgraded to Aaa (sf); previously on May 18, 2012 Upgraded to Aa2 (sf) Cl. L, Upgraded to Baa3 (sf); previously on Jun 27, 2002 Definitive Rating Assigned Ba3 (sf) Cl. K, Upgraded to A1 (sf); previously on May 18, 2012 Upgraded to Baa1 (sf) Cl. M, Affirmed B1 (sf); previously on Jun 27, 2002 Definitive Rating Assigned B1 (sf) Cl. N, Affirmed B2 (sf); previously on Jun 27, 2002 Definitive Rating Assigned B2 (sf) Cl. P, Affirmed Caa1 (sf); previously on Dec 2, 2010 Downgraded to Caa1 (sf) Cl. X-CL, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The upgrades are due to Moody's lower base expected loss and increased credit support due to loan payoffs and amortization. The affirmations of the principal classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed 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-CL, is consistent with the expected credit performance of its reference classes and thus is affirmed. Moody's rating action reflects a base expected loss of 3.5% of the current balance compared to 5.0% at last review. Moody's base expected loss plus realized losses is now 0.8% of the original pooled balance compared to 1.1% at the prior review. 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. 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 Class X-CL 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 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 three, the same as at last 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 Conduit and Large Loan 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(R) (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 April 18, 2012. Deal Performance: As of the March 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 81% to $118.8 million from $637.5 million at securitization. The Certificates are collateralized by nine mortgage loans ranging in size from 2% to 44% of the pool, with the top ten loans, excluding defeasance, representing 81% of the pool. Three loans, representing 19% of the pool, have defeased and are secured by U.S. government securities. There are no loans with investment grade credit estimates. There are no loans on the master servicer's watchlist or in special servicing. One loan has been liquidated from the pool since securitization resulting in a $757,000 realized loss (38% loss severity). Moody's was provided with full year 2011 and partial year 2012 operating results for 100% of the pool. Moody's weighted average LTV is 77% compared to 80% at last full review. Moody's net cash flow reflects a weighted average haircut of 12.9% 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 DSCRs are 1.19X and 1.43X, respectively, compared to 1.18X and 1.37X, respectively, at last full 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 loans represent 58% of the pool balance. The largest loan is the Seattle Supermall Loan ($52.7 million -- 44% of the pool), which is secured by a 935,000 square foot (SF) retail center located in Auburn, Washington. As of December 2012, the property was 93% leased compared to 92% at last review. The property continues to show stable performance. Major tenants include Sam's Club, Bed Bath & Beyond and Burlington Coat Factory. Moody's LTV and stressed DSCR are 81% and 1.33X, respectively, compared to 84% and 1.29X, at last review. The second largest loan is the Village Marketplace Shopping Center Loan ($8.1 million -- 6.8% of the pool), which is secured by a 129,000 SF grocery-anchored retail center located five miles southwest of Richmond, Virginia. A 36,804 SF Food Lion Supermarket anchors the center on a lease expiring in March 2019. As of November 2012, the property was 88% leased compared to 84% at last review. Moody's LTV and stressed DSCR are 87% and 1.21X, respectively, compared to 81% and 1.3X, at last review. The third largest loan is the Huffman Shopping Center Loan ($7.8 million -- 6.6% of the pool), which is secured by a 88,069 SF grocery-anchored retail center located in Anchorage, Alaska. A 70,295 SF Carrs Supermarket anchors the center on a lease expiring in October 2030. As of December 2012, the property was 98% leased, the same as at last review. Moody's LTV and stressed DSCR are 54% and 2.01X, respectively, compared to 55% and 1.97X at last review. CEDARWOODS CRE II: S&P Lowers Rating on 3 Note Classes to 'CCC-' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes from Cedarwoods CRE CDO II Ltd. (Cedarwoods II), a commercial real estate collateralized debt obligation (CRE CDO) transaction. Concurrently, S&P affirmed its 'CCC- (sf)' rating on one other class from the same transaction. The downgrades reflect the transaction's exposure to underlying commercial mortgage-backed securities (CMBS), CRE CDOs, and resecuritized real estate mortgage investment conduit (re-REMIC) collateral that has experienced negative rating actions. The downgraded collateral is from 63 transactions and totals $322.4 million (47.0% of the total asset balance). S&P lowered its rating on class F to 'D (sf)' from 'CCC- (sf)' based on its expectation that the class is unlikely to be repaid in full. According to the March 19, 2013, trustee report, the transaction's collateral totaled $685.5 million, while the transaction's liabilities, including capitalized interest, totaled $571.0 million. This is down from $600.0 million of liabilities at issuance. The transaction's current asset pool includes the following: -- 162 CMBS tranches from 105 distinct transactions issued between 1999 and 2011 ($551.3 million, 80.4%); -- 21 CRE CDO tranches from 15 distinct transactions issued between 2002 and 2007 ($114.3 million, 16.7%); and -- Five REIT securities ($20.0 million, 2.9%). S&P's analysis of Cedarwoods II considered the transaction's exposure to the following certificates that Standard & Poor's has downgraded: -- Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 (classes A-J, B, D, F, and G; $26.1 million, 3.8%); -- Fairfield Street Solar 2004-1 Ltd. (class A-1; $20.2 million, 2.9%); -- JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP8 (classes A-J, B and C; $19.5 million, 2.8%); -- Banc of America Commercial Mortgage Trust 2006-5 (classes A-J, B and C; $18.8 million, 2.7%); and -- LB-UBS Commercial Mortgage Trust 2006-C6 (classes C, F, and H; $17.1 million, 2.5%). According to the March 19, 2013, trustee report, the deal is failing all overcollateralization coverage tests and interest coverage tests. 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 it determines 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 LOWERED Cedarwoods CRE CDO II Ltd. Rating Class To From A-1 B- (sf) B+ (sf) A-2 CCC+ (sf) B- (sf) A-3 CCC (sf) CCC+ (sf) B CCC- (sf) CCC+ (sf) C CCC- (sf) CCC+ (sf) D CCC- (sf) CCC (sf) F D (sf) CCC- (sf) RATING AFFIRMED Cedarwoods CRE CDO II Ltd. Class Rating E CCC- (sf) CITICORP: Moody's Cuts Ratings on $128.8MM of Prime Jumbo RMBS -------------------------------------------------------------- Moody's Investors Service has downgraded five tranches from two transactions issued by Citi. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $128.8 million of RMBS issued from 2006. Complete rating actions are as follows: Issuer: Citicorp Mortgage Securities Trust, Series 2006-7 Cl. IA-1, Downgraded to Caa2 (sf); previously on May 19, 2010 Downgraded to B2 (sf) Cl. IA-IO, Downgraded to Caa2 (sf); previously on May 19, 2010 Downgraded to B2 (sf) Cl. A-PO, Downgraded to Caa2 (sf); previously on May 19, 2010 Downgraded to B2 (sf) Issuer: Citigroup Mortgage Loan Trust 2006-AR1 Cl. II-A1, Downgraded to Caa2 (sf); previously on May 19, 2010 Confirmed at B3 (sf) Cl. II-X, Downgraded to Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale: The actions are a result of the recent performance of Prime jumbo pools originated on or after 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 these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005-2008 US RMBS Surveillance Methodology" published in July 2011. 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 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 2014. Small Pool Volatility 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 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, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. 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 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% 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. When assigning the final ratings to bonds, in addition to the approach, Moody's considered the volatility of the projected losses and timeline of the expected defaults. 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 7.6% in March 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. COBALT CMBS 2007-C3: Fitch Affirms D Rating on $3.5MM Cl. L Certs ----------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed 17 classes of Cobalt CMBS Commercial Mortgage Trust commercial mortgage pass- through certificates series 2007-C3. Key Rating Drivers The downgrades are due to a greater certainty of losses on the specially serviced assets coupled with performing loans which have shown declines in performance indicative of a higher probability of default and loss. Fitch modeled losses of 17.3% of the remaining pool; expected losses on the original pool balance total 17.6%, including losses already incurred. The pool has experienced $54.5 million (2.7% of the original pool balance) in realized losses to date. Fitch has designated 34 loans (43.2%) as Fitch Loans of Concern, which includes eight specially serviced assets (8.6%). Rating Sensitivities The ratings of the 'AAA' rated classes are expected to remain stable as these classes are expected to continue to receive paydown. The 'BB' rated class may be subject to further rating actions should realized losses be greater than Fitch's expectations. The distressed classes are subject to further rating actions as losses are realized. As of the March 2013 distribution date, the pool's aggregate principal balance has been reduced by 13.6% to $1.74 billion from $2.02 billion at issuance. No loans have defeased since issuance. Interest shortfalls are currently affecting classes G through P. The largest contributor to expected losses is the Irvine EOP San Diego Portfolio loan (7.9% of the pool), which is secured by seven properties consisting of six class A and B office buildings and one single-tenant restaurant all located in San Diego, CA. The aggregate square footage for the portfolio is 380,954 square feet (sf). As of December 2012 the portfolio's occupancy was at 85% compared to approximately 90% at origination. The loan was originally underwritten to pro forma income and the borrower continues to come out of pocket. The loan remains current and is with the master servicer. The next largest contributor to expected losses is the 2 Rector Street (3) loan (5.7%), which is secured by a 417,473 sf class B office property located in Manhattan, NY. The largest tenants are Merrill Lynch, ITHAKA HARBORS, INC., Charles W. Cammack Associates, Inc., Five Star Electric, and Skanska Granite. The property continues to underperform the market with the most recent reported occupancy of 73.8% as of April 2013, compared to 98.6% at the time of origination. There is approximately 5% rollover in 2013, 18% in 2014, and 13% in 2015. Per REIS as of the 4th quarter 2012, the downtown Manhattan office submarket has a vacancy rate of 11.4%. The third largest contributor to expected losses is the specially- serviced 3660 Wilshire Boulevard loan (2.3%), which is secured by a 267,361 sf office building located in Los Angeles, CA. The loan was transferred to special servicing in January 2013. The property has suffered declining occupancy since issuance resulting from several tenant vacancies. The property is 61.3% as of February 2013 compared with 99% at issuance. Additionally, the largest tenant, Hammi Bank (20%) has a lease expiration in November 2013 and, per the special servicer, has not indicated whether or not they will renew or vacate at lease expiration. The special servicer is currently dual tracking foreclosure and modification. Fitch downgrades the ratings and revises the Outlooks for the following classes as indicated: -- $201.7 million class A-M to 'BBsf' from 'BBB-sf'; Outlook to Stable from Negative; -- $20.2 million class E to 'Csf' from 'CCsf'; RE 0%; -- $25.2 million class F to 'Csf' from 'CCsf'; RE 0%. Fitch affirms these classes as indicated: -- $8.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $93.9 million class A-3 at 'AAAsf'; Outlook Stable; -- $39.9 million class A-PB at 'AAAsf'; Outlook Stable; -- $783 million class A-4 at 'AAAsf'; Outlook Stable; -- $265.5 million class A-1A at 'AAAsf'; Outlook Stable; -- $153.8 million class A-J at 'CCCsf'; RE 30%; -- $40.3 million class B at 'CCCsf'; RE 0%; -- $20.2 million class C at 'CCsf'; RE 0%; -- $25.2 million class D at 'CCsf'; RE 0%; -- $22.7 million class G at 'Csf'; RE 0%; -- $25.2 million class H at 'Csfl; RE 0%; -- $7.6 million class J at 'Csf'; RE 0%; -- $5 million class K at 'Csf'; RE 0%; -- $3.5 million 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%. The class A-1 certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class IO certificates. COOKSON SPC 2007-1LAC: Moody's Cuts Rating on EUR24MM Notes to C ---------------------------------------------------------------- Moody's Investors Service downgraded the rating of the following notes issued by Cookson SPC Series 2007-1LAC: EUR24,000,000 Series 2007-1LAC Notes Due 2046 (current rated balance of EUR 22,374,311), Downgraded to C (sf); previously on May 8, 2008 Downgraded to Ca (sf). Ratings Rationale: According to Moody's, the rating action reflects increased deterioration in the credit quality of the underlying portfolio. Moody's notes that the Notes provide protection to $29.6 million notional amount of Class C Notes issued by Lacerta ABS CDO 2006-1, which is currently rated C (sf). The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential 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. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. Notwithstanding the foregoing, the deal's ratings are not expected to be sensitive to the typical range of changes (plus or minus two rating notches on Caa-rated assets) in the rating quality of the collateral that Moody's tests, and no sensitivity analysis was performed. CORPORATE OFFICE: Fitch Assigns 'BB' Preferred Stock Rating ----------------------------------------------------------- Fitch Ratings has assigned initial credit ratings to Corporate Office Properties Trust (NYSE:OFC) as follows: Corporate Office Properties Trust -- Issuer Default Rating (IDR) 'BBB-'; -- Preferred Stock 'BB'. Corporate Office Properties, L.P. -- IDR 'BBB-'; -- Senior Unsecured Line of Credit 'BBB-'; -- Senior Unsecured Term Loans 'BBB-'; -- Senior Unsecured Exchangeable Notes 'BBB-'. Fitch also expects to rate new unsecured obligations of COPT as follows: -- Senior Unsecured Notes 'BBB-'. The Rating Outlook is Stable. Key Rating Drivers The ratings reflect COPT's strong franchise and favorable relationship with U.S. Government and defense contractor tenants, improving credit metrics, and adequate financial flexibility supported by sufficient unencumbered asset coverage of unsecured debt and diversified financing strategy. These strengths are tempered by the company's elevated leverage for the rating, a large level of lease expirations through the end of 2015 combined with mixed operating fundamentals, and medium-term refinancing risk. Strong Franchise/Defense-Driven Portfolio Nearly 70% of annualized rents are generated from properties occupied primarily by government agencies or defense contractors. Resultantly, the majority of COPT's assets are located in close proximity to strategic locations (i.e. Fort Meade), which gives rise to geographic concentration in the greater Washington DC and Baltimore region. Given these locations, tenants have historically been 'sticky' (retention rates have averaged 72% over the past five years) and invest heavily in their properties. Their missions involve R&D and high-tech areas that are critical to national cyber security in the United States. Together with its strong relationship with the federal government and defense contractors, COPT's strategic locations and strong franchise create meaningful barriers to entry. Improving Credit Metrics The company commenced its Strategic Reallocation Plan (SRP) in 2011, aimed at divesting non-core assets and improving financial flexibility. This has led to a leverage reduction to 7.0x at Dec. 31, 2012 from 8.6x at Dec. 31, 2011. Fitch expects continued de-levering via additional asset sales and lease-up of the development pipeline, with leverage projected to fall to the mid- 6x range by the end of 2015. Fixed charge coverage was 1.8x for the trailing twelve months (TTM) ended Dec. 31, 2012 and is projected to improve to the low-2x range over this span, driven by EBITDA growth, declining leverage and reduced preferred dividends. Adequate Financial Flexibility COPT has strong liquidity with $10.6 million of unrestricted cash and full availability under its $800 million senior unsecured line of credit. Projected sources of capital cover projected uses by 1.6x for the period from Jan. 1, 2013 to Dec. 31, 2014, which is strong for the 'BBB-' IDR. If secured debt maturities are 80% refinanced, the metric improves to 2.5x. COPT also benefits from contingent liquidity provided by its $2 billion unencumbered asset pool (calculated using a stressed 9% cap rate on TTM unencumbered NOI). Diversified Funding Strategy COPT demonstrated access to the unsecured and secured debt capital markets, as well as common and preferred equity markets during 2012 and 2013 to date. The company has raised more than $300 million of common equity since 2012 as well as over $170 million of preferred equity, with proceeds used to repay debt, redeem higher coupon preferred stock, and finance acquisitions and development. The company has also accessed three unsecured term loans with an aggregate balance of $770 million. COPT's access to the unsecured market further diversifies the company's funding sources. Going forward, Fitch expects COPT to fund its growth conservatively with more than 50% equity contribution. Equity funding will be sourced via asset sales, a $150 million at-the- market (ATM) program and marketed follow-on offerings. Medium-Term Refinancing Risk Debt maturities are modest over the next 12 - 24 months but COPT faces elevated refinancing risk in 2015 when nearly $800 million of debt matures (including an initial put option on the company's exchangeable notes). However, this risk is mitigated by Fitch's expectation of COPT having continued good access to capital. In addition, the company has a robust unencumbered asset pool - unencumbered asset coverage of unsecured debt (UA/UD) was 2.1x at Dec. 31, 2012 - and an option to extend the $400 million unsecured term loan maturity to 2016. COPT is also actively pursuing several transactions, including an inaugural unsecured bond issuance to term out the maturity schedule. Elevated Lease Expirations The company faces elevated lease expirations, with nearly 45% of portfolio rent rolling by year-end 2015. The average rent expiring in 2013 is $29.10/sf, which is high relative to the $24.78/sf and $23.53/sf lease rates signed during 4Q'12 and 2012, respectively. The elevated expiring lease rate is driven by the fact that 70% of 2013 expiring leases are in the Baltimore/Washington corridor and command higher rents. Expiring rents in this market during 2013 have a weighted average rate of $30.34/sf compared to executed leases signed at $26.41/sf during 2012. Fitch expects that leasing spreads will decline in the mid-single digits in 2013. Rating Sensitivities The following factors may have a positive impact on COPT's ratings and/or Outlook: -- Fitch's expectation of net debt to recurring operating EBITDA sustaining below 5.5x (leverage was 7.0x as of Dec. 31, 2012); -- Fitch's expectation of fixed charge coverage maintaining above 2.5x (fixed charge coverage ratio was 1.8x for the TTM ended Dec. 31, 2012); -- Fitch's expectation of UA/UD maintaining above 2.5x (UA/UD was 2.1x as of Dec. 31, 2012). The following factors may have a negative impact on the company's ratings and/or Outlook: -- Fitch's expectation of leverage sustaining above 7.2x; -- Fitch's expectation of fixed charge coverage sustaining below 1.8x; -- Fitch's expectation of UA/UD sustaining below 1.8x; -- Lack of demonstrated access to the unsecured bond market; -- Material macroeconomic weakness affecting the defense industry, such that a larger portion of COPT's portfolio would be comprised of standard suburban office assets. COMM 2013-CCRE7: Moody's Takes Actions on 17 CMBS Classes --------------------------------------------------------- Moody's Investors Service assigned provisional ratings to seventeen classes of CMBS securities, issued by COMM 2013-CCRE7, Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE7. Issuer: COMM 2013-CCRE7 Mortgage Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-SB, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. X-A*, Assigned (P)Aaa (sf) Cl. A-3FL**, Assigned (P)Aaa (sf) Cl. A-3FX**, Assigned (P)Aaa (sf) Cl. X-B*, Assigned (P)A2 (sf) Cl. A-M, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. PEZ***, Assigned (P)A1 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba2 (sf) Cl. F, Assigned (P)Ba3 (sf) Cl. G, Assigned (P)B2 (sf) * Reflects Interest Only Classes ** Certificates may be exchanged for Class A-3FX of like balance. *** Reflects Exchangeable Certificates Ratings Rationale: The Certificates are collateralized by 59 fixed rate loans secured by 87 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 1.63X is higher than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.09X is higher than the 2007 conduit/fusion transaction average of 0.92X. The pooled Trust loan balance of $936 million represents a Moody's LTV ratio of 101.8%, which is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's considers subordinate financing outside of the Trust when assigning ratings. Three loans (23.5% of the pool) are structured with $76.2 million of additional financing in the form of subordinate secured or unsecured debt, raising Moody's Total LTV ratio of 114.4%. Moody's 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 2.31, which is in-line with the indices calculated in most multi-borrower transactions since 2009. 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 Herfindahl score is 21.8, which is slightly below the average score calculated from multi-borrower pools by Moody's since 2009. With respect to property level diversity, the pool's property level Herfindahl score is 24.4. The transaction's property diversity profile is in line with the indices calculated in most multi-borrower transactions issued since 2009. 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-M to mitigate the potential increased severity to class A-M. In terms of waterfall structure, the transaction contains a unique group of exchangeable certificates. Classes A-M ((P) Aaa (sf)), B ((P) Aa3 (sf)) and C ((P) A3 (sf)) may be exchanged for Class PEZ ((P) A1 (sf)) certificates and Class PEZ may be exchanged for the Classes A-M, B and C. The PEZ certificates will be entitled to receive the sum of interest distributable on the Classes A-M, B and C certificates that are exchanged for such PEZ certificates. The initial certificate balance of the Class PEZ certificates is equal to the aggregate of the initial certificate balances of the Class A-M, B and C and represent the maximum certificate balance of the PEZ 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 PEZ has the default characteristics of the lowest rated component certificate ((P) A1 (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 ((P) A1 (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 Classes X-A and X-B was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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 23%, the model-indicated rating for the currently rated Aaa Super Senior class would be ((P) Aaa (sf)), ((P) Aaa (sf)), and ((P) Aa1(sf)), respectively; for the most junior Aaa rated class A-M would be ((P) Aa1 (sf)), ((P) Aa2 (sf)), and ((P) A1(sf)), 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. CREDIT SUISSE 1999-C1: Moody's Affirms 'C' Rating on Cl. L CMBS --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of two classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass Through Certificates, Series 1999-C1 as follows: Cl. L, Affirmed C (sf); previously on May 4, 2006 Downgraded to C (sf) Cl. A-X, Affirmed Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale: The rating of class L is consistent with Moody's expected loss and is thus affirmed. 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 54% of the current deal balance. At last review, Moody's base expected loss was approximately 52%. Moody's base expected loss plus realized losses is now 7.1% of the original pooled balance compared to 7.0% at last review. 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 Class A-X was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Since over half of the pool is in special servicing, Moody's also utilized a loss and recovery approach in rating this deal. In this approach, Moody's determines a probability of default for each specially serviced loan and determines a most probable loss given default based on a review of broker's opinions of value (if available), other information from the special servicer and available market data. The loss given default for each loan also takes into consideration servicer advances to date and estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). 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 3 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(R) (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 April 19, 2012. Deal Performance: As of the March 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $82.8 million from $1.17 billion at securitization. The Certificates are collateralized by seven mortgage loans ranging in size from less than 1% to 52% of the pool. Two loans, representing 32% of the pool, have defeased and are secured by U.S. Government securities. There are no investment grade credit assessments. Two loans, representing 15% 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-nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $38.8 million (26% loss severity on average). One loan, the Tallahassee Mall Loan ($42.9 million -- 52% of the pool), is currently in special servicing. The loan is secured by a 1.0 million square foot (SF) regional mall located in Tallahassee, Florida. The center is anchored by Belk. The second anchor space has been vacant since Dillard's closed its store in 2007. The property is subject to a ground lease which expires in 2063. The property was listed for sale after the loan entered default in 2009. The sale was interrupted after the ground lessor refused to issue an Estoppel Certificate. A foreclosure sale was completed in 2011 and the property is currently real estate owned (REO). The lender has been in litigation with the ground lessor and has reached a settlement agreement, which the Lender is now seeking to enforce, where the Ground Lessor's Fee Interest and Lender's Leasehold Interest will be made available for sale together. The servicer has recognized an appraisal reduction equal to the outstanding loan balance. Moody's estimates a 100% loss for this loan. The conduit component consists of four loans representing 16.1% of the pool. Moody's was provided with full year 2011 operating results for 100% of the these loans. Moody's weighted average LTV is 94% compared to 100% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.64%. Moody's actual and stressed DSCRs are 1.00X and 2.44X, respectively, compared to 0.99X and 2.10X 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 16% of the pool. The largest loan is the 34 Maple Avenue Loan ($7.6.0 million -- 9.2% of the pool), which is secured by a 130,000 SF, 2-story Class B office property now known as the "Montville East Corporate Center", located in Parsippany, New Jersey. The loan passed its ARD date of March 11, 2009, with the borrower continuing to pay the original interest rate with unpaid interest deferred until loan maturity in 2029. According to the servicer, the largest tenant, Dish Network, recently extended its lease for one year until December 31, 2013. Moody's current LTV and stressed DSCR are 99% and 1.09X, respectively, compared to 120% and 0.9X at last review. The second largest loan is the Park Glen West Business Center Loan ($4.5 million -- 5.4% of the pool), which is secured by a 130,000 SF flex property located in Saint Louis Park, Minnesota, a western suburb of Minneapolis. As of December 2012, the property was 59% leased compared to 87% at last review. The largest tenant, Federal Express Corporation, previously leased 30% of the net rentable area but vacated at its lease expiration in November 2012. Moody's current LTV and stressed DSCR are 111% and 1.02X, respectively, compared to 101% and 1.12X at last review. The third largest loan is the 1674 Broadway Loan ($1.0 million -- 1.0% of the pool), which is secured by a 50,000 SF office property located in Midtown Manhattan. Moody's current LTV and stressed DSCR are 5% and 20.76X, respectively, compared to 9% and 12.14X at last review. CREDIT SUISSE 2002-CP3: Moody's Cuts Rating on A-X Certs to Caa3 ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes, downgraded one class, and affirmed two classes of Credit Suisse First Boston Mortgage Securities, Commercial Mortgage Pass-Through Certificates, Series 2002-CP3 as follows: Cl. A-X, Downgraded to Caa3 (sf); previously on Apr 11, 2012 Confirmed at Ba3 (sf) Cl. K, Upgraded to B2 (sf); previously on Oct 27, 2010 Downgraded to Caa3 (sf) Cl. L, Upgraded to Caa2 (sf); previously on Oct 27, 2010 Downgraded to Ca (sf) Cl. M, Affirmed C (sf); previously on Oct 27, 2010 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Oct 27, 2010 Downgraded to C (sf) Ratings Rationale: The upgrades of Classed K and L are due to increased credit support from loan amortization and payoffs. The deal has paid down 90% since last review. The ratings of Classes M and N reflect Moody's expected loss for those classes and thus are affirmed. The downgrade of the IO Class, Class A-X, is to align its rating with the expected credit performance of its referenced classes. Moody's rating action reflects a base expected loss of 68.2% of the current pooled balance compared to 7.8% at last review. Moody's based expected loss plus realized losses is now 3.3% of the original deal balance compared to 3.4% 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 rated 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 Class A-X was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Since 93% of the pool is in special servicing, Moody's also utilized a loss and recovery approach in rating this deal. In this approach, Moody's determines a probability of default for each specially serviced loan and determines a most probable loss given default based on a review of broker's opinions of value (if available), other information from the special servicer and available market data. The loss given default for each loan also takes into consideration servicer advances to date and estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). 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. CMBS Conduit Model v 2.62 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 3, compared to 9 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(R) (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 April 11, 2012. Deal Performance: As of the March 15, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 96% to $34 million from $896 million at securitization. The Certificates are collateralized by six mortgage loans ranging in size from 1% to 38% of the pool. The pool does not currently contain any defeased loans or loans with credit assessments. Currently there are no loans on the master servicer's watchlist. Eight loans have been liquidated at a loss from the pool, resulting in an aggregate realized loss of $6 million (14% average loss severity). Three loans, representing 93% of the pool, are currently in special servicing. The largest specially serviced loan is the River Street Square Loan ($13 million -- 37.9% of the pool), which is secured by a 267,000 square foot (SF) power center located in Elyria, Ohio. The mall transferred to special servicing in April 2012 due to monetary default. Wal-Mart was previously the center's largest tenant but vacated the approximately 120,000 SF that it leased at its August 2012 lease expiration. The property is 36% leased as of February 2013. The servicer has recognized a $9 million appraisal reduction for this asset. The second largest specially serviced loan is the 5440 Corporate Drive Office Building ($11 million -33.3%), which is secured by a 92,000 SF office property located in Troy, Michigan. The property transferred to special servicing in February 2010 due to payment default. The property became real estate owned (REO) in January 2012 and the loan was declared non-recoverable shortly thereafter. The property was 22% leased as of December 2012, but the special servicer noted some recent leasing interest at the property. The servicer has recognized an $11 million appraisal reduction for this asset. The third largest specially serviced loan is the Arrowhead Pointe Apartments Loan ($7 million -- 21.7%), which is secured by a 272 unit apartment property located in Albuquerque, New Mexico. The property was formerly known as Sandia Ridge Apartments. The property was 85% leased as of March 2013. The property transferred to special servicing in March 2012 for a maturity default. The special servicer subsequently granted a Forbearance Agreement to provide the borrower with time to repay or refinance the loan whereby the loan was to be repaid in full. The borrower has indicated that it intends to refinance the loan in April 2013, but the refinance did not occur by the conclusion of Moody's analysis. The servicer has not recognized an appraisal reduction for this asset since the most recent appraised value is greater than the outstanding loan exposure. The servicer has recognized an aggregate $21 million appraisal reduction for the two largest specially serviced loans, while Moody's estimates a $23 million expected loss for all three specially serviced loans (73% average loss severity). The conduit portion only represents 7% of the deal and consists of three loans, each less than $1.2 million. Each conduit loan is amortizing. The conduit loans have amortized 13% since securitization on average. Moody's conduit LTV and stressed DSCR are 70% and 1.41X, respectively, compared to 88% and 1.27X at last review. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Based on the most recent remittance statement, Classes L through O have experienced cumulative interest shortfalls totaling $4.4 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. CREDIT SUISSE 2007-C1: Rights Deal No Impact on Moody's Ratings --------------------------------------------------------------- Moody's Investors Service was informed that the Holder of Certificates representing more than 50% of the Class Principal Balance of the Controlling Class intends to replace LNR Partners, LLC (LNR) as the Special Servicer and to appoint C-III Asset Management LLC (C-III) as the successor Special Servicer. The Proposed Special Servicer Replacement will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the Proposed Special Servicer Replacement from LNR to C-III. Moody's has determined that this proposed special servicing transfer will not, in and of itself, and at this time, result in a downgrade, withdrawal or qualification of the current ratings to any class of certificates rated by Moody's for Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2007-C1. Moody's opinion only addresses the credit impact associated with the proposed transfer of special servicing rights. Moody's is not expressing any opinion as to whether the this change has, or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. The last rating action for CSMC 2007-C1 was taken on January 25, 2013. In that action, Moody's affirmed the rating of 12 classes and downgraded five classes of Credit Suisse Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2007- C1 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Apr 3, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Jun 23, 2010 Confirmed at Aaa (sf) Cl. A-3, Downgraded to Baa1 (sf); previously on Jan 26, 2012 Downgraded to A1 (sf) Cl. A-1-A, Downgraded to Baa1 (sf); previously on Jan 26, 2012 Downgraded to A1 (sf) Cl. A-M, Downgraded to B3 (sf); previously on Jan 26, 2012 Downgraded to Ba3 (sf) Cl. A-MFL, Downgraded to B3 (sf); previously on Jan 26, 2012 Downgraded to Ba3 (sf) Cl. A-J, Affirmed Caa2 (sf); previously on Jan 26, 2012 Downgraded to Caa2 (sf) Cl. B, Affirmed Caa3 (sf); previously on Jan 26, 2012 Confirmed at Caa3 (sf) Cl. C, Affirmed Ca (sf); previously on Jan 26, 2012 Confirmed at Ca (sf) Cl. D, Affirmed C (sf); previously on Jun 23, 2010 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Jun 23, 2010 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Jun 23, 2010 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Jun 23, 2010 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Jun 23, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Jun 23, 2010 Downgraded to C (sf) Cl. A-SP, Affirmed Aaa (sf); previously on Apr 3, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-X, Downgraded to B2 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) The methodologies used in monitoring this transaction were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's will continue to monitor the ratings. Any change in the ratings will be publicly disseminated by Moody's through appropriate media. CREDIT SUISSE 2007-C3: Rights Deal No Impact on Ratings ------------------------------------------------------- Moody's Investors Service was informed that the Holder of Certificates representing more than 50% of the Class Principal Balance of the Controlling Class intends to replace LNR Partners, LLC. (LNR) as the Special Servicer and to appoint C-III Asset Management LLC (C-III) as the successor Special Servicer. The Proposed Special Servicer Replacement will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the Proposed Special Servicer Replacement from LNR to C-III. Moody's has determined that this proposed special servicing transfer will not, in and of itself, and at this time, result in a downgrade, withdrawal or qualification of the current ratings to any class of certificates rated by Moody's for Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2007-C3. Moody's opinion only addresses the credit impact associated with the proposed transfer of special servicing rights. Moody's is not expressing any opinion as to whether the this change has, or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. The last rating action for CSMC 2007-C3 was taken on September 6, 2012. In that action, Moody's affirmed the ratings of ten classes and downgraded six classes of Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007- C3 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Affirmed at Aa2 (sf); previously on Nov 4, 2010 Downgraded to Aa2 (sf) Cl. A-AB, Affirmed at Aa2 (sf); previously on Nov 4, 2010 Downgraded to Aa2 (sf) Cl. A-1-A1, Affirmed at Aa2 (sf); previously on Nov 4, 2010 Downgraded to Aa2 (sf) Cl. A-1-A2, Affirmed at Aa2 (sf); previously on Nov 4, 2010 Downgraded to Aa2 (sf) Cl. A-M, Downgraded to Baa2 (sf); previously on Nov 4, 2010 Downgraded to A3 (sf) Cl. A-J, Downgraded to Caa2 (sf); previously on Nov 4, 2010 Downgraded to B3 (sf) Cl. B, Downgraded to Caa3 (sf); previously on Nov 4, 2010 Downgraded to Caa1 (sf) Cl. C, Downgraded to C (sf); previously on Nov 4, 2010 Downgraded to Caa3 (sf) Cl. D, Downgraded to C (sf); previously on Nov 4, 2010 Downgraded to Ca (sf) Cl. E, Affirmed at C (sf); previously on Nov 4, 2010 Downgraded to C (sf) Cl. F, Affirmed at C (sf); previously on Nov 4, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Nov 4, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Nov 4, 2010 Downgraded to C (sf) Cl. A-X, Downgraded to B1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) The methodologies used in monitoring this transaction were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's will continue to monitor the ratings. Any change in the ratings will be publicly disseminated by Moody's through appropriate media. CREDIT SUISSE 2007-TFL1: Rights Deal No Impact on Moody's Ratings ----------------------------------------------------------------- Moody's Investors Service was informed that the Holder of Certificates representing more than 50% of the Class Principal Balance of the Controlling Class intends to replace Trimont Real Estate Advisors, Inc. as the Special Servicer of the JW Marriott Las Vegas Whole Loan and to appoint Talimco, LLC, acting through its affiliate Talmage, LLC as the successor Special Servicer. The Proposed Special Servicer Replacement will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the Proposed Special Servicer Replacement. At this time, the proposed transfer will not, in and of itself, result in a downgrade, withdrawal or qualification of the current ratings to any class of certificates rated by Moody's for Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2007-TFL1 (the Certificates) or result in "on watch for possible downgrade" rating action with respect to any of the Certificates. Moody's ratings address only the credit risks associated with the proposed transfer of special servicing rights. Other non-credit risks have not been addressed, but may have significant effect on yield and/or other payments to investors. This action should not be taken to imply that there will be no adverse consequence for investors since in some cases such consequences will not impact the rating. Moody's carries the following not-prime ratings for Credit Suisse 2007-TFL1: Cl. A-X-1 PASS-THRU CTFS; B2 Cl. A-X-2 PASS-THRU CTFS; Caa2 Cl. F PASS-THRU CTFS; Ba1 Cl. G PASS-THRU CTFS; B1 Cl. H PASS-THRU CTFS; Caa1 Cl. J PASS-THRU CTFS; Caa2 Cl. K PASS-THRU CTFS; C Cl. L PASS-THRU CTFS; C The primary methodologies used in monitoring this transaction were "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. Moody's will continue to monitor the ratings of the Notes issued by the Issuer, and any change in the ratings will be publicly disseminated by Moody's through appropriate media. CREST G-STAR: Fitch Affirms 'C' Rating on $24.78MM Class C Notes ---------------------------------------------------------------- Fitch Ratings has upgraded two and affirmed one class issued by Crest G-Star 2001-2, Ltd. KEY RATING DRIVERS Since the last rating action in May 2012, approximately 20.4% of the collateral has been downgraded. Currently, 65.5% of the portfolio has a Fitch derived rating below investment grade with 20.4% having a rating in the 'CCC' category and below, compared to 48.9% and 17.4%, respectively, at the last rating action. Over this period, the transaction has received $50 million in pay downs which has resulted in the full repayment of the class A notes and $31.1 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. The class B notes have been upgraded to reflect that they are covered by highly rated collateral, but the upgrade was limited due to the increased risk for interest shortfall on the notes as a result of increased concentration and adverse selection. For the class C 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 affirmed at 'Csf', indicating that default is inevitable, although a moderate to strong recovery is expected. The Stable Outlook on the class B notes reflects Fitch's view that the transaction will continue to delever. RATING SENSITIVITIES In addition to those sensitivities discussed above, further negative migration and defaults beyond those projected by SF PCM as well as increasing concentration in assets of a weaker credit quality could lead to downgrades. Crest G-Star 2001-2 is a static collateralized debt obligation (CDO) that closed on Dec. 18, 2001. The collateral is composed of nine assets from seven obligors of which 78.2% are commercial mortgage backed securities (CMBS) and 21.8% are real estate investment trusts (REIT). Fitch has upgraded the following classes: -- $12,392,460 class B-1 notes to 'BBsf' from 'Bsf'; Outlook Stable; -- $5,467,262 class B-2 notes to 'BBsf' from 'Bsf'; Outlook Stable. Fitch has affirmed the following class: -- $24,783,882 class C notes at 'Csf'. DISCOVER FINANCIAL: Fitch Affirms 'B+' Preferred Stock Rating ------------------------------------------------------------- Fitch Ratings has completed a peer review of three rated consumer finance companies and their related entities. Based on this review, Fitch has affirmed the long-term Issuer Default Ratings (IDR) of American Express Company (AXP) at 'A+', Discover Financial Services (Discover) at 'BBB', and SLM Corporation (SLM) at 'BBB-'. The Rating Outlook for all issuers is Stable. KEY RATING DRIVERS The rating affirmations reflect the solid market positions of each issuer in their respective product categories and the continuation of strong consumer credit trends, which has supported solid earnings performance and internal capital generation. AXP and Discover continue to maintain peer-superior capital ratios and strong liquidity profiles, with each retaining sufficient cash and liquid securities to cover funding maturities over the next 12 months. Loss metrics on their credit card portfolios lead the industry, as do portfolio expansion and purchase volume growth, which are expected to continue to support solid earnings performance over the near term. While Fitch believes growth in provision expense will be a headwind in 2013, Fitch also believes loss metrics will remain well below historical norms, and the low cost funding environment will serve as a partial offset to higher credit costs. AXP's superior rating continues to reflect its spend-centric business model, which allowed the company to remain profitable and build capital throughout the recent credit crisis. In 2012, interchange revenue accounted for approximately 56% of net revenue, while other large credit card firms are much more heavily reliant on net interest spread for income. AXP has an attractive customer base, with the highest average spend-per-card in the industry, which Fitch believes will continue to support billed business growth and earnings. Credit trends in the private student loan space continue to move in a positive direction, as tighter underwriting criteria, including higher co-signer rates on undergraduate loans and increased school certifications, have and will continue to benefit loan vintages entering repayment. Fitch expects further stabilization of private student loan credit metrics in 2013, which should yield further reductions in provision expense for SLM. Discover's organic student loan portfolio is still relatively new, and, therefore, Fitch believes loss metrics will rise modestly as the portfolio seasons. SLM has demonstrated improved earnings consistency in recent years, despite the run-off of its federally guaranteed student loan business, given stronger credit trends on the private education loan side, reduced funding costs, and greater operational efficiencies. Fitch believes the supply-demand imbalance in the private student loan industry will benefit players of scale, of which SLM is the largest, as portfolio growth can be achieved without loosening underwriting criteria. While legislative risk remains a headline risk, as it pertains to the dischargeability of private loans in bankruptcy, Fitch believes the impact of a potential change in legislation is becoming less significant, as portfolio co-signer rates rise. Separately, SLM recently completed the sale of a residual interest in an ABS FFELP transaction, which was relatively modest in size. Fitch does not view the sale as a change in operating strategy, but as an accelerated realization of cash proceeds expected from the amortization of the transaction. Cash flows from servicing the assets will remain intact, as servicing has been retained. Should residual sales happen on a larger scale, Fitch would expect a portion of cash proceeds generated from the sale to be used to repay unsecured debt, as a meaningful portion of the unsecured debt remaining is being used to support the legacy FFELP business. The use of significant cash proceeds for higher dividend distributions and/or share repurchases would be viewed negatively from a creditor's perspective and could result in a ratings downgrade. Given strong earnings performance across the consumer sector, aggregate dividends and share repurchases were significant in the space in 2012, amounting to payouts of 98% of earnings for AXP, 60% of earnings for Discover, and 107% of core earnings for SLM. Still, Fitch believes risk-adjusted capitalization levels remained solid for each. AXP's ability to generate capital internally, in particular, is superior given its spend centric business model and focus on fee revenue. Given current capital positions, Fitch expects AXP and Discover will retain relatively high payout rates in 2013. The Stable Rating Outlook for AXP and Discover reflects Fitch's expectation that both will continue to generate consistent earnings, exhibit peer-superior asset quality, and maintain solid liquidity and strong risk-adjusted capitalization. The Stable Rating Outlook for SLM reflects Fitch's expectations for consistent operating performance in consumer lending and business services, sustained operating efficiencies, stability in credit metrics for the private education loan portfolio, growing capitalization, with the amortization of the FFELP portfolio, and the continued ability to repay maturing debt obligations with operating cash flow and liquidity on hand. RATING SENSITIVIES - AXP and Discover For AXP and Discover, negative rating action could be driven by an inability to maintain competitive positions and earnings prospects in an increasingly digitized payment landscape. While each is focused on strategic acquisitions and/or alliances to expand online and mobile capabilities, competition from technology companies and social networks, with access to significant consumer data, is expected to intensify. Still, a meaningful shift in consumer payment behavior is expected to take some time to develop. Negative rating momentum for each could also be driven by a decline in earnings performance, resulting from a decrease in market share, declines in merchant acceptance, significant credit deterioration or an inability to contain costs, a weakening liquidity profile, significant reductions in capitalization, and legislative and/or regulatory changes that alter the earnings prospects of the credit card business. Fitch believes positive rating momentum is relatively limited for AXP given its already strong rating and its concentration in payments and consumer products. For Discover, however, positive rating momentum could develop from increased revenue diversity, proven competitive positioning and credit performance in non-card loan categories over time, and enhanced funding flexibility. To date, positive momentum has been constrained by the continued introduction of new product categories, where underwriting capabilities are largely untested. Further seasoning of these new product portfolios will allow Fitch to assess whether underlying performance alters the risk profile of the firm. RATING SENSITIVIES - SLM For SLM, negative rating momentum could result from free cash flow generation below Fitch's expectations, which impairs the company's ability to meet its debt service obligations. As discussed, should FFELP residual sales happen on a larger scale, Fitch would expect an appropriate portion of cash proceeds to be used to repay unsecured debt. The use of significant cash proceeds for higher shareholder distributions, which Fitch believes impairs the company's ability to meet unsecured debt maturities, could result in a ratings downgrade. Negative rating action could also result from deterioration in asset quality metrics to crisis levels, legislative change which removes the private sector from the servicing and collection of government guaranteed student loans, and/or an inability to arrange economically attractive term funding for private education loans over time. While Fitch believes the impact of the private student loan dischargeability issue is declining, the ability for a borrower to discharge their private student loan without a demonstrated payment history, would not be viewed favorably. Furthermore, an inability for SLM to regain its market share in the servicing of government loans through the ED contract, could pressure the ratings. While not a meaningful portion of revenue or income at present, third-party servicing income is expected to grow in importance as the owned portfolio runs off. Given the company's scalable servicing platform and default performance, Fitch expects SLM to achieve and maintain a meaningful share of the contract. Conversely, while upward rating momentum is likely limited to the current rating category, positive rating actions could result from improved consistency of term liquidity for private education loans, stable credit performance of Smart Option loan vintages, and measured core earnings expansion over time, resulting from growth in business services, consistent risk-adjusted margins in the consumer lending segment, and an increase in third party servicing revenue. Fitch has affirmed the following ratings with a Stable Outlook: American Express Company -- Long-term IDR at 'A+'; -- Short-term IDR at 'F1'; -- Short-term debt at 'F1'; -- Senior debt at 'A+'; -- Hybrid capital instrument at 'BBB'; -- Viability Rating at 'a+'; -- Support at '5'; and -- Support Floor at 'NF'. American Express Credit Corp. -- Long-term IDR at 'A+'; -- Short-term IDR at 'F1'; -- Short-term debt at 'F1'; and -- Senior debt at 'A+'. American Express Centurion Bank -- Long-term IDR at 'A+'; -- Short-term IDR at 'F1'; -- Senior debt at 'A+'; -- Long-term deposits at 'AA-'. -- Short-term deposits at 'F1+'; -- Viability Rating at 'a+'; -- Support at '5'; and -- Support Floor at 'NF'. American Express Bank, FSB -- Long-term IDR at 'A+'; -- Short-term IDR at 'F1'; -- Senior debt at 'A+'; -- Long-term deposits at 'AA-'. -- Short-term deposits at 'F1+'; -- Viability Rating at 'a+'; -- Support at '5'; and -- Support Floor at 'NF'. American Express Travel Related Services Company, Inc. -- Long-term IDR at 'A+'; and -- Short-term IDR at 'F1'. American Express Canada Credit Corp. -- Long-term IDR at 'A+'; -- Short-term IDR at 'F1'; and -- Senior debt at 'A+'. Discover Financial Services -- Long-term IDR 'BBB'; -- Short-term IDR 'F2'; -- Viability Rating 'bbb'; -- Senior debt 'BBB'; -- Preferred stock 'B+'; -- Support '5'; and -- Support Floor 'NF'. Discover Bank -- Long-term IDR 'BBB'; -- Short-term IDR 'F2'; -- Viability Rating 'bbb'; -- Short-term Deposits 'F2'; -- Long-term Deposits 'BBB+'; -- Senior Debt 'BBB'; -- Subordinated Debt 'BBB-'; -- Support '5'; and -- Support Floor 'NF'. SLM Corporation: -- Long-term IDR at 'BBB-'; -- Short-term IDR at 'F3'; -- Senior unsecured debt at 'BBB-'; and -- Preferred stock at 'BB'. DIVERSIFIED ASSET: Fitch Affirms 'C' Rating on Class B-1L Notes --------------------------------------------------------------- Fitch Ratings has upraded two classes and affirmed two classes of notes issued by Diversified Asset Securitization Holdings III, L.P./Corp. (DASH III) as follows: -- $1,720,125 class A-1L notes upgraded to 'Asf' from 'BBBsf'; Outlook Stable; -- $560,041 class A-2 notes upgraded to 'Asf' from 'BBBsf'; Outlook Stable; -- $30,000,000 class A-3L notes affirmed at 'CCsf'; -- $28,923,568 class B-1L notes affirmed 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 (SF PCM) 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 upgrade and affirmation for these notes. KEY RATING DRIVERS The upgrades of the class A-1L and A-2 notes are due to the amortization of the notes increasing credit enhancement; which more than offset the marginal deterioration of the underlying portfolio. The class A-1L and A-2 notes have amortized approximately $16.7 million, or 88% of its previous outstanding balance through the use of principal proceeds and excess spread. Breakeven levels for these notes indicate higher ratings; however, in view of the potential adverse selection in the remaining portfolio, the rating was capped at 'Asf'. The notes Stable Outlook is in line with the sufficient cushion in the breakeven results of the cash flow model for the 'Asf' rating category. Since Fitch's last rating action in May 2012, the credit quality of the collateral has marginally deteriorated with approximately 7.9% of the portfolio downgraded a weighted average of 6.7 notches. Approximately 82% of the current portfolio has a Fitch derived rating below investment grade and 68.4% is rated in the 'CCC' rating category or lower, compared to 74.8% and 63.7% respectively, at last review. Breakeven levels for the class A-3L and class B-1L notes indicate ratings below SF PCM's 'CCC' default level, the lowest level of defaults projected by SF PCM. For these classes, Fitch compared their respective credit enhancement (CE) levels to expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates default continues to appear probable for the class A-3L notes, and inevitable for the class B-1L notes. Therefore both classes are affirmed at their current ratings. RATING SENSITIVITIES Further negative migration and defaults beyond those projected by SF PCM as well as increasing concentration in assets of a weaker credit quality could lead to downgrades. DASH III is a cash flow collateralized debt obligation (CDO) that closed on June 28, 2001. The portfolio was originally selected by Asset Allocation & Management, LLC and management changed to TCW Asset Management Co. in October 2002. The portfolio is comprised of 43.8% residential mortgage-backed securities, 34.3% commercial asset-backed securities, 20.4% commercial mortgage-backed securities and 1.5% commercial real estate investment trusts from 1997 through 2004 vintage transactions. FIRST ALLIANCE 1998-3: Moody's Corrects Ratings on Cl. A-3 Certs ---------------------------------------------------------------- Moody's Investors Service has corrected the rating for Class A-3 certificates issued in First Alliance's 1998-3 subprime mortgage deal to Caa2 (sf) on review for downgrade from B3 (sf) on review for downgrade, as well as corrected the rating history. Due to an internal administrative error, these notes were omitted from the November 21, 2012 and March 25, 2013 rating actions taken on US structured finance securities wrapped by MBIA Insurance Corporation. The tranche is backed by an insurance policy from MBIA whose insurance financial strength rating is Caa2 on review for downgrade. On November 21, 2012, First Alliance's 1998-3 Class A-3 certificates should have been downgraded to Caa2 (sf) from B3 (sf) on review for downgrade following Moody's announcement on November 19, 2012 that it had downgraded the insurance financial strength (IFS) ratings of MBIA Insurance Corporation (MBIA Corp.) to Caa2 from B3. On March 25, 2013, the Caa2 (sf) rating of these notes should have been placed on review for downgrade following Moody's announcement on March 21, 2013 that it had placed on review for downgrade the Caa2 IFS ratings of MBIA Corp. Moody's ratings on structured finance securities that are guaranteed or "wrapped" by a financial guarantor are generally maintained at a level equal to the higher of the following: a) the rating of the guarantor; or b) the published or unpublished underlying rating. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty. FIRST HORIZON: Moody's Takes Action on $58.6MM Prime Jumbo RMBS --------------------------------------------------------------- Moody's Investors Service downgraded five tranches and upgraded one tranche from two transactions issued by First Horizon. The collateral backing these deals primarily consists of first-lien, fixed-rate prime Jumbo residential mortgages. The actions impact approximately $58.6 million of RMBS issued from 2005 and 2006. Complete rating actions are as follows: Issuer: First Horizon Mortgage Pass-Through Trust 2005-4 Cl. I-A-5, Upgraded to Baa2 (sf); previously on Mar 26, 2010 Downgraded to Ba3 (sf) Issuer: First Horizon Mortgage Pass-Through Trust 2006-4 Cl. I-A-1, Downgraded to Caa2 (sf); previously on Mar 26, 2010 Downgraded to B2 (sf) Cl. I-A-5, Downgraded to Caa2 (sf); previously on Mar 26, 2010 Downgraded to Caa1 (sf) Cl. I-A-6, Downgraded to Caa2 (sf); previously on Mar 26, 2010 Downgraded to Caa1 (sf) Cl. I-A-7, Downgraded to Caa2 (sf); previously on Mar 26, 2010 Downgraded to Caa1 (sf) Cl. I-A-15, Downgraded to Caa2 (sf); previously on Mar 26, 2010 Downgraded to Caa1 (sf) Ratings Rationale: The actions are a result of the recent performance of Prime jumbo pools originated on or after 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 upgrade on Class I-A-5 from First Horizon 2005-4 transaction is due to faster than expected paydown of the bond. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005-2008 US RMBS Surveillance Methodology" published in July 2011. 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 2014. Small Pool Volatility 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 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, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. 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 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% 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. When assigning the final ratings to bonds, in addition to the approach, Moody's considered the volatility of the projected losses and timeline of the expected defaults. 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 7.6% in March 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. FLAGSHIP CREDIT 2013-1: S&P Assigns 'BB' Rating to Class D Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Flagship Credit Auto Trust 2013-1's $222.16 million auto receivables-backed notes series 2013-1. The note issuance is asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 37%, 32%, 26%, and 21%% credit support (including excess spread) for the class A, B, C, and D notes respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of more than 2.55x, 2.30x, 1.75x, and 1.50x S&P's 12.80%-13.30% expected cumulative net loss range for the class A, B, C, and D notes, respectively. -- The timely interest and principal payments made under stress cash flow modeling scenarios that are appropriate to the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario, all else being equal, the ratings on the class A, B, and C notes will remain within two rating categories of the assigned ratings during the first year. This is within the two-category rating tolerance for S&P's 'A' and 'BBB' rated securities, as outlined in its credit stability criteria. -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The characteristics of the collateral pool being ecuritized. -- 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/1450.pdf RATINGS ASSIGNED Flagship Credit Auto Trust 2013-1 Class Rating Type Interest Amount rate (mil. $) A A+ (sf) Senior Fixed 174.00 B A (sf) Subordinate Fixed 14.50 C BBB (sf) Subordinate Fixed 21.00 D BB (sf) Subordinate Fixed 12.66 FOREST CREEK: Moody's Lifts Rating on $7MM Cl. B-2L Notes to B3 --------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Forest Creek CLO Ltd.: $7,000,000 Class B-2L Floating Rate Notes Due April 10, 2015 (current outstanding balance of $7,590,052), Upgraded to B3 (sf); previously on July 19, 2011 Upgraded to Caa3 (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 last rating action in June 2012. Moody's notes that the Class A-3L, A-4L and B-1L Notes have been paid down in full since the last rating action. Based on the latest trustee report dated April 3, 2013, the Class B-2L overcollateralization ratio is reported at 116.4% versus the May 2012 level of 103.6%. Moody's notes that the trustee reported Class B-2L overcollateralization ratio does not include the April 10, 2013 payment distribution when $9.0 million of principal proceeds were used to pay down the Class B-1L and Class B-2L Notes. Moody's also notes that the Class B-2L Notes, which are currently the senior most outstanding notes, have a high coupon of Libor+8% and a deferred interest balance of $590,052. The required interest payments on the notes exceed the interest proceeds expected to be received from the collateral, as a result the transaction may need to rely on principal proceeds to pay interest on the notes. This rating action considers the possibility that the Class B-2L Notes may defer interest in the future. An interest deferral could trigger an event of default, which could present uncertainties arising from the potential for acceleration of the notes or liquidation of the collateral depending on the timing and choice of these remedies following an event of default. Further, Moody's notes that the rated notes are collateralized by a portfolio that is highly concentrated. Only 14 obligors remain and exposures to the top two industries account for over 60% of the portfolio. In addition, the underlying portfolio is exposed to securities that mature after the maturity date of the notes. Based on the April 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 7.7% 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 $9.5 million, defaulted par of $2.9 million, a weighted average default probability of 7.22% (implying a WARF of 2498), a weighted average recovery rate upon default of 47.15%, and a diversity score of 8. 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. Forest Creek CLO Ltd, issued in May 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. 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. Moody's applied this adjustment to 8% of the collateral pool. 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% (1998) Class B-2L: +1 Moody's Adjusted WARF + 20% (2998) 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: 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. 4) Exposure to credit estimates: The deal is exposed to 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. 5) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors that are rated non-investment grade, especially when they experience jump to default. GE COMMERCIAL 2006-C1: Fitch Affirms 'D' Rating on Class J Certs ---------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 16 classes of GE Commercial Mortgage Corporation, series 2006-C1 (GECMC 2006-C1), commercial mortgage pass-through certificates. KEY RATING DRIVERS The downgrades reflect an increase in Fitch-modeled losses across the pool due to a combination of higher modeled losses on the specially serviced assets resulting from updated valuations, as well as higher modeled losses on several of the top 15 loans with continued underperformance. Fitch modeled losses of 10.6% of the remaining pool; modeled losses on the original pool balance total 11.1%, including losses already incurred. The Negative Rating Outlook on class A-J reflects the uncertainty and timing surrounding the workout of many of the specially serviced assets and the possibility for further performance deterioration on loans in the top 15. Fitch has designated 29 loans (25.6%) as Fitch Loans of Concern, which includes 12 specially serviced assets (11.8%). RATING SENSITIVITIES The ratings on the super senior and mezzanine 'AAA' rated classes are expected to remain stable as these classes are expected to continue to receive paydowns. The 'B' rated class may be subject to further rating action should realized losses be greater than Fitch's expectations. The distressed classes are subject to further rating actions as losses are realized. As of the March 2013 distribution date, the pool's aggregate principal balance has been reduced by 18.9% to $1.304 billion from $1.609 billion at issuance; of which $264.3 million (16.4%) was due to paydowns and $39.9 million (2.5%) was due to realized losses. Three loans (1.2% of pool) have defeased since issuance. Interest shortfalls totaling $7.9 million are currently affecting classes B through P. The largest contributor to modeled losses is a specially serviced loan (4.1% of pool) secured by a 19-story, 446,048 square foot (sf) office building located in the central business district of Newark, NJ. The loan was transferred to special servicing in November 2011 due to delinquent payments. The special servicer is currently pursuing foreclosure with the foreclosure sale scheduled for mid-April 2013. As of the December 2012 rent roll, the property was 32.9% leased, down significantly from 94.6% at issuance. Between 2010 and 2012, multiple tenants, including many of the initial major tenants, vacated the property. Occupancy is expected to drop further to approximately 25% as three in-places tenants, currently occupying 7.5% of the property square footage, have provided notice indicating they will not renew their leases and will vacate at lease expiration. Lease rollover continues to remain a major concern at the property. The second and third largest tenants, combined for 13.3% of the property square footage, have upcoming lease expirations in October 2013 and August 2014. In addition, the largest tenant at the property, The State of New Jersey Department of Treasury, which occupies 8.7% of the property square footage, has a lease expiration in September 2017; however, the servicer has indicated there is some likelihood the tenant will leave prior to its scheduled lease expiration date given attempts by the State of New Jersey to consolidate state government tenants within the Newark market into one office building. The next largest contributor to modeled losses is a specially serviced loan comprising 1.8% of the pool. The loan was originally secured by a portfolio of two retail properties consisting of seven buildings. The Stonecrest Shopping Center property is located in Lithonia, GA and consists of five buildings and the Destination Home and Georgia Backyard property is located in Buford, GA and consists of two buildings. The loan was transferred to special servicing in January 2010 due to imminent default. The asset became real-estate owned in February 2011. During the fourth quarter of 2011, the two buildings of the Destination Home and Georgia Backyard property were sold at an auction sale. During the fourth quarter of 2012, four of the five buildings of the Stonecrest Shopping Center property were also sold at an auction sale. The one remaining building of the Stonecrest Shopping Center property is expected to be included in an upcoming auction sale in April 2013. The third largest contributor to modeled losses is a specially serviced loan (0.9%) secured by a 34,523 sf self-storage property located in Honolulu, HI. The loan was transferred to special servicing in May 2011 due to imminent default. As of September 2012, the property was 66% occupied, representing a significant decline from 92.6% at issuance. The lender is currently dual- tracking workout negotiations and foreclosure at this time. Fitch has downgraded the following classes, as indicated: -- $146.8 million class A-J to 'Bsf' from 'BBsf'; Outlook Negative; -- $36.2 million class B to 'CCsf' from 'CCCsf'; RE 25%; -- $14.1 million class C to 'Csf' from 'CCsf'; RE 0%. Fitch has affirmed the following classes, as indicated: -- $14.4 million class A-3 at 'AAAsf'; Outlook Stable; -- $25.3 million class A-AB at 'AAAsf'; Outlook Stable; -- $620.1 million class A-4 at 'AAAsf'; Outlook Stable; -- $202 million class A-1A at 'AAAsf'; Outlook Stable; -- $160.9 million class A-M at 'AAAsf'; Outlook Stable; -- $24.1 million class D at 'Csf'; RE 0%; -- $14.1 million class E at 'Csf'; RE 0%; -- $14.1 million class F at 'Csf'; RE 0%; -- $14.1 million class G at 'Csf'; RE 0%; -- $14.1 million class H at 'Csf'; RE 0%; -- $4.3 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%. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class X-W certificates. GRAMERCY REAL 2007-1: Fitch Cuts Ratings on 8 Cert. Classes to 'D' ------------------------------------------------------------------ Fitch Ratings has downgraded nine classes and affirmed six classes of Gramercy Real Estate CDO 2007-1 Ltd./LLC (Gramercy 2007-1), reflecting an increase in Fitch's base case loss expectation to 59.7% from 39.3% at last rating action. KEY RATING DRIVERS Fitch's rating actions reflect the significant negative credit migration of the underlying commercial mortgage backed security (CMBS) bonds which comprise nearly 80% of the total pool collateral. Since the last rating action in May 2012, approximately 64.4% of the underlying CMBS collateral has been downgraded. This has caused the average Fitch derived rating for the collateral to decline to 'B-/CCC+' from 'B/B-'. Further, as of the March 2013 trustee report, 68.8% of the CMBS collateral has a Fitch derived rating in the 'CCC' category and below, compared to 37.8% at the last rating action. Over this period, the class A-1 notes have received approximately $14.1 million in paydowns from both principal amortization and interest diversion due to the failure of the coverage tests. The CDO continues to fail its overcollateralization tests resulting in the capitalization of interest for classes C through J. The transaction entered into an Event of Default (EOD) on March 12, 2012 due to the class A/B Par Value Ratio falling below 89%; to date, the majority controlling class has been waiving the EOD. In several recent payment periods, interest proceeds have been insufficient to pay interest on the senior classes. As a result, a portion of the interest due on the timely classes has been paid using principal proceeds. Fitch remains concerned about the CDO's ability to continue to make timely interest payments to the timely classes given the diminished amount of interest proceeds and significant swap counterparty payments which are senior to these classes within the waterfall. Under Fitch's methodology, approximately 72.5% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. Fitch estimates that average recoveries will be 17.6% reflecting low recovery expectations upon default of the CMBS tranches and non-senior real estate loans. The largest component of Fitch's base case loss is the expected losses on the CMBS bond collateral. The second largest contributor to loss is a defaulted mezzanine loan (5.6%) on a multifamily property located in New York, NY. The property, which is secured by ownership interests in an 11,227 apartment complex, has been the subject of significant litigation brought by the tenancy. The special servicer for the related A-note gained control of the property by acquiring the mezzanine debt of the borrower. The special servicer reports that as of third-quarter 2012, the property was 99% leased. Fitch expects the workout will continue for at least the next 18 months as finding a new buyer will likely be difficult until all outstanding litigation is settled. The property is also still undergoing some repairs to the basements of the buildings from Hurricane Sandy damage. The special servicer reports that all related expenses should be recovered through ample insurance proceeds. Fitch anticipates a loss on the A-note and thus has modeled a term default for the mezzanine loan in the base case and no recoveries. The third largest component of Fitch's base case loss expectation is a whole loan (5.7%) secured by a full service hotel located in Anaheim, CA. The property has experienced steep cash flow declines since issuance as a result of declining group and leisure travel. However, the overall performance of the loan has continued to improve. Fitch modeled a maturity default in the base case. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio (DSCR) tests to project future default levels for the underlying CREL collateral in the portfolio and uses the Portfolio Credit Model (SF PCM) for the CMBS collateral. Recoveries for the CREL collateral are based on stressed cash flows and Fitch's long-term capitalization rates. The transaction was not cash flow modeled based on the limited available interest received from the assets relative to the interest rate swap payments due; unpredictable timing and availability of principal proceeds; and given the distressed nature of the ratings. All ratings are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each class' credit enhancement as well as consideration for the likelihood of the CDO to continue its ability to make timely payments on the senior classes. Ultimate recoveries to the senior class, however, should be significant. RATING SENSITIVITIES All classes are subject to further downgrades should the collateral suffer from additional negative migration and defaults beyond those projected by SF PCM as well as from increasing concentration in assets of a weaker credit quality that could lead to further interest shortfalls. Gramercy 2007-1 is a commercial real estate collateralized debt obligation (CRE CDO) managed by CWCapital Investments LLC. The transaction had a five-year reinvestment period which ended in August 2012. Fitch has taken the following actions as indicated below: -- $661.2 million class A-1 notes downgraded to 'CCsf/RE 60%' from 'CCCsf/RE 95%'; -- $121 million class A-2 notes downgraded to 'Csf/RE 0% from 'CCsf/RE 0%'; -- $116.6 million class A-3 notes downgraded to 'Csf/RE 0% from 'CCsf/RE 0%'; -- $29.5 million class B-FL notes downgraded to 'Csf/RE 0% from 'CCsf/RE 0%'; -- $20 million class B-FX notes downgraded to 'Csf/RE 0% from 'CCsf/RE 0%'; -- $21.5 million class C-FL notes downgraded to 'Csf/RE 0% from 'CCsf/RE 0%'; -- $4.3 million class C-FX notes downgraded to 'Csf/RE 0% from 'CCsf/RE 0%'; -- $4.8 million class D notes downgraded to 'Csf/RE 0% from 'CCsf/RE 0%'; -- $5.4 million class E notes downgraded to 'Csf/RE 0% from 'CCsf/RE 0%'; -- $10.5 million class F notes affirmed at 'Csf/RE 0%'; -- $3.4 million class G-FL notes affirmed at 'Csf/RE 0%'; -- $2.5 million class G-FX notes affirmed at 'Csf/RE 0%'; -- $2.3 million class H-FL notes affirmed at 'Csf/RE 0%'; -- $6.5 million class H-FX notes affirmed at 'Csf/RE 0%'; -- $17.4 million class J notes affirmed at 'Csf/RE 0%'. GREENWICH CAPITAL: Fitch Affirms 'D' Rating on Class L Certs ------------------------------------------------------------ Fitch Ratings affirms all classes of Greenwich Capital Commercial Funding Corp. commercial mortgage pass-through certificates, series 2004-FL2 (GCCFC 2004-FL2). Key Rating Drivers There is one remaining loan in the pool, Southfield Town Center, a 2.2 million square foot office complex in Southfield, Michigan. Tenancy is diverse with no tenant comprising more than 5% of the space. The three largest tenants are Fifth Third Bank, Microsoft and Alix Partners LLP. Rollover averages about 10% per year over the next three years. Occupancy at the property, which declined over the last three years, has stabilized to approximately 70%. The steady drop in occupancy is largely related to the challenges the Detroit commercial real estate market has faced through the recession, with little recovery. The market continues to be one of the slowest to recover from trough performance. The Southfield submarket of Detroit reported a vacancy of 30.1% as of year-end 2012. The property, though down in performance when compared to issuance, is performing in-line with the market. The loan transferred to special servicing after being unable to refinance at its July 2012 maturity. The special servicer's workout strategy indicates foreclosure is likely at this point. The loan, however, remains current on payments and continues to demonstrate positive cash flow. Additionally, the loan may be delevered with remaining reserve proceeds, which may help refinancing prospects. Rating Sensitivities The rated classes are highly dependent upon the performance of the remaining loan. Fitch modeled the loan to a full recovery based on a stressed value. In addition, a recent valuation of the asset from the special servicer is in excess of the debt. Fitch affirms these classes and revises Rating Outlooks as indicated: -- $3.3 million class C at 'AAAsf'; Outlook Stable; -- $22.7 million class D at 'AAAsf'; Outlook Stable; -- $12.4 million class E at 'AAAsf'; Outlook Stable; -- $22.8 million class F at 'AAAsf'; Outlook Stable; -- $19.5 million class G at 'AAsf'; Outlook Stable; -- $14.5 million class H at 'Asf'; Outlook Stable; -- $23.1 million class J at 'BBB-sf'; Outlook Stable; -- $10.3 million class K at 'BBsf'; Outlook to Negative from Stable; -- $15.3 million class L at 'Dsf/RE 90%'; -- $7.4 million class N-SO at 'B-sf'; Outlook Negative. GTP ACQUISITION: Fitch to Rate Class 2013-1F Notes at 'BB-' ----------------------------------------------------------- Fitch Ratings has issued a presale report on GTP Acquisition Partners I, LLC Secured Tower Revenue Notes, Global Tower Series 2013-1C and 2013-1F. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $190,000,000 class 2013-1C 'Asf'; Outlook Stable, -- $55,000,000 class 2013-1F 'BB-sf'; Outlook Stable. The expected ratings are based on information provided by the issuer as of April 3, 2013. The 2013-1C class is pari passu with the 2011-1C and 2011-2C classes, and the 2013-1F class is pari passu with the 2011-2F class. The transaction is an issuance of notes backed by mortgages representing approximately 93% of the annualized run rate (ARR) net cash flow (NCF) and guaranteed by the direct parent of the borrower. Those guarantees are secured by a pledge and first- priority-perfected security interest in 100% of the equity interest of the borrower (which owns or leases 2,903 wireless communication sites) and of its direct parent, respectively. Both the direct and indirect parents of the borrowers are special purpose entities. Key Rating Drivers High Leverage: Fitch's NCF on the pool is $111.7 million, implying a Fitch stressed debt service coverage ratio (DSCR) of 1.26x. The debt multiple relative to Fitch's NCF is 8.59x, which equates to a debt yield of 11.6%. Leases to Strong Tower Tenants: There are 6,721 wireless tenant leases. Telephony tenants represent 91% of the leases on the cellular sites, and 56% of the annualized run rate revenue (ARRR) is from investment-grade tenants. AT&T (rated 'A'; Outlook Negative by Fitch) is the largest tenant, representing approximately 27% of ARRR. The tenant leases have average annual escalators of approximately 3.5% and an average final remaining term (including renewals) of 18 years. Substantially All Active Towers Securitized: GTP has a highly leveraged corporate structure with substantially all active revenue-generating towers currently securitized in two different trusts. GTP has outstanding debt of $250 million in the Global Tower 2010 transaction which is secured by 1,352 wireless sites and includes its own SPEs. The Global Tower 2011-1 and 2011-2 transactions have outstanding debt of $715 million and are secured by the same 2,903 wireless sites that secure the 2013-1 issuance. The 2011-1, 2011-2, and 2013-1 securitizations have no cross- default provisions with the 2010-1 transaction or any other corporate debt. Rating Sensitivities Fitch performed several stress scenarios in which Fitch's NCF was stressed. Fitch determined that a 61.6% reduction in Fitch's NCF would cause the notes to break even at 1.0x DSCR on an interest- only basis. Fitch evaluated the sensitivity of the ratings for classes 2013- 1C, and a 10% decline in NCF would result in a one category downgrade, while a 19% decline would result in a downgrade to below investment-grade. The Rating Sensitivity section in the presale report includes a detailed explanation of additional stresses and sensitivities. JP MORGAN 1999-C8: Fitch Affirms 'D' Rating on Class J Notes ------------------------------------------------------------ Fitch Ratings has affirmed three classes of J.P. Morgan Commercial Mortgage Finance Corp. series 1999-C8 commercial mortgage pass- through certificates: -- $8.7 million class G notes at 'BBsf'; Outlook Stable; -- $10.9 million class H notes at 'Dsf'; RE 85%; -- Class J notes at 'Dsf'; RE 0%. Key Rating Drivers The affirmation to the class G notes reflects sufficient credit enhancement to offset Fitch modeled losses across the pool. Fitch modeled losses of 9.3% of the remaining pool; expected losses on the original pool balance total 7.8%, including losses already incurred. Fitch has designated five loans (29.1%) as Fitch Loans of Concern, which includes one specially serviced asset (4.3%). As of the March 2013 distribution date, the pool's aggregate principal balance has been reduced by 97.3% to $19.7 million from $731.5 million at issuance. One loan (1.2%) is currently defeased. Interest shortfalls are currently affecting classes H and J. Fitch stressed the cash flow of the remaining loans by applying a 5% reduction to 2012 or 2011 fiscal year-end net operating income, and applying an adjusted market cap rate between 9% and 11% to determine value. All the loans also underwent a refinance test by applying an 8% interest rate and 30-year amortization schedule to the stressed cash flow. All but one of the loans was modeled to pay off at maturity, and could refinance to a debt-service coverage ratio (DSCR) above 1.25x. While the credit profile of the class G notes has improved, an upgrade is not recommended given the increasing concentration and long-dated maturities of the underlying collateral. The largest contributor to loss (13.6% of pool balance) is a 120- unit healthcare property located in Lantana, FL. The loan is current as of March 2013 and has a servicer reported year end 2010 DSCR of 0.34x. According to the servicer, the subject is well maintained and in good condition. However, the property continues to struggle due to high operating expenses. Fitch modeled the loan to default during the term. Fitch does not rate the class NR notes and previously withdrew the ratings on the K notes. Classes A-1, A-2, B, C, D, E, and F have paid in full. Rating Sensitivities The rating on the class G notes is expected to be stable as the credit enhancement is increasing. However, larger than expected losses could result in downgrades to the class. JP MORGAN 2003-ML1: Fitch Lowers Rating on Class N Certs to 'CCC' ----------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed seven classes of J.P. Morgan Commercial Mortgage Securities Corp. 2003-ML1, commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations are due to increased credit enhancement from significant paydowns and stable performance of the pool. The downgrade reflects the increase in loss expectations, particularly from the specially serviced loans. Fitch modeled losses of 17.1% of the remaining pool; expected losses on the original pool balance total 2.1%, including losses already incurred. The pool has experienced $6.6 million (0.7% of the original pool balance) in realized losses to date. Fitch has designated seven loans (50%) as Fitch Loans of Concern, which includes four specially serviced assets (37.1%). As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 91.7% to $77.5 million from $929.8 million at issuance. Two loans (2.4%) are currently defeased. Interest shortfalls are currently affecting class NR. The largest contributor to Fitch's modeled losses is a 199,366 square foot (sf) unanchored retail property located in Dearborn, MI. The loan transferred to the special servicer due to delinquent payments. The largest tenants at the property include Dental Center, Murray's Auto, and the Secretary of State. The property was 55% occupied as of year-end (YE) 2012. The second largest contributor to expected losses is a 260,644 sf anchored retail property (14.9%) located in Racine, WI. The loan transferred to the special servicer due to a modification request, as the property has experienced cash flow issues. Anchor tenants at the property include Home Depot, Kmart, and OfficeMax. The loan remains current as of the April payment date. The third largest contributor to expected losses is a 93,677 sf anchored retail property located in Naugatuck, CT. The loan failed to make its balloon payment in January 2013. The property is 98.5% occupied as of YE 2012; however, the largest tenant at the property (56.1%) is currently dark. RATING SENSITIVITIES The ratings on the class F through L notes are expected to be stable as the credit enhancement remains high. Classes M and N may be subject to further downgrades as losses are realized. Fitch has downgraded the following class as indicated: -- $4.6 million class N to 'CCCsf' from 'B-sf'; RE 25%. Fitch has affirmed the following classes as indicated: -- $9.7 million class F at 'AAAsf'; Outlook Stable; -- $9.2 million class G at 'AAsf'; Outlook Stable; -- $16.3 million class H at 'Asf'; Outlook Stable; -- $10.5 million class J at 'BBBsf'; Outlook Stable; -- $5.8 million class K at 'BBsf'; Outlook Stable; -- $5.8 million class L at 'B+sf'; Outlook Stable; -- $7.0 million class M at 'Bsf'; Outlook Negative. Fitch does not rate the class NR notes and previously withdrew the rating on the X-1 notes. Classes A-1, A-2, B, C, D, E, and X-2 have paid in full. JP MORGAN 2013-FL3: Fitch to Rate US$33MM Class E Certs 'BB' ------------------------------------------------------------ Fitch Ratings has issued a presale report on JPMCC 2013-FL3 Commercial Mortgage Pass-Through Certificates. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $63,000,000 class A-1 'AAAsf'; Outlook Stable; -- $217,300,000 class A-2 'AAAsf'; Outlook Stable; -- $63,000,000* class X-A 'AAAsf'; Outlook Stable; -- $442,000,000* class X-CP 'BB-sf'; Outlook Stable; -- $442,000,000* class X-EXT 'BB-sf'; Outlook Stable; -- $86,300,000 class B 'AA-sf'; Outlook Stable; -- $60,500,000 class C 'A-sf'; Outlook Stable; -- $44,900,000 class D 'BBB-sf'; Outlook Stable; -- $33,000,000 class E 'BB-sf'; Outlook Stable. * Interest-only class; notional balance The expected ratings are based on information provided by the issuer as of April 17, 2013. The certificates represent the beneficial ownership in the trust, the primary assets of which are four loans secured by 82 commercial properties having an aggregate pooled principal balance of $505,000,000 as of the cutoff date. The loans were originated by JPMorgan Chase Bank, National Association. The Master Servicer and Special Servicer will be KeyCorp Real Estate Capital Markets, Inc. rated 'CMS1' and 'CSS2+', respectively, by Fitch. Fitch reviewed the transaction's collateral, including cash flow analysis, third party reports, loan documents, an asset summary review and site inspections. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.44x, a Fitch stressed loan-to value (LTV) of 69.9%, and a Fitch debt yield of 8.6%. Fitch's net cash flow represents a variance of approximately 6.5% to the issuer cash flow. KEY RATING DRIVERS Low Trust-Level Leverage: The weighted average pooled Fitch stressed LTV and DSCR are 69.90% and 1.44x, respectively. Concentrated by Loan and Property Type: The pool is secured by only four loans, two of which are hotels (64.2%). The remaining two loans are a portfolio secured by office properties and retail bank branches and an office property. The largest loan in the pool is the Eagle Hospitality Portfolio (52.5%). All Loans Have Additional Debt In Place: 100% of the loans have additional debt in the form of mezzanine debt and/or a B-note (BBD1). The Fitch LTV and DSCR on the fully leveraged debt stack are 111.4% and 0.93x, respectively. The positions are fully subordinated and subject to standard intercreditor agreements. Rating Sensitivities Fitch performed two model-based break-even analyses to determine the level of cash flow and value deterioration the pool could withstand prior to $1 of loss being experienced by the 'BBB-sf' and 'AAAsf' rated classes. Fitch found that the JPMCC 2013-FL3 pool could withstand a 59.0% decline in value (based on appraised values at issuance) and an approximately 40.6% decrease to the most recent actual cash flow prior to experiencing a $1 of loss to the 'BBB-sf' rated class. Additionally, Fitch found that the pool could withstand a 71.8% decline in value and an approximately 57.9% decrease in the most recent actual cash flow prior to experiencing $1 of loss to any 'AAAsf' rated class. JP MORGAN: Moody's Takes Action on $729MM of Prime Jumbo RMBS ------------------------------------------------------------- Moody's Investors Service has downgraded 61 tranches and upgraded 21 tranches from six transactions issued by JP Morgan. The collateral backing these deals primarily consists of first-lien, adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $729 million of RMBS issued from 2006 and 2007. Complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2006-A3 Cl. 3-A-2, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at Caa1 (sf) Cl. 2-A-2, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 5-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 5-A-2, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Issuer: J.P. Morgan Mortgage Trust 2006-A4 Cl. 1-A-2, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 1-A-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 1-A-4, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-2, Downgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to B3 (sf) Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 4-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 4-A-3, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 4-A-4, Downgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to B2 (sf) Cl. 5-A-1, Downgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to Caa2 (sf) Issuer: J.P. Morgan Mortgage Trust 2006-A5 Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to Caa2 (sf) Cl. 2-A-2, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 3-A-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 3-A-4, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 3-A-6, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 6-A-1, Downgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to Caa2 (sf) Issuer: J.P. Morgan Mortgage Trust 2006-A6 Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 1-A-2, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to B3 (sf) Cl. 1-A-1M, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 1-A-1S, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 2-A-1M, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 2-A-1S, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 2-A-3, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 2-A-3L, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 2-A-3F, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 2-A-3M, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 2-A-3S, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to B3 (sf) Cl. 3-A-1M, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to B3 (sf) Cl. 3-A-1S, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to B3 (sf) Cl. 3-A-2, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B2 (sf) Cl. 3-A-2M, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B2 (sf) Cl. 3-A-2S, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B2 (sf) Cl. 3-A-3, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-3L, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-3F, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-3M, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-3S, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-5, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-6, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-6L, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-6F, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-6M, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-6S, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-7, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-7L, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-7F, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-7M, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-7S, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-L1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Cl. 3-A-L2, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Confirmed at B3 (sf) Issuer: J.P. Morgan Mortgage Trust 2006-A7 Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-3L, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-3F, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-3M, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-3S, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-4L, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-4F, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-4M, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-4S, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-4R, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 2-A-4K, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 4-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Issuer: J.P. Morgan Mortgage Trust 2007-A2 Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to B3 (sf) Cl. 3-A-5, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 4-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 4-A-1M, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 4-A-1S, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 4-A-4, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 4-A-4M, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. 4-A-4S, Downgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Ratings Rationale: The actions are a result of the recent performance of Prime jumbo pools originated on or after 2005 and reflect Moody's updated loss expectations on these pools. The majority of the actions reflect change in principal payments and loss allocation subsequent to subordination depletion. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005-2008 US RMBS Surveillance Methodology" published in July 2011. 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 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 2014. Small Pool Volatility 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 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, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. 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 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% 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. When assigning the final ratings to bonds, in addition to the approach, Moody's considered the volatility of the projected losses and timeline of the expected defaults. 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 7.6% in March 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. JP MORGAN-CIBC 2006-RR1: Moody's Affirms C Rating on A-2 Secs. -------------------------------------------------------------- Moody's affirmed the ratings of two classes of Certificates issued by JP Morgan-CIBC Commercial Mortgage Backed Securities Trust 2006-RR1. 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 and Re-REMIC) transactions. Moody's rating action is as follows: Cl. A-1, Affirmed Ca (sf); previously on Apr 18, 2012 Downgraded to Ca (sf) Cl. A-2, Affirmed C (sf); previously on Jul 13, 2011 Downgraded to C (sf) Ratings Rationale: JP Morgan-CIBC Commercial Mortgage Backed Securities Trust 2006- RR1 is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100% of the pool balance). As of the March 20, 2013 Trustee report, the aggregate Certificate balance of the transaction, including preferred shares, was $389.4 million, compared to $523.9 million at issuance. Paydown was directed to the Class A1 Certificates, as a result of regular amortization and prepayment on the underlying collateral. Additionally, losses are attributable to all classes of Certificates excluding the Class A1 Certificates, with partial losses decreasing the balance of the Class A2 certificates by $13.9 million. 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 collateral. Moody's modeled a bottom-dollar WARF of 7,415 compared to 6,821 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (2.6% the same as at last review), A1-A3 (4% compared to 7.5% at last review), Baa1-Baa3 (6.4% compared to 10.7% at last review), Ba1-Ba3 (5.5% compared to 1.1% at last review), B1-B3 (1.8% compared to 5.8% at last review), and Caa1-C (79.8% compared to 72.4% at last review). Moody's modeled a WAL of 3.6 years compared to 4.1 years at last review. The modeled WAL was based on the assumption of extensions on the underlying collateral. Moody's modeled a fixed WARR of 4.4% compared to 5.6% at last review. Moody's modeled a MAC of 0.0%, the same as at last review. Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating models, which was released on March 25, 2013. The cash flow model, CDOEdge v3.2.1.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Moody's analysis encompasses the assessment of stress scenarios. 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, rated certificates are particularly sensitive to rating changes within the collateral pool. Holding all other key parameters static, changing the current ratings and credit assessments of the collateral pool by one notch downward, would result in a modeled rating movement on the rated tranches of 0 to 1 notches downward. 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 SF CDOs" published in May 2012, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. LB-UBS COMMERCIAL 2005-C7: Fitch Affirms 'D' Rating on Cl. K Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 26 classes of LB-UBS Commercial Mortgage Trust (LBUBS) commercial mortgage pass-through certificates series 2005-C7. Key Rating Drivers Fitch modeled losses of 3.7% of the remaining pool; expected losses on the original pool balance total 6%, including losses already incurred. The pool has experienced $77.3 million (3.3% of the original pool balance) in realized losses to date. Fitch has designated 29 loans (14.8%) as Fitch Loans of Concern, which includes nine specially serviced assets (6.2%). Rating Sensitivities The ratings of investment grade classes are expected to remain stable. Classes D and E may be subject to negative rating actions should realized losses be greater than Fitch's expectations. The distressed classes (those rated below 'B') are expected to be subject to further downgrades as losses are realized. As of the March 2013 distribution date, the pool's aggregate principal balance has been reduced by 28.4% to $1.67 billion from $2.34 billion at issuance. No loans have defeased since issuance. Interest shortfalls are currently affecting classes J through T. The largest contributor to Fitch-modeled losses is attributed to the Sarasota Main Plaza (2.13% of the pool balance). The loan is secured by a 253,504 square foot (sf) mixed use (office/retail) building located in the downtown sector of Sarasota, FL. The original $36 million loan on this property had transferred to the special servicer in December 2008 for imminent default. The loan was modified in February 2013 while in special servicing. Terms of the modification included an extension of the interest only payment period, and bifurcation of the loan into a senior ($21.2 million) and junior ($14.5 million) component. Although losses are not expected imminently, any recovery to the B-note is contingent upon full recovery to the A-note proceeds at the loan's maturity in September 2015. Unless collateral performance improves, recovery to the B-note component is unlikely. The next largest contributor to expected losses is secured by 159,629sf of a 299,831sf retail center located in Provo, UT (0.9%). The property transferred to special servicing in January 2012 due to legal action brought by the Securities and Exchange Commission (SEC) against the borrowing entities. As a result, the property was under an SEC receivership by virtue of a court order which effectively prevented the lender from the ability to control rental income or to foreclose on the subject property. The loan has been in payment default since February 2012. In November 2012 the special servicer had filed a motion in Federal Court to intervene on the property. The SEC Receiver had subsequently filed a motion to abandon the property, which was granted by Federal Court in January 2013. As a result the lender was permitted to move forward with property foreclosure. A special servicer appointed receiver is in place, and foreclosure was filed in February 2013. The third largest contributor to expected losses is secured by an 119,000sf retail center in Chesterfield, MO (1%). The property experienced cash flow issues in 2009 when a major tenant (28% of the net rentable area) had filed for bankruptcy and vacated the property. The vacated space has since been re-leased to a new tenant, however at a significantly lower rent. As of September 2012 the property is 100% occupied, but the net operating income debt service coverage ratio (DSCR) reports low at 0.91x. The servicer has implemented a lockbox account as a result of the low DSCR. The loan remains current as of the March 2013 remittance date. Fitch affirms the following classes: -- $8.3 million class A-2 at 'AAAsf'; Outlook Stable; -- $48 million class A-3 at 'AAAsf'; Outlook Stable; -- $58.6 million class A-AB at 'AAAsf'; Outlook Stable; -- $847.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $87.1 million class A-1A at 'AAAsf'; Outlook Stable; -- $233.9 million class A-M at 'AAAsf'; Outlook Stable; -- $195.9 million class A-J at 'Asf'; Outlook Stable; -- $14.2 million class B at 'BBBsf'; Outlook Stable; -- $35.2 million class C at 'BBB-sf'; Outlook Stable; -- $29.3 million class D at 'BBsf'; Outlook Stable; -- $23.5 million class E at 'Bsf'; Outlook Stable; -- $23.5 million class F at 'CCCsf'; RE 100%; -- $26.4 million class G at 'CCsf'; RE 85%. -- $17.5 million class H at 'CCsf'; RE 0%; -- $17.5 million class J at 'Csf'; RE 0%; -- $7.5 million class K at 'Dsf'; RE 0%; -- Class L at 'Dsf'; RE 0%; -- Class M at 'Dsf'; RE 0%; -- Class N at 'Dsf'; RE 0%; -- Class P at 'Dsf'; RE 0%; -- Class Q at 'Dsf'; RE 0%; -- Class S at 'Dsf'; RE 0%; -- $1 million class CM-1 at 'AAsf'; Outlook Stable; -- $5 million class CM-2 at 'Asf'; Outlook Stable; -- $956,000 class CM-3 at 'A-sf'; Outlook Stable; -- $3 million class CM-4 at 'BBBsf'; Outlook Stable. Classes L, M, N, P, Q, and S have been reduced to zero due to realized losses. The class A-1 certificate has paid in full. Fitch does not rate the class T certificate. Fitch previously withdrew the ratings on the interest-only class X-CP and X-CL certificates. The CM rake classes represent the $10 million B-note for the Cherryvale Mall. The $71.9 million A-note is included in the pooled portion of the trust. Fitch does not rate the SP-1 through SP-7 rake classes, which are specific to the Station Place I $63 million B-note. A $12.7 million A-note for Station Place I is included in the pooled portion of the trust. LNR CDO 2003-1: Moody's Affirms Ratings on Six Note Classes ----------------------------------------------------------- Moody's upgraded the rating of one class and affirmed the rating of six classes of Notes issued by LNR CDO 2003-1, Ltd. The upgrade is due to greater than expected amortization of the Notes. The affirmations are due to 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 and Re-remic) transactions. Moody's rating action is as follows: Cl. B, Upgraded to A2 (sf); previously on Aug 4, 2010 Downgraded to Baa1 (sf) Cl. C-FL, Affirmed Baa3 (sf); previously on Aug 4, 2010 Downgraded to Baa3 (sf) Cl. D-FL, Affirmed B1 (sf); previously on Jun 17, 2011 Downgraded to B1 (sf) Cl. E-FL, Affirmed Caa3 (sf); previously on Jun 17, 2011 Downgraded to Caa3 (sf) Cl. C-FX, Affirmed Baa3 (sf); previously on Aug 4, 2010 Downgraded to Baa3 (sf) Cl. D-FX, Affirmed B1 (sf); previously on Jun 17, 2011 Downgraded to B1 (sf) Cl. E-FX, Affirmed Caa3 (sf); previously on Jun 17, 2011 Downgraded to Caa3 (sf) Ratings Rationale: LNR CDO 2003-1, Ltd. is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS); 100% of the collateral balance. As of the March 25, 2013 Trustee report, the aggregate Note balance of the transaction is $638.6 million compared to $762.7 million at issuance, with class A Notes fully and class B notes partially amortized. The aforementioned amortizations of Class A and B Notes are a result of primarily three factors: 1) amortization from the underlying collateral as a result of collateral sales; 2) the re-classification of interest received on defaulted securities as principal; and 3) the failure of certain par value and interest coverage tests. Thirty-seven assets with a par balance of $156.8 million (39.8% of the pool balance) were listed as defaulted securities as of the March 25, 2013 Trustee Report. Moody's expects significant losses to occur on these assets once they are realized. 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 collateral. Moody's modeled a bottom-dollar WARF of 6,018 compared to 5,913 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (0.0% compared to 1.6% at last review), A1-A3 (2.3% compared to 0.0% at last review), Baa1-Baa3 (7.9% compared to 7.1% at last review), Ba1-Ba3 (10.1% compared to 17.4% at last review), B1-B3 (16.5% compared to 19.1% at last review), and Caa1-C (63.2% compared to 54.8% at last review). Moody's modeled a WAL of 1.8 years compared to 2.1 years at last review. The current WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 3.8% compared to 4.5% at last review. Moody's modeled a MAC of 100.0%, same as last review. Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating models, which was released on March 25, 2013. The cash flow model, CDOEdge v3.2.1.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Moody's analysis encompasses the assessment of stress scenarios. 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 changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption up from 3.5% to 13.5% would result in average rating movement on the rated tranches of 0 to 5 notches upward. 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 SF CDOs" published in May 2012 and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. MERRILL LYNCH 2005-CKI1: S&P Lowers Rating on Class G Notes to D ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on class G from Merrill Lynch Mortgage Trust 2005-CKI1, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'D (sf)' from 'CCC- (sf)'. In addition, S&P withdrew its 'AAA (sf)' rating on the class A-SB certificate following the full repayment of the class' principal balance. S&P lowered its rating to 'D (sf)' on the class G certificate due to principal losses from the liquidation of seven assets with an aggregate trust principal balance of $173.3 million that were with the special servicer, C-III Asset Management LLC. According to the April 12, 2013, remittance report, the trust experienced $81.3 million in principal losses upon the recent disposition of these assets. The class H, J, K and L certificates, which S&P previously had lowered to 'D (sf)', experienced a 100% loss of their respective beginning principal balances. The class G certificate experienced a loss of 79.2% of its beginning principal balance. In addition, S&P withdrew its 'AAA (sf)' rating on the class A-SB certificate following the full repayment of the class' principal balance as detailed in the April 12, 2013, trustee remittance report. 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 LOWERED Merrill Lynch Mortgage Trust 2005-CKI1 Commercial mortgage pass-through certificates Rating Class To From G D (sf) CCC- (sf) RATING WITHDRAWN Merrill Lynch Mortgage Trust 2005-CKI1 Commercial mortgage pass-through certificates Rating Class To From A-SB NR AAA (sf) NR-Not rated. MORGAN STANLEY 2001-TOP1: S&P Hikes Rating on Class G Notes to B- ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on three classes of commercial mortgage pass-through certificates from Morgan Stanley Dean Witter Capital I Trust 2001-TOP1, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P's upgrades follow its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS. S&P's analysis included a review of the credit characteristics of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. In addition, the upgrades reflect S&P's view of increased liquidity support available to the certificate classes following the liquidation of the largest specially serviced asset in the pool. The upgrades reflect Standard & Poor's expected available credit enhancement for the classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the rating levels. The upgrades also reflect S&P's views regarding the current and future performance of the transaction's collateral. While available credit enhancement levels may suggest even further positive rating movement on the classes, S&P's analysis also considered the potential for increased interest shortfalls from two of the specially serviced assets ($3.5 million, 6.1%) and from any of the five loans ($8.9 million, 15.6%) on the master servicer's watchlist. According to the March 15, 2013, trustee remittance report, the trust experienced monthly interest shortfalls totaling $58,170. The interest shortfalls were primarily due to appraisal subordinate entitlement reduction amounts totaling $53,276, of which $44,439 was attributable to the Metro Center real estate-owned (REO) asset (more details below). The master servicer's reported weighted average debt service coverage (DSC) for the five loans on its watchlist was 0.86x for year-end 2011. In addition, S&P considered the near-term maturity risk, with 20.1% ($11.5 million) of the remaining pool balance maturing by year-end 2013. As of the March 15, 2013, trustee remittance report, the collateral pool consisted of two REO assets and 18 loans with an aggregate principal balance of $57.0 million, down from 161 (166 loans at origination) with an aggregate balance of $1.16 billion at issuance. The special servicer, CWCapital Asset Management LLC (CWCapital), informed S&P that subsequent to the March 2013 trustee remittance report, the Metro Center REO asset ($19.0 million, 33.3%), the largest specially serviced asset and the largest asset in the pool, liquidated at $22.75 million on March 25, 2013. The Metro Center asset consists of a 291,722-sq.- ft. office building in Hartford, Conn. and has a total reported exposure of $22.7 million. In addition, five loans ($8.9 million, 15.6%) are on the master servicer's watchlist, and two loans ($1.3 million, 2.3%) are defeased. Based on the most recent data from the master servicer (Wells Fargo Bank N.A.), using Standard & Poor's adjusted net cash flow and cap rates, S&P calculated a weighted average DSC of 1.80x and a weighted average loan-to-value (LTV) ratio of 40.7% for the remaining loans that are not in special servicing and are not defeased. As of the March 15, 2013, trustee remittance report, three assets ($22.5 million, 39.4%) in the pool were in special servicing, including the aforementioned Metro Center REO asset. The remaining specially serviced assets include: -- The DMX Stratex REO asset ($2.7 million, 4.7%), a 26,976- sq.-ft. office building in Milpitas, Calif., which became REO on July 18, 2011. The reported total exposure was $3.6 million. According to the special servicer, CWCapital, the property was 47.0% occupied as of Feb. 1, 2013. An appraisal reduction amount of $0.7 million is in effect against this asset. S&P expects a moderate loss upon the eventual disposition of this asset. -- The Rice Lake Office Max loan ($0.8 million, 1.4%) is secured by a 23,500-sq.-ft. retail property fully leased to Office Max Inc. and is located in Rice Lake, Wis. The loan has a reported nonperforming matured balloon loan payment status and a total exposure of $0.9 million. The loan was transferred to CWCapital in February 2011 for maturity default. The loan matured on Jan. 1, 2011. CWCapital stated that it is dual tracking a note sale and foreclosure. S&P expects a minimal loss upon the eventual disposition of this loan. As it relates to the above asset resolutions, S&P considered a minimal loss to be less than 25%, a moderate loss to be between 26% and 59%, and a significant loss to be 60% or greater. Based solely on S&P's valuation of the two remaining specially serviced assets, it expects the trust to incur losses approximating 0.1% of the original trust balance upon the eventual resolution or liquidation of these assets. To date, the trust has incurred losses totaling $27.4 million, or 2.4% of the original trust balance. 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 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS RAISED Morgan Stanley Dean Witter Capital I Trust 2001-TOP1 Commercial mortgage pass-through certificates Rating Rating Credit Class To From enhancement (%) E AA+ (sf) BB- (sf) 71.11 F BBB+ (sf) B- (sf) 53.36 G B- (sf) CCC- (sf) 20.42 MORGAN STANLEY 2002-IQ3: Moody's Cuts Rating on X-1 Certs to Caa1 ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of three classes, downgraded one class and affirmed five classes of Morgan Stanley Dean Witter Capital I Trust 2002-IQ3, Commercial Mortgage Pass- Through Certificates, Series 2002-IQ3 as follows: Cl. B, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. C, Upgraded to A1 (sf); previously on Apr 11, 2012 Downgraded to A3 (sf) Cl. D, Upgraded to A3 (sf); previously on Apr 11, 2012 Downgraded to Baa2 (sf) Cl. E, Upgraded to Ba1 (sf); previously on Apr 11, 2012 Downgraded to Ba3 (sf) Cl. F, Affirmed B2 (sf); previously on Apr 11, 2012 Downgraded to B2 (sf) Cl. G, Affirmed Caa3 (sf); previously on Apr 11, 2012 Downgraded to Caa3 (sf) Cl. H, Affirmed C (sf); previously on Apr 11, 2012 Downgraded to C (sf) Cl. X-1, Downgraded to Caa1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. X-Y, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Ratings Rationale: The upgrades of Classes C, D and E are due to an increase in subordination from loan amortization and payoffs. The deal has paid down 84% since Moody's last review. The affirmations of Classes B and F are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed 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 ratings of Classes G and H reflect Moody's expected loss for those classes and thus are affirmed. The downgrade of the interest-only (IO) class, Class X-1, is to align the rating with the expected credit performance of its referenced classes. Class X-Y, another IO class, refers to the residential cooperative loans (co-op loans) in the pool. The rating of Class X-Y is affirmed because the rating is commensurate with the expected credit performance of the one remaining co-op loan that it references. Moody's rating action reflects a base expected loss of 7.8% of the current pooled balance compared to 8.1% since last review. Moody's base expected plus realized losses is now 5.1% of the original pooled balance compared to 5.9% 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 the 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 Fusion U.S. CMBS Transactions" published in April 2005. The methodology used in rating Classes X-1 and X-Y 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 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. CMBS Conduit Model v 2.62 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 23 compared to 21 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(R) (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 April 11, 2012. Deal Performance: As of the March 15, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 92% to $70 million from $910 million at securitization. The Certificates are collateralized by 66 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 54% of the pool. The pool does not currently contain any defeased loans. The pool's one remaining co-op loan, which represents 1.4% of the pool, has a Aaa credit assessment. Twenty-six 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. Seven loans have been liquidated at a loss from the pool, resulting in an aggregate realized loss of $41 million (57% average loss severity). Two loans, representing 15% of the pool, are currently in special servicing. The largest specially serviced loan is the Magnolia Ridge Apartments Loan ($8 million -12.0% of the pool), which is secured by a 228 unit apartment complex is Metairie, Louisiana. The loan transferred to special servicing in November 2012 due to maturity default. The borrower has not remitted any payments since October 2012. The property is 96% leased as of June 2012 with average rents of approximately $680 per unit. The borrower has been unable to find a refinance that is sufficient to repay the loan in full. The servicer has recognized an aggregate $2.4 million appraisal reduction for the two specially serviced loans. Moody's has estimated a $3.5 million loss (34% average loss severity) for the two specially serviced loans. Moody's has assumed a high default probability for six poorly performing loans representing 10% of the pool and has estimated a $1 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 or full year 2012 operating results for 97% and 61% of the pool's loans, respectively. Moody's weighted average conduit LTV is 44% compared to 72% at Moody's prior review. Eighty-two percent of the conduit loans are fully amortizing. The average conduit loan has amortized 48% since securitization. The conduit portion of the pool excludes specially serviced and troubled loans as well as the co-op loan with a credit assessment. 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 9.9%. Moody's actual and stressed conduit DSCRs are 1.43X and 3.14X, respectively, compared to 1.47X and 1.75X 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. Moody's stressed DSCR is greater than Moody's actual DSCR for this transaction because the actual debt constant for the pool is greater than Moody's 9.25% stressed rate. The top three performing conduit loans represent 25% of the pool balance. The largest loan is the 16700 Aston Street and 1771 & 1791 Deere Avenue Loan ($9 million -- 12.2%), which is secured by a 212,000 square foot (SF) industrial complex located in Irvine, California. The collateral is fully leased to the Newport Corporation via a triple net lease that expires in February 2022. The lease has two five-year extension options. Annual lease payments are approximately $1.5 million or $7.20 per square foot. The loan matures in September 2013 and the debt yield is in excess of 16%. Moody's LTV and stressed DSCR are 63% and 1.62X, respectively, compared to 55% and 1.88X at last review. The second largest loan is the Marketplace at Washington Square Loan ($5 million -- 6.9%), which is secured by a 94,000 SF grocery-anchored retail center located in North Canton, Ohio. Giant Eagle, anchors the collateral and leases 77% of the net rentable area through February 2020. The property was 98% leased as of December 2012. The fully amortizing loan matures in July 2021 and has amortized 39% since securitization. Moody's LTV and stressed DSCR are 61% and 1.77X, respectively, compared to 66% and 1.57X at last review. The third largest loan is the Monroeville Giant Eagle Loan ($4 million -- 6.0%), which is secured by an 89,000 SF Giant Eagle grocery store located in Monroeville, Pennsylvania. Giant Eagle leases the entire space through a triple net lease that expires in February 2019. The loan is conterminous with Giant Eagle's initial lease term, but the lease has two five-year extension options. This loan is fully amortizing and has amortized 50% since securitization. Moody's LTV and stressed DSCR are 39% and 2.62X, respectively, compared to 45% and 2.31X at last review. MORGAN STANLEY 2002-IQ2: Fitch Affirms CCC Rating on Class N Certs ------------------------------------------------------------------ Fitch Ratings has affirmed nine classes of Morgan Stanley Dean Witter Capital I Trust commercial mortgage pass through certificates, series 2002-IQ2. Key Rating Drivers The affirmations are due to sufficient credit enhancement to the remaining Fitch rated classes and minimal Fitch expected losses across the pool. Fitch modeled losses of 2.2% of the remaining pool; expected losses on the original pool balance total 0.1%. The pool has experienced $4.6 million (0.6% of the original pool balance) in realized losses to date. Fitch has designated three loans (9.6% of the pool) as Fitch Loans of Concern; however, there are currently no specially serviced loans. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 94% to $46.4 million from $778.6 million at issuance. Per the servicer reporting, no defeased loans remain in the pool. Interest shortfalls are currently affecting class O. The largest loan of concern (6.4% of the pool) is an 80,000 sf 100% occupied single-tenant industrial property located in San Diego, CA. The loan has a stable NOI DSCR of 1.84x and strong Fitch LTV of 47.5% based on data as of YE 2011, however, the subject has a near-term lease expiration in June 2014. Rating Sensitivity The ratings of investment grade classes E, F, G, H, J and K are expected to remain stable. Class M may be subject to rating actions should realized losses be greater or less than Fitch's expectations. Fitch remains cautious related to the high concentration of retail assets (81% of the pool). Fitch affirms these classes as indicated: -- $403,544 class E at 'AAAsf'; Outlook Stable; -- $7.8 million class F at 'AAAsf'; Outlook Stable; -- $5.8 million class G at 'AAAsf'; Outlook Stable; -- $9.7 million class H at 'AAsf'; Outlook Stable; -- $5.8 million class J at 'Asf'; Outlook Stable; -- $3.9 million class K at 'BBB-sf'; Outlook Stable; -- $3.9 million class L at 'B+sf'; Outlook Stable; -- $2.9 million class M at 'Bsf'; Outlook Stable; -- $2.9 million class N at 'CCCsf'; RE 100%. The class A-1, A-2, A-3, A-4, B, C, and D certificates and the interest-only class X-2 certificates have paid in full. Fitch does not rate the class O certificates. Fitch previously withdrew the rating on the interest-only class X-1 certificates. MORGAN STANLEY 2004-IQ8: S&P Affirms 'B+' Rating on Class F Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on nine classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2004-IQ8, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P's rating actions reflect its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS. S&P's analysis included a review of the credit characteristics and performance of all of the remaining loans in the pool, the transaction structure, and the liquidity available to the trust. The affirmations of the principal and interest certificates reflect S&P's expectation that the available credit enhancement for these classes will be within S&P's estimated requirements for the current outstanding ratings. The affirmed ratings also reflect S&P's review of the credit characteristics and performance of the remaining loans as well as the transaction-level changes. While available credit enhancement may suggest positive ratings movement on the certificate classes, S&P affirmed its ratings because its analysis also took into consideration its view on available liquidity support and risks associated with potential interest shortfalls in the future. Specifically, S&P considered the potential for the two specially serviced loans ($9.8 million, 2.4%) and 31 performing, nondefeased loans with 2013 or 2014 maturities ($287.7 million, 68.9%) to generate additional interest shortfalls and decrease the liquidity support available to the trust. S&P affirmed its 'AAA (sf)' rating on the class X-1 interest-only (IO) certificate based on its criteria for rating IO securities. 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 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Morgan Stanley Capital I Trust 2004-IQ8 Commercial mortgage pass-through certificates Class Rating Credit enhancement(%) A-5 AAA (sf) 18.50 B A (sf) 13.95 C BBB+ (sf) 8.73 D BBB (sf) 6.91 E BB+ (sf) 4.86 F B+ (sf) 3.73 G CCC+ (sf) 2.14 H CCC- (sf) 0.77 X-1 AAA (sf) N/A N/A-Not applicable. MORGAN STANLEY 2005-HQ5: Fitch Affirms 'D' Rating on Class K Certs ------------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed 17 classes of Morgan Stanley Capital I Trust's (MSCI) commercial mortgage pass- through certificates, series 2005-HQ5. Key Rating Drivers Fitch modeled losses of 3.2% of the remaining pool; expected losses on the original pool balance total 4.9%, including losses already incurred. The pool has paid down 31.7% as of March 2013. Additionally, the credit enhancement of the senior and mezzanine classes benefit from defeasance of approximately 13.3%. The pool has experienced $42.8 million (2.8% of the original pool balance) in realized losses to date. Fitch has designated 27 loans (20.9%) as Fitch Loans of Concern, which includes five specially serviced assets (3.3%). Rating Sensitivities The ratings on the senior and mezzanine classes are expected to remain stable, as the classes benefit from defeasance and the strong performance and sponsorship of the largest loans remaining in the transaction. The Negative Rating Outlooks reflect the uncertainty regarding the disposition of specially serviced assets, asset concentration and adverse selection of the remaining pool. As of the March 2013 distribution date, the pool's aggregate principal balance has been reduced by 34.5% to $997.4 million from $1.52 billion at issuance. Interest shortfalls are currently affecting classes J through Q. The largest contributors to modeled losses are the specially serviced loans. The largest specially-serviced asset (1% of the pool) is an office building located in Phoenix, AZ. The asset transferred to special servicing in November 2012 for imminent monetary default. The largest tenant was expected to vacate the property. The borrower is negotiating with the special servicer on a modification. Fitch downgrades the following classes as indicated: -- $21 million class J to 'Csf' from 'CCsf'; RE 10%. Fitch affirms the following classes but revises the Rating Outlook as indicated: -- $15.2 million class F at 'BBsf'; Outlook to Negative from Stable. Fitch affirms the following classes as indicated: -- $6.3 million class A-3 at 'AAAsf'; Outlook Stable; -- $17.9 million class A-AB at 'AAAsf'; Outlook Stable; -- $711.3 million class A-4 at 'AAAsf'; Outlook Stable; -- $112.4 million class A-J at 'AAAsf'; Outlook Stable; -- $30.5 million class B at 'AAsf'; Outlook Stable; -- $19 million class C at 'AA-sf'; Outlook Stable; -- $15.2 million class D at 'A+sf'; Outlook Stable; -- $17.1 million class E at 'BBBsf'; Outlook Stable; -- $15.2 million class G at 'Bsf'; Outlook Negative; -- $13.3 million class H at 'CCCsf'; RE 100%; -- $2.9 million class K at 'Dsf'; RE 0%. The fully depleted classes L, M, N, O and P all remain at 'Dsf'; RE 0% due to realized losses. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. MORGAN STANLEY 2007-IQ14: S&P Withdraws CCC- Rating on A-JFL Secs. ------------------------------------------------------------------ Standard & Poor's Ratings Services withdrew its 'CCC- (sf)' rating on the class A-JFL commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2007-IQ14, a U.S. commercial mortgage-backed securities (CMBS) transaction. The rating withdrawal reflects the retirement of the class balance following the termination of the interest-rate swap agreement applicable to the previously outstanding $160.04 million class A- JFL certificates. "We previously rated the class A-JFL certificates 'CCC- (sf)'. Interest-rate swap agreements support the floating-rate interest payments due on class A-JFL. The terms of these certificates permit the interest payments to be converted to the interest rate on the underlying class A-JFL real estate investment conduit (REMIC) regular interest if the applicable interest rate swap agreement is terminated or if continuing payment default exists on the related swap. The trust elected to terminate the class A-JFL swap agreement with respect to the entire previously outstanding $160.04 million class A-JFL balance. In connection with this swap termination, the $160.04 million portion has been re-designated to the class A-JFX certificates, which now have an aggregate principal balance of $192.389 million," S&P said. 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 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING WITHDRAWN Morgan Stanley Capital I Trust 2007-IQ14 Commercial mortgage pass-through certificates Rating Class To From A-JFL NR CCC- (sf) NR-Not rated. MORGAN STANLEY 2007-IQ15: S&P Cuts Rating on Class E Notes to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the class E certificate from Morgan Stanley Capital I Trust 2007-IQ15, a U.S. commercial mortgage-backed securities transaction, to 'D (sf)' from 'CCC- (sf)'. "We lowered our rating to 'D (sf)' on the class E certificate due to principal losses from the liquidation of two assets with an aggregate trust principal balance of $35.5 million that were with the special servicer, C-III Asset Management LLC. According to the April 12, 2013, remittance report, the trust experienced $30.6 million in principal losses upon the recent disposition of these assets. The class F bond, which we previously had lowered to 'D (sf)', experienced a loss of 100% of its beginning principal balance. The class E certificate experienced a loss of 76.0% of its beginning principal balance," S&P said. 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 MORGAN STANLEY 2013-C9: Moody's Takes Actions on 18 CMBS Classes ---------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to eighteen classes of CMBS securities, issued by Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 Commercial Mortgage Pass- Through Certificates. Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-AB, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3FL (1), Assigned (P)Aaa (sf) Cl. A-3FX (1), Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-S (2) , Assigned (P)Aaa (sf) Cl. B2 (2), Assigned (P)Aa3 (sf) Cl. PST (2), Assigned (P)A2 (sf) Cl. C (2), Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba2 (sf) Cl. F, Assigned (P)Ba3 (sf) Cl. G, Assigned (P)B1 (sf) Cl. H, Assigned (P)B3 (sf) Cl. X-A (3), Assigned (P)Aaa (sf) Cl. X-B (3), Assigned (P)Aa3 (sf) (1) All or a portion of Cl. A-3FL Certificates can be exchanged for Class A-3FX (2) Reflects Exchangeable Certificates (3) Reflects Interest Only Classes Ratings Rationale: The Certificates are collateralized by 60 fixed rate loans secured by 77 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 1.60X is greater than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.01X is greater than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 106.1% is lower than the 2007 conduit/fusion transaction average of 110.6%. The LTV ratio excludes the Milford Plaza Fee Loan (12.9% of balance). Milford Plaza Fee Loan is assigned a credit assessment of Baa3 despite having a Moody's LTV ratio of 127.0% that reflects only the value of the land collateral. To arrive at a Baa3 assessment, Moody's considered the value of the non-collateral improvements that the leased fee interest underlies when assessing the risk of the loan, as the subject loan is senior to any debt on the improvements. The loan is further enhanced by an ARD structure, which is a built-in refinancing mechanism that allows for the loan to hyper-amortize (without defaulting) if financing is not available at loan maturity. Loans that are credit assessed Baa3 typically have a Moody's LTV ratio near 67%. If the loan's leverage wasn't disassociated with the loan's credit quality, the total pool LTV ratio would be closer to 101%. Moody's excludes the loan from pool statistics given the dislocation created between pool leverage/coverage and pool credit quality if included. 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 19. The transaction's loan level diversity is similar to 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. The transaction's property diversity profile is similar to the indices calculated in most multi-borrower transactions issued since 2009. 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 2.14, which is lower than the indices calculated in most multi-borrower transactions since 2009. 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-M to mitigate the potential increased severity to class A-S. 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 PST ( (P) A2 (sf)) certificates and Class PST may be exchanged for the Classes A-S, B and C. The PST 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 PST certificates. The initial certificate balance of the Class PST 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 PST 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 PST 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 (P) A2 (sf) rating, a rating higher than the lowest provisionally rated component certificate. The principal methodologies used in these ratings were "Moody's Approach to Rating U.S. CMBS Fusion Transactions" published in April 2005 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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 version 1.0 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%, 15%, and 23%, the model-indicated rating for the currently rated junior (P) Aaa (sf) class would be (P) Aa1 (sf) , (P) Aa2 (sf), (P) Aa3 (sf), 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. N-STAR REAL VII: Moody's Affirms 'Caa3' Rating on 5 Note Classes ---------------------------------------------------------------- Moody's downgraded the ratings of three classes and affirmed the ratings of five classes of Notes issued by N-Star Real Estate CDO VII, Ltd. The downgrades are due to collateral sales resulting in negative credit migration within the pool of assets as evidenced by the Moody's weighted average rating factor (WARF). 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 and Re-Remic) transactions. Moody's rating action is as follows: Issuer: N-Star Real Estate CDO VII Ltd. Cl. A-1, Downgraded to B3 (sf); previously on May 16, 2012 Downgraded to Ba3 (sf) Cl. A-2, Downgraded to Caa2 (sf); previously on May 16, 2012 Downgraded to Caa1 (sf) Cl. A-3, Downgraded to Caa3 (sf); previously on May 16, 2012 Downgraded to Caa2 (sf) Cl. B, Affirmed Caa3 (sf); previously on May 16, 2012 Downgraded to Caa3 (sf) Cl. C, Affirmed Caa3 (sf); previously on Jul 27, 2011 Downgraded to Caa3 (sf) Cl. D-FL, Affirmed Caa3 (sf); previously on Aug 11, 2010 Downgraded to Caa3 (sf) Cl. E, Affirmed Ca (sf); previously on Aug 11, 2010 Downgraded to Ca (sf) Cl. D-FX, Affirmed Caa3 (sf); previously on Aug 11, 2010 Downgraded to Caa3 (sf) Ratings Rationale: N-Star Real Estate CDO VII, Ltd. is a currently static (the reinvestment period ended in June 2011) CRE CDO transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (85.5% of the pool balance), CRE CDOs (12.3%), and franchise loan backed securities (2.2%). As of the March 19, 2013 Trustee report, the aggregate Note balance of the transaction has decreased to $295.2 million from $550.0 at issuance. There are 39 assets with a par balance of $191.8 million (59.1% of the current pool balance) that are considered defaulted securities as of the Match 19, 2013 Trustee report. Thirty-six of these assets (91.4% of the defaulted balance) are CMBS, and 3 assets (8.6%) are CRE CDO. While there have been no realized losses to date, Moody's does expect significant losses to occur once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: 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 collateral. Moody's modeled a bottom-dollar WARF of 7,625 compared to 5,960 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (0.9% compared to 1.5% at last review), A1-A3 (1.9% compared to 2.0% at last review), Baa1-Baa3 (1.9% compared to 12.1% at last review), Ba1-Ba3 (6.4% compared to 11.0% at last review), B1-B3 (9.3% compared to 9.2% at last review), and Caa1-C (79.6% compared to 64.1% at last review). Moody's modeled a WAL of 3.6 years compared to 4.2 years at last review. The current WAL is based on the assumption about extensions on the underlying collateral. Moody's modeled a fixed WARR of 3.3%, compared to 7.2% at last review. Moody's modeled a MAC of 100%, the same as at last review. Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating models, which was released on March 25, 2013. The cash flow model, CDOEdge v3.2.1.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Moody's analysis encompasses the assessment of stress scenarios. 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. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 3.3% to 2% or up to 15% would result in a rating movement on the rated tranches of 0 notch downward and 0 to 3 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 methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in May 2012, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. NAVIGATOR 2004: Moody's Hikes Ratings on 2 Note Classes to 'Ba1' ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Navigator 2004: $16,500,000 Class C-1 Floating Rate Notes Due January 14, 2017 (current outstanding balance of $13,280,974), Upgraded to Aa3 (sf); previously on June 20, 2012 Upgraded to A3 (sf); $12,500,000 Class C-2 Fixed Rate Notes Due January 14, 2017 (current outstanding balance of $10,061,344), Upgraded to Aa3 (sf); previously on June 20, 2012 Upgraded to A3 (sf); $6,000,000 Class D-1 Floating Rate Notes Due January 14, 2017 (current outstanding balance of $4,761,471), Upgraded to Ba1 (sf); previously on December 28, 2011 Upgraded to Ba2 (sf); $6,000,000 Class D-2 Fixed Rate Notes Due January 14, 2017 (current outstanding balance of $4,761,471), Upgraded to Ba1 (sf); previously on December 28, 2011 Upgraded to Ba2 (sf); $18,000,000 Class Q-2 Combo Notes Due January 14, 2017 (current outstanding balance of $5,175,082), Upgraded to Aaa (sf); previously on June 20, 2012 Upgraded to Aa1 (sf). Moody's also affirmed the ratings of the following notes: $22,500,000 Class B-1 Floating Rate Notes Due January 14, 2017 (current outstanding balance of $2,079,602), Affirmed Aaa (sf); previously on June 20, 2012 Upgraded to Aaa (sf); $7,500,000 Class B-2 Fixed Rate Notes Due January 14, 2017 (current outstanding balance of $693,201), Affirmed Aaa (sf); previously on June 20, 2012 Upgraded to Aaa (sf); $18,000,000 Class Q-1 Combo Notes Due January 14, 2017 (current outstanding balance of $680,898), Affirmed Aaa (sf); previously on June 20, 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 June 2012. Moody's notes that the Class A Notes have been paid down in full and the Class B Notes were paid down by 90.8% or $27.2 million since the last rating action. Based on the latest trustee report dated April 3, 2013, the Class B, Class C and Class D overcollateralization ratios are reported at 207.7%, 127.8% and 110.5%, respectively, versus May 2012 levels of 138.4%, 115.2% and 107.9%, respectively. Moody's notes that the trustee reported overcollateralization ratios do not include the April 15, 2013 payment distribution when $34.6 million of principal proceeds were used to pay the Class A-3A Notes, Class A- 3B Notes, Class B-1 Notes and Class B-2 Notes. Notwithstanding benefits of the deleveraging, Moody's notes that the credit quality of the underlying portfolio has deteriorated since the last rating action. Based on the March 2013 trustee report, the weighted average rating factor is currently 3316 compared to 2756 in May 2012. 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 $39 million, defaulted par of $13.6 million, a weighted average default probability of 17.22% (implying a WARF of 3270), a weighted average recovery rate upon default of 52.36%, and a diversity score of 15. 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. Navigator 2004, issued in October 2004, 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. The methodology used in rating the Combination Notes was "Using the Structured Note Methodology to Rate CDO Combo- Notes" published in February 2004. 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. Moody's applied this adjustment to 15% of the collateral pool. 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% (2616) Class B-1: 0 Class B-2: 0 Class C-1: +1 Class C-2: +1 Class D-1: +1 Class D-2: +1 Class Q-1: 0 Class Q-2: 0 Moody's Adjusted WARF + 20% (3924) Class B-1: 0 Class B-2: 0 Class C-1: -1 Class C-2: -1 Class D-1: -1 Class D-2: -1 Class Q-1: 0 Class Q-2: 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 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) 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. NELNET STUDENT: Fitch Affirms Ratings on Student Loan Trusts ------------------------------------------------------------ Fitch Ratings affirms the senior and subordinate notes issued by Nelnet Student Loan Trust 2004-4, Nelnet Student Loan Trust 2007- 1, Nelnet Student Loan Trust 2007-2, Nelnet Student Loan Trust 2008-1, Nelnet Student Loan Trust 2008-4, and Nelnet Student Loan Trust 2012-1. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative, and the Rating Outlook on the subordinate notes remains Stable, except for Nelnet Student Loan Trust 2008-4, whose subordinate note remains Positive. KEY RATING DRIVERS The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the class B note. RATING SENSITIVITIES Since FFELP student loan ABS rely on the U.S. government to reimburse defaults, 'AAAsf' FFELP ABS ratings will likely move in tandem with the 'AAA' U.S. sovereign rating. Aside from the U.S. sovereign rating, defaults and basis risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults and basis shock beyond Fitch's published stresses could result in future downgrades. Likewise, a buildup of credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades. Individual Representations, Warranties, and Enforcement Mechanisms reports are available for all structured finance transactions initially rated on or after Sept. 26, 2011 at www.fitchratings.com. Fitch has affirmed the following ratings: Nelnet Student Loan Trust 2004-4: -- Class A-5 at 'AAAsf'; Outlook Negative; -- Class B at 'AA-sf'; Outlook Stable. Nelnet Student Loan Trust 2007-1: -- Class A-1 at 'AAAsf'; Outlook Negative; -- Class A-2 at 'AAAsf'; Outlook Negative; -- Class A-3 at 'AAAsf'; Outlook Negative; -- Class A-4 at 'AAAsf'; Outlook Negative; -- Class B-1 at 'BBB-sf'; Outlook Stable; -- Class B-2 at 'BBB-sf'; Outlook Stable. Nelnet Student Loan Trust 2007-2: -- Class A-2L at 'AAAsf'; Outlook Negative; -- Class A-3L at 'AAAsf'; Outlook Negative; -- Class A-4 AR-1 at 'AAAsf'; Outlook Negative; -- Class A-4 AR-2 at 'AAAsf'; Outlook Negative; -- Class B-1 at 'BBsf'; Outlook Stable; -- Class B-2 at 'BBsf'; Outlook Stable. Nelnet Student Loan Trust 2008-1: -- Class A-2 at 'AAAsf'; Outlook Negative; -- Class A-3 at 'AAAsf'; Outlook Negative; -- Class B at 'BBsf'; Outlook Stable; Nelnet Student Loan Trust 2008-4: -- Class A-2 at 'AAAsf'; Outlook Negative; -- Class A-3 at 'AAAsf'; Outlook Negative; -- Class A-4 at 'AAAsf'; Outlook Negative; -- Class B at 'A+sf'; Outlook Positive; Nelnet Student Loan Trust 2012-1: -- Class A at 'AAAsf'; Outlook Negative; -- Class B at 'A+sf'; Outlook Stable; NEW YORK MORTGAGE 2006-1: Moody's Cuts 2 Tranche Ratings to Caa2 ---------------------------------------------------------------- Moody's Investors Service has downgraded two tranches issued by New York Mortgage Trust. The collateral backing this deal primarily consists of first-lien, adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $14 million of RMBS issued from 2006. Complete rating actions are as follows: Issuer: New York Mortgage Trust 2006-1 Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Apr 20, 2010 Downgraded to Caa1 (sf) Cl. 2-A-2, Downgraded to Caa2 (sf); previously on Apr 20, 2010 Downgraded to Caa1 (sf) Ratings Rationale: The actions are a result of the recent performance of Prime jumbo pools originated on or after 2005 and reflect Moody's updated loss expectations on these pools. The actions reflect the pro-rata payment of principal to the Group 2 bonds subsequent to subordination depletion. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005-2008 US RMBS Surveillance Methodology" published in July 2011. 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 2014. Small Pool Volatility 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 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, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. 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 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% 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. When assigning the final ratings to bonds, in addition to the approach, Moody's considered the volatility of the projected losses and timeline of the expected defaults. 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 7.6% in March 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. NON-PROFIT PREFERRED: Fitch Affirms 'CC' Rating on Class D Certs ---------------------------------------------------------------- Fitch Ratings has affirmed the ratings on five classes of certificates issued by Non-Profit Preferred Funding Trust I (NPPF I). Rating Outlooks and Recovery Estimates (RE) have also been revised or maintained as follows: -- $44,858,835 class A-1 senior certificates at 'BBBsf'; Outlook to Stable from Negative; -- $114,301,308 class A-2 delayed issuance senior certificates at 'BBBsf'; Outlook to Stable from Negative; -- $16,500,000 class B senior certificates at 'BBsf'; Outlook to Stable from Negative; -- $22,000,000 class C mezzanine certificates at 'CCCsf'; to RE 55% from RE 45%; -- $14,000,000 class D subordinated certificates at 'CCsf'; RE 0%. Key Rating Drivers The affirmations are attributed to improved credit enhancement (C/E) available to the rated certificates as a result of the deleveraging of the capital structure from a combination of manager sales and repayment activity in the pool, offsetting modest deterioration of the underlying collateral and increased portfolio concentration. Despite the concerns regarding increasing portfolio concentration, Fitch has revised the Rating Outlook on the class A-1 and class A- 2 (together, class A) certificates, and class B certificates to Stable to reflect cushions above their current rating stresses indicated by the cash flow modeling results in all scenarios. These cushions are attributed primarily to higher realized proceeds than Fitch's assumptions at last review on the $21.6 million notional of the debt redeemed by the issuers since last review. In addition, the certificates continued to benefit from excess spread. Since Fitch's last rating action in April 2012, the NPPF I's portfolio balance has decreased by approximately $32.4 million, to $243.3 million, or 60.8% of the initial portfolio size, as per the March 2013 trustee report. In addition to approximately $21.6 million of proceeds from early redemptions and regularly scheduled amortizations, the manager instituted a sale of one defaulted security which yielded a recovery of 85% and approximately $6.1million in principal proceeds. The proceeds were then used to amortize the class A certificates, which over the last two payment dates received approximately $33.4 million, or 10.4% of their collective original balance, in principal repayments, due to the amortization, sales, and excess spread diverted to cure a failing Class D Coverage Test. While this deleveraging has benefited all classes of certificates, as reflected by the improved C/E levels across the capital structure, the remaining portfolio has become significantly more concentrated. Presently, the pool comprises debt of 27 obligors of which 22 are considered by Fitch as performing, compared to 30 and 26, respectively, at last review. After accounting for assets with withdrawn ratings at last review, the exposure to obligors Fitch considers rated 'CCC+sf' or below, including defaulted assets, has remained unchanged at 36.0%. The top five largest borrowers represent 30.5% of the underlying portfolio, up from 27.3% at last review. On the credit quality and collateral performance side, the portfolio has experienced a marginal net negative credit migration, with downgrades in either the explicit ratings or Fitch's point-in-time credit opinions slightly outpacing upgrades (20.5% of the portfolio has been downgraded a weighted average of 1.6 notches and 10.7% has been upgraded a weighted average of 2.0 notches) and one additional obligor defaulting. The cumulative exposure to defaulted securities now stands at 16.8%, compared to 14.2% at the 2012 review. The average credit quality of the portfolio has slightly deteriorated; however, it remains in the 'B/B-' range. As part of today's rating action, the agency has also revised its Recovery Estimate on the class C certificates and maintained the previously assigned estimate on the class D certificates. The REs represent Fitch's calculation of expected principal recoveries as a percentage of current note principal outstanding. Fitch now projects 55% recovery on the class C certificates. The revision is in large part attributed to higher than expected realized recovery on the defaulted asset. This review was conducted under the analytical framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Corporate CDOs'. Fitch utilized the Corporate Portfolio Credit Model (PCM) to project future default levels for the underlying portfolio. The agency conducted cash flow modeling analysis to measure the breakeven default rates under various default timing scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The results of Fitch's portfolio and cash flow analysis indicated ratings consistent with Fitch's actions listed above. Rating Sensitivities Fitch has analyzed rating sensitivity of the certificates to recovery and weighted average life (WAL) assumptions. Applying a 25% haircut to the recovery rate of each asset in the portfolio would result in no downgrade for the certificates. Similarly, extending the WAL of the portfolio would result in no downgrades to their ratings. However, applying a 50% recovery haircut would result in a downgrade of up to one rating category for each of the rated certificates. NPPF I is a Structured Tax-Exempt Pass-Through (STEP) program formed in November 2006 to issue $416.5 million of municipal market data (MMD) index-based senior, mezzanine, and junior certificates. The proceeds of the issuance were invested in a portfolio of municipal debt issued under 501(c)(3) program. The initial portfolio was selected by Cohen Municipal Capital Management, LLC together with sub-advisors Nonprofit Capital LLC and Shattuck Hammond. In March 2009, Muni Capital Management, LLC took over the management responsibilities for this transaction by consolidating the team of Cohen Municipal Capital Management, LLC. PETRA CRE 2007-1: Fitch Cuts Ratings on 2 Cert. Classes to 'CC' --------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed the remaining seven classes of Petra CRE CDO 2007-1 (Petra 2007-1). Key Rating Drivers Fitch's actions reflect continued concern over the CDO's ability to continue to make timely interest payments to class B, and Fitch's base case loss expectation of 65%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market values and cash flow declines. The CDO, which is substantially under collateralized, continues to fail interest coverage and overcollateralization tests resulting in the diversion of interest payments from classes C and below to pay down the senior classes. Since the last rating action, class A-2 has been paid in full while class B has been paid down by 63%. Realized losses to par over the same period have been significant at approximately $209 million. While Class B's credit enhancement has increased significantly since the last rating action, upgrade is not recommended due to continued concern about the CDO's ability to make timely interest payments to the class. Since the July 2011 payment date, interest proceeds have been insufficient to pay the interest due on the timely classes; the interest due on these classes has been paid from principal proceeds. Fitch continues to be concerned about the CDO's ability to continue to make timely interest payments to class B given the diminished amount of interest proceeds and significant swap counterparty payments. The affirmation at 'CCC' reflects the possibility going forward that interest and/or principal proceeds will not be available to pay the timely interest class, especially if there are further defaults or delinquencies on the underlying collateral. Ultimate recoveries to the class; however, should be substantial. The downgrades to classes F and G are the result of increased expected losses on defaulted assets, which total 78.8% of the pool compared to 53.9% at last review; assets of concern currently total an additional 11.6%. RATING SENSITIVITIES All classes are subject to further downgrades should additional losses be realized. As of the March 2013 trustee report and per Fitch categorizations, the CDO was substantially invested as follows: whole loans/A-notes (67%); B-notes (10%), mezzanine debt (13%), preferred equity (2%); CRE CDO securities (4%); and a real estate bank loan (4%). Since last review, 30 assets were paid off or removed from the CDO. The CDO also added three rated securities, which were purchased at a discount and resulted in built par of approximately $3.6 million. Under Fitch's surveillance methodology, approximately 95.9% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. Fitch estimates that average recoveries will be 32.2%. The largest component of Fitch's base case loss expectation is related to a mezzanine interest (9.6% of the pool) backed by a portfolio of full-service luxury hotels. Portfolio performance remains significantly below expectations at issuance. Fitch modeled a full loss on this significantly overleveraged loan interest in its base case scenario. The next largest component of Fitch's base case loss expectation is related to a defaulted A-note (11.5% of the pool) secured by a residential construction project located in the Washington Heights neighborhood of Manhattan. Construction activity stalled in 2009. Fitch modeled a significant loss on the loan in its base case scenario. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The transaction was not cash flow modeled based on the limited available interest received from the assets, the majority of which are defaulted; historically unpredictable timing and substantial amount of expenses and advances being made by the servicers prior to the Waterfall; and given the distressed nature of the ratings. The 'CC' and below ratings for classes C through K are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each class' credit enhancement. Petra 2007-1 is managed by Petra Capital Management LLC. The CDO's six-year reinvestment period ends in June 2013. Fitch has downgraded the following classes: -- $35 million class F to 'Csf/RE 0%' from 'CCsf/RE 0%'; -- $21.5 million class G to 'Csf/RE 0%' from 'CCsf/RE 0%'. Fitch has affirmed the following classes, as indicated: -- $48.4 million class B at 'CCCsf/RE 100%'; -- $58.9 million class C at 'CCsf/RE 50%'; -- $26.2 million class D at 'CCsf/RE 0%'; -- $22.7 million class E at 'CCsf/RE 0%'; -- $28.7 million class H at 'Csf/RE 0%'; -- $49.8 million class J at 'Csf/RE 0%'; -- $41.5 million class K at 'Csf/RE 0%'. Class A-1 and A-2 have paid in full. PPLUS TRUST SPR-1: B3-Rated $42.5-Mil. Certs on Moody's Review -------------------------------------------------------------- Moody's Investors Service will continue the review with the direction uncertain of the rating of the following certificates issued by PPLUS Trust Series SPR-1: $42,515,000 PPLUS Trust Series SPR-1 7.00% Trust Certificates, B3 Placed under Review Direction Uncertain; previously on October 17, 2012 B3, Placed on review for possible upgrade. Ratings Rationale: The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. This rating action is a result of the change of the rating of $43,297,000 6.875% Notes due 2028 issued by Sprint Capital Corporation whose B3 rating continues to be under review with the direction uncertain as of April 15, 2013. 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 a pass-through of the rating of the underlying security. 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 rating on the underlying securities, they could also negatively impact the rating on the certificate. SALOMON BROTHERS 2000-C2: Fitch Affirms 'D' Rating on Cl. K Certs ----------------------------------------------------------------- Fitch Ratings affirms 10 classes of Salomon Brothers Mortgage Securities VII, Inc., commercial mortgage pass-through certificates, series 2000-C2. Key Rating Drivers The affirmations reflect sufficient credit enhancement of the Fitch rated classes after liquidation of the remaining specially serviced loans. As of the March 2013 distribution date, the pool's certificate balance has paid down 90.4% to $75.3 million from $782 million at issuance. RATING SENSITIVITIES The 'AAA' rated class is expected to remain stable based on paydown from amortizing loans and defeasance in the pool. Although class E has high credit enhancement, the rating has been capped at 'A' based on the risk of interest shortfalls affecting the class. The Negative Outlooks reflect the high concentration of real estate-owned (REO) loans in the pool with the potential for escalated fees and expenses based on the timing of resolution. There are 21 remaining loans from the original 193 loans at issuance. Of the remaining loans, eight loans (85.7%) are in special servicing and three loans (7.7%) are defeased. The largest contributor to Fitch expected losses was originally secured by a 251,365 sf retail center in Baltimore, MD. The asset had been REO since February 2006. Litigation against the guarantor over carve-out claims continues in the pursuit of related borrower entities. The collateral was sold in December 2012 with proceeds being applied to outstanding advances, thus there is no current collateral backing the loan balance. Realized losses to the trust will be settled upon receipt of litigation proceeds. The second largest contributor to losses is a 201,148 sf office building in Milwaukee, WI. The asset has been REO since December 2009. The building occupancy as of March 2013 was 41%. The servicer is positioning the asset for sale. Fitch affirms and revises the Recovery Estimates and Outlooks of the following classes as indicated: -- $3 million class D at 'AAAsf'; Outlook Stable; -- $11.7 million class E at 'Asf'; Outlook to Negative from Stable; -- $13.7 million class F at 'BBBsf'; Outlook Negative; -- $9.8 million class G at 'BBsf'; Outlook Negative. -- $21.5 million class H at 'Csf'; RE 30%; -- $13.7 million class J at 'Csf'; RE 0%; -- $2 million 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%. Fitch does not rate class P. Classes A-1, A-2, B and C have paid in full. Fitch previously withdrew the ratings of the interest- only class X. SARATOGA CLO I: S&P Raises Rating on Class D Notes to 'BB' ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B and D notes from Saratoga CLO I Ltd., a collateralized loan obligation (CLO) transaction currently managed by Invesco Senior Secured Management Inc. At the same time, S&P affirmed its ratings on the class A-1, A-2, and C notes. The transaction is in its amortization phase and continues to use its principal proceeds to pay down the senior notes in the payment sequence, as specified in the indenture. The rating actions follow S&P's performance review of Saratoga CLO I Ltd. and reflect $41.7 million in pay-downs to the class A-1 notes since S&P raised its ratings on four classes in February 2011. The Class A-1 notes have paid down to 76.7% of their original balance, leading to an increase in overcollateralization (O/C) available to support the notes. The transaction has benefited from the receipt of principal proceeds from prepayments and sales of defaulted assets, which have led to an improvement in the collateral's credit quality. As of the March 2013 trustee report, the transaction held $33.9 million in principal proceeds. S&P also observed that assets from obligors rated in the 'CCC' category were reported at $14.6 million in March 2013, compared with $35.1 million in January 2011. Another positive factor in S&P's analysis is the increase in the weighted-average spread from 3.07% to 3.66% since its last rating action. S&P affirmed its ratings on the class A-1, A-2, and C notes to reflect its belief that the credit support available is commensurate with the current ratings. 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 to support them. S&P will 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 RATINGS RAISED Saratoga CLO I Ltd Rating Class To From B A+ (sf) BBB+ (sf) D BB (sf) B+ (sf) RATINGS AFFIRMED Saratoga CLO I Ltd Class Rating A-1 AAA (sf) A-2 AA+ (sf) C BB+ (sf) SEQUOIA MORTGAGE 2013-5: Fitch Rates Class B-4 Certificates 'BB' ---------------------------------------------------------------- Fitch Ratings assigns the following ratings to Sequoia Mortgage Trust 2013-5, mortgage pass-through certificates, series 2013-5 (SEMT 2013-5): -- $434,385,000 class A-1 initial exchangeable certificate 'AAAsf'; Outlook Stable; -- $434,385,000 class A-2 exchangeable certificate 'AAAsf'; Outlook Stable; -- $434,385,000 notional class A-IO1 initial exchangeable certificate 'AAAsf'; Outlook Stable; -- $434,385,000 notional class A-IO2 certificate 'AAAsf'; Outlook Stable; -- $9,035,000 class B-1 certificate 'AAsf'; Outlook Stable; -- $7,645,000 class B-2 certificate 'Asf'; Outlook Stable; -- $5,097,000 class B-3 certificate 'BBBsf'; Outlook Stable; -- $2,316,000 class B-4 certificate 'BBsf'; Outlook Stable. The 'AAAsf' rating on the senior certificates reflects the 6.25% subordination provided by the 1.95% class B-1, 1.65% class B-2, 1.10% class B-3, 0.50% non-offered class B-4 and 1.05% non-offered class B-5. The $4,866,441 non-offered class B-5 certificates will not be rated by Fitch. All or a portion of the class A-1 and class A-IO1 certificates in the same certificate principal amount and certificate notional amount can be exchanged for class A-2 certificates of the same certificate principal amount. All or a portion of the class A-2 certificates can be exchanged for the class A-1 and class A-IO1 certificates of the same certificate principal amount and certificate notional amount. On the closing date, the aggregate class principal amount of the class A-1 and class A-2 certificates will not exceed $434,385,000. Fitch's ratings reflect the high quality of the underlying collateral, the clear capital structure and the high percentage of loans reviewed by third party underwriters. In addition, Wells Fargo Bank, N.A. will act as the master servicer and Christiana Trust will act as the Trustee for the transaction. For federal income tax purposes, elections will be made to treat the trust as one or more real estate mortgage investment conduits (REMICs). SEMT 2013-5 will be Redwood Residential Acquisition Corporation's fifth transaction of prime residential mortgages in 2013. The certificates are supported by a pool of prime fixed rate mortgage loans. The loans are all fully amortizing. The aggregate pool included loans originated from PrimeLending (8.3%). The remainder of the mortgage loans was originated by various mortgage lending institutions, each of which contributed less than 5% to the transaction. As of the cut-off date, the aggregate pool consisted of 609 loans with a total balance of $463,344,441; an average balance of $760,828; a weighted average original combined loan-to-value ratio (CLTV) of 65.9%, and a weighted average coupon (WAC) of 3.8%. Rate/term and cash out refinances account for 69.5% and 6.8% of the loans, respectively. The weighted average original FICO credit score of the pool is 772. Owner-occupied properties comprise 96.1% of the loans. The states that represent the largest geographic concentration are California (37.6%), Washington (7.8%) and Massachusetts (7.6%). KEY RATING DRIVERS High-Quality Mortgage Pool: The collateral pool consists primarily of 30-year fixed-rate fully documented loans to borrowers with strong credit profiles, low leverage, and substantial liquid reserves. All of the loans are fully amortizing. Third-party loan- level due diligence was conducted on 100% of the overall pool, and Fitch believes the results of the review generally indicate strong underwriting controls. Originators With Limited Performance History: The entire pool was originated by lenders with limited non-agency performance history. While the significant contribution of loans from these originators is a concern, Fitch believes the lack of performance history is partially mitigated by the 100% third-party diligence conducted on these loans that resulted in immaterial findings. Fitch also considers the credit enhancement (CE) on this transaction sufficient to mitigate the originator risk. Geographically Diverse Pool: The overall geographic diversity has improved from other SEMT transactions. The percentage of the top three metropolitan statistical areas (MSA) is 20.8%, the lowest concentration to date. Concentration in California (37.6%) is also the lowest to date compared to prior SEMT transactions. The agency did not apply a default penalty to the pool due to the low geographic concentration risk. Transaction Provisions Enhance Performance: As in other recent SEMT transactions rated by Fitch, SEMT 2013-5 contains binding arbitration provisions that may serve to provide timely resolution to representation and warranty disputes. In addition, all loans that become 120 days or more delinquent will be reviewed for breaches of representations and warranties. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis on areas where the model projected lower home price declines than that of the overall collateral pool. The model currently projects sustainable MVDs (sMVDs) at the MSA level. For one of the top 10 regions, Fitch's SHP model does not project declines in home prices and for two others, the projected decline is less than 10%. These regions are Seattle-Bellevue-Everett in Washington (7%), Chicago-Joliet- Naperville in Illinois (4.2%), and Boston-Quincy in Massachusetts (3.7%). Fitch conducted sensitivity analysis assuming sMVDs of 10%, 15%, and 20% compared with those projected by Fitch's SHP model for these regions. The sensitivity analysis indicated no impact on ratings for all bonds in each scenario. Another sensitivity analysis was focused on determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model projected 13% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. SLM STUDENT 2004-2: Fitch Affirms 'BB' Rating on Class B Notes -------------------------------------------------------------- Fitch Ratings affirms the senior and subordinate notes issued by SLM Student Loan Trust 2004-2, SLM Student Loan Trust 2004-5, SLM Student Loan Trust 2004-8 and SLM Student Loan Trust 2004-10. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative, while the Rating Outlook on the subordinate notes is revised to Positive from Stable. Fitch used its 'Global Structured Finance Rating Criteria', and 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. Key Rating Drivers The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the class B note. The revision of the Outlook to Positive from Stable for the subordinate notes is due to the fact that all aforementioned trusts have had stable performance since deal closing, and the subordinate notes have been receiving principal payment since their respective step-down dates. Additionally, once the pool factors reach 40%, the reserve accounts will be excluded from Sallie Mae's parity calculations for each trust, creating additional credit enhancement for the subordinate notes. Rating Sensitivities Since FFELP student loan ABS rely on the U.S. government to reimburse defaults, 'AAAsf' FFELP ABS ratings will likely move in tandem with the 'AAA' U.S. sovereign rating. Aside from the U.S. sovereign rating, defaults and basis risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults and basis shock beyond Fitch's published stresses could result in future downgrades. Likewise, a buildup of credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades. Fitch has taken the following rating actions: SLM Student Loan Trust 2004-2: -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class A-5 affirmed at 'AAAsf'; Outlook Negative; -- Class A-6 affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at 'BBsf'; Outlook revised to Positive from Stable. SLM Student Loan Trust 2004-5: -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class A-5 affirmed at 'AAAsf'; Outlook Negative; -- Class A-6 affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at 'BBsf'; Outlook revised to Positive from Stable. SLM Student Loan Trust 2004-8: -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class A-5 affirmed at 'AAAsf'; Outlook Negative; -- Class A-6 affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at 'BBsf'; Outlook revised to Positive from Stable. SLM Student Loan Trust 2004-10: -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class A-5A affirmed at 'AAAsf'; Outlook Negative; -- Class A-5B affirmed at 'AAAsf'; Outlook Negative; -- Class A-6A affirmed at 'AAAsf'; Outlook Negative; -- Class A-6B affirmed at 'AAAsf'; Outlook Negative; -- Class A-7A affirmed at 'AAAsf'; Outlook Negative; -- Class A-7B affirmed at 'AAAsf'; Outlook Negative; -- Class A-8 affirmed at 'AAAsf'; Outlook Negative; -- Class B affirmed at 'BBsf'; Outlook revised to Positive from Stable. SPRINT CAPITAL 2003-17: B3-Rated Cl. A-1 Certs on Moody's Review ---------------------------------------------------------------- Moody's Investors Service will continue the review with the direction uncertain of the rating of the following certificates issued by Corporate Backed Trust Certificates, Sprint Capital Note-Backed Series 2003-17: $25,000,000 Principal Amount of 7.00% Class A-1 Certificates due 11/15/2028, B3 Placed under Review Direction Uncertain; previously on October 17, 2012 B3 Placed Under Review for Possible Upgrade Ratings Rationale: The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. This rating action is a result of the change of the rating of $25,455,000 6.875% Notes due 2028 issued by Sprint Capital Corporation whose B3 rating continues to be under review with the direction uncertain as of April 15, 2013. 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 a pass-through of the rating of the underlying security. 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 rating on the certificate. SPRINT CAPITAL 2004-2: B3-Rated Cl. A-1 Certs on Moody's Review --------------------------------------------------------------- Moody's Investors Service will continue the review with the direction uncertain of the rating of the following certificates issued by Structured Repackaged Asset-Backed Trust Securities ("STRATS") Trust for Sprint Capital Corporation Securities, Series 2004-2: $38,000,000 6.500% STRATS, Series 2004-2, Class A-1 Certificates, B3 Placed Under Review Direction Uncertain; previously on October 17, 2012 B3 Placed Under Review for Possible Upgrade. Ratings Rationale: The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. This rating action is a result of the change of the rating of $38,000,000 6.875% Notes due 2028 issued by Sprint Capital Corporation whose B3 rating continues to be under review with the direction uncertain as of April 15, 2013. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. STUDENT LOAN 2007-1: S&P Affirms 'B-' Rating on 4 Note Classes -------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on Student Loan ABS Repackaging Trust Series 2007-1's class 1-A-1, 1-A-IO, 7- A-1, and 7-A-IO certificates on CreditWatch with negative implications. At the same time, S&P affirmed its 'B-' ratings on the class 5-A-1, 5-A-IO, 6-A-1, and 6-A-IO certificates. Student Loan ABS Repackaging Trust Series 2007-1 is a repackaging of various notes issued from KeyCorp Student Loan Trust 1999-B, NCF Grantor Trust 2005-1, NCF Grantor Trust 2005-3's series 2005- GT3 class A-5-1, due in 2033, and NorthStar Education Finance Inc.'s series 2006-A. The ratings on the class 1-A-l and 1-A-IO certificates are dependent on the lower of S&P's ratings on Deutsche Bank AG ('A+/Watch Neg/A-1'), which provides an interest rate swap on the certificates, and Key Corp. Student Loan Trust 1999-B's class A-2 notes ('AAA (sf)'). The ratings on the class 7-A-1 and 7-A-IO certificates are dependent on the lower of S&P's ratings on Deutsche Bank AG ('A+/Watch Neg/A-1'), which provides an interest rate swap on the certificates, and the higher of S&P's ratings on NorthStar Education Finance Inc.'s series 2006-A's class A-4 notes ('AAA (sf)') and Ambac Assurance Corp. (not rated), which provides a financial guarantee insurance policy on the underlying securities. In addition, the ratings on the class 1-A-l,1-A-IO, 7-A-1, and 7- A-IO certificates benefit from a one-notch raise above the support provider's rating to reflect S&P's criteria for transactions that require replacement of that support provider if a rating trigger is breached. The ratings on the class 5-A-1 and 5-A-IO certificates are dependent on the lower of S&P's ratings on Deutsche Bank AG ('A+/Watch Neg/A-1'), which provides an interest rate swap on the certificates, and the higher of S&P's ratings on the underlying securities from NCF Grantor Trust 2005-1's class A-5-1 and A-5-2 certificates ('B-(sf)'), and the rating on Ambac Assurance Corp. (not rated), which provides a financial guarantee insurance policy on the underlying securities. The ratings on the class 6-A-l and 6-A-IO certificates are dependent on the lower of S&P's ratings on the underlying security from the transferable custody receipts relating to NCF Grantor Trust 2005-3 series 2005-GT3 class A-5-1 ('BBB(sf)'), due in 2033, and Deutsche Bank AG ('A+/Watch Negative/A-1'). The rating actions follow the March 26, 2013, placement of S&P's ratings on the swap counterparty, Deutsche Bank AG, on CreditWatch with negative implications. S&P may take subsequent rating actions on the certificates due to changes in its rating on the underlying security or swap counterparty. 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 PLACED ON CREDITWATCH NEGATIVE Student Loan ABS Repackaging Trust Series 2007-1 Class Rating To From 1-A-1 AA-/Watch Neg AA- 1-A-IO AA-/Watch Neg AA- 7-A-1 AA-/Watch Neg AA- 7-A-IO AA-/Watch Neg AA- RATINGS AFFIRMED Student Loan ABS Repackaging Trust Series 2007-1 Class Rating 5-A-1 B- 5-A-IO B- 6-A-1 B- 6-A-IO B- THL CREDIT 2013-1: S&P Assigns 'BB' Rating on Class D Notes ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to THL Credit Wind River 2013-1 CLO Ltd./THL Credit Wind River 2013-1 CLO LLC's $416.20 million 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 asset manager's experienced management team. -- 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 0.3105%-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 interest reinvestment test, a failure of which during the reinvestment period would lead to the reclassification of excess interest proceeds that are available prior to paying subordinated management fees, uncapped administrative expenses, and subordinated note payments into principal proceeds for the purchase of collateral assets. 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/1474.pdf RATINGS ASSIGNED THL Credit Wind River 2013-1 CLO Ltd./THL Credit Wind River 2013-1 CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 277.00 A-2A AA (sf) 29.30 A-2B AA (sf) 22.00 B (deferrable) A (sf) 38.90 C (deferrable) BBB (sf) 25.20 D (deferrable) BB (sf) 23.80 Subordinated notes NR 50.90 (i) The subordinated notes have two classes, the subordinated A and B notes. NR - Not rated. TIAA CMBS 2001-C1: S&P Raises Rating on Class M Notes to 'BB+' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on seven classes of commercial mortgage pass-through certificates from TIAA CMBS I Trust's series 2001-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed the ratings on two other classes from the same transaction. The rating actions follow S&P's analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS. S&P's analysis included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction structure, and the liquidity available to the trust. The upgrades and affirmations further reflect increased credit enhancement levels from the continued amortization and maturity payoff of the underlying mortgage loans and sufficient liquidity support to the classes. This includes Berkadia Commercial Mortgage LLC's (the master servicer) confirmation that three of the top 10 loans totaling $18.1 million have paid-off and the principal payments will be reflected in the April 2013 remittance report. The upgrades on the seven principal and interest paying certificates reflect expected available credit enhancement for the classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the rating levels. The upgrades also reflect S&P's views regarding the current and future performance of the transaction's collateral. While available credit enhancement levels may suggest even further positive rating movement on the upgraded classes, S&P's analysis considered the volume of nondefeased, performing loans that are scheduled to mature through Dec. 31, 2014, without confirmation of having been paid-off (17 loans, $25.8 million, 19.2% of the trust balance), and S&P's view of available liquidity support and the risks associated with potential future interest shortfalls from the upcoming maturing loans. The affirmation of the 'AAA (sf)' rating on class F reflects S&P's expectation that the available credit enhancement for the class will be within its estimate of the necessary credit enhancement equired for the current outstanding rating. S&P affirmed its 'AAA (sf)' rating on the class X interest-only (IO) certificate based on our criteria for rating IO securities. 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 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS RAISED TIAA CMBS I Trust Commercial mortgage pass-through certificates series 2001-C1 Rating Class To From Credit enhancement (%) G AAA (sf) AA+ (sf) 82.66 H AAA (sf) A+ (sf) 58.11 J AA (sf) BBB+ (sf) 47.20 K A (sf) BBB (sf) 39.02 L BBB (sf) BB+ (sf) 28.11 M BB+ (sf) B+ (sf) 22.65 N B+ (sf) B (sf) 17.20 RATINGS AFFIRMED TIAA CMBS I Trust Commercial mortgage pass-through certificates series 2001-C1 Class Rating Credit enhancement (%) F AAA (sf) 93.57 X AAA (sf) N/A N/A-Not applicable. TRIMARAN VII: Moody's Lifts Rating on Class B-2L Notes to 'Ba3' --------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Trimaran VII CLO Ltd.: $35,000,000 Class A-2L Floating Rate Notes due June 2021, Upgraded to Aa1 (sf); previously on September 15, 2011 Upgraded to Aa3 (sf) $30,000,000 Class A-3L Floating Rate Notes due June 2021, Upgraded to A3 (sf); previously on September 15, 2011 Upgraded to Baa2 (sf) $18,500,000 Class B-1L Floating Rate Notes due June 2021, Upgraded to Ba1 (sf); previously on September 15, 2011 Upgraded to Ba2 (sf) $12,500,000 Class B-2L Floating Rate Notes due June 2021, Upgraded to Ba3 (sf); previously on September 15, 2011 Upgraded to B1 (sf) Moody's also affirmed the ratings of the following notes: $333,000,000 Class A-1L Floating Rate Notes due June 2021, Affirmed Aaa (sf); previously on September 15, 2011 Upgraded to Aaa (sf) $25,000,000 Class A-1LR Floating Rate Revolving Notes due June 2021, Affirmed Aaa (sf); previously on September 15, 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 June 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 and WAS of 2457 and 3.39%, respectively, compared to 2600 and 2.91%, respectively, 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. 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 $479 million, no defaulted par, a weighted average default probability of 16.38% (implying a WARF of 2457), a weighted average recovery rate upon default of 51.74%, and a diversity score of 51. 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. Trimaran VII 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, 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% (1966) Class A-1L: 0 Class A-1LR: 0 Class A-2L: +1 Class A-3L: +2 Class B-1L: +2 Class B-2L: +2 Moody's Adjusted WARF + 20% (2948) Class A-1L: 0 Class A-1LR: 0 Class A-2L: -2 Class A-3L: -2 Class B-1L: -1 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. Source of additional performance uncertainty: 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. TROPIC CDO I: S&P Lowers Rating on Class A-2L Notes to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D(sf)' from 'CCC-(sf)'on the class A-2L from Tropic CDO I Ltd., a U.S. CDO transaction backed by pools of trust preferred securities (TruPs). According to the notice of liquidation direction and suspension of payments dated March 22, 2013, there would be no payment made on the April 15, 2013 payment date because of the liquidation. S&P confirmed that the nondeferrable class A-2L notes did not receive the interest due April 15, 2013. Therefore, S&P lowered its ratings on the class A-2L to 'D(sf)' pursuant to its criteria. 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 RATING LOWERED Tropic CDO I Ltd. Rating Class To From A-2L D(sf) CCC-(sf) WACHOVIA BANK 2007-C32: Moody's Keeps C Rating on 12 CMBS Classes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 23 classes of Wachovia Bank Commercial Mortgage Trust Commercial Securities Pass-Through Certificates, Series 2007-C32 as follows: Cl. A-1A, Affirmed A1 (sf); previously on Apr 19, 2012 Downgraded to A1 (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jul 19, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed A1 (sf); previously on Apr 19, 2012 Downgraded to A1 (sf) Cl. A-4FL, Affirmed A1 (sf); previously on Apr 19, 2012 Downgraded to A1 (sf) Cl. A-J, Affirmed Caa1 (sf); previously on Apr 19, 2012 Downgraded to Caa1 (sf) Cl. A-MFL, Affirmed Baa3 (sf); previously on Apr 19, 2012 Downgraded to Baa3 (sf) Cl. A-PB, Affirmed Aaa (sf); previously on Jul 19, 2007 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Caa2 (sf); previously on Apr 19, 2012 Downgraded to Caa2 (sf) Cl. C, Affirmed Caa3 (sf); previously on Apr 19, 2012 Downgraded to Caa3 (sf) Cl. D, Affirmed Ca (sf); previously on Apr 19, 2012 Downgraded to Ca (sf) Cl. E, Affirmed C (sf); previously on Apr 19, 2012 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Apr 19, 2012 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Apr 19, 2012 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Jun 22, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Jun 22, 2010 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Jun 22, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Jun 22, 2010 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Jun 22, 2010 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Jun 22, 2010 Downgraded to C (sf) Cl. O, Affirmed C (sf); previously on Jun 22, 2010 Downgraded to C (sf) Cl. P, Affirmed C (sf); previously on Jun 22, 2010 Downgraded to C (sf) Cl. Q, Affirmed C (sf); previously on Jun 22, 2010 Downgraded to C (sf) Cl. IO, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of the investment grade 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 ratings of the below investment grade classes are consistent with Moody's expected loss and thus are affirmed. The rating of the IO Class, 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 16.5% of the current balance, compared to 15.9% at last review. Moody's base expected loss plus realized losses is now 15.1% of the original pooled balance compared to 16.3% at the prior 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 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 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 Class IO 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 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. The Interest-Only Methodology was used for the rating of Class IO. 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 37 compared to 34 at last 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(R) (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 April 19, 2012. Deal Performance: As of the March 11, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 16% to $3.0 billion from $3.8 billion at securitization. The Certificates are collateralized by 127 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 43% of the pool. Forty-one loans, representing 32% 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 been liquidated from the pool, resulting in an aggregate $57.8 million realized loss (12% loss severity on average). There are 16 loans in special servicing representing 17% of the pool. The largest specially serviced loan is the Westin Casaurina Resort & Spa ($133.2 million -- 4.4% of the pool). The loan is secured by a 343-key full service hotel located along the middle of Seven Mile Beach in the heart of the primary tourist area on Grand Cayman Island. The loan was transferred to special servicing in February 2010 as a result of imminent monetary default. A receiver was put in place as of February 2011 and major renovations were completed in November 2012. Moody's has assumed an aggregate realized loss of $232.2 million (46% expected loss overall) from the specially serviced loans. Moody's has assumed a high default probability for an additional 35 poorly performing loans representing 28% of the pool and has estimated an aggregate $193 million loss (22% expected loss based on a 52% probability default) from these troubled loans. Moody's was provided with full year 2011 and full or partial year 2012 operating results for 100% and 92% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 118% compared to 128% at Moody's last review. Moody's net cash flow reflects a weighted average haircut of 2% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.35%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.32X and 0.85X, respectively, compared to 1.41X and 0.82X 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 loans represent 21% of the pool balance. The largest performing loan is the Beacon D.C. & Seattle Pool ($242 million -- 8.0% of the pool). The loan had previously been in special servicing where it was modified and was transferred back to the Master Servicer in May 2012. The modification includes a five-year extension and a coupon reduction along with an unpaid interest accrual feature and a waiver of the yield maintenance period in order to permit property sales. Nine properties have been liquidated from the portfolio which is now secured by 11 office properties located in Washington, Virginia and Washington, DC. The portfolio now totals 5.4 million square feet (SF). Moody's LTV and stressed DSCR are 158% and 0.64X, respectively, compared to 155% and 0.65X at last review. The second largest loan is the DDR Southeast Pool ($221.2 million -- 7.3% of the pool), which represents a pari passu interest in an $885.0 million first mortgage. The loan is secured by 52 anchored retail properties located throughout ten states. The portfolio was 88% leased as of December 2012, the same as at last review. The loan is interest only for its entire 10 year term. Moody's LTV and stressed DSCR are 108% and 0.85X, respectively, compared to 120% and 0.76X at last review. The third largest loan is the Two Herald Square Loan ($200.0 million -- 6.6% of the pool), which is secured by a 359,248 square foot Class B office and retail building located in the Penn Station submarket of New York City. The property is also encumbered with a $50.0 million subordinate note. The largest tenants include Publicis USA Holdings (32% of the net rentable area (NRA); lease expiration August 2016) and H&M (19% of the NRA; lease expiration January 2016). As of September 2012 the property was 99% leased, the same as last review. Performance has improved due to higher revenues from rent steps. The loan is interest only for its entire 10 year term. Moody's LTV and stressed DSCR are 116% and 0.82X, respectively, compared to 125% and 0.76X at last review. WFRBS 2013-C13: Fitch Assigns 'B' Rating to $16.43MM Class F Certs ------------------------------------------------------------------ Fitch Ratings has issued a presale report on WFRBS 2013-C13 Commercial Mortgage Trust Pass-Through Certificates. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $56,222,000 Class A-1 'AAAsf'; Outlook Stable; -- $79,549,000 Class A-2 'AAAsf'; Outlook Stable; -- $125,000,000 Class A-3 'AAAsf'; Outlook Stable; -- $206,479,000 Class A-4 'AAAsf'; Outlook Stable; -- $71,467,000 Class A-SB 'AAAsf'; Outlook Stable; -- $75,000,000#a Class A-3FL 'AAAsf'; Outlook Stable; -- $0a Class A-3FX 'AAAsf'; Outlook Stable; -- $90,962,000 Class A-S 'AAAsf'; Outlook Stable; -- $704,679,000a* Class X-A 'AAAsf'; Outlook Stable; -- $81,099,000a* Class X-B 'A-sf'; Outlook Stable; -- $51,509,000 Class B 'AA-sf'; Outlook Stable; -- $29,590,000 Class C 'A-sf'; Outlook Stable; -- $32,877,000a Class D 'BBB-sf'; Outlook Stable; -- $15,343,000a Class E 'BBsf'; Outlook Stable; -- $16,439,000a Class F 'Bsf'; Outlook Stable. # Floating rate. * Notional amount and interest-only. a Privately placed pursuant to Rule 144A. The expected ratings are based on information provided by the issuer as of April 10, 2013. Fitch does not expect to rate the $42,741,751 interest-only Class X-C or the $26,302,751 Class G. The certificates represent the beneficial ownership in the trust, primary assets of which are 95 loans secured by 113 commercial properties having an aggregate principal balance of approximately $876.7 million as of the cutoff date. The loans were contributed to the trust by The Royal Bank of Scotland; Wells Fargo Bank, National Association; Liberty Island Group I LLC; C-III Commercial Mortgage LLC; Basis Real Estate Capital II, LLC; and NCB, FSB. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 70.4% of the properties by balance, cash flow analysis of 84.4%, and asset summary reviews on 84.4% of the pool. Key Rating Drivers Fitch Leverage: The Fitch DSCR and LTV of 1.63x and 94.6% are better than the average DSCR and LTV of 1.24x and 97.2% of Fitch- rated 2012 conduit transactions. Excluding the loans collateralized by cooperative housing (co-op) properties, which consist of 6.9% of the pool, the Fitch DSCR and LTV are 1.32x and 99.1%. Loan Concentration: The largest 10 loans account for 44.7% of the pool balance, which is lower than the average 2011 and 2012 top 10 loan concentrations of 59.9% and 54.2%, respectively. In addition, no loan accounts for more than 10% of the pool's aggregate cut-off principal balance. The average loan size of $9.2 million is much smaller than the average loan size of $18.3 million in 2012 conduit transactions. Property Type Diversity: The pool has a retail concentration of 20.3%, which is lower than the average of 2012 Fitch-rated deals of 35.9%. Hotel and multifamily properties comprise 18.3% and 15.6% of the pool, respectively, representing greater percentages than the 2012 conduit averages of 13.5% and 6.3%. The pool's office concentration of 28.5% is in line with the 2012 average. Rating Sensitivities For this transaction, Fitch's net cash flow (NCF) was 16.5% below the full-year 2012 net operating income (NOI) (for properties that 2012 NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property- level NCF could result in higher defaults and loss severity on defaulted loans, and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to WFRBS 2013-C13 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 75 - 76. The Master Servicers will be Wells Fargo Bank, N.A. and NCB, FSB, rated 'CMS2' and 'CMS2-', respectively by Fitch. The special servicers will be LNR Partners, LLC and NCB, FSB rated 'CSS1-' and 'CSS3+', respectively, by Fitch. * Fitch Says Skyrocketing U.S. CLO Issuance Likely to Level Off --------------------------------------------------------------- Issuance of new U.S. CLOs increased nearly five-fold in the first quarter compared to the same period in 2012, though issuance is likely to level off as the year progresses, according to Fitch Ratings. The new rate of new CLOs coming to market rose substantially in first-quarter 2013 (1Q'13), finishing the quarter at over $26 billion (compared to $6 billion in 1Q'12). That said, the general consensus remains that new CLOs will finish the year in the $55 billion-$75 billion range. The primary reason is that much of the first quarter volume appears to be a result of "pulling forward" future transactions. The main reason for this may be the FDIC's rule requiring banks to consider CLO investments among its "higher risk assets". The rule, which went into effect April 1, led many originators to accelerate new deals before the first quarter came to a close. Nonetheless, appetite for CLO issuance remains robust. This in turn is likely to further highlight the numerous challenges facing CLO asset managers in the coming months. Among them is the imbalance in supply and demand for loans, along with the increase in "covenant-light" loan volume. * Fitch Says Office Woes Lead to Uptick in U.S. CMBS Delinquencies ------------------------------------------------------------------ The ongoing struggles of office loans led to a slight increase in U.S. CMBS delinquencies and the first one since May of last year, according to the latest index results from Fitch Ratings. After falling to a three-year low, CMBS late-pays rose two basis points (bps) in March to 7.63% from 7.61% a month earlier. This is the first time in 10 months that overall delinquencies have risen. CMBS loan resolutions edged out new additions to the index, but a drop in new issuance volume failed to keep pace with the runoff, thus causing the delinquency rate to rise. That said, the increase may be short-lived. Loans backed by office properties continue to worsen. Office delinquencies increased by 32 bps month-over-month to 8.50%. In fact, the six largest additions to the index in March were all office loans. This group was led by the $111 million Oasis Net Leased Portfolio loan (BSCMSI 2005-PWR10). Fitch had previously excluded the loan from its delinquency ranks as the reported delinquent status was merely attributable to posting delays. However, a deed-in-lieu of foreclosure now appears imminent, prompting Fitch to include the loan in the index. While office loans continue their struggles, delinquency rates for all other major property types improved in March. Current and previous delinquency rates are as follows: -- Industrial: 9.41% (from 9.61% in February) -- Multifamily: 8.91% (from 9.14%) -- Office: 8.50% (from 8.18%) -- Hotel: 7.71% (from 8.32%) -- Retail: 7.09% (from 7.35%) * Fitch Says Short Sales Drive U.S. RMBS Losses Lower ----------------------------------------------------- Loss severities for U.S. RMBS will continue their slow decline this year due in part to the increased use of short sales, according to Fitch Ratings in its latest mortgage market index. Fitch's Loss Severity index improved to 64.2% for first-quarter 2013 (1Q'13), down from 67.5% in 1Q'12. Drivers of the improved loss severity rate include increased 'short sale' percentages, fewer servicer advances on missed payments, and increased home prices. 'Along with home price improvements, the increased use of short sale liquidations is now helping to reverse the trend of rising mortgage loss severities,' said Director Sean Nelson. In a short sale, the servicer allows the borrower to sell their property on their own for less than the mortgage amount. Short sales typically result in higher recoveries on distressed loans. 'Timelines to liquidation are much shorter compared to the full foreclosure process and the sale avoids the stigma of being a bank-owned property,' said Nelson. Fitch's index is published quarterly and highlights performance trends in legacy and new issue RMBS, house price conditions and mortgage market developments. Fitch's Loss Severity index measures the percentage of loans that are seriously delinquent among U.S. private label, securitized mortgage loans. Fitch's 'Residential Mortgage Market Index - U.S.A.' is part of a series of quarterly structured finance index reports that Fitch is rolling out globally. * Fitch Takes Various Rating Actions on 24 FHA/VA U.S. RMBS Deals ----------------------------------------------------------------- Fitch Ratings has taken various rating actions on 24 Federal Housing Administration/U.S. Department of Veteran Affairs (FHA/VA) U.S. residential mortgage-backed securities (RMBS) transactions. Fitch reviewed 127 classes; 79 classes were affirmed while 48 classes were downgraded. A spreadsheet detailing the actions can be found on Fitch's website by performing a title search for 'FHA/VA RMBS Rating Actions for April 16, 2013' or by clicking the link. In addition, a summary of the mortgage pool and bond analysis can be found by performing a title search for 'RMBS Loss Metrics.' Key Rating Drivers The underlying collateral for these transactions consists of mortgage loans insured by the Federal Housing Administration (FHA) and partially guaranteed by the Department of Veterans Affairs (VA) or the Rural Housing Service (RHS). Although the mortgage loans are insured, the certificates will generally not be guaranteed, with the exception of eight senior classes wrapped by Freddie Mac and two senior classes wrapped by Fannie Mae. To maintain the FHA insurance, VA guaranty or RHS guaranty on the mortgage loans, the master servicer must service the mortgage loans in accordance with the regulations of the applicable federal agency. To minimize losses on mortgage loans, the FHA requires, the VA encourages and the RHS permits the master servicer to use loss mitigation techniques, including forbearance agreements, 'streamline refinancing', pre-foreclosure sales and modification agreements. The mortgage loans are secured by first liens on one- to four-family residential real properties and had been reperforming at deal closing. Performance has been stable since the last review for Fitch rated FHA/VA transactions. On average the percent of current loans is 64%, losses to date are 1% and the 60+ delinquency is 26%. As a result of the stable performance, the base case expected loss remained approximately 6% of the remaining pool balance. The weighted average probability of default (PD), loss severity (LS) and expected loss (XL) for the base, 'BBBsf', and 'AAAsf' rating stresses are: -- Base: PD 47.80%; LS 13.37%; XL 5.88%. -- 'BBBsf': PD 56.41%;LS 30.95%; XL 17.00%. -- 'AAAsf': PD 72.34%; LS 48.44%; XL 34.65%. Although the base-case loss is consistent with the prior review, the stress-scenario losses are higher than in the prior review. The stress multiples for this review were increased to be consistent with subprime multiples and resulted in some negative revisions. Downgrades were also caused in some cases by higher loss-severity assumptions on transactions with limited transparency on the FHA and VA composition within the remaining pool. The downgrades were limited to one to two rating categories below their prior rating and did not affect any 'AAAsf' or 'AAsf' rated classes. RATING SENSITIVITIES: Fitch uses pool level collateral data to analyze the FHA/VA transactions. Fitch determines the PD using the pre-2004 subprime vintage average derived from Fitch's non-prime loss model and adjusted for pool specific performance. To determine the LS, Fitch relies on the FHA/VA sector historical average adjusted for the pool-specific composition of FHA, VA, and RHS loans. Fitch assumes a base case loss severity of 6% for FHA/RHS loans and a LS of 20% for VA loans. The aggregate average base case severity was 13% for all transactions. In cases where there is limited transparency on the composition of FHA, VA and RHS loans, the severity average of the FHA/VA loans is used, which is 9%. Once Fitch determines the base case assumptions, the stressed assumptions are determined using Fitch's non-prime loss model PD and severity multiples. This in turn determines Fitch's expected losses in the 'Bsf-AAAsf' stresses. Fitch analyzes each bond in a number of different cash flow scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications. The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less-likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario. Classes currently rated below 'Bsf' are at-risk to default at some point in the future. As default becomes more imminent, bonds currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and eventually 'Dsf'. The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices nationally to decline further before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch. The spreadsheet 'FHA/VA RMBS Rating Actions for April 16, 2013' provides the contact information for the performance analyst. * Fitch Takes Various Actions on 126 Manufactured Housing RMBS -------------------------------------------------------------- Fitch Ratings has revised loss expectations and taken various rating actions on 126 U.S. Manufactured Housing (MH) RMBS transactions. A detailed list of the rating actions is available at 'www.fitchratings.com' by performing a title search for 'U.S. RMBS Manufactured Housing Rating Actions for April 16, 2013.' In addition, a summary of the mortgage pool and bond analysis can be found by performing a title search for 'RMBS Loss Metrics'. Fitch's rating actions are as follows: -- 291 affirmed classes; -- 92 upgraded class; -- 8 downgraded classes. Key Rating Drivers: Collateral performance for the sector has generally remained stable over the last year. The performance stability can be attributed to consistent servicing practices and the significant seasoning of the assets. More than 95% of the transactions reviewed were issued over 10 years ago. Since the last review, the average percent current increased slightly to 94.5% from 94%, the average losses to date and average 60+ days delinquent remained stable at 20.8% and 3.5%. As a result of the stable performance, Fitch's revised Probability of Default (PD), Loss Severity (LS), and Expected Loss (XL) are slightly more positive than as of the last review: 2013 Weighted Average -- Base: PD 17.78%; LS 81.91%; XL 14.41%. -- 'BBBsf': PD 22.84%; LS 90.99%; XL 20.71%. -- 'AAAsf': PD 32.44%; LS 96.95%, XL 31.40%. Due to past performance volatility and concern about future tail risk in these transactions, Fitch has remained cautious in upgrading classes in the MH sector. The classes that were upgraded have an average credit enhancement percentage of 44%, an average months-to-pay-off of less than six years and generally are expected to recover full principal in scenarios more severe than the new revised rating. Most of these classes are first payment priority in transactions with low delinquencies. When assigning ratings above 'BBBsf', the committee considered the projected number of months remaining until the class paid in full. On average, classes upgraded to 'Asf' or higher are projected to pay off in full in less than three years. Of the eight classes downgraded, five classes rated 'Bsf' thru 'CCsf' experienced a one rating category downgrade due to a deterioration in credit enhancement since the last review. One class was downgraded from 'Asf' to 'BBsf' due to projected interest shortfalls not recovered in the 'BBBsf' stress. Two classes were downgraded due to the revised cashflow analysis of a structural feature that allows the trust to use the next period's collateral collections to cover the current period's interest shortfalls. The feature allows for some collections to pay subordinate bond interest at the expense of funds available to pay principal to senior bonds. Rating Sensitivities: Although Fitch relies on loan-level analysis for the majority of the agency's rated portfolio in the Prime, Alt-A and Subprime sectors, MH transactions are generally analyzed using pool-level collateral data. Fitch determines the probability of default (PD) for the MH transactions using subprime vintage average probability of default assumptions derived from Fitch's non-prime loss model and adjusted for pool specific performance. The loss severity assumption for each transaction is determined by each issuer's 12 month historical average. Once Fitch determines the base case assumptions, the stressed assumptions are determined using Fitch's non-prime loss model PD and severity multiples. This determines Fitch's expected losses in the 'Bsf-AAAsf' stresses. The cash flow analysis assumes Fitch's benchmark 10 year CDR curve, a 10% CPR, zero advancing on delinquent loans and a haircut to the WAC in the 'Asf-AAAsf' rating stresses. Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications. The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less-likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario. Classes currently rated below 'Bsf' are at-risk to default at some point in the future. As default becomes more imminent, bonds currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and eventually 'Dsf'. The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices nationally to decline further before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch. * Fitch Reviews U.S. Small-Balance CMBS Sector ---------------------------------------------- Fitch Ratings has taken various rating actions on 261 classes in 30 U.S. small-balance commercial transactions. The transactions reviewed were issued between 2003 and 2008 with collateral consisting of fixed- and adjustable-rate mortgage loans secured by senior liens on commercial, multifamily and mixed-use properties and unimproved land. A spreadsheet detailing Fitch's rating actions on the affected transactions can be found using the web link for 'U.S Small- Balance CMBS Rating Actions for April 16, 2013'. A summary of the rating actions: -- 226 classes affirmed; -- 35 classes downgraded. KEY RATING DRIVERS: All but one of the classes downgraded held a non-investment grade or distressed rating prior to the review. All of the rating revisions were one category. Collateral performance deteriorated modestly over the past year with delinquency increasing on average from 22% to 23% and realized losses to date increasing on average from 12% to 13% as a percentage of the original pool balances. A high percentage of the remaining loans have been modified. For mortgage pools with modification data available, close to 50% of the remaining loans have been modified. Loss severities on liquidated loans remain high in the 70%-80% range for most pools. The principal distribution priority was also a consideration in the rating actions. All of the Bayview transactions issued prior to 2008 and the Lehman Brothers small-balance transactions issued in 2005 are currently distributing principal on a pro rata basis to all classes. The pro rata pay structure is expected to continue to decrease the credit enhancement of the senior classes over time (as subordinate classes receive principal payments) and increase the risk of a principal writedown. RATING SENSITIVITITES: Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications. For small-balance CMBS, Fitch assumes prepayment, loss-timing and servicer advancing behavior consistent with Alt-A sector vintage averages. The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less-likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario. The majority of small balance CMBS classes currently hold a distressed rating below 'Bsf' and are likely to default at some point in the future. As default becomes more imminent, bonds currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and eventually 'Dsf'. The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices nationally to decline further before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch. * Fitch Reviews U.S. Scratch & Dent RMBS Deals ---------------------------------------------- Fitch Ratings has taken various rating actions on 865 classes in 134 U.S. Scratch and Dent RMBS transactions. The transactions reviewed are generally residential mortgage loans which were either originated with exceptions to the originator's underwriting guidelines or had experienced payment problems prior to issuance. The reviewed transactions were issued between 1996 and 2008. A spreadsheet detailing Fitch's rating actions on the affected transactions can be found using the link for 'U.S Scratch and Dent RMBS Rating Actions for April 16, 2013'. A summary of the rating actions: -- 774 classes affirmed; -- 30 classes upgraded; -- 61 classes downgraded. Key Rating Drivers: The majority of the classes downgraded held a non-investment grade or distressed rating prior to the review. Of those downgraded classes rated 'Bsf' or higher prior to the review, all but three of the negative rating revisions were one category. The classes upgraded to 'Bsf' or higher generally benefit from significant credit support and a sequential payment priority. On average, the classes are projected to pay off in 42 months and have 70% credit enhancement. All but two of the positive rating revisions were one rating category. The 30 classes upgraded is the highest number of upgrades in a Scratch and Dent rating review since 2006. Collateral performance improved modestly over the past year with serious delinquency improving on average from 31%% to 30% and realized losses to date increasing on average from 12% to 13% as a percentage of the original pool balances. A high percentage of the remaining loans have been modified. For mortgage pools with modification data available, close to 40% of the remaining loans have been modified. Rating Sensitivities: When projecting default and loss severity, Fitch relies on its non-prime loan-level loss model introduced late last year. In prior reviews, Fitch used observed loss severity trends to predict future loss severity trends for Scratch and Dent transactions. Fitch believes the loss model will better reflect the changing composition of the remaining pools. Although loss severities are not expected to improve materially in the near term, the loss model predicts lifetime loss severities lower than those recently observed, primarily reflecting positive selection in the loans remaining in the mortgage pools. For transactions without loan-level data available, Fitch assumed default and loss severity assumptions consistent with subprime vintage averages as determined by the loss model, adjusted for pool-specific product composition and performance. Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications. The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less-likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario. The majority of scratch and dent classes currently hold a distressed rating below 'Bsf' and are likely to default at some point in the future. As default becomes more imminent, bonds currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and eventually 'Dsf'. The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices nationally to decline further before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch. * Moody's Withdraw Ratings on Eight CDO Transactions ---------------------------------------------------- Moody's Investors Service has withdrawn the ratings of the following notes: Issuer: Calculus ABS Securitization Trust, Series 2006-1 $71,500,000 CALCULUS ABS RESECURITIZATION TRUST, SERIES 2006-1 UNITS, Withdrawn (sf); previously on March 12, 2009 Downgraded to Ca (sf) Issuer: Calculus ABS Securitization Trust, Series 2006-2 $10,000,000 CALCULUS ABS RESECURITIZATION TRUST, SERIES 2006-2 UNITS, Withdrawn (sf); previously on March 12, 2009 Downgraded to Ca (sf) Issuer: Calculus ABS Securitization Trust, Series 2006-3 $5,500,000 CALCULUS ABS RESECURITIZATION TRUST, SERIES 2006-3 UNITS, Withdrawn (sf); previously on March 12, 2009 Downgraded to Ca (sf) Issuer: Calculus ABS Securitization Trust, Series 4 $15,000,000 Calculus ABS Resecuritization Trust, Series 2006-4 Units, Withdrawn (sf); previously on March 12, 2009 Downgraded to Ca (sf) Issuer: Calculus ABS Securitization Trust 2007-1 $7,000,000 Variable Distribution Trust Units Due 2046, Withdrawn (sf); previously on September 25, 2008 Downgraded to Ca (sf) Issuer: ML Principal Life unfunded (Ref.: 07ML45110A) $6,000,000 Credit Default Swap due 25 January 2046, Withdrawn (sf); previously on September 25, 2008 Downgraded to Ca (sf) Issuer: Pyxis Libertas 2006-11 $135,000,000 Class 2006-11 Units issued by PYXIS Master Trust, Withdrawn (sf); previously on April 24, 2009 Downgraded to C (sf) Issuer: Harbor Series 2006-3 Class A Variable Rate Notes Due 2051, Withdrawn (sf); previously on September 25, 2008 Downgraded to Ca (sf) Class B Variable Rate Notes Due 2051, Withdrawn (sf); previously on September 25, 2008 Downgraded to Ca (sf) Class C Variable Rate Notes Due 2051, Withdrawn (sf); previously on September 25, 2008 Downgraded to C (sf) Class D Variable Rate Notes Due 2051, Withdrawn (sf); previously on September 25, 2008 Downgraded to C (sf) Ratings Rationale: Moody's has withdrawn the rating because it believes it has insufficient or otherwise inadequate information to support the maintenance of the rating. * Moody's Downgrades Ratings on 12 Tranches of Subprime RMBS ------------------------------------------------------------ Moody's Investors Service downgraded the ratings of twelve tranches and upgraded the ratings of three tranches from seven transactions, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: ABFC 2003-OPT1 Trust Cl. A-1, Downgraded to Ba2 (sf); previously on May 4, 2012 Downgraded to Baa1 (sf) Cl. A-1A, Downgraded to Ba3 (sf); previously on May 4, 2012 Downgraded to Baa2 (sf) Cl. A-3, Downgraded to Baa3 (sf); previously on May 4, 2012 Confirmed at Baa1 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2003-11 Cl. AV-2, Upgraded to A2 (sf); previously on May 11, 2012 Confirmed at Baa2 (sf) Cl. AV-4, Upgraded to A2 (sf); previously on May 11, 2012 Confirmed at Baa2 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R4 Cl. M-1, Upgraded to Baa1 (sf); previously on May 4, 2012 Upgraded to Ba1 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R8 Cl. M-1, Downgraded to Baa1 (sf); previously on May 4, 2012 Upgraded to A2 (sf) Issuer: Saxon Asset Securities Trust 2002-2 Cl. AF-5, Downgraded to Ba3 (sf); previously on May 4, 2012 Downgraded to Baa3 (sf) Cl. AF-6, Downgraded to Ba3 (sf); previously on May 4, 2012 Downgraded to A3 (sf) Issuer: Saxon Asset Securities Trust 2004-3 Cl. A-1A, Downgraded to A3 (sf); previously on May 4, 2012 Downgraded to Aa2 (sf) Cl. A-1C, Downgraded to A3 (sf); previously on May 4, 2012 Downgraded to Aa2 (sf) Cl. A-4, Downgraded to A3 (sf); previously on Mar 22, 2005 Assigned Aaa (sf) Issuer: Terwin Mortgage Trust, Series TMTS 2003-6HE Cl. A-1, Downgraded to A2 (sf); previously on May 3, 2012 Confirmed at Aa2 (sf) Cl. A-3, Downgraded to A2 (sf); previously on May 3, 2012 Confirmed at Aa2 (sf) Cl. M-1, Downgraded to B1 (sf); previously on May 3, 2012 Confirmed at Ba3 (sf) Ratings Rationale: The rating action reflects recent performance of the underlying pools and Moody's updated expected losses on the pools. The downgrades are due to either deterioration in collateral performance or credit enhancement, weak interest shortfall reimbursement mechanisms, or in the case of the Saxon Asset Securities Trust 2002-2, the presence of actual interest shortfalls. The upgrades are due to improvement in collateral performance, and/ or build-up in credit enhancement. The tranches downgraded to A3 (sf) do not have interest shortfalls but in the event of an interest shortfall, structural limitations in the transaction will prevent recoupment of interest shortfalls even if funds are available in subsequent periods. Missed interest payments on these tranches can typically only be made up from excess interest after the overcollateralization is built to a target amount. In these transactions since overcollateralization is already below target due to poor performance, any future missed interest payments to these tranches are unlikely to be paid. Moody's typically caps the ratings of such tranches with weak interest shortfall reimbursement at A3 (sf) as long as they have not experienced any shortfall. Ratings on tranches that currently have very small unrecoverable interest shortfalls are capped at Baa3 (sf). For tranches with larger outstanding interest shortfalls, Moody's applies "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. These rating actions take into account only credit-related interest shortfall risks. 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 approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. 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 is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. When assigning the final ratings to senior bonds, in addition to the methodologies, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. Moody's also adjusts the methodologies for Moody's current view on 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 into 2014. The methodologies only apply to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.3% in February 2012 to 7.6% in March 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. * Moody's Takes Action on 5 RMBS Transactions from 3 Issuers ------------------------------------------------------------ Moody's Investors Service upgraded the ratings of five tranches from RMBS transactions issued by various financial institutions, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-ACC1 Cl. A-1, Upgraded to Ba2 (sf); previously on Dec 28, 2010 Upgraded to Ba3 (sf) Cl. A-5, Upgraded to Ba3 (sf); previously on Dec 28, 2010 Upgraded to B1 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Dec 28, 2010 Upgraded to Caa3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH3, Asset- Backed Pass-Through Certificates, Series 2007-CH3 Cl. A-2, Upgraded to Baa3 (sf); previously on Dec 28, 2010 Upgraded to Ba2 (sf) Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC4 Cl. M-2, Upgraded to Ba2 (sf); previously on May 4, 2012 Confirmed at B2 (sf) Ratings Rationale: The actions are a result of recent performance reviews of this transaction and reflect Moody's updated loss expectations on these pools. These rating actions constitute of a number of upgrades. These rating actions take into account the updated pool losses relative to the total credit enhancement available from subordination, as well as excess spread. In addition, Moody's considered the volatility of the projected losses and the timing of the expected defaults. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, "Pre-2005 US RMBS Surveillance Methodology" published in January 2012, "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" Published in February 2012. Moody's adjusts the methodologies for Moody's current view on 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 into 2014. The methodologies only apply to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). Other factors used in these ratings are described in "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. When assigning the final ratings to senior bonds, in addition to the methodologies, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer related activity such as modifications. The unemployment rate fell from 8.3% in February 2012 to 7.6% in March 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. * Moody's Takes Action on $32MM RMBS Tranches from Two Issuers -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two tranches and downgraded the rating of one tranche from two RMBS transactions issued by various financial institutions, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: MASTR Asset Backed Securities Trust 2004-WMC1 Cl. M-1, Downgraded to B1 (sf); previously on May 3, 2012 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on May 3, 2012 Upgraded to Caa2 (sf) Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-WMC2 Cl. M-2, Upgraded to Baa1 (sf); previously on May 4, 2012 Upgraded to Ba1 (sf) Ratings Rationale: The actions are a result of recent performance reviews of this transaction and reflect Moody's updated loss expectations on these pools. These rating actions constitute of upgrades and downgrade. These rating actions take into account the updated pool losses relative to the total credit enhancement available from subordination, as well as excess spread. In addition, Moody's considered the volatility of the projected losses and the timing of the expected defaults. The downgrade of MASTR Asset Backed Securities Trust 2004-WMC1 Class M1 is primarily due to the tranche's weak interest shortfall reimbursement mechanism and existing interest shortfalls. Missed interest payments on this tranche can typically only be made up from excess interest after the overcollateralization is built to a target amount. In this transaction since overcollateralization is already below target due to poor performance, existing interest shortfalls are unlikely to be repaid. Ratings on tranches that currently have very small unrecoverable interest shortfalls are capped at Baa3 (sf). For tranches with larger outstanding interest shortfalls, Moody's applies "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. These rating actions take into account only credit-related interest shortfall risks. 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 approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. 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 is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. Other factors used in these ratings are described in "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. When assigning the final ratings to senior bonds, in addition to the methodologies, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. Moody's also adjusts the methodologies for Moody's current view on 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 into 2014. The methodologies only apply to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.3% in February 2012 to 7.6% in March 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. * Moody's Takes Action on 79 Tranches of Alt-A Backed RMBS Deals ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 75 tranches and upgraded the ratings of four tranches from 10 RMBS transactions backed by Alt-A loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Banc of America Alternative Loan Trust 2005-11 Cl. 1-CB-1, Downgraded to Caa1 (sf); previously on Apr 26, 2010 Downgraded to B3 (sf) Cl. 1-CB-2, Downgraded to Caa1 (sf); previously on Apr 26, 2010 Downgraded to B3 (sf) Cl. 1-CB-4, Downgraded to Caa2 (sf); previously on Apr 26, 2010 Downgraded to Caa1 (sf) Cl. 1-CB-6, Downgraded to C (sf); previously on Apr 26, 2010 Downgraded to Ca (sf) Cl. CB-IO, Downgraded to Caa1 (sf); previously on Apr 26, 2010 Downgraded to B3 (sf) Cl. 3-CB-1, Downgraded to Caa3 (sf); previously on Apr 26, 2010 Downgraded to Caa2 (sf) Cl. 4-A-1, Downgraded to Caa3 (sf); previously on Apr 26, 2010 Downgraded to Caa2 (sf) Cl. 4-A-3, Downgraded to Caa3 (sf); previously on Apr 26, 2010 Downgraded to Caa2 (sf) Cl. 4-A-5, Downgraded to Caa3 (sf); previously on Apr 26, 2010 Downgraded to Caa2 (sf) Cl. 4-IO, Downgraded to Caa3 (sf); previously on Apr 26, 2010 Downgraded to Caa2 (sf) Cl. 4-PO, Downgraded to Caa3 (sf); previously on Apr 26, 2010 Downgraded to Caa2 (sf) Issuer: Banc of America Alternative Loan Trust 2006-6 Cl. CB-1, Downgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf) Cl. CB-2, Downgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf) Cl. CB-3, Downgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf) Cl. CB-5, Downgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf) Cl. CB-8, Downgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf) Cl. CB-9, Downgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf) Cl. CB-10, Downgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf) Cl. CB-IO, Downgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf) Cl. CB-11, Downgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf) Issuer: Banc of America Alternative Loan Trust 2006-7 Cl. A-2, Downgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf) Issuer: Banc of America Funding 2007--2 Trust Cl. 1-A-2, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-3, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-7, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-8, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-9, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-10, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-11, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-12, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-13, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-14, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-16, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-18, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-19, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-22, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-24, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-26, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-30, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-31, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-32, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-33, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-34, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-35, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-36, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-37, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-38, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-39, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-40, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-41, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-42, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 2-A-1, Downgraded to B3 (sf); previously on Nov 5, 2010 Downgraded to B1 (sf) Cl. 30-IO, Downgraded to Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Cl. 30-PO, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. T-A-1A, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. T-A-1B, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Issuer: Citigroup Mortgage Loan Trust 2006-AR6 Cl. 2-A1, Downgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Caa1 (sf) Cl. 2-A2, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Cl. 2-A3, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Issuer: Citigroup Mortgage Loan Trust Inc. 2006-WF1 Cl. A-2C, Downgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Caa2 (sf) Issuer: Citigroup Mortgage Loan Trust Inc. 2006-WF2 Cl. A-2C, Downgraded to Ca (sf); previously on Nov 19, 2010 Downgraded to Caa3 (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2005-10 Cl. 1-A-1, Upgraded to Caa2 (sf); previously on May 4, 2010 Downgraded to Caa3 (sf) Cl. 1-A-2-1, Upgraded to Caa2 (sf); previously on May 4, 2010 Downgraded to Caa3 (sf) Cl. 3-A-1-1, Downgraded to Caa2 (sf); previously on May 4, 2010 Downgraded to Caa1 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9 Cl. I-A-1, Downgraded to Caa1 (sf); previously on Jul 13, 2010 Downgraded to B3 (sf) Cl. I-A-2, Downgraded to Caa2 (sf); previously on Jul 13, 2010 Downgraded to Caa1 (sf) Cl. I-A-3, Downgraded to Caa1 (sf); previously on Jul 13, 2010 Downgraded to B3 (sf) Cl. I-A-4, Downgraded to Caa2 (sf); previously on Jul 13, 2010 Downgraded to Caa1 (sf) Cl. I-A-5, Downgraded to Caa2 (sf); previously on Jul 13, 2010 Downgraded to Caa1 (sf) Cl. A-X, Downgraded to Caa1 (sf); previously on Jul 13, 2010 Downgraded to B3 (sf) Cl. II-A-1, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa1 (sf) Cl. IV-A-1, Downgraded to Caa1 (sf); previously on Jul 13, 2010 Downgraded to B3 (sf) Cl. IV-A-2, Downgraded to Caa1 (sf); previously on Jul 13, 2010 Downgraded to B3 (sf) Cl. IV-A-4, Downgraded to Caa1 (sf); previously on Jul 13, 2010 Downgraded to B3 (sf) Cl. IV-X, Downgraded to Caa1 (sf); previously on Jul 13, 2010 Downgraded to B3 (sf) Cl. V-A-7, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf) Cl. V-A-9, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf) Cl. V-A-12, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Securities, Series 2005- 12 Cl. 5-A-1, Downgraded to Caa1 (sf); previously on Jul 13, 2010 Downgraded to B3 (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The majority of the actions reflect the change in principal payments and loss allocation to the senior bonds subsequent to subordination depletion. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. The methodology used in rating Interest- Only Securities is "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 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) 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 2014. Small Pool Volatility 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 2005, 19% for 2006 and 21% for 2007. 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 2005 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 by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% 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 7.6% in March 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 Actions on $59MM Subprime RMBS from 2 Issuers ------------------------------------------------------------- Moody's Investors Service upgraded the ratings of six tranches from three transactions, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: ABFC Asset-Backed Certificates, Series 2003-WMC1 Cl. M-1, Upgraded to Baa3 (sf); previously on Mar 24, 2011 Downgraded to Ba2 (sf) Cl. M-2, Upgraded to B3 (sf); previously on May 4, 2012 Confirmed at Caa1 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Mar 24, 2011 Downgraded to Caa3 (sf) Issuer: CHEC Loan Trust 2004-2 Cl. A-3, Upgraded to Baa2 (sf); previously on May 3, 2012 Downgraded to Ba2 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on May 3, 2012 Downgraded to Caa3 (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2003-2 Cl. M-1, Upgraded to Ba2 (sf); previously on May 9, 2012 Upgraded to B1 (sf) Ratings Rationale: The rating action reflects recent performance of the underlying pools and Moody's updated expected losses on the pools. The upgrades are due to improvement in collateral performance, and/ or build-up in credit enhancement. 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 approach "Pre-2005 US RMBS Surveillance Methodology" is adjusted slightly when estimating losses on pools left with a small number of loans to account for the volatile nature of small pools. Even if a few loans in a small pool become delinquent, there could be a large increase in the overall pool delinquency level due to the concentration risk. To project losses on pools with fewer than 100 loans, Moody's first estimates a "baseline" average rate of new delinquencies for the pool that is dependent on the vintage of loan origination (11% for all vintages 2004 and prior). The baseline rates are higher than the average rate of new delinquencies for larger pools for the respective vintages. Once the baseline rate is set, further adjustments are made based on 1) the number of loans remaining in the pool and 2) the level of current delinquencies in the pool. The volatility of pool performance increases as the number of loans remaining in the pool decreases. Once the loan count in a pool falls below 75, the rate of delinquency is increased by 1% for every loan less than 75. For example, for a pool with 74 loans from the 2004 vintage, the adjusted rate of new delinquency would be 11.11%. 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 is multiplied by a factor ranging from 0.85 to 2.25 for current delinquencies ranging from less than 10% to greater than 50% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. When assigning the final ratings to senior bonds, in addition to the methodologies, Moody's considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, Moody's also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace. Moody's also adjusts the methodologies for Moody's current view on 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 into 2014. The only applies to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.3% in February 2012 to 7.6% in March 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. * S&P Takes Various Rating Actions on 19 Classes From RV/Marine ---------------------------------------------------------------- Various Rating Actions Taken On 19 Classes From Nine RV And Marine Loan-Backed ABS Transactions NEW YORK (Standard & Poor's) April 18, 2013 Standard & Poor's Ratings Services raised its ratings on Class A-4 from CIT Marine Trust 1999-A to 'A (sf)' from 'BBB+ (sf)', and on Class C from Distribution Financial Services RV/Marine Trust 2001- 1 (DFS) to 'AA(sf)' from 'BBB (sf)'. At the same time, S&P lowered its ratings on the Certificate class from CIT Marine Trust 1999-A to 'CCC+ (sf)' from 'B (sf)' and Classes C and D from the E*Trade transaction to 'B-(sf)' and 'CCC(sf)', respectively, from 'B+ (sf)' and 'B- (sf)'. In addition, S&P affirmed its ratings on 11 classes and maintained its 'D (sf)' ratings on two other classes from these and six other asset-backed securities (ABS) transactions. The rating actions reflect each transaction's collateral performance to date, S&P's views regarding future collateral performance, the structure of each transaction, and the respective credit enhancement levels supporting the notes. In addition, S&P's analysis incorporates secondary credit factors such as credit stability, payment priorities under various scenarios, and sector- and issuer-specific analysis. The raised ratings on Class A-4 from CIT Marine Trust 1999-A and Class C from the DFS trust reflect S&P's view that the total credit support as a percent of the amortizing pool balance compared with S&P's revised expected remaining losses is adequate for each of the classes at the raised ratings. The lowered ratings reflect S&P's view of an increased risk that the trusts may be unable to pay principal in full by the respective notes' legal final maturity date. Many of the transactions have benefited from improved default and delinquency performance since S&P's last review due to stronger macroeconomic conditions. As a result, S&P revised its loss expectations for some of the transactions, taking into account performance to date, current trends, and its expectations of future collateral and sector performance. Collateral Performance (%) As of March 2013 distribution Former Revised Pool Current lifetime lifetime Deal Mo. factor CNL CNL exp. CNL exp. Chase Manhattan Marine Owner Trust 1997-A 184 0.21 2.30 2.30-2.40 2.30-2.40 CIT Marine Trust 1999-A 169 0.81 6.65 6.75-6.90 6.75-6.90 Chase Manhattan RV Owner Trust 1997-A 186 0.02 2.91 2.91-2.94 2.91-2.93 CIT RV Trust 1998-A 177 0.58 8.73 8.80-9.00 8.80-9.00 CIT RV Trust 1999-A 166 1.01 9.73 9.90-10.10 9.80-10.00 Distribution Financial Services RV/Marine Trust 2001-1 136 2.35 5.07 5.45-5.65 5.35-5.50 E*Trade RV and Marine Trust 2004-1 99 18.37 8.39 11.30-11.50 11.90-12.10 JPMorgan RV Marine Trust 2004-A 99 5.13 11.89 13.00-13.50 12.50-13.00 SSB RV Trust 2001-1 135 2.74 9.02 9.50-10.00 9.55-9.75 CNL-cumulative net loss. Each transaction was originally structured with credit enhancement in the form of some combination of overcollateralization, subordination, cash reserves, and excess spread. However, higher- than-expected losses have reduced the amount of available credit enhancement for each transaction. Specifically, as of the March 2013 distribution date, all forms of credit enhancement (other than subordination) have been fully depleted for each transaction except Chase Manhattan Marine Owner Trust 1997-A, Chase Manhattan RV Owner Trust 1997-A, and CIT Marine Trust 1999- A. The Chase Manhattan Marine and Chase Manhattan RV transactions have reserve accounts that are currently at their target amounts. S&P's analysis of the nine transactions included the review of current and historical performance to estimate future performance. The various scenarios included forward-looking assumptions on defaults and recoveries that S&P believes is appropriate given the transactions' current performance. S&P will continue to monitor the performance of the transactions to ensure the credit enhancement remains sufficient, in its view, to cover its revised cumulative net loss expectations under its stress scenarios for each of the rated classes. 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 are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Ratings Raised CIT Marine Trust 1999-A Rating Class To From A-4 A (sf) BBB+(sf) Distribution Financial Services RV/Marine Trust 2001-1 Rating Class To From C AA(sf) BBB (sf) Ratings Lowered CIT Marine Trust 1999-A Rating Class To From Certs CCC+ (sf) B (sf) E*Trade RV and Marine Trust 2004-1 Rating Class To From C B- (sf) B+ (sf) D CCC(sf) B- (sf) Ratings Affirmed Chase Manhattan Marine Owner Trust 1997-A Class Rating C AAA (sf) Chase Manhattan RV Owner Trust 1997-A Class Rating Certificate AA (sf) CIT RV Trust 1998-A Class Rating B CC (sf) CIT RV Trust 1999-A Class Rating B CC (sf) Distribution Financial Services RV/Marine Trust 2001-1 Class Rating D CC (sf) E*Trade RV and Marine Trust 2004-1 Class Rating A-5 BBB+(sf) B BB+(sf) E CC (sf) JPMorgan RV Marine Trust 2004-A Class Rating A-2 CC (sf) SSB RV Trust 2001-1 Class Rating C BB+ (sf) D CC (sf) Related Ratings CIT RV Trust 1998-A Class Rating Certs D (sf) CIT RV Trust 1999-A Class Rating Certs D (sf) ********* 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 ***