/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/130505.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, May 5, 2013, Vol. 17, No. 123 Headlines ABFC 2004-OPT2: Moody's Reviews Ratings on 3 Classes for Upgrade ALTIUS III: Moody's Lowers Rating on Class S Notes to 'Ba1' AMMC CLO XI: S&P Affirms 'BB' Rating on Class E Notes ARCAP 2003-1: Moody's Lowers Ratings on Two Certificate Classes ARROWPOINT CLO 2013-1: S&P Assigns 'BB' Rating on Class D Notes ASSET SECURITIZATION: Fitch Affirms 'D' Rating on Class B-2 Certs ATRIUM X: S&P Assigns Prelim. BB Rating on Class E Notes BANC OF AMERICA: Moody's Takes Action on $160MM Prime Jumbo RMBS BANC OF AMERICA 2002-2: Fitch Affirms 'D' Rating on Class K Certs BEAR STEARNS 2003-1: Moody's Cuts Rating on $34.7MM RMBS C-BASS MORTGAGE 2004-CB1: Moody's Ups Ratings on Four RMBS Deals CAMBER 3: Moody's Cuts Rating on $2.25MM Class S Notes to 'Ba1' CANARAS SUMMIT: Moody's Affirms 'Ba1' & 'Ba3' Ratings on 2 Notes CGCMT COMMERCIAL: Fitch Assigns 'B' Rating to Class F Certs CHL MORTGAGE: Moody's Takes Action on $1.1BB of Prime Jumbo RMBS CIFC FUNDING 2006-II: Moody's Lifts Rating on B-2L Notes to 'Ba2' COAST INVESTMENT 2001-1: Moody's Ups Rating on 2 Notes to 'Caa1' COMM 2011-THL: Moody's Affirms Ba3 Rating on Class F Certificates COMM 2013-CCRE7: Moody's Assigns Final Ratings to 17 CMBS Classes COMM COMMERCIAL 2000-C1: Fitch Affirms 'D' Rating on Cl. H Notes COMM MORTGAGE 2004-LNB2: Fitch Cuts Rating on Cl. K Certs to 'C' CREDIT SUISSE: Moody's Takes Action on $69MM of Prime Jumbo RMBS CREDIT SUISSE 2004-C2: Fitch Affirms 'C' Rating on Class O Certs CREDIT SUISSE 2004-3: Fitch Cuts Rating on Class E Certs to 'CC' CWABS 2005-BC2: Moody's Takes Action on $31 Million Subprime RMBS DAVIS SQUARE V: Moody's Lowers Rating on Class S Notes to 'Ba1' EMPORIA PREFERRED II: Moody's Affirms Ba1 Rating on Class D Notes EXETER AUTOMOBILE: S&P Assigns Prelim. BB Rating on Class D Notes G SQUARE 2006-1: Moody's Lowers Rating on Class X Notes to 'Ba1' GMAC COMMERCIAL 1999-C1: Fitch Affirms 'D' Rating on Class J Certs GMAC COMMERCIAL 2002-C3: Fitch Affirms Ratings on 9 Certificates GREENWICH CAPITAL: Admin Changes No Impact on Moody's Ratings GTP ACQUISITION: Moody's Rates $55-Mil. Class F Notes 'Ba3' HAMPTON ROADS: Fitch Affirms 'BB' Rating on Class III Bonds HSBC HOME: Moody's Reviews Ratings on 10 Subprime RMBS Tranches INDEPENDENCE II: Fitch Cuts Rating on Class B Notes to 'D' ING IM 2013-2: S&P Assigns 'BB' Rating on Class D Notes ING INVESTMENT: S&P Lowers Rating on Class D Notes to 'B+' INTEGRAL FUNDING: S&P Affirms 'CCC+' Rating on Class D Notes IRVINE CORE: S&P Assigns Prelim. 'BB+' Rating to Class F Notes JMP CREDIT: S&P Assigns 'BB' Rating to Class E Notes JP MORGAN 2001-A: Fitch Affirms 'D' Rating on Class G Certs JP MORGAN 2007-LDP11: Moody's Takes Action on 24 CMBS Classes JP MORGAN 2013-LC11: Moody's Assigns Ratings to 14 CMBS Classes JP MORGAN 2013-LC11: S&P Assigns BB Rating on Class E(ii) Notes LANDMARK VII: Moody's Lifts Rating on Class B-2L Notes to 'Ba3' LB COMMERCIAL 2007-C3: Moody's Keeps Ratings on 24 CMBS Classes LB-UBS COMMERCIAL 2001-C7: Moody's Takes Action on 5 CMBS Classes LEHMAN BROTHERS 2005-1: S&P Lowers Rating on Class B Notes to BB+ LONG POINT III: S&P Assigns Prelim. 'BB' Rating on Class A Notes MERRILL LYNCH 2005-MKB2: Moody's Keeps Ratings on 15 Note Classes MORGAN STANLEY 2002-HQ: Moody's Affirms Ratings on 5 CMBS Classes MORGAN STANLEY 2003-IQ5: Fitch Affirms 'B+' Rating on Cl. L Certs MORTGAGE CAPITAL 1998-MC2: Fitch Keeps CCC Rating on Cl. K Certs MOUNTAIN VIEW 2013-1: S&P Assigns 'BB' Rating to Class E Notes MUZINICH CBO II: S&P Lowers Rating on 2 Note Classes to 'D' OCTAGON INVESTMENT IX: Moody's Affirms Ba1 Rating on Cl. C Notes PACIFICA CDO V: Moody's Lifts Rating on $19MM Cl. D Notes to Ba3 PSSA FLOATING 1998-1: Moody's Corrects Rating on One Cert. Class PUTNAM STRUCTURED: Fitch Affirms 'C' Ratings on Two Note Classes SAXON ASSET 2004-1: Moody's Reviews B1 Rating on Class M-1 Notes SDART 2013-3: Fitch to Assign 'BB' Rating to Class E Notes SEQUOIA MORTGAGE 2013-6: Fitch Rates Class B-4 Certs 'BB' SOLAR INVESTMENT: Fitch Affirms 'C' Preferred Shares Rating SOLOSO CDO 2005-1: Fitch Lowers Ratings on 3 Note Classes to 'D' SOLOSO CDO 2005-1: S&P Lowers Rating on 3 Note Classes to 'D' SOVEREIGN COMMERCIAL 2001-C1: Fitch Affirms D Rating on H Certs TIERS DERBY: Moody's Downgrades Ratings on Three CSO Notes WACHOVIA BANK 2005-C22: Fitch Cuts Rating on Class D Certs to 'C' WACHOVIA BANK 2006-C29: Rights Transfer No Impact on Ratings WACHOVIA CRE 2006-1: Fitch Affirms CCC Ratings on 3 Note Classes WELLS FARGO 2004-2: Moody's Reviews Ratings for Downgrade WELLS FARGO 2013-BTC: S&P Assigns 'BB' Rating on Class E Notes WFCM COMMERCIAL 2013-BTC: Moody's Rates Class E Notes 'Ba3' ZAIS INVESTMENT X: Moody's Lifts Rating on Three Note Classes * Fitch Says U.S. CMBS Defaults Rise to 13.6% in 2013 Q1 * Fitch: Rehab Loans on the Rise in U.S. FFELP Student Loan ABS * Fitch Says Loss Severities Inch Higher for U.S. CMBS Loans * Fitch Announces Enhancement to Recovery Uplift in Covered Bonds * Fitch Takes Various Actions on Distressed Classes in 41 US CMBS * Moody's Takes Action on $1.4BB of 22 Option ARM RMBS Tranches * Moody's Reviews Ratings on $1.3-Bil. of Subprime RMBS Deals * Moody's Takes Action on $780 Million Miscellaneous Alt-A RMBS * Moody's Takes Action on $508-Mil. of 9 Subprime RMBS Tranches * Moody's Takes Action of $406MM of 15 Subprime RMBS Tranches * Moody's Takes Action on $252-Mil. RMBS from 5 Issuers * Moody's Takes Action on $97.9-Mil. of Prime Jumbo RMBS * Moody's Cuts Ratings on $56 Million of Subprime RMBS * Moody's Withdraws Ratings on 9 CSOs Due to Lack of Information * S&P Withdraws Ratings on 70 Classes from 23 CDO Transactions * S&P Withdraws 10 Ratings from Six U.S. Synthetic CDOs ********* ABFC 2004-OPT2: Moody's Reviews Ratings on 3 Classes for Upgrade ---------------------------------------------------------------- Moody's Investors Service has placed the rating of class A-2 on review for downgrade and has placed the ratings of classes M-1, M- 2, and M-3 on review for upgrade, from ABFC Asset-Backed Certificates Series 2004-OPT2 , backed by subprime mortgage loans. Complete rating actions are as follows: Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT2 Cl. A-2, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 8, 2004 Assigned Aaa (sf) Cl. M-1, Caa1 (sf) Placed Under Review for Possible Upgrade; previously on May 4, 2012 Downgraded to Caa1 (sf) Cl. M-2, C (sf) Placed Under Review for Possible Upgrade; previously on May 4, 2012 Downgraded to C (sf) Cl. M-3, C (sf) Placed Under Review for Possible Upgrade; previously on May 4, 2012 Downgraded to C (sf) Ratings Rationale: The rating action is a result of the recent performance of the underlying pools and Moody's updated expected losses on the pools. In addition, the rating action reflects an error in the Structured Finance Workstation (SFW) cash flow model previously used by Moody's in rating this transaction. In prior rating actions, the cash flow model applied a larger haircut than it should have on the excess spread available to the deal, which decreased the total cash flow available to pay down the bonds. Even though the correction of this error will result in higher excess spread benefitting the bonds in the deal, class A-2 is placed on review for downgrade because this class is exposed to back ended pool losses. The deal triggers are passing and the subordinate bonds are receiving principal thereby reducing the dollar amount of credit support to class A-2, exposing it to tail loss risk. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008 and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. 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. 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 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 8.2% in March 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. ALTIUS III: Moody's Lowers Rating on Class S Notes to 'Ba1' ----------------------------------------------------------- Moody's Investors Service downgraded the rating of the following Class S Notes issued by Altius III Funding, Ltd.: $517,500,000 Class S Floating, Rate Notes Due 2014 (current outstanding balance of $2,916,700), Downgraded to Ba1 (sf); previously on March 16, 2010 Downgraded to A1 (sf). Ratings Rationale: According to Moody's, the rating action taken on the notes is primarily due to the concerns that under certain circumstances the Class S Notes might be exposed to sizable losses if a significant majority of the underlying collateral is sold or redeemed before the expected amortization in full of the Class S Notes in July 2014. Moody's says that it has re-assessed the risk that unscheduled sales or redemptions of collateral pose to holders of the Class S Notes. Under the terms of the transaction's priority of payments, the Class S Notes are entitled to receive a scheduled principal repayment of $194,444 on every payment date. However, absent an event of default and acceleration, other noteholders have a senior claim on principal repayment from sales or redemption proceeds, and no other outstanding principal on the Class S Notes is paid from such proceeds. In reviewing the potential that unscheduled sales or redemptions of collateral prior to July 2014 may result in constraining the future availability of cashflow to amortize the Class S Notes, Moody's concluded that the risk was more compatible with a speculative grade rating. Altius III Funding, Ltd., issued in September 2006, is a collateralized debt obligation backed primarily by a diversified portfolio of RMBS and ABS securities originated from 2005 to 2006. 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. The main source of uncertainty on the rating of Class S Notes is the speed of sales and/or unscheduled principal payment of the underlying collateral. The deal is also subject to the uncertainty 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. 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. AMMC CLO XI: S&P Affirms 'BB' Rating on Class E Notes ----------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on the class A, B, C, D, E, and F notes from AMMC CLO XI Ltd./AMMC CLO XI Corp., a U.S. collateralized loan obligation (CLO) managed by American Money Management Corp.. The rating actions follow S&P's review of the transaction's performance using March 22, 2013, trustee report data. The affirmed ratings reflect S&P's belief that the credit support available is commensurate with the current rating levels. S&P's review of this transaction included a cash flow analysis to estimate future performance, based on the portfolio and transaction as reflected in the aforementioned trustee report. In line with S&P's criteria, its cash flow scenarios applied forward- looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. 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 AFFIRMED AMMC CLO XI Ltd./AMMC CLO XI Corp. Class Rating Amount (mil. $) A AAA (sf) 282.40 B AA (sf) 60.10 C (deferrable) A (sf) 22.20 D (deferrable) BBB (sf) 21.00 E (deferrable) BB (sf) 16.90 F (deferrable) BB- (sf) 2.80 ARCAP 2003-1: Moody's Lowers Ratings on Two Certificate Classes --------------------------------------------------------------- Moody's affirmed four and downgraded two classes of Notes issued by ARCap 2003-1 Resecuritzation Trust due to an increase in the defaulted and non-performing collateral and associated increase in interest shortfalls reducing the effectiveness of the par value triggers to cure. The affirmations are due to performance of the transaction within the current ratings on the affirmed classes of Notes. 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 Baa1 (sf); previously on Jun 3, 2011 Downgraded to Baa1 (sf) Cl. B, Affirmed B1 (sf); previously on May 9, 2012 Downgraded to B1 (sf) Cl. C, Downgraded to Caa2 (sf); previously on May 9, 2012 Downgraded to Caa1 (sf) Cl. D, Affirmed Caa3 (sf); previously on May 9, 2012 Downgraded to Caa3 (sf) Cl. E, Downgraded to C (sf); previously on May 9, 2012 Downgraded to Ca (sf) Cl. F, Affirmed C (sf); previously on May 9, 2012 Downgraded to C (sf) Ratings Rationale: ARCap 2003-1 Resecuritzation Trust is a static transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100% of the pool balance) with the collateral issued between 1999 and 2003. As of the March 20, 2013 Trustee report, the aggregate Note balance of the transaction has decreased to $369.8 million from $414.4 million at issuance, with the paydown directed to the senior class certificates. The paydown is due to two factors: i) defaulted securities interest being re-classified as principal proceeds; and ii) the re-classification of interest proceeds as principal due to the failure of certain par value tests. The current collateral par amount is $144.5 million, a decrease of $269.9 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 6,519 compared to 7,250 at last review. The distribution of current ratings and credit assessments is as follows: Aaa-Aa3 (2.1% compared to 2.4% at last review), A1-A3 (1.9% compared to 0%), Baa1-Baa3 (4.1% compared to 0%), Ba1-Ba3 (2.7% compared to 11.6%), B1-B3 (31.0% compared to 16.5%), and Caa1-C (58.2% compared to 69.5%). WAL acts to adjust the probability of default of the collateral in the pool for time. Moody's modeled to a WAL of 3.1 compared to 3.2 at last review. The current WAL is based on assumptions about extensions on the underlying collateral. WARR is the par-weighted average of the mean recovery values for the collateral assets in the pool. Moody's modeled a fixed 3.5% WARR compared to 3.1% 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 3.5% to 0.0% or up to 8.5% would result in a modeled rating movement on the rated tranches 0 to 1 notches downward and 0 to 7 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. ARROWPOINT CLO 2013-1: S&P Assigns 'BB' Rating on Class D Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Arrowpoint CLO 2013-1 Ltd./Arrowpoint CLO 2013-1 LLC's $274 million floating-rate notes. The note issuance is a collateralized loan obligation transaction 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 preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread) and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is intended to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's and designated successor collateral manager's experienced management teams. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.27%-13.84%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1486.pdf RATINGS ASSIGNED Arrowpoint CLO 2013-1 Ltd./Arrowpoint CLO 2013-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 188.00 A-2 AA (sf) 35.00 B (deferrable) A (sf) 24.00 C (deferrable) BBB (sf) 14.00 D (deferrable) BB (sf) 13.00 Subordinated notes NR 36.20 NR-Not rated. ASSET SECURITIZATION: Fitch Affirms 'D' Rating on Class B-2 Certs ----------------------------------------------------------------- Fitch Ratings upgrades one and affirms two classes of Asset Securitization Corporation commercial mortgage pass through certificates, series 1997-D5. Key Rating Drivers The upgrade to class A-7 is the result of increased credit enhancement due to loan amortization and payoffs, as well as the high percentage of defeased loans (81% of the pool). Class A-7 is currently receiving principal paydown as the most senior class in the transaction. The affirmation of class B-1 is due to sufficient credit enhancement after consideration for significant concentration as 15 loans remain, only six of which are non-defeased. Class B-2 has previously incurred realized losses. As of the April 2013 distribution date, the pool's certificate balance has paid down 97% to $52.7 million from $1.79 billion at issuance. Classes B-1 and B-2 have outstanding interest shortfalls. Of the remaining loans, 13 are fully amortizing (96.7%) with maturity dates in 2017 and two are ARD loans. There are no delinquent or specially serviced loans. Rating Sensitivities No rating actions on class A-7 are expected in the future. Fitch expects a high likelihood of a full payoff of this class; however, the rating will remain at 'A' due to the potential for future interest shortfalls. If a loan transferred to the special servicer or fees increased due to outstanding litigation, the resulting increase in interest shortfalls might impact A-7. According to Fitch's global criteria for rating caps, Fitch will not assign or maintain 'AAAsf' or 'AAsf' ratings for notes that are experiencing interest shortfalls or deferrals, even if permitted under the terms of the documents. The rating on class B-1 is also stable due to significant concentration of the pool. Class B-2 remains at 'Dsf' due to previously incurred realized losses. Fitch upgrades these class: -- $7.4 million class A-7 to 'Asf' from 'BB+sf'; Outlook Stable. Fitch affirms the following classes as indicated: -- $39.5 million class B-1 at 'Bsf'; Outlook Stable; -- $6 million class B-2 at 'Dsf'; RE 15%. Fitch does not rate classes B-7, B-7H and A-8Z. Classes A-1A, A- 1B, A-1C, A-1D, A-1E, A-2, A-3, A-4, A-5, A-6, B-3SC and interest only class A-CS1 have paid in full. Additionally, Fitch has previously withdrawn the ratings on classes B-3, B-4, B-5 and B-6 and interest only class PS-1. ATRIUM X: S&P Assigns Prelim. BB Rating on Class E Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Atrium X/Atrium X LLC's $596.00 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 preliminary ratings are based on information as of April 30, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy-remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest rate scenarios, including LIBOR ranging from 0.29%-11.83%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1506.pdf PRELIMINARY RATINGS ASSIGNED Atrium X/Atrium X LLC Class Rating Amount (mil. $) A AAA (sf) 409.00 B-1 AA (sf) 48.50 B-2 AA (sf) 25.00 C (deferrable) A (sf) 53.25 D (deferrable) BBB (sf) 32.75 E (deferrable) BB (sf) 27.50 Subordinated notes NR 68.45 NR-Not rated. BANC OF AMERICA: Moody's Takes Action on $160MM Prime Jumbo RMBS ---------------------------------------------------------------- Moody's Investors Service downgraded 12 tranches and upgraded 11 tranches from five transactions issued by Banc of America. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $160.2 million of RMBS issued from 2003 and 2004. Complete rating actions are as follows: Issuer: Banc of America Mortgage 2003-10 Trust Cl. 2-A-1, Downgraded to Ba3 (sf); previously on May 11, 2012 Downgraded to Ba1 (sf) Cl. 2-A-7, Downgraded to B1 (sf); previously on May 11, 2012 Downgraded to Ba2 (sf) Cl. 2-A-8, Downgraded to B3 (sf); previously on May 11, 2012 Downgraded to Ba3 (sf) Issuer: Banc of America Mortgage 2003-H Trust Cl. 1-A-1, Downgraded to A3 (sf); previously on Apr 25, 2011 Downgraded to Aa1 (sf) Cl. 2-A-1, Upgraded to Baa3 (sf); previously on May 11, 2012 Confirmed at Ba1 (sf) Cl. 2-A-2, Upgraded to Baa3 (sf); previously on May 11, 2012 Confirmed at Ba1 (sf) Cl. 2-A-3, Upgraded to Baa3 (sf); previously on May 11, 2012 Confirmed at Ba1 (sf) Cl. 2-A-4, Upgraded to Ba2 (sf); previously on May 11, 2012 Downgraded to B2 (sf) Issuer: Banc of America Mortgage 2003-J Trust Cl. 3-A-1, Downgraded to Ba1 (sf); previously on May 11, 2012 Downgraded to Baa3 (sf) Cl. 3-A-2, Downgraded to Ba1 (sf); previously on May 11, 2012 Downgraded to Baa3 (sf) Cl. 4-A-1, Downgraded to Baa2 (sf); previously on May 11, 2012 Downgraded to A3 (sf) Issuer: Banc of America Mortgage 2004-10 Trust Cl. 1-A-1, Upgraded to Baa3 (sf); previously on May 11, 2012 Downgraded to Ba2 (sf) Cl. 1-A-3, Upgraded to Baa3 (sf); previously on May 11, 2012 Downgraded to Ba1 (sf) Cl. 1-A-4, Upgraded to Ba2 (sf); previously on May 11, 2012 Downgraded to Ba3 (sf) Cl. 1-A-5, Upgraded to Baa3 (sf); previously on May 11, 2012 Downgraded to Ba2 (sf) Cl. 1-A-9, Upgraded to Baa3 (sf); previously on May 11, 2012 Downgraded to Ba2 (sf) Issuer: Banc of America Mortgage 2004-2 Trust Cl. 1-A-2, Downgraded to Baa1 (sf); previously on Apr 25, 2011 Downgraded to A1 (sf) Cl. 1-A-6, Downgraded to Baa1 (sf); previously on Apr 25, 2011 Downgraded to A2 (sf) Cl. 1-A-7, Downgraded to Baa3 (sf); previously on May 11, 2012 Downgraded to Baa1 (sf) Cl. 1-A-8, Downgraded to Baa2 (sf); previously on May 11, 2012 Downgraded to A3 (sf) Cl. 1-A-13, Downgraded to Baa3 (sf); previously on Apr 25, 2011 Downgraded to Baa1 (sf) Cl. 2-A-2, Upgraded to Baa1 (sf); previously on May 11, 2012 Downgraded to Baa3 (sf) Cl. 2-A-4, Upgraded to B2 (sf); previously on May 11, 2012 Downgraded to Caa1 (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for certain bonds than previously anticipated. The upgrades are due to improvement in collateral performance. 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, and "Rating Transactions Based on the Credit Substitution Approach: Letter of Credit-backed, Insured and Guaranteed Debts" published in March 2013. 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: To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools originated before 2005, Moody's first applies a baseline delinquency rate of 3.0%. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a pool with 75 loans, the adjusted rate of new delinquency would be 3.03%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. When assigning the final ratings to bonds, 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 8.2% in March 2012 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. BANC OF AMERICA 2002-2: Fitch Affirms 'D' Rating on Class K Certs ----------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed all other remaining classes of Banc of America Commercial Mortgage, series 2002-2. Key Rating Drivers The upgrade of class H to 'AAAsf' from 'AAsf' is primary due to the increased credit enhancement level as a result of substantial principal paydown of the collateral since last review and high percentage of defeased loans (five loans representing 43.1% of the collateral pool). This class is expected to pay off in full shortly as four of the defeased loans are scheduled to mature in June 2013. Although the credit enhancement for class J has also increased significantly, an upgrade is not warranted as there are fewer, more concentrated loans (by unpaid principal balance) remaining in the pool, some of which might have difficulty refinancing their existing debt. However, Fitch has revised the Outlook on this class to Stable from Negative as an indication that no future downgrades to this class are anticipated within the next 12 to 24 months. Fitch modeled losses of 13.8% of the remaining pool; expected losses on the original pool balance total 5.8%, including losses already incurred. The pool has experienced $88.8 million (5.2% of the original pool balance) in realized losses to date. The pool has become highly concentrated with only 13 loans remaining, compared to 30 at last review. Four of the remaining loans (32.9%) are in special servicing, all of which have been identified as Fitch Loans of Concern. Rating Sensitivities The Stable Rating Outlooks indicate that upgrades are not likely due to increased concentration of loans in the pool and the greater risk of adverse selection. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 95.5% to $77.1 million from $1.72 billion at issuance. Five loans (43.1% of the pool) have defeased. Interest shortfalls are currently affecting classes K through P. The largest contributor to expected losses is secured by a 61,910 square foot (sf) single tenant retail property in Waukesha, WI (8.9% of the pool). The loan was transferred to the special servicer in March 2011 for imminent default. The property had been unoccupied at least two years before the transfer. The previous tenant continues to honor their lease obligations, which expire in September 2019. The loan was foreclosed upon in December 2012 and has been a real estate owned asset (REO) since. The servicer provided current appraisal indicates losses upon liquidation of this asset. The second largest contributor to expected losses is secured by a 113,203 sf office building in Colorado Springs, CO. The loan transferred in June 2011 due to imminent default. The loan matured in August 2011 and was unable to refinance. The loan was foreclosed in January 2013 and the property became a REO asset on Jan. 29, 2013. Currently, the property is 77% occupied. The third largest contributor to expected losses is secured by a 52,840 sf retail property in Destin, FL. The loan was transferred to the special servicer in January 2012 due to maturity default. The loan matured on July 1, 2011 and was unable to refinance. The property is operated under a master lease with a triple net lease structure which expires in June 2021. The borrower was in a legal battle with the master lessee for deferred maintenance and other issues, which hindered the refinancing of the loan. Currently, the servicer is negotiating with the borrower for a loan modification injunction, which includes a settlement with the master lessee. As of year-end 2012, the property was 45% occupied. Fitch upgrades the following class as indicated: -- $19.4 million class H to 'AAAsf' from 'AAsf', Outlook Stable. Fitch affirms the following classes and revises Rating Outlooks as indicated: -- $872,963 class G at 'AAAsf', Outlook Stable; -- $21.6 million class J at 'BBB-sf', Outlook to Stable from Negative; -- $35.2 million class K at 'Dsf', RE 30%. -- $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, B, C, D, E and F certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the ratings on the interest-only class XC and XP certificates. BEAR STEARNS 2003-1: Moody's Cuts Rating on $34.7MM RMBS -------------------------------------------------------- Moody's Investors Service downgraded ten tranches issued by Bear Stearns ARM Trust 2003-1. The collateral backing this deal primarily consists of first-lien, adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $34.7 million of RMBS issued from 2003. Complete rating actions are as follows: Issuer: Bear Stearns ARM Trust 2003-1 Cl. I-A-1, Downgraded to Baa3 (sf); previously on May 18, 2012 Downgraded to A2 (sf) Cl. II-A-1, Downgraded to Baa3 (sf); previously on May 18, 2012 Downgraded to A2 (sf) Cl. III-A-1, Downgraded to Baa1 (sf); previously on May 18, 2012 Downgraded to A1 (sf) Cl. IV-A-1, Downgraded to Baa3 (sf); previously on May 18, 2012 Downgraded to A2 (sf) Cl. V-A-1, Downgraded to Baa1 (sf); previously on May 18, 2012 Downgraded to A1 (sf) Cl. VI-A-1, Downgraded to Baa1 (sf); previously on May 18, 2012 Downgraded to A1 (sf) Cl. VII-A-1, Downgraded to Baa1 (sf); previously on May 18, 2012 Downgraded to A1 (sf) Cl. VIII-A-1, Downgraded to Baa1 (sf); previously on May 18, 2012 Downgraded to A2 (sf) Cl. M, Downgraded to B2 (sf); previously on May 18, 2012 Downgraded to Ba3 (sf) Cl. B-1, Downgraded to Caa3 (sf); previously on May 18, 2012 Downgraded to Caa1 (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 downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for the bonds than previously anticipated. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008 and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. Moody's adjusts the methodologies 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: To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools originated before 2005, Moody's first applies a baseline delinquency rate of 3.0%. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a pool with 75 loans, the adjusted rate of new delinquency would be 3.03%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. When assigning the final ratings to bonds, 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 8.2% in March 2012 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. C-BASS MORTGAGE 2004-CB1: Moody's Ups Ratings on Four RMBS Deals ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of four tranches from C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004- CB1, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB1 Cl. M-1, Upgraded to Baa2 (sf); previously on May 4, 2012 Downgraded to Ba3 (sf) Cl. M-2, Upgraded to B1 (sf); previously on May 4, 2012 Downgraded to Caa1 (sf) Cl. M-3, Upgraded to B3 (sf); previously on May 4, 2012 Downgraded to Caa3 (sf) Cl. B-1, Upgraded to Caa3 (sf); previously on May 4, 2012 Confirmed at Ca (sf) Ratings Rationale: The rating action reflects recent performance of the underlying pools and Moody's updated expected losses on the pools. The action also reflects the correction of an error. In the May 2012 rating action, Moody's used incorrect delinquency data in its expected loss calculation, resulting in an overstatement of the expected losses to the bonds. The error has now been corrected, and this rating action reflects that change. 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. 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 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. CAMBER 3: Moody's Cuts Rating on $2.25MM Class S Notes to 'Ba1' --------------------------------------------------------------- Moody's Investors Service downgraded the rating of the following Class S notes issued by Camber 3 plc: $10,000,000 Class S Floating Rate Notes due 2015 (current outstanding balance of $2,250,000), Downgraded to Ba1 (sf); previously on March 12, 2010 Downgraded to A1 (sf). Moody's also affirmed the ratings of the following notes: $422,500,000 Class A-1 Floating Rate Notes due 2040 (current outstanding balance of $215,050,692.64), Affirmed Ca (sf); previously on March 12, 2010 Downgraded to Ca (sf); $110,500,000 Class A-2 Floating Rate Notes due 2040 (current outstanding balance of $81,990,027.47), Affirmed C (sf); previously on March 12, 2010 Downgraded to C (sf); $45,500,000 Class B Floating Rate Notes due 2040, Affirmed C (sf); previously on February 18, 2009 Downgraded to C (sf); $26,000,000 Class C Deferrable Floating Rate Notes Due 2040 (current outstanding balance of $27,088,103.69), Affirmed C (sf); previously on November 7, 2008 Downgraded to C (sf); $19,500,000 Class D Deferrable Floating Rate Notes Due 2040 (current outstanding balance of $23,529,961.50), Affirmed C (sf); previously on November 7, 2008 Downgraded to C (sf). Ratings Rationale: According to Moody's, the rating downgrade action taken on the notes is primarily due to the concerns that under certain circumstances the Class S notes might be exposed to sizable losses if a significant majority of the underlying collateral is sold or redeemed before the expected amortization in full of the Class S Notes in May 2015. Moody's says that it has re-assessed the risk that unscheduled sales or redemptions of collateral pose to holders of the Class S Notes. Under the terms of the transaction's priority of payments, the Class S Notes are entitled to receive a scheduled principal repayment of $250,000 on every payment date. However, absent an event of default and acceleration, other noteholders have a senior claim on principal repayment from sales or redemption proceeds, and no other outstanding principal on the Class S Notes is paid from such proceeds. In reviewing the potential that unscheduled sales or redemptions of collateral prior to May 2015 may result in constraining the future availability of cashflow to amortize the Class S Notes, Moody's concluded that the risk was more compatible with a speculative grade rating. Camber 3 plc, issued in April 2005, is a collateralized debt obligation backed primarily by a diversified portfolio of RMBS and ABS securities originated from 2004 to 2007. 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. The main source of uncertainty on the rating of Class S notes is the speed of sales and/or unscheduled principal payment of the underlying collateral. The deal is also subject to the uncertainty 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. 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. CANARAS SUMMIT: Moody's Affirms 'Ba1' & 'Ba3' Ratings on 2 Notes ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Canaras Summit CLO, Limited: $18,000,000 Class B Floating Rate Notes Due June 19, 2021, Upgraded to Aa1 (sf); previously on August 22, 2011 Upgraded to Aa3 (sf); $17,000,000 Class C Floating Rate Notes Due June 19, 2021, Upgraded to A3 (sf); previously on August 22, 2011 Upgraded to Baa1 (sf). Moody's also affirmed the ratings of the following notes: $148,500,000 Class A-1 Floating Rate Notes Due June 19, 2021 (current outstanding balance of $144,015,800), Affirmed Aaa (sf); previously on August 22, 2011 Upgraded to Aaa (sf); $75,000,000 Class A-2 Floating Rate Notes Due June 19, 2021 (current outstanding balance of $72,735,252), Affirmed Aaa (sf); previously on August 22, 2011 Upgraded to Aaa (sf); $10,000,000 Class D Floating Rate Notes Due June 19, 2021, Affirmed Ba1 (sf); previously on August 22, 2011 Upgraded to Ba1 (sf); $10,500,000 Class E Floating Rate Notes Due June 19, 2021, Affirmed Ba3 (sf); previously on August 22, 2011 Upgraded to Ba3 (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in 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 August 2011. Moody's modeled a WARF of 2546 compared to 2727 at the time of the last rating action. In addition, Moody's modeled a weighted average spread of 3.65% compared to 2.90% at the time of the last rating action. Moody's also notes that the transactions 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 $282 million, defaulted par of $8.2 million, a weighted average default probability of 18.04% (implying a WARF of 2546), a weighted average recovery rate upon default of 48.66%, and a diversity score of 65. 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. Canaras Summit CLO, Limited, issued in June 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% (2037) Class A-1: 0 Class A-2: 0 Class B: +1 Class C: +2 Class D: +2 Class E: +1 Moody's Adjusted WARF + 20% (3055) Class A-1: 0 Class A-2: 0 Class B: -2 Class C: -1 Class D: -1 Class E: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated structured finance assets: The presence of investments in CLO notes that mature beyond the deal'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. CGCMT COMMERCIAL: Fitch Assigns 'B' Rating to Class F Certs ----------------------------------------------------------- Fitch Ratings has assigned the following ratings to CGCMT Commercial Mortgage Trust 2013-GCJ11 commercial mortgage pass- through certificates: -- $75,176,000 Class A-1 'AAAsf'; Outlook Stable; -- $290,426,000 Class A-2 'AAAsf'; Outlook Stable; -- $150,000,000 Class A-3 'AAAsf'; Outlook Stable; -- $236,220,000 Class A-4 'AAAsf'; Outlook Stable; -- $92,911,000 Class A-AB 'AAAsf'; Outlook Stable; -- $104,083,000 Class A-S 'AAAsf'; Outlook Stable; -- $948,816,000* Class X-A 'AAAsf'; Outlook Stable; -- $117,659,000a* Class X-B 'A-sf'; Outlook Stable; -- $75,423,000 Class B 'AA-sf'; Outlook Stable; -- $42,236,000 Class C 'A-sf'; Outlook Stable; -- $58,830,000a Class D 'BBB-sf'; Outlook Stable; -- $21,118,000a Class E 'BBsf'; Outlook Stable; -- $18,102,000a Class F 'Bsf'; Outlook Stable. * Notional amount and interest-only. (a) Privately placed pursuant to Rule 144A. Fitch does not rate the $42,236,945 Class G. The certificates represent the beneficial ownership in the trust, primary assets of which are 72 loans secured by 137 commercial properties having an aggregate principal balance of approximately $1.207 billion as of the cutoff date. The loans were contributed to the trust by Citigroup Global Markets Realty Corp., Jefferies LoanCore LLC, Archetype Mortgage Capital LLC, and Goldman Sachs Mortgage Company. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 73.5% of the properties by balance and cash flow analysis and asset summary reviews on 83.2% of the pool. KEY RATING DRIVERS Loan Diversity: The loan concentration index (LCI) and sponsor concentration index (SCI) are 302 and 343, respectively, representing one of the most diverse conduit pools by loan size and exposure since 2008. The top 10 loans represent 46.1% of the pool, lower than the 2012 average concentration of 54.2%. High Hotel Concentration: The pool has a lower concentration of retail and office properties, compared to recent transactions. In addition, hotels consist of 21.4% of the pool, plus one mixed-use property (5.8%) with a significant hotel component. Five of the top 15 loans are secured by hotels or mixed-use with hotel. Fitch Leverage: This transaction has coverage in line with and higher leverage than rated 2012 deals. The pool's Fitch DSCR and LTV are 1.25x and 103.2%, respectively, compared to the 2012 average of 1.24x and 97.1%. Amortization: Full interest-only loans account for 4.6% of the pool, and partial interest-only loans account for 30.2% of the pool, which is in line with the average sum in 2012 deals of 33.1%. The pool pays down 15.1% from cutoff date to maturity, based on loans' scheduled maturity balances. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 12.8% below the most recent trailing 12 month (TTM)period net operating income (NOI) (for properties that a recent TTM 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 CGCMT 2013- GCJ11 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 in the Rating Sensitivity and Rating Stresses sections of the presale. The Master Servicers will be Wells Fargo Bank, N.A., rated 'CMS2' by Fitch. The special servicers will be LNR Partners, LLC, rated 'CSS1-' by Fitch. CHL MORTGAGE: Moody's Takes Action on $1.1BB of Prime Jumbo RMBS ---------------------------------------------------------------- Moody's Investors Service has downgraded 67 tranches and upgraded two tranches from ten RMBS transactions issued by CHL. The collateral backing these deals primarily consists of first-lien, fixed-rate prime Jumbo residential mortgages. The actions impact approximately $1.1 billion of RMBS issued from 2005 to 2007. Complete rating actions are as follows: Issuer: CHL Mortgage Pass-Through Trust 2005-12 Cl. 2-A-5, Upgraded to Ba1 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 2-A-8, Upgraded to B1 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Issuer: CHL Mortgage Pass-Through Trust 2005-27 Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-2, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 1-A-3, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to B3 (sf) Cl. 1-A-5, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 1-X, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 2-X, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. PO, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Issuer: CHL Mortgage Pass-Through Trust 2006-13 Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-2, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-3, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-8, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-12, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-14, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-15, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-16, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-17, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-18, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-19, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-22, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to B3 (sf) Cl. 1-A-24, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-25, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. X, Downgraded to Caa3 (sf); previously on Feb 22, 2012 Downgraded to B3 (sf) Cl. PO, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Issuer: CHL Mortgage Pass-Through Trust 2006-15 Cl. A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-6, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B3 (sf) Cl. X, Downgraded to Caa2 (sf); previously on Feb 22, 2012 Downgraded to B3 (sf) Issuer: CHL Mortgage Pass-Through Trust 2006-18 Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 2-A-4, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Issuer: CHL Mortgage Pass-Through Trust 2006-19 Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 1-A-2, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 1-A-3, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-5, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-6, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-7, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. X, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. PO, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Issuer: CHL Mortgage Pass-Through Trust 2006-21 Cl. A-4, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Issuer: CHL Mortgage Pass-Through Trust 2007-13 Cl. A-7, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B3 (sf) Issuer: CHL Mortgage Pass-Through Trust 2007-5 Cl. A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-3, Downgraded to C (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A-4, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-6, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-7, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-8, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-16, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-18, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B3 (sf) Cl. A-20, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B3 (sf) Cl. A-28, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-29, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-30, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-37, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-38, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-39, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-40, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-41, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-42, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-49, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-51, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. X, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. PO, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Issuer: CHL Mortgage Pass-Through Trust 2007-J3 Cl. A-1, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. A-2, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. A-5, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. X, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Ratings Rationale: The actions are a result of the recent performance of the prime jumbo pools originated from 2005 to 2007 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 the bonds than previously anticipated. The majority of the downgrades are a result of change in principal payments and loss allocation to the senior bonds subsequent to subordination depletion. The upgrades are due to significant improvement in collateral performance. 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 8.2% in March 2012 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. CIFC FUNDING 2006-II: Moody's Lifts Rating on B-2L Notes to 'Ba2' ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by CIFC Funding 2006-II, Ltd.: $40,000,000 Class A-1LB Floating Rate Notes Due March 1, 2021, Upgraded to Aaa (sf); previously on October 28, 2011 Confirmed at Aa1 (sf) $35,000,000 Class A-2L Floating Rate Notes Due March 1, 2021, Upgraded to Aa1 (sf); previously on October 28, 2011 Confirmed at A1 (sf) $36,000,000 Class A-3L Floating Rate Notes Due March 1, 2021, Upgraded to A2 (sf); previously on October 28, 2011 Upgraded to Baa2 (sf) $23,000,000 Class B-1L Floating Rate Notes Due March 1, 2021, Upgraded to Baa3 (sf); previously on October 28, 2011 Upgraded to Ba1 (sf) $25,000,000 Class B-2L Floating Rate Notes Due March 1, 2021, (current outstanding balance of $24,074,262), Upgraded to Ba2 (sf); previously on October 28, 2011 Upgraded to Ba3 (sf) Moody's also affirmed the ratings of the following notes: $65,000,000 Class A-1L Floating Rate Notes Due March 1, 2021, Affirmed Aaa (sf); previously on January 16, 2007 Assigned Aaa (sf) $100,000,000 Class A-1LAr Floating Rate Notes Due March 1, 2021, Affirmed Aaa (sf); previously on January 16, 2007 Assigned Aaa (sf) $260,000,000 Class A-1LAt Floating Rate Notes Due March 1, 2021, Affirmed Aaa (sf); previously on January 16, 2007 Assigned Aaa (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes reflect the benefit of the end of the deal's reinvestment period in March 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, higher spread and diversity levels compared to the levels assumed at the last rating action in October 2011. Moody's modeled a WARF, spread and diversity of 2813, 3.73% and 84, respectively compared to 3100, 3.00% and 61, respectively, at the time of 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 $612.0 million, defaulted par of $9.6 million, a weighted average default probability of 19.80% (implying a WARF of 2813), a weighted average recovery rate upon default of 50.47%, and a diversity score of 84. 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. CIFC Funding 2006-II, Ltd., issued in December 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans with significant exposure to loans of middle market issuers. 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% (2250) Class A-1L: 0 Class A-1LAr: 0 Class A-1LAt: 0 Class A-1LB: 0 Class A-2L: 0 Class A-3L: +3 Class B-1L: +3 Class B-2L: +1 Moody's Adjusted WARF + 20% (3375) Class A-1L: 0 Class A-1LAr: 0 Class A-1LAt: 0 Class A-1LB: 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. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 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. COAST INVESTMENT 2001-1: Moody's Ups Rating on 2 Notes to 'Caa1' ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Coast Investment Grade 2001-1, Limited: $48,700,000 Class B-1 Floating Rate Senior Secured Notes, due October 10, 2016 (current balance of $1,663,603.38), Upgraded to Aaa (sf); previously on June 13, 2012 Upgraded to Baa1 (sf); $5,000,000 Class B-2 Fixed Rate Senior Secured Notes, due October 10, 2016 (current balance of $170,801.17), Upgraded to Aaa (sf); previously on June 13, 2012 Upgraded to Baa1 (sf); $11,000,000 Class C-1 Floating Rate Senior Secured Notes, due October 10, 2016, Upgraded to Caa1 (sf); previously on August 12, 2011 Upgraded to Caa3 (sf); $5,000,000 Class C-2 Fixed Rate Senior Secured Notes, due October 10, 2016, Upgraded to Caa1 (sf); previously on August 12, 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 Class B-1 Notes and Class B-2 Notes (the "Class B Notes"). Moody's notes that the Class B Notes have paid down by approximately 93% or $23 million since the last rating action in June 2012. Based on the latest trustee report dated April 2013, the Class B and Class C overcollateralization ratios, as calculated by Moody's, are at 1084.5% and 111.5% respectively versus 174.0% and 105.8% respectively as of the last rating action. Moody's analysis also took into consideration its expectation that the transaction has received or will receive proceeds from redemptions of the underlying collateral in amounts sufficient to pay off the Class B Notes in full on the next payment date in October 2013. Coast Investment Grade 2001-1, Ltd. is a collateralized debt obligation backed primarily by a portfolio of CLOs. The performing portfolio consists of a small number of CLO notes and one hedge fund gap risk notes. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's applied the Monte Carlo simulation framework within CDOROMv2.8 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model . The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's rating action factors in a number of sensitivity analyses and stress scenarios. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal: Moody's performing assets notched up by 2 rating notches: Class B-1: 0 Class B-2: 0 Class C-1: +3 Class C-2: +2 Moody's performing assets notched down by 2 rating notches: Class B-1: 0 Class B-2: 0 Class C-1: -3 Class C-2: -3 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. These uncertainties are 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) 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. COMM 2011-THL: Moody's Affirms Ba3 Rating on Class F Certificates ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of six classes of COMM 2011-THL Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-THL. Moody's rating action is as follows: Cl. A, Affirmed Aaa (sf); previously on Aug 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Aug 1, 2011 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Aug 1, 2011 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on Aug 1, 2011 Definitive Rating Assigned Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on Aug 1, 2011 Definitive Rating Assigned Baa3 (sf) Cl. F, Affirmed Ba3 (sf); previously on Aug 1, 2011 Definitive Rating Assigned Ba3 (sf) Ratings Rationale: The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) remaining within acceptable ranges. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based Large Loan Model v 8.5. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. 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, Servicer Reports and Remittance Statements. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated June 1, 2012. Deal Performance: As of the April 10, 2013 Payment Date, the transaction's aggregate certificate balance is down from securitization balance of $685 million to $665 million due to release of 14 fee properties totaling 938 rooms. Properties may be released at 105% of allocated loan amount for the first 10% of the loan balance, and specified release premium percentage increases with loan amount being paid down. The certificates represent beneficial ownership of a five year, fixed rate, first mortgage loan. The mortgage loan is secured by cross-collateralized and cross-defaulted 108 fee interests, 44 leasehold interests and 2 fee/leasehold interests in 154 hotel properties. The portfolio totals 14,735 keys located throughout 33 states in the US. The loan is interest only for the first two years of the term. Due to the pool's geographic diversity, the portfolio's performance has tracked that of the US lodging sector as a whole. On average, the hotel sector continues to improve on a year over year comparison basis. According to Smith Travel Research, hotels in the US experienced a Revenue per Available Room (RevPAR = Occupancy X Average Daily Rate) increase of 6.8% in calendar year 2012 over that of 2011. Due to limited new supply and rebound in corporate demand, the lodging sector is expected to show improvement in operating performance in the foreseeable future. The portfolio's RevPAR for 2012 was $67.82, an 5.3% increase from $64.38 in 2011. Net Cash Flow in 2012 was $108.9 million, up 4.6% from $104.1 million achieved in 2011. Moody's 2012 review Net Cash Flow is $100.6 million same as at last review. Moody's pooled trust loan to value (LTV) ratio is 76% same as last review. Moody's stressed debt service coverage ratio (DSCR) for the pooled trust is at 1.63X compared to 1.59X at last review. The trust has not experienced any losses to date; however, Class F has suffered interest shortfalls totaling $13,211 to date. COMM 2013-CCRE7: Moody's Assigns Final Ratings to 17 CMBS Classes ----------------------------------------------------------------- Moody's Investors Service has assigned final ratings to seventeen classes of CMBS securities, issued by COMM 2013-CCRE7, Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE7. Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-SB, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. X-A*, Definitive Rating Assigned Aaa (sf) Cl. A-3FL**, Definitive Rating Assigned Aaa (sf) Cl. A-3FX**, Definitive Rating Assigned Aaa (sf) Cl. X-B*, Definitive Rating Assigned A2 (sf) Cl. A-M, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. PEZ***, Definitive Rating Assigned A1 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. F, Definitive Rating Assigned Ba3 (sf) Cl. G, Definitive Rating Assigned 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 Class X-A and Class 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. COMM COMMERCIAL 2000-C1: Fitch Affirms 'D' Rating on Cl. H Notes ---------------------------------------------------------------- Fitch Ratings has affirmed seven classes of COMM commercial mortgage pass-through certificates, series 2000-C1, as indicated: -- $5 million class G notes at 'CCCsf'; RE 100%; -- $6.4 million class H notes at 'Dsf'; RE 40%; -- Class J notes at 'Dsf'; RE 0%; -- Class K notes at 'Dsf'; RE 0%; -- Class L notes at 'Dsf'; RE 0%; -- Class M notes at 'Dsf'; RE 0%; -- Class N notes at 'Dsf'; RE 0%. Key Rating Drivers The affirmations of the notes reflect the concentration risk with only three loans remaining. Fitch modeled losses of 37.8% of the remaining pool; expected losses on the original pool balance total 5.5%, including losses already incurred. The pool has experienced $45.2 million (5% of the original pool balance) in realized losses to date. Fitch has designated one of the three remaining loans (6.2%) as a Fitch Loan of Concern. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 98.7% to $11.4 million from $897.9 million at issuance. Interest shortfalls are currently affecting the class G through O notes. The largest contributor to expected losses is a 147,000 square foot retail property located in Bloomingdale, IL (89.3% of the pool). The collateral is for a Carson Pirie Scott store located within a mall that has six anchor tenants. The debt service coverage ratio has been stable at 1.0x over the past two years. Rating Sensitivities The Class G may be subject to further downgrades if losses are greater than expected. Fitch does not rate the class O notes and previously withdrew the ratings on the X notes. Classes A-1, A-2, B, C, D, E, and F notes have paid in full. COMM MORTGAGE 2004-LNB2: Fitch Cuts Rating on Cl. K Certs to 'C' ---------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed 11 classes of COMM Mortgage Trust 2004-LNB2, commercial mortgage pass-through certificates. Key Rating Drivers Fitch modeled losses of 2.6% of the remaining pool; expected losses on the original pool balance total 4%, including losses already incurred. The pool has experienced $24 million (2.5% of the original pool balance) in realized losses to date. Fitch has designated 14 loans (7.5% of the pool) as Fitch Loans of Concern; however, no loans are currently in special servicing. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 43.4% to $545.9 million from $963.8 million at issuance. Per the servicer reporting, nine loans (34.2% of the pool) are defeased. Interest shortfalls are currently affecting classes K, L and P. The largest contributor to expected losses is a 144-unit apartment complex (0.6% of the pool) located in Biloxi, MS less than five miles north of the Gulf of Mexico. The latest reported occupancy is 65.2% as of March 2013 up slightly from year-end (YE) 2011 at 63.9%. The most recent reported NOI debt service coverage ratio (DSCR) was 0.44x as of YE 2012. The property had previously been in special servicing and transferred back to the master servicer in 2009, but the loan continues to struggle with occupancy with modest improvement. The second largest contributor to expected losses is a 176-unit student housing complex (1.4% of the pool) located in Oxford, MS less than a mile east of the University of Mississippi. Occupancy was 98.3% as of September 2012, which was a slight improvement from 97.2% as of YE 2011. In addition, NOI DSCR improved from 0.94x as of YE 2011 to 1.12x as of September 2012. Rating Sensitivity The ratings of investment grade classes A-4 to D are expected to remain stable due to the high amount of defeasance and expected increase in credit enhancement from future paydown. Fitch remains cautious related to the percentage of near-term loan maturities that occur in 2013 and 2014 (84.9% of the pool) , therefore classes E, F and G may be subject to further rating actions should realized losses be greater than Fitch's expectations. The distressed classes (those rated below 'B') may be subject to further downgrades as losses are realized. Fitch downgrades the following classes and assigns or revises Recovery Estimates (REs) as indicated: -- $10.8 million class H to 'CCCsf' from 'Bsf', RE 100%; -- $4.8 million class J to 'CCsf' from 'CCCsf', RE 80%; -- $6 million class K to 'Csf' from 'CCsf', RE 0%. Fitch affirms the following classes as indicated: -- $439.8 million class A-4 at 'AAAsf', Outlook Stable; -- $25.3 million class B at 'AAAsf', Outlook Stable; -- $9.6 million class C at 'AAAsf', Outlook Stable; -- $19.3 million class D at 'AAsf', Outlook Stable; -- $8.4 million class E at 'AAsf', Outlook to Negative from Stable; -- $9.6 million class F at 'BBBsf', Outlook to Negative from Stable; -- $10.8 million class G at 'BBsf', Outlook Negative; -- $1.3 million class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE0%; -- $0 class O at 'Dsf', RE0%. The class A-1, A-2 and A-3 certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. CREDIT SUISSE: Moody's Takes Action on $69MM of Prime Jumbo RMBS ---------------------------------------------------------------- Moody's Investors Service downgraded twelve tranches and upgraded five tranches from three transactions issued by Credit Suisse. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $69.4 million of RMBS issued from 2003 and 2004. Complete rating actions are as follows: Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-11 Cl. I-B-2, Downgraded to Ba2 (sf); previously on May 24, 2012 Downgraded to Baa2 (sf) Cl. I-B-3, Downgraded to Caa1 (sf); previously on May 24, 2012 Downgraded to Ba3 (sf) Cl. I-B-4, Downgraded to Caa3 (sf); previously on May 24, 2012 Downgraded to Caa1 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-25 Cl. I-A-4, Downgraded to Baa1 (sf); previously on May 24, 2012 Downgraded to Aa3 (sf) Cl. I-A-7, Downgraded to Baa3 (sf); previously on May 24, 2012 Downgraded to A1 (sf) Cl. I-A-8, Downgraded to Baa2 (sf); previously on May 24, 2012 Downgraded to Aa3 (sf) Cl. I-A-9, Downgraded to Baa2 (sf); previously on May 24, 2012 Downgraded to Aa3 (sf) Cl. I-A-11, Downgraded to Baa1 (sf); previously on May 24, 2012 Downgraded to Aa3 (sf) Cl. I-P, Downgraded to Baa2 (sf); previously on May 24, 2012 Downgraded to Aa3 (sf) Cl. C-B-3, Downgraded to Ca (sf); previously on May 24, 2012 Downgraded to Caa3 (sf) Cl. II-A-1, Downgraded to Baa1 (sf); previously on May 24, 2012 Downgraded to Aa2 (sf) Cl. II-P, Downgraded to A2 (sf); previously on Apr 29, 2011 Confirmed at Aaa (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR2 Cl. I-A-1, Upgraded to Ba1 (sf); previously on Mar 18, 2011 Downgraded to Ba3 (sf) Cl. II-A-1, Upgraded to Ba1 (sf); previously on Mar 18, 2011 Downgraded to Ba3 (sf) Cl. III-A-1, Upgraded to Ba1 (sf); previously on Mar 18, 2011 Downgraded to Ba3 (sf) Cl. IV-A-1, Upgraded to Ba1 (sf); previously on Mar 18, 2011 Downgraded to Ba3 (sf) Cl. V-A-1, Upgraded to Ba1 (sf); previously on Mar 18, 2011 Downgraded to Ba3 (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools 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 upgrades are due to improvement in collateral performance. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008 and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's adjusts the methodologies 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: To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools originated before 2005, Moody's first applies a baseline delinquency rate of 3.0%. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a pool with 75 loans, the adjusted rate of new delinquency would be 3.03%. In addition, if current delinquency levels in a small pool is low, future delinquencies are expected to reflect this trend. To account for that, the rate is multiplied by a factor ranging from 0.75 to 2.5 for current delinquencies ranging from less than 2.5% to greater than 10% respectively. Delinquencies for subsequent years and ultimate expected losses are projected using the approach described in the methodology publication. 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 8.2% in March 2012 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. CREDIT SUISSE 2004-C2: Fitch Affirms 'C' Rating on Class O Certs ---------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 13 classes of Credit Suisse First Boston Mortgage Securities Corp., commercial mortgage pass-through certificates, series 2004-C2 (CSFB 2004-C2). Key Rating Drivers Fitch modeled losses of 1.9% of the remaining pool; modeled losses of the original pool are 2.5%, including losses already incurred to date. Fitch has designated 30 loans (34.1%) as Fitch Loans of Concern, including one specially serviced asset (0.4%) classified as greater than 90 days delinquent. Approximately 24% of the pool is schedule to mature in 2013 and 65% in 2014. As of the April 2013 distribution date, the pool's certificate balance has been reduced by 30.2% to $674.6 million from $966.8 million. The pool has experienced $11.5 million (1.2%) in realized losses and $280.7 million (29%) in paydowns since issuance. According to servicer reporting, 15 loans (29%) have been defeased. Interest shortfalls are currently affecting classes O and P. Rating Sensitivities The ratings on the remaining investment-grade classes are expected to remain stable. The Negative Outlooks on classes H, J and K reflect the smaller-than-average class sizes, as well as the concentration of upcoming loan maturities over the next 12 to 18 months, which make these bonds susceptible to downgrade should loans not refinance or if losses exceed Fitch expectations. The distressed classes are subject to further rating actions as losses are realized. The one specially serviced loan (0.4%) is secured by a 16,800 square foot retail property located in Puyallup, WA, which is 35 miles south of Seattle. The loan was transferred back to special servicing in February 2013 due to payment default. The loan had previously been in special servicing in 2009 for payment default, but was brought current in early 2011 and returned to the master servicer in mid-2012. The borrower requested for a short-term forbearance due to cash flow problems, but has not been responsive to communication attempts by the special servicer. The special servicer is pursuing foreclosure at this time. The largest contributor to Fitch modeled losses is a loan (0.9%) secured by 174-unit multifamily property located in Phoenix, AZ. Property cash flow has deteriorated since issuance due to a decrease in overall effective gross income and an increase in operating expenses. As of year-end 2012, the debt service coverage ratio, on a net operating income basis, was 1.01x compared to 1.25x at issuance. Fitch has downgraded the following classes as indicated: -- $10.9 million class H to 'BBsf' from 'BB+sf'; Outlook Negative; -- $6 million class J to 'Bsf' from 'BB-sf'; Outlook Negative. Fitch has affirmed the following classes and revised Rating Outlooks as indicated: -- $22.1 million class A-1 at 'AAAsf'; Outlook Stable; -- $138.3 million class A-1-A at 'AAAsf'; Outlook Stable; -- $392.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $26.6 million class B at 'AAAsf'; Outlook Stable; -- $10.9 million class C at 'AAsf'; Outlook to Stable from Positive; -- $20.5 million class D at 'Asf'; Outlook to Stable from Positive; -- $9.7 million class E at 'A-sf'; Outlook Stable; -- $9.7 million class F at 'BBB+sf'; Outlook Stable; -- $9.7 million class G at 'BBBsf'; Outlook Stable; -- $3.6 million class K at 'Bsf'; Outlook Negative; -- $3.6 million class L at 'CCCsf'; RE 90%; -- $2.4 million class N at 'CCsf'; RE 0%; -- $1.2 million class O at 'Csf'; RE 0%. Fitch does not rate the class M and P certificates. Fitch had previously withdrawn the rating on the interest-only class A-X and A-SP certificates. CREDIT SUISSE 2004-3: Fitch Cuts Rating on Class E Certs to 'CC' ---------------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed 11 classes of Credit Suisse First Boston Mortgage Securities Corporation's commercial mortgage pass-through certificates, series 2004-C3 due to an increase in Fitch's expected losses. Key Rating Drivers Fitch modeled losses of 4.8% of the remaining pool; expected losses on the original pool balance total 8.5%, including losses already incurred. The pool has experienced $86.2 million (5.3% of the original pool balance) in realized losses to date. Fitch has designated 41 loans (19.9%) as Fitch Loans of Concern, which includes 13 specially serviced assets (7%). As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 35.2% to $1.06 billion from $1.64 billion at issuance. Per the servicer reporting, 29 loans (38.2% of the pool) are defeased. Interest shortfalls are currently affecting classes D through P. The largest contributor to expected losses is a 184,616 square foot (sf) office property in Danvers, MA, 20 miles north of Boston (1.6% of the pool). The loan, which matured in April 2009, had transferred to special servicing in February 2009 upon the borrower's request for an extension of the maturity date. The property has remained in receivership since November 2009. Extensive renovations including the building lobby, parking lot, gym, and HVAC systems are expected to be completed in April 2013. Due to the recent improvements there is approximately $10 million in advances outstanding on the loan. Occupancy at the property has increased to 89%, primarily leased by Copyright Clearance Corporation who recently extended the lease (55% of net rentable area [NRA]) through April 2024. The servicer continues to pursue foreclosure. The special servicer is expecting the receipt of a new appraisal. As the property has undergone renovations and occupancy is trending upwards, the valuation should be improving. Should the value be lower than expected and the servicer determines any outstanding advances to be non-recoverable, interest shortfalls could increase and impact additional classes in the transaction. The next largest contributor to expected losses is a 270 unit multifamily property in Palm Bay, FL (1.1%). The loan had transferred to the special servicer in December 2008 for payment default and became real estate owned (REO) in July 2011. The servicer reported occupancy at 92% in February 2013, a significant increase from October 2011 at 66%. The servicer is stabilizing the property through continued lease-up and completion of deferred maintenance items. The property has not been marketed for sale at this point. The third largest contributor to expected losses is a specially- serviced 109,146 sf suburban office property in New Port Richey, FL (0.8%).The loan transferred to special servicer in October 2012 due to monetary default. The property has a debt service coverage ratio (DSCR) of 0.79x as of July 2012 and is approximately 73% occupied with most leases expiring within the next 36 months. The special servicer is proceeding with foreclosure unless a reason able offer is received from the borrower. Rating Sensitivities The Negative Outlook on class C reflects concerns with the increased concentration of the pool and that a large percentage of the loans mature in 2014. The 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 existing specially serviced loans. Additional downgrades to the distressed classes (those rated below 'B') are expected as losses are realized. The ratings of the senior and B classes are expected to remain stable. Fitch will continue to monitor the expected valuation and outstanding advances on the largest specially serviced loan. If a non-recoverability determination is made and interest shortfalls increase to the 'AAA' classes, downgrades may occur. According to Fitch's global criteria for rating caps, Fitch will not assign or maintain 'AAAsf' or 'AA' ratings for notes that are experiencing interest shortfalls or deferrals, even if permitted under the terms of the documents. Fitch downgrades the following classes and assigns or revises Rating Outlooks and Recovery Estimates (REs) as indicated: -- $45.1 million class B to 'BBBsf' from 'AAsf', Outlook Stable; -- $14.3 million class C to 'BBsf' from 'BBBsf', Outlook to Negative from Stable; -- $28.7 million class D to 'CCCsf' from 'BBsf', RE 100%; -- $16.4 million class E to 'CCsf' from 'CCCsf', RE 15%. Fitch affirms these classes as indicated: -- $30.2 million class A-4 at 'AAAsf', Outlook Stable; -- $694.5 million class A-5 at 'AAAsf', Outlook Stable; -- $201 million class A-1-A at 'AAAsf', Outlook Stable; -- $20.5 million class F at 'Csf', RE 0%; -- $12.1 million class G at 'Dsf', RE 0%; -- $0 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 O at 'Dsf', RE 0%. The class A-1, A-2 and A-3 certificates have paid in full. Fitch does not rate the class N and P certificates which have been reduced to zero due to realized losses. Fitch previously withdrew the ratings on the interest-only class A-X and A-SP certificates. CWABS 2005-BC2: Moody's Takes Action on $31 Million Subprime RMBS ----------------------------------------------------------------- Moody's Investors Service downgraded the rating of class M-2 to A3 (sf) from Aa2 (sf) and placed it on further review for downgrade, and placed the ratings of class M-3 and M-4 on review, direction uncertain, from CWABS Asset-Backed Certificates Trust 2005-BC2, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2005-BC2 Cl. M-2, Downgraded to A3 (sf) and Remains On Review for Possible Downgrade; previously on Jan 10, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Baa3 (sf) Placed Under Review Direction Uncertain; previously on Apr 14, 2010 Downgraded to Baa3 (sf) Cl. M-4, Caa1 (sf) Placed Under Review Direction Uncertain; previously on Apr 14, 2010 Downgraded to Caa1 (sf) Ratings Rationale: The downgrade of class M-2 reflects the structural limitation in the transaction that will impede recoupment of interest shortfalls even if funds are available in subsequent periods. Class M-2 does not have any interest shortfalls to date, but in the event of an interest shortfall, future missed interest payments on the tranche can 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, any future missed interest payments to the tranche 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. The placement on review of classes M-2, M-3, and M-4 reflects discovery of an error in the Structured Finance Workstation (SFW) cash flow model used by Moody's in rating this transaction. In prior rating actions, the model incorrectly modeled the overcollateralization target amount. Class M-2 has been placed on review for downgrade, while class M-3 and M-4 have been placed on review with the direction uncertain, because stepdown cash flows to M-3 and M-4 could offset the impact of the corrected overcollateralization target amount. 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 also adjusts the methodologies for its 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 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 8.2% in March 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. DAVIS SQUARE V: Moody's Lowers Rating on Class S Notes to 'Ba1' --------------------------------------------------------------- Moody's Investors Service downgraded the rating of the following notes issued by Davis Square Funding V, Ltd.: $18,000,000 Class S Floating Rate Notes Due 2016 (current outstanding balance of $4,950,000), Downgraded to Ba1 (sf); previously on March 10, 2010 Downgraded to A1 (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily due to the concerns that under certain circumstances the Class S notes might be exposed to sizable losses if a significant majority of the underlying collateral is sold or redeemed before the expected amortization in full of the Class S Notes in January 2016. Moody's says that it has re-assessed the risk that unscheduled sales or redemptions of collateral pose to holders of the Class S Notes. Under the terms of the transaction's priority of payments, the Class S Notes are entitled to receive a scheduled principal repayment of $150,000 on every payment date, but absent an event of default, all other outstanding principal on the Class S Notes are not paid. In reviewing the potential that unscheduled sales or redemptions of collateral prior to January 2016 may result in constraining the future availability of cashflow to amortize the Class S Notes, Moody's concluded that the risk was more compatible with a speculative grade rating. Davis Square Funding V, Ltd., issued in September 2005, is a collateralized debt obligation backed primarily by a diversified portfolio of RMBS originated from 2004 to 2005. 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. The main source of uncertainty on the rating of Class S notes is the speed of sales and/or unscheduled principal payment of the underlying collateral. The deal is also subject to the uncertainty 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. 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. EMPORIA PREFERRED II: Moody's Affirms Ba1 Rating on Class D Notes ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Emporia Preferred Funding II, Ltd.: $30,000,000 Class B Floating Rate Notes Due October 18, 2018, Upgraded to Aaa (sf); previously on November 6, 2011 Upgraded to Aa1 (sf) $22,000,000 Class C Floating Rate Notes Due October 18, 2018, Upgraded to A1 (sf); previously on November 6, 2011 Upgraded to A2 (sf) Moody's also affirmed the ratings of the following notes: $91,000,000 Class A-1 Floating Rate Notes Due October 18, 2018 (current outstanding balance of $49,568,250), Affirmed Aaa (sf); previously on June 27, 2006 Assigned Aaa (sf) $30,000,000 Class A-2 Floating Rate Notes Due October 18, 2018 (current outstanding balance of $16,341,181), Affirmed Aaa (sf); previously on June 27, 2006 Assigned Aaa (sf) $120,000,000 Class A-3 Floating Rate Notes Due October 18, 2018 (current outstanding balance of $65,364,726), Affirmed Aaa (sf); previously on June 27, 2006 Assigned Aaa (sf) $22,000,000 Class D Floating Rate Notes Due October 18, 2018, Affirmed Ba1 (sf); previously on November 6, 2011 Upgraded to Ba1 (sf) $14,500,000 Class E Floating Rate Notes Due October 18, 2018, Affirmed Ba3 (sf); previously on November 6, 2011 Upgraded to Ba3 (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 November 2011. Moody's notes that the Class A Notes have been paid down by approximately 43.7% or $101.7 million since the last rating action. Based on the latest trustee report dated April 12, 2013, the Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 138.1%, 123.3%, 111.4% and 104.8%, respectively, versus October 2011 levels of 126.9%, 117.1%, 108.7% and 103.8%, respectively. Moody's notes that the overcollateralization ratios reported in the April 2013 trustee report do not include the April 18th, 2013 payment distribution when $22.9 million of principal proceeds were used to pay down the Class A-1, A-2 and A-3 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 April 2013 trustee report, the weighted average rating factor is currently 3006 compared to 2924 in October 2011. Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the April 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 5.5% 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 $229 million, defaulted par of $10.7 million, a weighted average default probability of 24.54% (implying a WARF of 3515), a weighted average recovery rate upon default of 50.64%, and a diversity score of 37. 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. Emporia Preferred Funding II, issued in June 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, with significant exposure to middle market 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. Moody's also notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been assessed through Moody's Credit Estimates ("CEs"). Moody's analysis reflects the application of certain adjustments with respect to the default probabilities associated with CEs. Specifically, the default probability adjustments include (1) a 1 notch-equivalent assumed downgrade for CEs updated between 12-15 months ago; and (2) assuming an equivalent of Caa3 for CEs that were not updated within the last 15 months. Moody's applied the adjustment described in (1) to .36% of the collateral pool and the adjustment described in (2) to 6.64% 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% (2812) Class A-1: 0 Class A-2: 0 Class A-3: 0 Class B: 0 Class C: +3 Class D: +1 Class E: +1 Moody's Adjusted WARF + 20% (4218) Class A-1: 0 Class A-2: 0 Class A-3: 0 Class B: -1 Class C: -1 Class D: -1 Class E: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 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 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. EXETER AUTOMOBILE: S&P Assigns Prelim. BB Rating on Class D Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Exeter Automobile Receivables Trust 2013-1's $300 million automobile receivables-backed notes series 2013-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of April 29, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 46.9%, 40.4%, 31.8%, and 24.4% credit support for the class A, B, C, and D notes, respectively, based on stressed cash flow scenarios (including excess spread), which provide coverage of more than 2.55x, 2.10x, 1.60x, and 1.30x its 17.0%-18.0% expected cumulative net loss. -- The timely interest and principal payments made to the preliminary rated notes by the assumed legal final maturity dates under stressed cash flow modeling scenarios that S&P believes is appropriate for the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, S&P's ratings on the class A and B notes would remain within one rating category of its preliminary 'AA (sf)' and 'A (sf)' ratings, respectively, during the first year; and its ratings on the class C and D notes would remain within two rating categories of its preliminary 'BBB (sf)' and 'BB (sf)' ratings, respectively. These potential rating movements are consistent with S&P's credit stability criteria, which outlines the outer bound of credit deterioration as a one-category downgrade within the first year for 'AA' rated securities and a two-category downgrade within the first year for 'A' through 'BB' rated securities under the moderate stress conditions. -- The servicer's experienced management team, which has an average of more than 16 years' experience in the auto finance industry. -- S&P's analysis of five years of static pool data on Exeter Finance Corp.'s (Exeter's) lending programs. -- The fact that Exeter is not yet profitable, has a relatively short, five-year performance history compared to its peers, and has been growing its portfolio very rapidly. -- The transaction's payment/credit enhancement 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/1498.pdf PRELIMINARY RATINGS ASSIGNED Exeter Automobile Receivables Trust 2013-1 Class Rating Type Interest Amount rate(i) (mil. $)(i) A AA (sf) Senior Fixed 204.12 B A (sf) Subordinate Fixed 33.25 C BBB (sf) Subordinate Fixed 37.88 D BB (sf) Subordinate Fixed 24.75 (i) The interest rates and actual sizes of these tranches will be determined on the pricing date. G SQUARE 2006-1: Moody's Lowers Rating on Class X Notes to 'Ba1' ---------------------------------------------------------------- Moody's Investors Service downgraded the rating of the following notes issued by G Square Finance 2006-1, Ltd.: $16,000,000 Class X Senior Secured Floating Rate Notes Due 2051 (current outstanding balance of $691,239), Downgraded to Ba1 (sf); previously on March 3, 2010 Downgraded to A1 (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily due to the concerns that under certain circumstances the Class X notes might be exposed to sizable losses if a significant majority of the underlying collateral is sold or redeemed before the expected amortization in full of the Class X Notes in October 2013. Moody's says that it has re-assessed the risk that unscheduled sales or redemptions of collateral pose to holders of the Class X Notes. Under the terms of the transaction's priority of payments, the Class X Notes are entitled to receive a scheduled principal repayment of $621,000 on every payment date, but absent an event of default and assets acceleration, all other outstanding principal on the Class X Notes are not paid. In reviewing the potential that unscheduled sales or redemptions of collateral prior to October 2013 may result in constraining the future availability of cashflow to amortize the Class X Notes, Moody's concluded that the risk was more compatible with a speculative grade rating. G Square Finance 2006-1, Ltd., issued in March 2006, is a collateralized debt obligation backed by a portfolio of ABS, primarily RMBS. 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. The main source of uncertainty on the rating of Class X notes is the speed of sales and/or unscheduled principal payment of the underlying collateral. The deal is also subject to the uncertainty 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. 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. GMAC COMMERCIAL 1999-C1: Fitch Affirms 'D' Rating on Class J Certs ------------------------------------------------------------------ Fitch Ratings has affirmed four classes of GMAC Commercial Mortgage Securities, Inc. 1999-C1, commercial mortgage pass- through certificates series. KEY RATING DRIVERS The affirmations of the four remaining classes are due to the sufficient credit enhancements to offset increasing loan concentrations and adverse selection with only 25 nondefeased loans (72.9%) remaining. Fitch modeled losses of 4.2% of the remaining pool; expected losses on the original pool balance total 3.2%, including losses already incurred. The pool has experienced $39 million (2.9% of the original pool balance) in realized losses to date. Fitch designated seven loans (41.3%) as Fitch Loans of Concern, and one loan (0.12%) is in special servicing. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 94.4% to $74.2 million from $1.33 billion at issuance. There are currently eight loans (27.1% of the pool) defeased loans within pool. Interest shortfalls are currently affecting classes J through K-2. The largest contributor to expected losses is a loan (2.7%), which is secured by a 197 pad mobile home park located in Raleigh, NC. The property ceased operations in September 2008 and has been vacant ever since. The master servicer reports that the borrower has been trying to sell the property since it closed due to the rezoning of the land for multifamily use. The loan has remained current since issuance. RATINGS SENSITIVITIES The Rating Outlooks of the remaining investment grade classes remain stable due to the amount of defeasance and the overall low leverage of the remaining loans in the pool. The largest loan in the pool, an office property in Detroit, MI (32.5%), can withstand up to 100% loss without impacting the investment grade ratings. The Outlook for the 'B+' rated class H will remain Negative as there is maturity concentration risk with 76.3% of the pool maturing in 2013 and 2014. Fitch affirms the following classes and assigns Recovery Estimates (RE) as indicated: -- $23.1 million class F at 'AAsf'; Outlook Stable; -- $13.3 million class G at 'BBBsf'; Outlook Stable; -- $26.7 million class H at 'B+sf'; Outlook Negative.; -- $11.1 million class J at 'Dsf'; RE 80%. Fitch does not rate classes K-1 and K-2. Classes A-1, A-2, B, C, D and E have paid in full. Fitch previously withdrew the rating on the interest-only class X certificates. GMAC COMMERCIAL 2002-C3: Fitch Affirms Ratings on 9 Certificates ---------------------------------------------------------------- Fitch Ratings has affirmed nine classes of GMAC Commercial Mortgage Securities, Inc., series 2002-C3 commercial mortgage pass-through certificates. Key Rating Drivers The affirmations are due to sufficient credit enhancement to absorb expected losses. Fitch modeled losses of 23.5% of the remaining pool; expected losses on the original pool balance total 3.7%, including losses already incurred. The pool has experienced $14.3 million (1.8% of the original pool balance) in realized losses to date. Fitch has designated seven loans (90.7%) as Fitch Loans of Concern, which includes seven specially serviced assets (90.7%). As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 92.2% to $61 million from $777.4 million at issuance. Per the servicer reporting, one loan (3.5% of the pool) has defeased since issuance. Interest shortfalls are currently affecting classes J through P. The largest contributor to expected losses is the specially- serviced Nashville Business Center loan (15.2% of the pool), which is secured by a 893,100 square foot industrial complex located in Murfreesboro, TN. The collateral was transferred to the special servicer in November 2011 after a major tenant occupying 50% of the space vacated in 2010. The servicer is pursuing foreclosure, although a modification is also being considered. The next largest contributor to expected losses is a 166,931 square foot community shopping center located in Traverse City, MI. The property is real estate owned (REO), the special servicer has worked to re-lease the vacant anchor space and Big Lots has backfilled Tom's Market space. The property is currently 80% occupied and in fair/good condition. Several shop tenants have renewed, and a new lease with a national shop tenant is being negotiated. The special servicer plans to begin marketing this property for sale shortly. The third largest contributor to expected losses is a 67 unit multi-family complex located in Southfield MI, northwest of Detroit (6.4%). The loan was foreclosed and the Trust took title on Sept. 28, 2010. As of April 1, 2013, the property is 65% occupied and is currently being marketed for sale. Rating Sensitivities The rating on the class G note is expected to be stable as the credit enhancement remains high. The Negative Outlooks on classes H through K reflect the smaller- than-average class sizes, as well as concerns with the high concentration of specially serviced assets in this pool. These classes are susceptible to downgrades should these specially serviced loans incur losses. Fitch affirms the following classes as indicated: -- $2.4 million class G at AA+sf; Outlook Stable; -- $9.7 million class H at Asf; Outlook Negative; -- $18.5 million class J at BBsf; Outlook Negative; -- $8.7 million class K at Bsf; Outlook Negative; -- $5.8 million class L at CCCsf; RE 100%; -- $4.9 million class M at CCsf; RE 30%; -- $3.9 million class N at CCsf; RE 0%; -- $2.7 million class O-1 at Csf; RE 0%; -- $1.2 million class O-2 at Csf; RE 0%. The class A-1, A-2, B, C, D, E and F certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. GREENWICH CAPITAL: Admin Changes No Impact on Moody's Ratings ------------------------------------------------------------- Moody's Investors Service reports that the proposed change in collateral administrator for Greenwich Capital Commercial Mortgage Trust 2007-RR2, Commercial Mortgage Backed Securities if implemented, would not, in and of itself and as of this time, result in the downgrade or withdrawal of the certificates issued by Greenwich Capital Commercial Mortgage Trust 2007-RR2, Commercial Mortgage Backed Securities. The proposed changes may be summarized as follows: the rights, interests, duties and obligations of Swiss Re Portfolio Advisors Corporation, as collateral administrator, are being assigned to and assumed by JER 2006 Manager LLC, a wholly owned subsidiary of C-III Investment Management LLC, which is wholly owned by C-III Capital Partners LLC. Moody's understands that there are no proposed changes to the economic terms and conditions of the collateral administration agreement. Moody's has determined that the change, if implemented, in and of itself and at this time, will not result in the downgrade or withdrawal of the certificates currently issued by Greenwich Capital Commercial Mortgage Trust 2007-RR2, Commercial Mortgage Backed Securities. However, Moody's opinion addresses only the credit impact associated with the proposed change, and Moody's is not expressing any opinion as to whether the 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 Greenwich Capital Commercial Mortgage Trust 2007-RR2, Commercial Mortgage Backed Securities was taken on January 31, 2013. The methodologies used in rating and monitoring of this transaction is described in the following publications: "Moody's Approach to Rating SF CDOs" published in May 2012, "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. On January 31, 2013, Moody's affirmed the ratings of four classes of certificates issued by Greenwich Capital Commercial Mortgage Trust 2007-RR2: Cl. A-1FL, Affirmed C (sf); previously on Mar 7, 2012 Downgraded to C (sf) Cl. A-1FX, Affirmed C (sf); previously on Mar 7, 2012 Downgraded to C (sf) Cl. X, Affirmed C (sf); previously on Feb 22, 2012 Downgraded to C (sf) Cl. A-2, Affirmed C (sf); previously on Apr 28, 2010 Downgraded to C (sf) GTP ACQUISITION: Moody's Rates $55-Mil. Class F Notes 'Ba3' ----------------------------------------------------------- Moody's Investors Service assigned definitive ratings to the Class C and Class F Secured Tower Revenue Notes, Global Tower Series 2013-1 (the 2013 Notes), issued by GTP Acquisition Partners I, LLC (the Issuer). The Issuer is an indirect wholly owned subsidiary of Global Tower Holdings, LLC (GTP), a leading non-carrier operator of wireless tower assets in the United States. GTP is under the control of funds affiliated with The Macquarie Group. The anticipated repayment date (ARD) for the 2013 Notes will be in May 2018, and the final distribution date will be in May 2043. In addition, Moody's said that the issuance of the 2013 Notes, in and of itself and at this time, will not result in a reduction, withdrawal, or placement under review for possible downgrade of the ratings currently assigned to any outstanding series of notes issued by the Issuer. The complete rating actions follow: Issuer: GTP Acquisition Partners I, LLC $190,000,000 Class C Secured Tower Revenue Notes, Global Tower Series 2013-1, Definitive Rating Assigned A2 (sf) $55,000,000 Class F Secured Tower Revenue Notes, Global Tower Series 2013-1, Definitive Rating Assigned Ba3 (sf) The Issuer can issue multiple series of securities, and to date has issued three, of which two remain outstanding: 1) the $70,000,000 Class C Series 2011-1, with an ARD of June 2016, and 2) the $490,000,000 Class C and $155,000,000 Class F Series 2011- 2, with an ARD of June 2016 (together, the existing Notes; together with the 2013 Notes, the Notes). The 2013-1 Class C will rank pari passu with the 2011-1 and 2011-2 Class C notes. The 2013-1 Class F will rank pari passu with the 2011-2 Class F notes and be subordinate to each of the 2011-1, 2011-2 and 2013-1 Class C notes. Ratings Rationale: The Issuer owns various subsidiaries (the Asset Entities) directly or indirectly. These Asset Entities own tower sites in fee or pursuant to long-term leases. The Asset Entities lease space on the tower sites to a variety of users, primarily major wireless telephony carriers. The cash flows from these tenant leases will be used to repay the Notes. As of the closing date, the Asset Entities own, lease or manage 2,903 tower sites, including 437 newly added sites. As of February 2013, this tower pool had an annualized run rate net cash flow of approximately $116 million. Moody's estimated the value of the tower pool by calculating the present value of the net cash flow that the tower pool is likely to generate from leases on the towers. Moody's then determined the ratings on the 2013 Notes by comparing such assessed value to the cumulative debt issued for each rating category. Moody's assessed value for the tower pool was approximately $1.21 billion. Pro forma for the issuance of the 2013 Notes, the 2013-1 Class C notes have a cumulative loan-to-value (CLTV) ratio of approximately 61.8%, and the 2013-1 Class F, have a CLTV ratio of approximately 79.1%. The CLTV ratio is the loan-to-value ratio of the combined amounts of the 2013 Notes and the existing Notes; the loan-to- value ratio of a given class is the combined outstanding balance of that class and all of the more senior classes. The ratings also take into account the security for the Notes. The Notes are secured by a first mortgage lien on the Asset Entities' interests (fee, leasehold or easement) in the tower sites. On the closing date, these tower sites are likely to generate no less than 90% of revenue. The Notes also have a perfected security interest in the Asset Entities' personal property and fixtures on the mortgaged sites, which will allow the indenture trustee to foreclose directly both on these assets/rights and on the equity of the Asset Entities themselves. In addition, the Notes are also secured by perfected security interests in all of the following: 1) the personal property and fixtures the Asset Entities own that are associated with tower sites that are not mortgaged sites; 2) the Asset Entities' rights under certain agreements; 3) the equity interests of the Issuer and each of the Asset Entities; 4) all of the reserve accounts established pursuant to the indenture; and 5) all of the proceeds of the foregoing. Moody's ratings address only the credit risks associated with the transaction. The ratings do not address other non-credit risks that could significantly affect the yield to investors; among these risks are those associated with repayment on the ARD, the timing of any principal prepayments, the payment of prepayment penalties and the payment of post-ARD Additional Interest. Ratings of Existing Series Unaffected Moody's reports that the issuance of the 2013 Notes, at this time, in and of itself, will not result in a reduction, withdrawal, or placement under review for possible downgrade of the ratings currently assigned to any outstanding series of notes issued by the Issuer. As mentioned, the 2013-1 Class C rank pari passu with the 2011-1 and 2011-2 Class C notes and the 2013-1 Class F rank pari passu with the 2011-2 Class F notes and is subordinated to each of the 2011-1, 2011-2 and 2013-1 Class C notes. As such, Moody's believed that the issuance of the 2013 Notes did not have an adverse effect on the credit quality of the existing Notes such that the Moody's ratings were impacted. Moody's did not express an opinion as to whether the issuance could have other, noncredit-related effects. Moody's V-Score and Parameter Sensitivities The V Score for this transaction is Medium. The Medium V Score indicates an average degree of structural complexity and uncertainty about critical assumptions. The Medium score for this transaction derives from the Medium score for historical sector and issuer performance, for availability of historical data, and for transaction governance. While historic collateral performance has been good, and there have been no downgrades to date in this sector, the sector's data dates back fifteen years or so, while securitization data go back only about seven years. Hence, the past experience does not include a period of significant stress such as a default by a major wireless carrier or bankruptcy of a cell tower operator. The Medium score for the issuer's historical performance and availability of historical data is due to Moody's view that even though GTP was founded in 2002 and hence has not been in existence as long as its peers, its historical data is substantially equivalent to the sector because of the nature of the assets. Finally, the Medium score for transaction governance is due mainly to the fact that 1) GTP has relatively limited securitization experience, because it has issued only four transactions since 2007; 2) Moody's does not rate GTP; and 3) GTP is a relatively small company compared to the other publicly traded cell tower operators. Moody's Parameter Sensitivities: In its rating analysis, Moody's uses a variety of assumptions to assess the present value of the net cash flow that the tower pool is likely to generate. Based on these cash flows, the quality of the collateral and the transaction's structure, Moody's calculates the total amount of debt consistent with a given rating level. Hence, a material change in the assessed net present value could result in a change in the ratings. In its parameter sensitivity analysis, Moody's therefore focuses on the transaction's sensitivity to this variable. Specifically, if the tower pool's expected net cash flows were to decline by 5%, 10% or 15% from the Base Case net cash flows Moody's used in determining the initial rating, the potential model-indicated ratings for the 2013-1 Class C notes rated (P) A2(sf) would change from the base case of A2 (0) to a respective Baa1(2), Baa3(4) and Ba1(5), and the potential model-indicated ratings for the 2013-1 Class F notes rated (P) Ba3(sf) would change from the base case of Ba3 (0) to a respective B1(1), B2(2) and B3(3). 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 Moody's used in the initial rating process differed. The analysis assumes that the transaction has not aged. Furthermore, parameter sensitivities reflect only the ratings impact of each scenario from a quantitative/model- indicated standpoint. Moody's also takes into consideration qualitative factors in the ratings process, so the actual ratings it assigns in each case could vary from the information in the Parameter Sensitivity analysis. Principal Methodology The principal methodology Moody's used for this rating was "Moody's Approach to Rating Wireless Towers-Backed Securitizations," published in September 2005. As the methodology describes, Moody's derives an asset value for the collateral that it compares to the proposed bond issuance amounts. In deriving the value of the assets in this transaction, Moody's viewed the historical performance of the underlying tower pool, and evaluated and analyzed comparable public company data and market information from a variety of third parties. The following are the key assumptions Moody's used in its quantitative analysis: 1) Revenue growth: Moody's assumed two sources of revenue growth for wireless voice/data: a) lease escalators fixed at 3.5% until year five; 3.25% for years 6-15; 3% for years 16-20; and 2% for year 21 and after; and b) organic growth resulting in an incremental increase in revenue of approximately 3.8% per annum over a period of four years. Moody's assumed that revenues from broadcasting would decline continuously over a 15-year period to a third of current levels and that data/other revenues would decline to zero based on a triangular distribution ranging from five to ten years. 2) Operating expenses: Moody's assumed that operating expenses would vary, such that net tower cash flow margins (excluding management fees and maintenance capital expenditures) would range from 65% to 81% based on a triangular distribution. 3) Maintenance capital expenditures: Moody's assumed that these expenditures would amount to $720 per tower per annum and would increase 2% to 4% every year. 4) Tenant (wireless voice/data tenants) probability of default: Moody's applied its "idealized" default rate table, using the actual ratings of rated tenants and assuming near-default ratings for others. 5) Recovery upon wireless tenant default: Moody's assumed that these recoveries would be zero in the year following the default, and rise to 80% for large carriers, and to 50% or 60% for small carriers, of pre-default revenues over the two years following. 6) Discount rate: Moody's assumed a discount rate to net cash flow of 8.5% to 13.00%. HAMPTON ROADS: Fitch Affirms 'BB' Rating on Class III Bonds ----------------------------------------------------------- Fitch Ratings has affirmed the ratings for the following classes of Hampton Roads PPV, LLC military housing taxable revenue bonds (Hampton Roads Unaccompanied Housing Project), 2007 series A (the bonds): -- Approximately $210 million class I at 'A+'; -- Approximately $58 million class II at 'BBB-'; -- Approximately $9 million class III at 'BB'. The Rating Outlook on the bonds is revised to Negative from Stable. SECURITY The bonds are special limited obligations of the issuer and are primarily secured by a first lien on all receipts from the operation of the unaccompanied housing project known as Hampton Roads at Norfolk Naval Complex. The absence of a cash funded debt service reserve fund limits protections afforded bondholders. KEY RATING DRIVERS DEBT SERVICE COVERAGE: The ratings on the bonds are being affirmed based on the 2012 debt service coverage ratios (DSCR) of 1.48x, 1.14x and 1.09x, respectively which are down from 2011 coverage levels of 1.59x, 1.23x and 1.15x. DEPLOYMENT IMPACTS OCCUPANCY: All bonds are being assigned a Negative Outlook based on current year to date occupancy levels for the subject property. The project experienced a dip in occupancy during first quarter 2013 due to an unplanned ship deployment with approximately 1,000 service member move outs. The average occupancy for first quarter was 89.4%. Management reports that the deployed ship has returned and occupancy is back up to 97%. OPERATING EXPENSES: 2013 ended with revenue slightly below projections (-2%) and operating expenses exceeding budget by 7.4% largely due to high turnover levels. Managing expenses will continue to challenge the project operator as the bond debt service increased to its maximum in 2013 (from $17.7 million in 2011 to $19.3 million in 2013). ABSENCE OF CASH RESERVE: The absence of a cash funded debt service reserve fund detracts from bond holder security for all classes of bonds; however, the class III bonds are most vulnerable to this fact. BAH FLUCTUATIONS: The Basic Allowance for Housing (BAH) rates demonstrated a 5.25% increase in 2013 following declines of 1.36% and 0.81% in 2012 and 2011 respectively. Based on third party REIS data for the Norfolk/Hampton Roads area, there is uncertainty as to what will be the effect of the U.S. defense budget cuts on the rental market. RATING SENSITIVITES DECREASED OCCUPANCY AND/OR INCREASED EXPENSES: Management's ability to maintain high occupancy levels and control operating expenses, especially for the remainder of 2013. BAH DECREASE: Future annual fluctuations in BAH rates for the Norfolk area could impact DSCRs. UNPLANNED DEPLOYMENTS: Deployments that may occur outside of the planned schedule may put negative pressure on net operating income and DSCRs due to high turnover beyond what is normally experienced. There are no scheduled carrier deployments until February 2014. CREDIT PROFILE PROJECT OVERVIEW The housing project located on Norfolk Naval Complex base in Virginia (known as Hampton Roads) is providing apartment residences for single (i.e., unaccompanied) U.S. Navy enlisted personnel. Hampton Roads is providing 1,189 two-bedroom, two-bath apartments, each with a kitchen and living room. In addition to the new units, existing housing facilities were renovated to provide another 39 units. DEBT SERVICE COVERAGE The project's 2012 respective DSCRs of 1.48x, 1.14x and 1.09x are down from 2011 coverage levels. Debt service, as originally planned, will increase to $19.3 million in 2013 (from $17.7 million in 2011) with principal starting to amortize. Debt service remains level throughout the life of the bonds following this increase. When the increased debt service is assumed and applied to the year to date net operating income (NOI) as of March 2013 and the budgeted NOI for the remainder of 2013 (nine month period ending December 2013 with a 5% vacancy factor), the bonds demonstrate the following DSCRs: -- Class I bonds: 1.47x -- Class II bonds: 1.14x -- Class III bonds: 1.09x These ratios will only be achieved if there are no increases in aggregate operating expenses and the property maintains occupancy at a minimum of 95% for the remainder of the year. Fitch views unaccompanied military housing projects as having more risk than military family housing projects given the varied profile of the respective tenant bases. Unaccompanied housing projects tend to be subject to higher levels of physical wear and higher annual turnover which leads to higher operating expenses. Therefore, Fitch expects that the DSCRs for an unaccompanied project will be higher than those of military family housing transactions at the same rating level to account for this dynamic. Property management reports that the project continues to experience operating expenses that are approximately 20% higher than what was originally anticipated. OCCUPANCY AND DEPLOYMENT The project experienced a dip in occupancy during first quarter 2013 due to an unplanned ship deployment with approximately 1,000 service member move outs. The average occupancy for January 2013 - March 2013 was 89.4% which is down from 90% in late 2012. Management reports that the deployed ship has returned and occupancy is back up to 97%. Project management will continue to be challenged by the potential for future deployments and the need to reoccupy units. Management reports that there are no scheduled carrier deployments until February 2014. DEBT SERVICE RESERVE FUND The bonds have a debt service reserve fund whereby AMBAC serves as the surety bond provider sized at maximum annual debt service. Fitch does not assign any value to the AMBAC surety bond and does not rely on its presence in the event of project financial deterioration. In addition, there is an excess collateral agreement in place in the amount of $6.5 million which acts as a line of credit to the project from Merrill Lynch (rated 'A/F1'; Stable Outlook) with a wrap from AIG (rated 'BBB+'; Stable Outlook). At this time, the surety bond and excess collateral agreement providers have had their creditworthiness downgraded or withdrawn completely since the issuance of the bonds. As a result, Fitch no longer gives any credit in the analysis to those agreements. HSBC HOME: Moody's Reviews Ratings on 10 Subprime RMBS Tranches --------------------------------------------------------------- Moody's Investors Service has placed the ratings of 52 tranches from 10 transactions issued by HSBC on review for downgrade. Complete rating actions are as follows: Issuer: HSBC Home Equity Loan Trust (USA) 2006-1 Cl. A-1, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-2, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. M-1, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aa1 (sf) Cl. M-2, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aa1 (sf) Issuer: HSBC Home Equity Loan Trust (USA) 2006-2 Cl. A-1, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-2, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. M-1, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aa1 (sf) Cl. M-2, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aa1 (sf) Issuer: HSBC Home Equity Loan Trust (USA) 2006-3 Cl. A-3F, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-3V, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. M-1, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aa1 (sf) Cl. M-2, A1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Downgraded to A1 (sf) Issuer: HSBC Home Equity Loan Trust (USA) 2006-4 Cl. A-3F, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-3V, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. M-1, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aa1 (sf) Cl. M-2, A2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Downgraded to A2 (sf) Issuer: HSBC Home Equity Loan Trust (USA) 2007-1 Cl. A-S, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-2F, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-2V, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-3F, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-3V, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. M-1, A1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Downgraded to A1 (sf) Cl. M-2, A3 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Downgraded to A3 (sf) Issuer: HSBC Home Equity Loan Trust (USA) 2007-2 Cl. A-S, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Downgraded to Aa1 (sf) Cl. A-M, A2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Downgraded to A2 (sf) Cl. A-2F, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-2V, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-3F, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-3V, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-4, A1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Downgraded to A1 (sf) Cl. M-1, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 14, 2012 Upgraded to Baa2 (sf) Cl. M-2, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 14, 2012 Upgraded to Ba2 (sf) Issuer: HSBC Home Equity Loan Trust (USA) 2007-3 Cl. A-2, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-3, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-4, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Downgraded to Aa2 (sf) Cl. A-PT, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Downgraded to Aa2 (sf) Cl. M-1, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Downgraded to Baa2 (sf) Cl. M-2, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Downgraded to Ba1 (sf) Issuer: HSBC Home Equity Loan Trust 2005-1 Cl. A, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. M, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aa1 (sf) Issuer: HSBC Home Equity Loan Trust 2005-2 Cl. A-1, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-2, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. M-1, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aa1 (sf) Cl. M-2, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aa1 (sf) Issuer: HSBC Home Equity Loan Trust 2005-3 Cl. A-1, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. A-2, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aaa (sf) Cl. M-1, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aa1 (sf) Cl. M-2, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Confirmed at Aa2 (sf) Ratings Rationale: The review actions reflect errors in the Structured Finance Workstation (SFW) cash flow models previously used by Moody's in rating these transactions, specifically in how the model handles principal and interest allocation for these transactions. The cash flow models used in the past rating actions had incorrectly used separate interest and principal waterfalls. In the impacted deals, all collected principal and interest is commingled into one payment waterfall to pay all promised interest due on bonds first, then to pay scheduled principal. With commingling of funds, even principal proceeds will be used to pay accrued interest, which could result in reduced principal recovery for bonds outstanding. 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 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 8.2% in March 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. INDEPENDENCE II: Fitch Cuts Rating on Class B Notes to 'D' ---------------------------------------------------------- Fitch Ratings has upgraded one and downgraded one class of notes issued by Independence II CDO, Ltd./Inc. (Independence II) as follows: -- $6,384,788 class A notes upgraded to 'Asf' from 'BBBsf'; Outlook Stable; -- $78,000,000 class B notes downgraded to 'Dsf' from 'CCsf'. 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', for the class A notes. Fitch also considered additional qualitative factors in its analysis, as described below. Key Rating Drivers The upgrade for the class A notes reflects the significant deleveraging of the transaction increasing credit enhancement levels to more than offset the negative effects of deterioration. Since last review, the notes have amortized approximately $30.5 million, or 82.7%, of its previous outstanding balance using principal redemptions and excess spread due to an acceleration in October 2012, following the February 2006 Event of Default. There has been moderate deterioration in the credit quality of the collateral since Fitch's previous rating action in May 2012, with approximately 23.8% of the portfolio downgraded a weighted average of 2.5 notches and 15.7% of the portfolio upgraded a weighted average of 1.4 notches. Approximately 80.7% of the current portfolio has a Fitch-derived rating below investment grade and 71.4% has a rating in the 'CCC' rating category or lower, compared to 67.1% and 52.7% respectively, at last review. Although the class A notes are able to pass at higher rating levels in the cash flow model, Fitch is capping the rating at 'Asf' due to the distressed nature of the remaining underlying portfolio. The Stable Outlook on the class A notes reflects Fitch's view that the notes' credit enhancement and breakeven levels provide sufficient cushion against potential future negative rating migration in the underlying portfolio over the next one to two years. Fitch does not assign Outlooks to tranches rated 'CCC' and below. The class B notes have been downgraded to 'Dsf', since they are no longer receiving timely interest payments due to the accelerated waterfall. 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. Independence II is a cash flow collateralized debt obligation (CDO) that closed on July 26, 2001 and is managed by Declaration Management & Research LLC. As of the March 31, 2013 trustee report, the portfolio is comprised of residential mortgage-backed securities (50.7%), commercial and consumer asset-backed securities (23.6%), commercial mortgage-backed securities (11.8%), structured finance CDOs (11.5%), and corporate CDOs (2.4%), from 1999 through 2004 vintage transactions. ING IM 2013-2: S&P Assigns 'BB' Rating on Class D Notes ------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to ING IM CLO 2013-2 Ltd./ING IM CLO 2013-2 LLC's $427.45 million fixed- and floating-rate notes. The note issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which 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 0.28% to 13.84%. -- 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 the excess interest proceeds that are available prior to paying uncapped administrative expenses, subordinated and incentive management fees, and subordinated note payments into principal proceeds for the purchase of additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1436.pdf RATINGS ASSIGNED ING IM CLO 2013-2 Ltd./ING IM CLO 2013-2 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 297.00 A-2a AA (sf) 25.00 A-2b AA (sf) 20.00 B (deferrable) A (sf) 34.85 C (deferrable) BBB (sf) 21.40 D (deferrable) BB (sf) 19.10 E (deferrable) B (sf) 10.10 Subordinated securities NR 42.80 ING INVESTMENT: S&P Lowers Rating on Class D Notes to 'B+' ---------------------------------------------------------- Standard & Poor's Ratings Services said it has lowered its ratings on the class D notes from ING Investment Management CLO III Ltd. At the same time, S&P affirmed its ratings on the class A-1, A-2a, A-2b, A-3, B, and C notes from ING Investment Management CLO III Ltd. and the class A-1, A-2, B, C, and D notes from ING Investment Management CLO IV Ltd. The two deals are U.S. collateralized loan obligation (CLO) transactions managed by ING Alternative Asset Management LLC. The ING Investment Management CLO III Ltd. reinvestment period ended in January 2013, and the ING Investment Management CLO IV Ltd. reinvestment period is expected to end in January 2014. Both transactions have seen an increased number of defaulted assets in the two portfolios since S&P's rating actions in February 2011. As of the most recent April 2013 trustee reports, the ING Investment Management CLO III Ltd. transaction held $7.5 million in defaults, and the ING Investment Management CLO IV Ltd. held $7.8 million in defaults, up from $3.1 million and $4.5 million, respectively, in defaults as of the January 2011 trustee reports. The downgrade of the class D notes from ING Investment Management CLO III Ltd. reflects the application of S&P's largest obligor test for corporate CDOs. The affirmations reflect the sufficient credit support available to the notes at the current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them and 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 LOWERED ING Investment Management CLO III Ltd. Class To From D B+ (sf) BB (sf) RATINGS AFFIRMED ING Investment Management CLO III Ltd. Class Rating A-1 AA+ (sf) A-2a AAA (sf) A-2b AA+ (sf) A-3 AA (sf) B A (sf) C BBB (sf) ING Investment Management CLO IV Ltd. Class Rating A-1 AA+ (sf) A-2 AA (sf) B A (sf) C BBB (sf) D BB (sf) INTEGRAL FUNDING: S&P Affirms 'CCC+' Rating on Class D Notes ------------------------------------------------------------ Standard & Poor's Ratings Services withdrew its ratings on four classes from Integral Funding Ltd., a collateralized loan obligation (CLO) transaction. At the same time, S&P affirmed its rating on one class. The class A-2, A-3, B, and C notes were paid down in full on the April 15, 2013, payment date, following a March 22, 2013, notice indicating that the equity noteholders directed an optional redemption of the transaction. Therefore, S&P is withdrawing its rating on these classes accordingly. Following a full interest payment and a partial principal payment to the class D notes on the April 15, 2013, optional redemption payment date, the transaction did not have sufficient principal proceeds remaining to pay the class D notes in full. This resulted in an event of default for the transaction. Following the payment date, according to the April 14, 2013, payment date report, the remaining balance on the class D notes is $12.90 million, while the transaction holds $48.06 million in performing collateral debt securities. The affirmation to the class D notes reflects S&P's belief that the credit support available is commensurate with the current rating level. S&P 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS WITHDRAWN Integral Funding Ltd. Rating Class To From A-2 NR AAA (sf) A-3 NR AAA (sf) B NR AA+ (sf) C NR BBB+ (sf) RATING AFFIRMED Class Rating D CCC+ (sf) NR-Not rated. IRVINE CORE: S&P Assigns Prelim. 'BB+' Rating to Class F Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Irvine Core Office Trust 2013-IRV's $874.9 million commercial mortgage pass-through certificates series 2013-IRV. The note issuance is a commercial mortgage-backed securities transaction backed by 10 uncrossed commercial mortgage loans with an aggregate principal balance of $874.9 million, secured by the fee interests in 10 office properties in the Los Angeles, Irvine, and Newport Beach markets in California. The preliminary ratings are based on information as of April 30, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1505.pdf PRELIMINARY RATINGS ASSIGNED Irvine Core Office Trust 2013-IRV Class Rating(i) Amount ($) A-1 AAA (sf) 199,143,000 A-2 AAA (sf) 360,966,000 X-A AAA (sf) 199,143,000(ii) B AA (sf) 88,438,000 C A (sf) 88,438,000 D BBB+ (sf) 58,959,000 E BBB- (sf) 70,255,000 F BB+ (sf) 8,750,000 (i) The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii) Notional balance. JMP CREDIT: S&P Assigns 'BB' Rating to Class E Notes ---------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to JMP Credit Advisors CLO II Ltd./JMP Credit Advisors CLO II LLC's $320 million floating-rate notes. The note issuance is a collateralized loan obligation 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 the 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 and designated successor collateral manager's experienced management teams. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.28%-13.84%. -- 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 75% of the excess interest proceeds that are available before paying uncapped administrative expenses; incentive management fees; and subordinated note payments into principal proceeds for the purchase of additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1502.pdf RATINGS ASSIGNED JMP Credit Advisors CLO II Ltd./JMP Credit Advisors CLO II LLC Class Rating Amount (mil. $) X AAA (sf) 3.8 A AAA (sf) 217.6 B AA (sf) 34.0 C (deferrable) A (sf) 17.00 D (deferrable) BBB (sf) 18.70 E (deferrable) BB (sf) 18.70 F (deferrable) B(sf) 10.20 Subordinated notes NR 23.80 NR-Not rated. JP MORGAN 2001-A: Fitch Affirms 'D' Rating on Class G Certs ----------------------------------------------------------- Fitch Ratings has affirmed four classes of J.P. Morgan Chase Commercial Mortgage Securities Corporation, commercial mortgage pass-through certificates series 2001-A. Key Rating Drivers The affirmations are based on the expected losses of the one real estate owned (REO) asset remaining in the pool. Fitch modeled losses of 54.1% of the remaining pool; expected losses on the original pool balance total 24.1%, including losses already incurred. The pool has experienced $16.7 million (14.7% of the original pool balance) in realized losses to date. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 82.5% to $19.9 million from $113.8 million at issuance. Interest shortfalls are currently affecting classes D through NR. The REO asset is collateralized by a 795,500 square foot (SF) retail center in Maple Heights, OH, a suburb of Cleveland. The property was foreclosed upon in October 2011. The special servicer reports that they are in negotiations with a potential buyer and are moving forward with a sale contract. The special servicer also reports that the property is cash flowing and that the occupancy and debt service coverage ratio (DSCR) was 62% and 1.03 times (x), respectively, as year-end 2012. Ratings Sensitivities The Rating Outlook on the 'BB' rated class D will remain Negative and may be subject to downgrades should realized losses exceed Fitch's expectations. Fitch affirms the following classes and assigns Recovery Estimates (REs) as indicated: -- $5.9 million class D at 'BBsf'; Outlook Negative; -- $3.4 million class E at 'Csf'; RE 95%; -- $5.1 million class F at 'Csf'; RE 50% ; -- $5.5 million class G at 'Dsf'; RE 0% . The class A-1, A-2, B and C certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the rating on the interest-only class X certificates. JP MORGAN 2007-LDP11: Moody's Takes Action on 24 CMBS Classes ------------------------------------------------------------- Moody's Investors Service upgraded the rating of one class and affirmed the ratings of 23 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2007-LDP11 as follows: Cl. A-1A, Affirmed A3 (sf); previously on Nov 29, 2012 Downgraded to A3 (sf) Cl. A-2, Affirmed Aaa (sf); previously on Aug 1, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-2FL, Affirmed Aaa (sf); previously on Aug 1, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Aug 1, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed A3 (sf); previously on Nov 29, 2012 Downgraded to A3 (sf) Cl. A-SB, Upgraded to Aa2 (sf); previously on Nov 29, 2012 Downgraded to A3 (sf) Cl. A-J, Affirmed Caa1 (sf); previously on Nov 29, 2012 Downgraded to Caa1 (sf) Cl. A-M, Affirmed Ba1 (sf); previously on Nov 29, 2012 Downgraded to Ba1 (sf) Cl. B, Affirmed Caa3 (sf); previously on Nov 29, 2012 Downgraded to Caa3 (sf) Cl. C, Affirmed Ca (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. D, Affirmed Ca (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. E, Affirmed Ca (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. F, Affirmed Ca (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. G, Affirmed C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. P, Affirmed C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. Q, Affirmed C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. T, Affirmed C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. X, Affirmed B1 (sf); previously on Nov 29, 2012 Downgraded to B1 (sf) Ratings Rationale: Moody's is upgrading the rating for J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2007-LDP11's Cl. A-SB (CUSIP: 46631BAF2) to Aa2(sf) from A3(sf). As part of the rating action announced on November 29, 2012, Cl. A-SB was downgraded to A3(sf). Moody's analysis involved an incorrect interpretation of the impact of the deal's cash flow waterfall. The error has now been corrected, and this rating action reflects that change. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 18.9% of the current balance. At last review, Moody's cumulative base expected loss was 17.4%. Realized losses have increased from 1.0% of the original balance to 1.5% since 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 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. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments.. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. The methodology used in rating Class X 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 53, the same as 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 (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated November 29, 2012. Deal Performance As of the April 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 17% to $4.5 billion from $5.4 billion at securitization. The Certificates are collateralized by 234 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 34% of the pool. Sixty-one loans, representing 36% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seventeen loans have been liquidated from the pool, resulting in an aggregate realized loss of $76.4 million (19% loss severity on average). There is an additional $4.6 million aggregate loss due to modifications on several loans, resulting in a total certificate realized loss of $81.0 million. Forty-three loans, representing 31% of the pool, are currently in special servicing. The largest specially serviced loan is the GSA Portfolio Loan ($284.0 million -- 6.4% of the pool), which is secured by nine office properties located in West Virginia (4 properties), New York (2), Colorado (1), Pennsylvania (1) and Kansas (1). The loan was originally scheduled to mature in May 2012 and transferred to special servicing due to imminent maturity default. The portfolio totals 1.1 million square feet (SF) and was 95% leased as of March 2012. The Mineral Wells, West Virginia property (3% of the net rentable area (NRA) is completely vacant after the tenant exercised its termination option in October 2012. Six additional tenants (approximately 17% of the NRA) currently have termination rights and over 67% of the NRA expires within the next four years. Despite historic stable performance and occupancy, Moody's is concerned about the ability to refinance this loan due to the tenant termination options and near term rollover risk. The special servicer indicated that it is currently in negotiations with the borrower on a potential loan modification. The second largest specially serviced loan is the Franklin Mills Loan ($174.0 million -- 3.9% of the pool), which is a pari-passu interest in a $290.0 million mortgage loan. The loan is secured by a 1.6 million SF regional mall located in Philadelphia, Pennsylvania. The loan was transferred to special servicing in April 2012 due to imminent monetary default. The mall is anchored by Burlington Coat Factory (8% of the NRA; lease expiration October 2013), J.C. Penney (6% of the NRA; lease expiration February 2022) and Marshalls (5% of the NRA; lease expiration January 2016). As of October 2012 the mall was 81% leased compared to 82% at last review and 22% of the NRA is either month-to-month or expires within the next 12 months. A loan modification closed in November 2012 that split the note into a $200 million A-Note and a $90 million Hope Note. The terms of the modification include, among other items, (i) a maturity date extension of two years from June 2017 to June 2019; (ii) a reduction of the monthly coupon payment due on the A-Note to (a) 0.0% through September 2013, during which the borrower will be required to fund a reserve account with the interest that would have been due, (b) a pay rate of 4.5% through June 2017, during which time the difference between the pay rate and the original coupon rate of 5.65% is to accrue and be repaid in a preferred position to Borrower's equity and thereafter (c) the original rate of 5.65%. The third largest specially serviced loan is the Hyatt Regency -- Jacksonville Loan ($150.0 million -- 3.4% of the pool), which is secured by a 963-key hotel located in Jacksonville, Florida. The loan transferred to special servicing in August 2010 due to imminent monetary default and the property became real estate owned (REO) in March 2013. As of the March 2013 trailing twelve month (TTM) the occupancy and revenue per available room (RevPAR) was 60% and $64.2, respectively, compared to 59% and $61.9 for the prior year. The servicer has recognized an appraisal reduction of $98.6 million on this loan. The fourth largest specially serviced loan is the Genesee Valley Center Loan ($108.3 million -- 2.4% of the pool), which is secured by an interest in an approximate 543,000 SF portion of a 1.3 million SF regional mall located in Flint, Michigan. The mall's non-collateral anchors include Macy's, J.C. Penney's and Sears. The collateral anchors include Burlington Coat Factory and a dark theater that vacated in 2008 but is continuing to pay rent. The Loan transferred in January 2012 due to imminent default and a foreclosure sale occurred in October 2012. The property is now REO. The property was recently appraised for $32.8 million in January 2013, a 21% decrease from the previous appraisal in February 2012. The servicer recently recognized an appraisal reduction of $82.9 million. The remaining 38 specially serviced loans are secured by a mix of property types. Most of these loans are either real estate owned (REO) or in the process of foreclosure. As of the April 15, 2013 distribution date, the master servicer has recognized an aggregate $419.9 million appraisal reduction for 30 of the specially serviced loans. Moody's has estimated an aggregate $632.6 million loss (51% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 32 poorly performing loans representing 12% of the pool and has estimated an aggregate $91.7 million loss (17% expected loss on average) from these troubled loans. As of the most recent remittance date, the pool has experienced cumulative interest shortfalls totaling $57.4 million and affecting Classes C through NR. Interest shortfalls affected Class A-J in the March remittance report, however, these were paid down in April due to a liquidated loan. Moody's anticipates that the pool will continue to experience interest shortfalls caused by specially serviced loans. Notwithstanding any further liquidations, Moody's expects that interest shortfalls may continue to affect Class A-J due to recent modifications and appraisal reductions. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs), loan modifications, extraordinary trust expenses and non-advancing by the master servicer based on a determination of non-recoverability. Moody's was provided with full year 2011 and full/partial year 2012 operating results for 98% and 62% of the pool's non-specially serviced loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 122% compared to 127% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 5% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.26X and 0.86X, respectively, compared to 1.21X and 0.83X 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 14% of the pool balance. The largest performing loan is the Maple Drive Portfolio Loan ($220.0 million -- 4.9% of the pool), which is secured by three suburban office properties, totaling 584,000 SF, located in Beverly Hills, California. As of December 2012, the portfolio was 85% leased compared to 84% at last review. The largest tenant is Fox Interactive Media (28% of the NRA; lease expiration May 2016). Performance has declined steadily since 2009 but stabilized in 2012. Moody's LTV and stressed DSCR are 140% and 0.68X, respectively, compared to 142% and 0.67X at last review. The second largest performing loan is the 5 Penn Plaza Loan ($203.0 million -- 4.5% of the pool), which is secured by a 657,000 SF office building located in New York, New York. The property was 98% leased as of October 2012, the same as prior review. Rental revenue has been stable, however, property performance declined due to an increase in real estate taxes and repair and maintenance expenses. The loan is interest only for the entire term and matures in May 2017. Moody's LTV and stressed DSCR are 126% and 0.75X, respectively, the same as last review. The third largest performing loan is the Save Mart Portfolio Loan ($183.8 million -- 4.1% of the pool), which is secured by 31 single tenant grocery stores located in various markets in Northern California. The portfolio totals 1.6 million SF that is triple net leased to Save Mart through January 2027. One property, 6454 Tupelo Drive, located in Citrus Heights, California, is currently dark and has several deferred maintenance issues but Save Mart is still paying the contractual rent amount. The loan is benefitting from amortization and matures in April 2017. Moody's LTV and stressed DSCR are 113% and 0.86X, respectively, compared to 115% and 0.85X at last review. JP MORGAN 2013-LC11: Moody's Assigns Ratings to 14 CMBS Classes --------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to fourteen classes of CMBS securities, issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11. Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-SB, Assigned (P)Aaa (sf) Cl. A-S, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba2 (sf) Cl. F, Assigned (P)B2 (sf) Cl. X-A*, Assigned (P)Aaa (sf) Cl. X-B*, Assigned (P)A2 (sf) * Class X-A and X-B are interest-only classes. Ratings Rationale: The Certificates are collateralized by 52 fixed rate loans secured by 82 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 1.67X is higher than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.03X is higher than the 2007 conduit/fusion transaction average of 0.92X. The pooled Trust loan balance of $1.316 billion represents a Moody's LTV ratio of 100.1%, 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. Six loans are structured with $77.4 million of additional financing in the form of subordinate secured or unsecured debt, raising Moody's Total LTV ratio of 107.1%. 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 22.0, 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 25.0. 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-S to mitigate the potential increased severity to class A-S. 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 2.19, which is lower than the indices calculated in most multi-borrower transactions since 2009. 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-S would be ((P) Aaa (sf)), ((P) Aa2 (sf)), and ((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. JP MORGAN 2013-LC11: S&P Assigns BB Rating on Class E(ii) Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11's $1.32 billion commercial mortgage pass-through certificates series 2013-LC11. The issuance is a commercial mortgage-backed securities transaction backed by 52 commercial mortgage loans with an aggregate principal balance of $1.32 billion, secured by the fee and leasehold interests in 82 properties across 23 states. The preliminary ratings are based on information as of April 26, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect the credit support provided by the transaction structure, S&P's view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and S&P's overall qualitative assessment of the transaction. Standard & Poor's Ratings Services determined that the collateral pool has, on a weighted average basis, debt service coverage of 1.64x and beginning and ending loan-to-value ratios of 84.1% and 72.2%, respectively, based on Standard & Poor's values. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1494.pdf PRELIMINARY RATINGS ASSIGNED J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 Class Rating(i) Amount ($) A-1 AAA (sf) 61,803,000 A-2 AAA (sf) 79,253,000 A-3 AAA (sf) 23,000,000 A-4 AAA (sf) 250,000,000 A-5 AAA (sf) 389,304,000 A-SB AAA (sf) 117,844,000 X-A AAA (sf) 1,028,130,000(iii) X-B A- (sf) 139,825,000(iii) A-S AAA (sf) 106,926,000 B AA- (sf) 92,120,000 C A- (sf) 47,705,000 D BBB- (sf) 52,640,000 X-C (ii) NR 95,410,830 (iii) E(ii) BB (sf) 24,676,000 F(ii) BB- (sf) 24,675,000 NR ii) NR 46,059,830 AN(ii)(iv) NR 16,984,009 PF(ii)(iv) NR 1,998,199 (i) The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii) Non-offered certificates. (iii) Notional balance. (iv) The class AN and class PF certificates are the non-pooled (rake) components of the Andaz Wall Street and Portofino Hotel Yacht Club mortgage loans, respectively. The classes will only receive distributions from, and will only incur losses with respect to, their respective mortgage. NR - Not rated. LANDMARK 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 Landmark VII CDO Ltd.: $20,500,000.00 Class A-2L Floating Rate Notes Due July 15, 2018, Upgraded to Aaa (sf); previously on June 22, 2012 Upgraded to Aa1 (sf); $23,000,000.00 Class A-3L Floating Rate Notes Due July 15, 2018, Upgraded to Aa1 (sf); previously on June 22, 2012 Upgraded to A2 (sf); $14,000,000.00 Class B-1L Floating Rate Notes Due July 15, 2018, Upgraded to Baa1 (sf); previously on August 29, 2011 Upgraded to Ba1 (sf); $14,000,000.00 Class B-2L Floating Rate Notes Due July 15, 2018 (current outstanding balance of $12,780,861.58), Upgraded to Ba3 (sf); previously on August 29, 2011 Upgraded to B1 (sf). Moody's also affirmed the rating of the following notes: $229,500,000.00 Class A-1L Floating Rate Notes Due July 15, 2018 (current outstanding balance of $127,510,955.65), Affirmed Aaa (sf); previously on August 29, 2011 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in June 2012. Moody's notes that the Class A-1L Notes have been paid down by approximately 43% or $97.9 million since the last rating action. Based on the latest trustee report dated April 3, 2013, the Class A Senior, Class A, Class B-1L, and Class B-2L overcollateralization ratios are reported at 132.76%, 118.07%, 110.62%, and 104.59% respectively, versus May 2012 levels of 123.88%, 113.29%, 107.69% and 103.03% respectively. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $204.2 million, defaulted par of $20.0 million, a weighted average default probability of 16.93% (implying a WARF of 2631), a weighted average recovery rate upon default of 50.64%, and a diversity score of 64. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Landmark VII CDO Ltd., issued in April 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis, 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% (2105) Class A-1L: 0 Class A-2L: 0 Class A-3L: +1 Class B-1L: +2 Class B-2L: +2 Moody's Adjusted WARF + 20% (3157) Class A-1L: 0 Class A-2L: 0 Class A-3L: -2 Class B-1L: -2 Class B-2L: 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. LB COMMERCIAL 2007-C3: Moody's Keeps Ratings on 24 CMBS Classes --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 24 classes of LB Commercial Mortgage Trust 2007-C3, Commercial Mortgage Pass- Through Certificates, Series 2007-C3 as follows: CL. A-1A, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-2FL, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4B, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4FL, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-M, Affirmed A1 (sf); previously on Apr 26, 2012 Downgraded to A1 (sf) Cl. A-MB, Affirmed A1 (sf); previously on Apr 26, 2012 Downgraded to A1 (sf) Cl. A-MFL, Affirmed A1 (sf); previously on Apr 26, 2012 Downgraded to A1 (sf) Cl. A-J, Affirmed B2 (sf); previously on Apr 26, 2012 Downgraded to B2 (sf) Cl. A-JFL, Affirmed B2 (sf); previously on Apr 26, 2012 Downgraded to B2 (sf) Cl. B, Affirmed B3 (sf); previously on Apr 26, 2012 Downgraded to B3 (sf) Cl. C, Affirmed Caa1 (sf); previously on Apr 26, 2012 Downgraded to Caa1 (sf) Cl. D, Affirmed Caa2 (sf); previously on Apr 26, 2012 Downgraded to Caa2 (sf) Cl. E, Affirmed Caa3 (sf); previously on Apr 26, 2012 Downgraded to Caa3 (sf) Cl. F, Affirmed Ca (sf); previously on Apr 26, 2012 Confirmed at Ca (sf) Cl. G, Affirmed Ca (sf); previously on Apr 26, 2012 Confirmed at Ca (sf) Cl. H, Affirmed Ca (sf); previously on Apr 26, 2012 Confirmed at Ca (sf) Cl. J, Affirmed C (sf); previously on Oct 22, 2009 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Oct 22, 2009 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Oct 22, 2009 Downgraded to C (sf) Cl. X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade Ratings Rationale: The affirmations of the principal and interest 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 the current ratings. The IO Class, Class X, is affirmed due to the credit stability of its reference classes. Moody's rating action reflects a base expected loss of 12.0% of the current balance compared to 11.1% at last review. Base expected loss plus realized losses now totals 12.0% compared to 12.2% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement levels 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. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Class X 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 pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 17 compared to 19 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 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 26, 2012. Deal Performance: As of the April 17, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 21% to $2.6 billion from $3.2 billion at securitization. The Certificates are collateralized by 113 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans representing 57% of the pool. Twenty-five 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. Twelve loans have been liquidated from the pool, resulting in an aggregate realized loss of $84.0 million (50.1% average loan loss severity). Currently, 21 loans, representing 12% of the pool, are in special servicing. The largest specially-serviced loan is the Bethany Phoenix Portfolio I Loan ($123 million -- 4.8% of the pool). This portfolio loan is secured by seven multi-family loans located in the Phoenix, Arizona metro area. This modified loan was transferred back to special servicing in October 2012 due to the borrower's inability to meet debt service obligations. The special servicer recently recognized a $30.75 million appraisal reduction. The remaining 20 specially serviced loans are secured by a mix of office, retail and multifamily properties. The servicer has recognized an aggregate $82.4 million appraisal reduction on ten of the 21 specially serviced loans. Moody's estimates an aggregate $108.3 million loss (overall 37.1% expected loss) for all specially serviced loans. Moody's has assumed a high default probability for 14 poorly- performing loans representing 22% of the pool. Moody's analysis attributes to these troubled loans an aggregate $119.5 million loss (20.9% expected loss severity based on a 50% probability default). Moody's was provided with full and partial year 2011 and 2012 operating results, respectively, for 95% and 94% of the pool. Moody's weighted average LTV is 95% compared to 108% at last 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 8.75%. Moody's actual and stressed DSCRs are 1.59X and 1.05X, respectively, compared to 1.44X and 0.94X 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. Currently, there are two loans with investment grade credit assessments in the pool. The largest loan is the 315 Hudson Street Loan ($35.0 million -- 1.4% of the pool), which is secured by a 10-story, 446,967 square foot (SF) Class B office property located in the Hudson Square office submarket in lower Manhattan. Occupancy increased to 95% as of December 2012 yet financial performance declined slightly due to higher real estate taxes. Moody's credit assessment and stressed DSCR are Aaa and 2.5X compared to Aaa and 2.43X, at last review. The second loan with a credit assessment is the 133 East 58th Street Loan ($25.0 million -- 1.0% of the pool), which is secured by a 14-story, 120,737 SF Class B office property with ground- floor- retail located on East 58th Street and Lexington Avenue in New York City. The property's leasing performance increased since last review and financial performance has been relatively stable. Moody's credit assessment and stressed DSCR are Aa2 and 2.12X, respectively, compared to Aa3 and 1.86X at last review. The top three performing conduit loans represent 32% of the pool. The largest loan is the 237 Park Avenue Loan ($419.6 million -- 16.5% of the pool), which is secured by a 1.2 million SF office building located in the Grand Central office submarket of Midtown Manhattan. At securitization the loan was also encumbered by a $255.4 million B Note and $225.0 million in Mezzanine debt. The loan transferred to special servicing on January 15, 2010 due to imminent default and has since been returned to the master servicer and is now current. The loan was modified to allow full monthly payment on the A Note debt service, building expenses and partial payment of the B Note debt service to the extent cash is available. The building was 81% leased as of December 2012 compared to 82% at last review. J. Walter Thompson, Credit Suisse and JP Morgan each occupy approximately 22% of net rentable area (NRA), respectively. Based on published news reports, the property is presently under contract for sale for approximately $800 million to RXR Realty Inc. and Walton Street Capital. Moody's LTV and stressed DSCR are 83% and 1.04X, respectively, compared to 99% and 0.93X at last review. The second largest conduit loan is the Rosslyn Portfolio Loan ($310.0 million -- 12.2% of the pool), which is secured by two office properties, totaling 1.4 million SF, located on Wilson Boulevard in the Rosslyn/Ballston office submarket of Arlington, Virginia. The property is also encumbered by a $257.7 million B note. As of December 2012, the two properties were 86% leased compared to 87% at last review. The largest tenant is the General Service Administration (GSA), which leases 19% of NRA. The GSA renewed the majority of the leases in the property last year. Since last review, Northrop Grumman vacated its space while other tenants have either renewed or leased space at the property. Financial performance has declined since last review despite stable occupancy. The loan sponsor is Monday Properties. Moody's LTV and stressed DSCR are 83% and 1.14X, respectively, compared to 75% and 1.26X at last review. The third largest conduit loan is the Larken Portfolio Loan ($87.1 million -- 3.4% of the pool), which is secured by 19 office, retail and industrial properties located in central New Jersey. The loan was modified in June 2012 into an A and B note structure with the B note totaling $82.5 million. The loan has since been returned to the master servicer. The portfolio was 87% leased as of December 2012, the same as at last review. Moody's A note LTV and stressed DSCR are 104.2% and 1.03X, respectively, compared to 175.3% and 0.59X at last review. LB-UBS COMMERCIAL 2001-C7: Moody's Takes Action on 5 CMBS Classes ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of three classes and affirmed two classes of LB-UBS Commercial Mortgage Trust 2001- C7, Commercial Mortgage Pass-Through Certificates, Series 2001-C7 as follows: Cl. X-CL, Affirmed Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Cl. M, Upgraded to Baa1 (sf); previously on Mar 9, 2011 Upgraded to B3 (sf) Cl. N, Upgraded to Ba1 (sf); previously on Sep 8, 2011 Downgraded to Caa3 (sf) Cl. P, Upgraded to B3 (sf); previously on Sep 8, 2011 Downgraded to Ca (sf) Cl. Q, Affirmed C (sf); previously on Sep 8, 2011 Downgraded to C (sf) Ratings Rationale: The upgrades for the three principal and interest bonds are due to an increase in credit support from loan payoffs and amortization. The deal has paid down 99% since securitization and 67% since last review. The rating of the one affirmed principal and interest bond is consistent with realized losses from liquidated loans experienced by this class and thus is affirmed. The rating of the IO Class, Class X-CL, 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 2.3% of the current balance compared to 14.5% since last review. Moody's based expected loss plus realized losses is now 1.4% of the original balance compared to 1.8% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for 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 principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Class X-CL was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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 1 compared to 4 at Moody's prior review. Since the Herf fell below 20, Moody's used the excel based Large Loan Model v 8.5 in this rating. 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 analysis also used the IO Calculator ver_1.1, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through 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 July 2, 2012. Deal Performance: As of the April 17, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 99% to $12 million from $1.2 billion at securitization. Only one loan remains in the pool. This loan is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. 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. Twelve loans have been liquidated at a loss from the pool, resulting in an aggregate realized loss of $16 million (34% average loss severity). The pool's remaining loan is the Catonsville Plaza Shopping Center Loan ($12 million -- 100% of the pool), which is secured by a 277,000 square foot retail property located in Catonsville, Maryland. The loan has been on the watchlist since failing to repay by its August 2011 anticipated repayment date (ARD). The loan's hard maturity date is August 2031. The property was 83% leased as of September 2012 compared to 85% as of December 2011. The borrower intends to increase occupancy at the center before marketing it for sale. Moody's LTV and stressed DSCR are 85% and 1.18X, respectively, compared to 88% and 1.13X at last review. LEHMAN BROTHERS 2005-1: S&P Lowers Rating on Class B Notes to BB+ ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class A, M1, M2, and B certificates from Lehman Bros. Small Balance Commercial's series 2005-1. At the same time, S&P removed the class M1, M2, and B certificates from CreditWatch with negative implications. Additionally, S&P withdrew its rating on class A-IO notes after lowering it to 'A+ (sf)'. This action reflects the application of S&P's criteria for rating interest-only securities. The transaction is an asset-backed securitization backed by payments from small business loans that are primarily collateralized by first liens on commercial real estate. The downgrades reflect rising delinquencies and increased default frequencies due to the collateral pool's deteriorating performance. According to the March 2013 payment report, total delinquencies for this series were 18.12% of the current pool balance. This is up from 16.48% from S&P's last rating action in November 2011, which it based on the August 2011 servicer report. At the same time, the transaction's cumulative losses increased to $7.18 million from $4.91 million since S&P's last rating action. The transaction has depleted its reserve account due to the collateral pool's deteriorating performance. The current reserve account as of the March 2013 servicer report is $1.13 million, which does not meet the $8.21 million reserve account amount required. 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 LOWERED Lehman Bros. Small Balance Commercial (Series 2005-1) Rating Class To From A A+ (sf) AAA (sf) M1 A (sf) AA (sf)/Watch Neg M2 BBB+ (sf) A+ (sf)/Watch Neg B BB+ (sf) BBB+ (sf)/Watch Neg RATING WITHDRAWN Lehman Bros. Small Balance Commercial (Series 2005-1) Rating Class To Interim From A-IO NR A+ (sf) AAA (sf) NR-Not rated. LONG POINT III: S&P Assigns Prelim. 'BB' Rating on Class A Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services said that it assigned its 'BB(sf)' preliminary rating to the Series 2013-1 Class A notes issued by Long Point Re III Ltd. The notes cover losses from hurricanes in selected states between Virginia and Maine on a per-occurrence basis. The rating is based on the lower of the rating on the catastrophe risk ('BB'), the rating on the assets in the collateral account ('AAAm'), and the risk of nonpayment by the ceding insurer (The Travelers Indemnity Co.; AA/Stable/--). The subject (ceded) business is a subset, and a majority, of Travelers' overall insurance portfolio from its personal-lines insurance business and its commercial-lines business. The commercial-lines business is a mix of Travelers' select accounts (small business policies) and commercial accounts (midsize business policies). Business units that cover large and unique exposures, complex financial structures, and mobile property have been excluded from the subject business. The notes will cover [27.27]% of losses between the attachment point of $1.25 billion and the exhaustion point of $1.80 billion. RATINGS LIST New Rating Long Point Re III Ltd. Series 2013-1 Class A Notes BB(sf)(prelim) MERRILL LYNCH 2005-MKB2: Moody's Keeps Ratings on 15 Note Classes ----------------------------------------------------------------- Moody's Investors Service affirms the ratings of 15 classes of Merrill Lynch Mortgage Trust 2005-MKB2 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. AJ, Affirmed A2 (sf); previously on May 1, 2012 Downgraded to A2 (sf) Cl. B, Affirmed Baa3 (sf); previously on May 1, 2012 Downgraded to Baa3 (sf) Cl. C, Affirmed Ba2 (sf); previously on May 1, 2012 Downgraded to Ba2 (sf) Cl. D, Affirmed B2 (sf); previously on May 1, 2012 Downgraded to B2 (sf) Cl. E, Affirmed B3 (sf); previously on May 1, 2012 Downgraded to B3 (sf) Cl. F, Affirmed Caa3 (sf); previously on May 1, 2012 Downgraded to Caa3 (sf) Cl. G, Affirmed Ca (sf); previously on May 1, 2012 Downgraded to Ca (sf) Cl. H, Affirmed C (sf); previously on Jan 27, 2012 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Feb 9, 2011 Downgraded to C (sf) Cl. XC, Affirmed Ba3 (sf); previously on May 1, 2012 Confirmed at Ba3 (sf) Ratings Rationale: The affirmations are due to key parameters, including Moody's 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. Moody's rating action reflects a cumulative base expected loss of 6.3% of the current balance. At last full review, Moody's cumulative base expected loss was 11.7%. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. The methodology used in rating Class XC 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 the 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 29 compared to 27at 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 May 1, 2012. Deal Performance: As of the April 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 38% to $708 million from $1.1 billion at securitization. The Certificates are collateralized by 68 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans (excluding defeasance) representing 33% of the pool. There are no loans with investment grade credit assessments. Six loans, representing approximately 30% of the pool, are defeased and are collateralized by U.S. Government securities, compared to five loans (20% of the pool balance) at Moody's last full review. Fourteen loans, representing 10% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of 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 liquidated from the pool, resulting in an aggregate realized loss of $45.2 million (51% average loan loss severity). Currently, four loans, representing 9% of the pool, are in special servicing. The largest specially serviced loan is the DeSoto Square Mall loan ($21.8 million -- 3% of the pool). The loan is secured by a 578,000 square foot regional mall located in South Bradenton, Florida anchored by Macy's, JC Penney and Sears. Dillard's, one of four original anchors, closed its store at the mall in Q4 2009. The mall was owned by Simon Property Group until 2012, when they decided to give up the property through a note sale, which resulted in an assumption of a modified loan. As of June 2012, total and inline occupancy were 75% and 70%, respectively. The property was eventually sold to Mason Asset Management in connection with a note modification and $19.6 million write down of the unpaid principal balance of the original note, bringing the balance from $64.2 million, to $41.8 million. Mason assumed both the A note of $21.8 million and a B Note of $20 million, while also providing $2.8 million of cash to be used to pay down principal at closing of the loan assumption/modification. The modification also included a term extension, pushing the maturity out to November 2017, with two 1-year options beyond that. The notes are expected to return to the Master Servicer in the next few weeks. The other three loans in special servicing include a full-service hotel in Houston, TX, anchored shopping center in Whitehall, OH and an unanchored retail center in Folsom, CA. Moody's has estimated a $26.0 million loss (71% expected loss) for the specially serviced loans. Moody's has assumed a high default probability for seven poorly- performing loans representing 5% of the pool. Moody's analysis attributes to these troubled loans an aggregate $8 million loss (24% expected loss severity based on a 53% probability default). Moody's was provided with full-year 2011 and partial year 2012 operating results for 95% and 96% of the performing pool, respectively. Excluding troubled loans, Moody's weighted average LTV is 87%, the same as at Moody's last full review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.46X and 1.21X, respectively, compared to 1.55X and 1.21X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 17% of the pool. The largest loan is the Sun Communities - Indian Creek Loan ($46.3 million -- 6.5% of the pool). The loan is secured by an age- restricted (55+), 1,532-unit RV resort community located in Fort Myers Beach, Florida. The property was 94% leased as of December 2012, compared 92% the prior year. Cash flow has been stable or increasing since securitization. The loan is expected to mature in June 2014. Moody's current LTV and stressed DSCR are 65% and 1.37X, respectively, compared to 69% and 1.30X at last review. The second-largest loan is 400 Industrial Avenue Loan ($42.1 million -- 6.0% of the pool). The loan is secured by a one million square foot distribution complex comprised of three buildings located in Cheshire, Connecticut. Bozzuto's, Inc., a wholesale grocery distributor, is the sole tenant under a triple-net lease that expires in 2030. Moody's stressed the cash flow with a lit/dark analysis given the single tenant occupancy and lease renewal uncertainty at this time. Moody's current LTV and stressed DSCR are 72% and, 1.36X respectively, the same as at Moody's last full review. The third-largest loan is the 218 West 40th Street Loan ($28.3 million -- 4.0% of the pool). The loan is secured by a 12-story office building totaling 166,315 square feet and located on West 40th Street between Seventh and Eighth Avenues. The building has both office and retail space. The property was previously on watchlist in 2009 when two of the four tenants vacated, dropping the occupancy to 48%. The performance has since rebounded and the property is currently 100% as of November 2012. The largest tenant, Career Education Corporation (CEC), has roughly 60% of the NRA, but subleases most of the space (45,900sf) to The New School, a liberal arts university in New York City. The CEC's lease expires in December 2017. Moody's current LTV and stressed DSCR are 73% and, 1.37X respectively, the same as at Moody's last full review. MORGAN STANLEY 2002-HQ: Moody's Affirms Ratings on 5 CMBS Classes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of five classes of Morgan Stanley Dean Witter Capital I Inc., Commercial Mortgage Pass-Through Certificates, Series 2002-HQ as follows: Cl. K, Affirmed B2 (sf); previously on Jun 24, 2011 Downgraded to B2 (sf) Cl. L, Affirmed Caa3 (sf); previously on May 3, 2012 Downgraded to Caa3 (sf) Cl. M, Affirmed C (sf); previously on May 3, 2012 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. X-1, Affirmed Caa3 (sf); previously on May 3, 2012 Downgraded to Caa3 (sf) Ratings Rationale: Classes K and L are affirmed as these classes have sufficient credit support for their current ratings. Classes M and N are affirmed as their ratings are consistent with Moody's expected loss. The IO Class, Class X1, is affirmed due to the credit stability of its reference classes. Moody's rating action reflects a base expected loss of 48.2% of the current balance compared to 38.9% at last review. While the current base expected loss percentage is higher, the current base expected loss numeric figure is lower since the current balance is 27% lower since last review due to pay downs and amortization. Base expected loss plus realized losses now totals 2.5%, the same as at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement levels 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. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Class X-1 was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. 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 5 at last review. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. Moody's review incorporated the use of the excel-based Large Loan Model v 8.5. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The model incorporates the CMBS IO calculator ver1.1, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Since over 90% 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 determined a probability of default for each of the two specially serviced loans and determined 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 took 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 applied 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 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 May 3, 2012. Deal Performance: As of the April 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $18.9 million from $845.9 million at securitization. The Certificates are collateralized by three mortgage loans ranging in size from 10% to 73% of the pool. No loans are defeased and there are no loans on the master servicer's watchlist. Five loans have been liquidated from the pool, resulting in an aggregate realized loss of $11.7 million (56.2% average loan loss severity). Currently, two loans, representing 90% of the pool, are in special servicing. The largest specially serviced loan is the Armstrong Corporate Park 2 & 4 Loan ($13.9 million -- 73.3% of the pool), which is secured by a 152,211 square foot (SF) office complex located in Shelton, Connecticut. The loan transferred to special servicing in May 2011 due to monetary default and the special servicer is pursuing foreclosure proceedings. The property is 63% leased versus 65% at last review. The special servicer has recognized an $8.1 million appraisal reduction against this loan. The second specially serviced loan is the Hampton Professional Park Loan ($3.2 million -- 16.9% of the pool), which is secured by a 61,981 SF suburban office property located in Hampton, Virginia. The loan transferred to special servicing in February 2012 due to maturity default. The borrower and special servicer recently closed on a maturity extension. The property is 69% leased with looming lease expiration risk. Moody's estimates an aggregate $9.1 million loss (overall 53.1% expected loss) for the two specially serviced loans. There is only one performing loan remaining in the pool. The Taft Corners Loan ($1.9 million -- 9.8% of the pool) is secured by a 40,000 SF retail property located in Williston, Vermont. The property is 100% leased to Bed, Bath and Beyond through December 2023. Moody's was provided with full and partial year 2011 and 2012 operating results for this loan. The loan matures at year end 2013. Moody's LTV and stressed DSCR are 41% and 2.55X, respectively, compared to 46% and 2.29X at last review. MORGAN STANLEY 2003-IQ5: Fitch Affirms 'B+' Rating on Cl. L Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Morgan Stanley Capital I Trust (MSC 2003-IQ5) commercial mortgage pass-through certificates series 2003-IQ5. Key Rating Drivers The affirmations reflect stable performance of the pool and sufficient credit enhancement of the remaining rated classes. Fitch modeled losses of 4.6% of the remaining pool; expected losses on the original pool balance total 1%. The pool has experienced no realized losses to date. Fitch has designated eight loans (11.8%) as Fitch Loans of Concern, which includes three specially serviced assets (6.4%). Rating Sensitivities The investment grade classes are expected to remain stable and no rating actions are anticipated. Despite improved credit enhancement levels, concerns regarding smaller-than average class sizes and high concentration of maturities (68% of pool balance) this year have limited the prospect for upgrades. The Negative Outlooks reflect the potential for downgrade given the recent transfer of loans to special servicing with uncertain expected losses. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 77.4% to $175.6 million from $778.8 million at issuance. Per the servicer reporting, two loans (4.9% of the pool) are defeased. Interest shortfalls are currently affecting class O. The largest contributor to expected losses is a specially serviced loan (2.2%) secured by a 59,435 sf office building located in Fairborn, OH, eight miles north of Dayton. The loan transferred to special servicing in April 2013 due to maturity default and the servicer is awaiting third-party reports and financials from the borrower. As of YE 2011, occupancy for the building was 56.9% with DSCR of 0.68x. The loan is crossed-defaulted with the third largest contributor to losses. The next largest contributor to expected losses is a specially serviced loan (2.7%) secured by a 144,464 sf mixed use property primarily composed of office and retail located in Ft. Myers, FL. The property transferred to special servicing in May 2012 due to imminent default with the most recently reported occupancy at 50% as of October 2012. The servicer has executed a listing agreement to auction the note for sale. The third largest contributor to expected losses is a specially serviced loan (2.3% of the pool) secured by a 60,168 sf office building located in Fairborn, OH, eight miles north of Dayton. The loan transferred to special servicing in April 2013 due to maturity default and the servicer is awaiting third-party reports and financials from the borrower. As of YE 2011, occupancy for the building was 90.6% with DSCR of 0.94x. The loan is crossed- defaulted with the largest contributor to losses. Fitch affirms the following classes and revises Rating Outlooks as indicated: -- $30.2 million class C at 'AA+sf'; Outlook to Stable from Positive; -- $7.8 million class D at 'AA-sf'; Outlook to Stable from Positive; -- $1.9 million class M at 'Bsf'; Outlook to Negative from Stable; -- $974,000 class N at 'B-sf'; Outlook to Negative from Stable. Fitch affirms the following classes as indicated: -- $67.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $22.4 million class B at 'AAAsf'; Outlook Stable; -- $5.8 million class E at 'A+sf'; Outlook Stable; -- $6.8 million class F at 'A-sf'; Outlook Stable; -- $7.8 million class G at 'BBBsf'; Outlook Stable; -- $5.8 million class H at 'BBB-sf'; Outlook Stable; -- $2.9 million class J at 'BB+sf'; Outlook Stable; -- $4.9 million class K at 'BBsf'; Outlook Stable; -- $2.9 million class L at 'B+sf'; Outlook Stable; Fitch does not rate the class O certificates. Classes A-1, A-2, and A-3 have paid in full. MORTGAGE CAPITAL 1998-MC2: Fitch Keeps CCC Rating on Cl. K Certs ---------------------------------------------------------------- Fitch Ratings has affirmed three classes of Mortgage Capital Funding, Inc.'s commercial mortgage pass-through certificates, series 1998-MC2. Key Rating Drivers The affirmations are due to sufficient credit enhancement to absorb expected losses. Fitch modeled losses of 13.1% of the remaining pool; expected losses on the original pool balance total 1.8%, including losses already incurred. The pool has experienced $15.2 million (1.5% of the original pool balance) in realized losses to date. Fitch has designated seven loans (33.3%) as Fitch Loans of Concern, which does not include any specially serviced loans. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 97.4% to $26.3 million from $1.01 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting class L. Eleven loans within the pool (52.7%) have the same sponsor and are located in Columbus, OH. The loans are cross-defaulted and cross- collateralized and secured by various property types: retail (nine loans), office (one loan), and multifamily (one loan). Ten of the 11 loans are fully amortizing and all the loans have a maturity date of March 1, 2018. The largest contributor to expected losses is a 71 unit nursing and convalescent home in Pasadena, CA (2.3% of the pool). The DSCR has been below 1.0x for several years, with most recently reported negative cash flow due to high operating expenses. The loan has remained current. Per the rent roll dated Dec. 31, 2012, the property was 70% month-to-date occupied. Rating Sensitivities The rating on the class H and J notes is expected to be stable as the credit enhancement remains high. Upgrades are not likely due to the concentrated nature of the pool, including several single tenant properties. Fitch affirms these classes and revised Recovery Estimates as indicated: -- $1.1 million class H at 'BBB-sf'; Outlook Stable; -- $15.1 million class J at 'B+'; Outlook Stable; -- $7.6 million class K at 'CCC'; RE 95%. The class A-1, A-2, and B through G certificates have paid in full. Fitch does not rate the class L certificates. Fitch previously withdrew the rating on the interest-only class X certificates. MOUNTAIN VIEW 2013-1: S&P Assigns 'BB' Rating to Class E Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Mountain View CLO 2013-1 Ltd./Mountain View CLO 2013-1 Corp.'s $376.00 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The 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 including excess spread). -- The cash-flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections of the timely interest and ultimate principal payments on the rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.28% to 12.6%. -- 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 during the reinvestment period will lead to the reclassification of up to 50% of available excess interest proceeds (before paying uncapped administrative expenses, subordinate and incentive management fees, expenses for refinancing and additional securities issued, expense reserve account top-up, hedge amounts, and subordinated note payments) into principal proceeds to purchase additional collateral assets or to pay principal on the notes sequentially, at the option of the collateral manager. 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/1495.pdf RATINGS ASSIGNED Mountain View CLO 2013-1 Ltd/Mountain View CLO 2013-1 Corp. Class Rating Amount (mil. $)(i) X AAA (sf) 4.00 A AAA (sf) 253.00 B-1 AA (sf) 46.00 B-2 AA (sf) 5.00 C-1 (deferrable) A (sf) 20.00 C-2 (deferrable) A (sf) 10.00 D (deferrable) BBB (sf) 20.00 E (deferrable) BB (sf) 18.00 Subordinated notes NR 45.00 NR--Not rated. MUZINICH CBO II: S&P Lowers Rating on 2 Note Classes to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' from 'CC (sf)' on the class B-1 and B-2 notes from Muzinich CBO II Ltd., a cash flow collateralized bond obligation (CBO) transaction. The rating actions follow a default in the interest payment due to the classes on their most recent payment date, April 15, 2013. Therefore, S&P lowered its ratings on the class B-1 and B-2 notes to 'D (sf)' according 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 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED Muzinich CBO II Ltd. Rating Class To From B-1 D (sf) CC (sf) B-2 D (sf) CC (sf) OCTAGON INVESTMENT IX: Moody's Affirms Ba1 Rating on Cl. C Notes ---------------------------------------------------------------- Moody's Investors Service upgraded the rating of the following CLO notes issued by Octagon Investment Partners IX, Ltd.: $14,000,000 Class A-2 Senior Secured Floating Rate Notes due 2020, Upgraded to Aa2 (sf); previously on August 29, 2011 Confirmed at Aa3 (sf). Moody's also affirmed the ratings of the following notes: $300,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2020, Affirmed Aaa (sf); previously on May 30, 2006 Assigned Aaa (sf); $20,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2020, Affirmed A2 (sf); previously on August 29, 2011 Upgraded to A2 (sf); $21,200,000 Class C Secured Deferrable Floating Rate Notes due 2020, Affirmed Ba1 (sf); previously on August 29, 2011 Upgraded to Ba1 (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes reflect the benefit of the end of the deal's reinvestment period in April 2013. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive buffer relative to certain covenant requirements. In particular, the deal is assumed to benefit from higher weighted average spread of 3.84% compared to 2.95% at the last rating action in August 2011. In addition, Moody's notes the improvement in the overcollateralization ratios. Based on the April 2013 trustee report, the Class A overcollateralization ratio is reported at 122.68% versus July 2011 levels of 121.28%, Notwithstanding the improvement in the weighted average spread and the overcollateralization ratios, Moody's notes that the credit quality of the underlying portfolio has deteriorated since the last rating action. Based on the April 2013 trustee report, the weighted average rating factor is 2485 compared to 2311 in July 2011. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $383 million, defaulted par of $2.0 million, a weighted average default probability of 19.12% (implying a WARF of 2696), a weighted average recovery rate upon default of 49.79%, and a diversity score of 61. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Octagon Investment Partners IX, Ltd., issued in May 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis, 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% (3235) Class A-1: -1 Class A-2: -3 Class B: -2 Class C: 0 Moody's Adjusted WARF - 20% (2157) Class A-1: 0 Class A-2: +1 Class B: +2 Class C: +2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in assets 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. PACIFICA CDO V: Moody's Lifts Rating on $19MM Cl. D Notes to Ba3 ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following CLO notes issued by Pacifica CDO V, Ltd.: $28,750,000 Class A-2 Senior Secured Floating Rate Notes Due January 26, 2020, Upgraded to Aaa (sf); previously on September 15, 2011 Upgraded to Aa1 (sf); $25,650,000 Class B-1 Senior Secured Deferrable Floating Rate Notes Due January 26, 2020, Upgraded to Aa3 (sf); previously on September 15, 2011 Upgraded to A3 (sf); $5,850,000 Class B-2 Senior Secured Deferrable Fixed Rate Notes Due January 26, 2020, Upgraded to Aa3 (sf); previously on September 15, 2011 Upgraded to A3 (sf); $18,750,000 Class C Senior Secured Deferrable Floating Rate Notes Due January 26, 2020, Upgraded to Baa2 (sf); previously on September 15, 2011 Upgraded to Ba1 (sf); $19,000,000 Class D Secured Deferrable Floating Rate Notes Due January 26, 2020, Upgraded to Ba3 (sf); previously on September 15, 2011 Upgraded to B1 (sf); $500,000 Type I Composite Notes Due January 26, 2020 (current rated balance of $168,510), Upgraded to A2 (sf); previously on September 15, 2011 Upgraded to Baa2 (sf); $6,000,000 Type II Composite Notes Due January 26, 2020 (current rated balance of $3,426,970), Upgraded to Aaa (sf); previously on September 15, 2011 Upgraded to Aa1 (sf). Moody's also affirmed the rating of the following notes: $361,250,000 Class A-1 Senior Secured Floating Rate Notes Due January 26, 2020 (current outstanding balance of $273,865,042.16), 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 are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in September 2011. Moody's notes that the Class A-1 Notes have been paid down by approximately 20.7% or $71.6 million since the last rating action. Based on the latest trustee report dated March 4, 2013, the Class A, Class B, Class C and Class D overcollateralization ratios are reported at 131.3%, 118.9%, 112.6% and 106.9%, respectively, versus July 2011 levels of 123.9%, 114.9%, 109.9% and 104.6%, respectively. Moody's notes that the deal also benefited from an improvement in the weighted average spread of the underlying portfolio since the last rating action in September 2011. Based on the March trustee report the weighted average spread is 3.54% versus 3.19% in July 2011. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $387.6 million, defaulted par of $10.6 million, a weighted average default probability of 17.34% (implying a WARF of 2621), a weighted average recovery rate upon default of 50.33%, and a diversity score of 60. 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. Pacifica CDO V, Ltd., issued in January 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. The methodology used in rating Type I Composite Notes and Type II Composite 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. 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% (2097) Class A-1: 0 Class A-2: 0 Class B-1: +2 Class B-2: +2 Class C: +2 Class D: +1 Type I Composite: +2 Type II Composite: 0 Moody's Adjusted WARF + 20% (3145) Class A-1: 0 Class A-2: 0 Class B-1: -2 Class B-2: -2 Class C: -2 Class D: -1 Type I Composite: -2 Type II Composite: 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 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. PSSA FLOATING 1998-1: Moody's Corrects Rating on One Cert. Class ---------------------------------------------------------------- Moody's Investors Service corrected the rating of the following certificates issued by PSSA Floating Rate Pass-Through Trust, Series 1998-1: $90,200,000 Floating Rate Pass-Through Certificates Series 1998-1 (current balance: $34,905,242.47), Upgraded to Baa2 and Placed Under Review for Possible Downgrade; previously on November 20, 2012 Downgraded to Caa2 Ratings Rationale: The transaction is a structured note whose rating is based on the legal structure of the transaction, on the rating of JPMorgan Chase Bank (the "Swap Counterparty") and MBIA-insured Senior Term Notes, Series A-1-A, issued by Basketball Properties, Ltd. ("the Promissory Note"). The rating action is a result of the correction of the Guarantor of the Promissory Notes from MBIA Insurance Corporation to National Public Finance Guarantee Corp (NPFG). NPFG Insurance Financial Strength rating is currently Baa2, on review for possible downgrade as of March 21, 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 NPFG. Moody's says that NPFG Corporation is 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 of NPFG Corporation, they could also negatively impact the rating on the certificates. PUTNAM STRUCTURED: Fitch Affirms 'C' Ratings on Two Note Classes ---------------------------------------------------------------- Fitch Ratings has upgraded five, affirmed two, and revised or assigned Rating Outlooks on four classes of notes issued by Putnam Structured Product CDO 2001-1, Ltd. The rating actions are as follows: -- $5,376,291 class A-1MM-a notes upgraded to 'AAsf' from 'A+sf', Outlook revised to Stable from Positive; -- $4,800,260 class A-1MM-b notes upgraded to 'AAsf' from 'A+sf', Outlook revised to Stable from Positive; -- $10,080,546 class A-1SS notes upgraded to 'AAsf' from 'A+sf', Outlook revised to Stable from Positive; -- $33,708,716 class A-2 notes upgraded to 'Asf' from 'BBBsf', Outlook Stable; -- $24,000,000 class B notes upgraded to 'Bsf' from 'CCsf', assigned Outlook Stable; -- $8,758,096 class C-1 notes affirmed at 'Csf'; -- $10,055,691 class C-2 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' for the class A-1MM-a, A-1MM-b, A-1SS (together, class A-1), class A-2 and class B notes. Key Rating Drivers The upgrades are attributed to improved credit enhancement (CE) available to all rated notes as a result of the significant deleveraging of the capital structure since Fitch's last rating action in May 2012, offsetting modest deterioration of the underlying collateral. Since the last review, approximately 14% of the underlying portfolio has been downgraded a weighted average of 3.0 notches and 9.2% has been upgraded a weighted average of 1.7 notches. Currently, approximately 32.1% of the portfolio has a Fitch- derived rating below investment grade and 24.5% has a rating in the 'CCCsf' rating category or lower, compared to 30.4% and 18.2% respectively, at previous review. Over the last 12 months, the class A-1 notes have received approximately $38.9 million, or 65.7% of its previous balance, in principal redemptions. In addition to normal principal amortization, the notes have also been benefiting from excess spread redirected to cure the failure of the class C overcollateralization (OC) test. Approximately $4.2 million of such interest proceeds were used to amortize the class A-1 notes over the last four payment dates. The current outstanding balance represents 9.6% of the original issued amount. While the breakeven levels for the class A-1 notes indicate it is able to withstand higher rating stresses than 'AAsf' in the base and sensitivity scenario analyses, the swap counterparty AIG Financial Products Corp. (AIG) does not meet Fitch's counterparty criteria for a class rated 'AAAsf', precluding an upgrade to the highest rating category at this time. The class A-2 and class B notes have also benefited from the amortization of the capital structure as the credit enhancement for these notes has also increased significantly. While the cash flow modeling results vary across different interest rate and default timing scenarios, the breakeven rates are generally consistent with the rating levels that each class is being upgraded to today. The Stable Outlook on the class A-1, A-2 and class B notes reflects Fitch's view that the transaction will continue to delever and that each class has sufficient CE to offset potential deterioration of the underlying collateral going forward. Fitch does not assign Outlooks to classes rated 'CCCsf' or below. Breakeven levels for the class C-1 and C-2 (together, class C) notes indicate ratings below SF PCM's 'CCCsf' default level, which is the lowest level of defaults projected by SF PCM. Fitch analyzed these classes by comparing the respective CE levels for each class to the expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates that default continues to appear inevitable for the class C notes at or prior to maturity. As of the most recent distribution date, the class C notes continue to receive timely interest payments. Rating Sensitivities Fitch has also conducted a sensitivity scenario analysis because the interest rate swap counterparty to the transaction, AIG (rated 'BBB+', Outlook Stable by Fitch as of Feb. 14, 2013), does not meet Fitch's counterparty criteria, titled 'Counterparty Criteria for Structured Finance Transactions'. Fitch considered the impact of a hypothetical default by the counterparty, assuming the worst scenario when the swap, currently out-of-the-money, is not terminated by the issuer. In that scenario, the CDO continues to pay its side of the swap until the expiration in August 2013, but does not receive payments from the counterparty. The results of this scenario indicate that the class A-1, A-2 and class B notes have sufficient CE levels to withstand the hypothetical counterparty default under the relevant rating stresses. Putnam 2001-1 is a cash flow structured finance collateralized debt obligation (SF CDO) that closed on Nov. 30, 2001. The portfolio is monitored by Putnam Advisory Company, LLC and is comprised of 33.4% commercial and residential real estate investment trusts, 22.1% residential mortgage-backed securities, 15.7% commercial mortgage-backed securities, 12.9% corporate bonds, 8.0% SF CDOs, 5.4% corporate CDOs, and 2.4% commercial and consumer asset-backed securities from 1995 through 2006 vintage transactions. SAXON ASSET 2004-1: Moody's Reviews B1 Rating on Class M-1 Notes ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of class A to A3 (sf) from Aaa (sf) and placed it on further review for downgrade, and placed the rating of class M-1 on review, direction uncertain, from Saxon Asset Securities Trust 2004-1, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: Saxon Asset Securities Trust 2004-1 Cl. A, Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade; previously on May 4, 2012 Confirmed at Aaa (sf) Cl. M-1, B1 (sf) Placed Under Review Direction Uncertain; previously on Mar 10, 2011 Downgraded to B1 (sf) Ratings Rationale: The downgrade rating action of class A reflects the structural limitation in the transaction that will impede recoupment of interest shortfalls even if funds are available in subsequent periods. Class A does not have any interest shortfalls to date, but in the event of an interest shortfall, future missed interest payments on the tranche can 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, any future missed interest payments to the tranche is 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. The placement of classes A and M1 tranches for review reflects an error in the Structured Finance Workstation (SFW) cash flow model previously used by Moody's in rating this transaction. In prior rating actions the model allocated losses to the subordinate bonds, even though the governing deal documents do not contain a provision allocating losses to these bonds. Class A is placed on review for downgrade while class M1 is placed on review with the direction uncertain because even though the lack of a provision to allocate losses to the subordinate bonds results in less excess spread to the deal negatively impacting both classes, it will benefit class M1 as this class will receive more principal if the deal steps down. The rating action also reflects recent performance of the underlying pools and Moody's updated expected losses on the pools. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008 and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. Moody's 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 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 8.2% in March 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. SDART 2013-3: Fitch to Assign 'BB' Rating to Class E Notes ---------------------------------------------------------- Fitch Ratings expects to assign the following ratings to the Santander Drive Auto Receivables Trust (SDART) 2013-3 notes: -- $126,000,000 class A-1 notes 'F1+sf'; -- $270,000,000 class A-2 notes 'AAAsf'; Outlook Stable; -- $151,230,000 class A-3 notes 'AAAsf'; Outlook Stable; -- $90,440,000 class B notes 'AAsf'; Outlook Stable; -- $111,310,000 class C notes 'Asf'; Outlook Stable; -- $51,020,000 class D notes 'BBBsf'; Outlook Stable; -- $46,380,000 class E notes 'BBsf'; Outlook Stable. Key Rating Drivers Stable Credit Quality: The credit quality of 2013-3 is representative of the subprime market and consistent with that of 2013-2 (not rated [NR] by Fitch) and 2013-1. The weighted average (WA) Fair Isaac Corp. (FICO) score is 590, and the internal loss forecasting score (LFS) is 561. Used vehicles total 65.35%, the WA loan-to-value (LTV) ratio is 111% and the WA seasoning totals one month. Consistent Credit Enhancement and Structure: The cash flow distribution is a sequential-pay structure. The reserve totals 2.00% (non-declining), and initial overcollateralization (OC) is 8.75% (both of the initial pool balance), growing to a target of 15.00% (of the current pool balance). Credit enhancement (CE) levels are identical to 2013-2's (NR) but higher than those of 2013-1 for class D and E notes. Stable Portfolio/Securitization Performance: Losses on SCUSA's portfolio and the 2010 - 2012 securitizations declined from prior years, supported by the economic rebound and strong used vehicle values elevating recovery rates. Stable Corporate Health: SCUSA recorded solid financial results recently and has been profitable since 2007. Fitch rates Santander, majority owner of SCUSA, 'BBB/F2' with a Negative Outlook. Consistent Origination/Underwriting/Servicing: SCUSA demonstrates adequate abilities as originator, underwriter and servicer, as evidenced by historical portfolio delinquency, loss experience and securitization performance. Fitch deems SCUSA capable to service 2013-3. Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of SCUSA would not impair the timeliness of payments on the securities. RATING SENSITIVITY Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case and could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to SDART 2013-3 to increased credit losses over the life of the transaction. Fitch's analysis found that the transaction displays some sensitivity to increased defaults and credit losses, showing a potential downgrade of one or two categories under Fitch's moderate (1.5x base case loss) scenario, especially for the subordinate bonds. The notes could experience downgrades of up to three or more rating categories, under Fitch's severe (2.5x base case loss) scenario. For both scenarios, the senior tranche notes do not display negative rating sensitivities. SEQUOIA MORTGAGE 2013-6: Fitch Rates Class B-4 Certs 'BB' --------------------------------------------------------- Fitch Ratings assigns the following ratings to Sequoia Mortgage Trust 2013-6, mortgage pass-through certificates, series 2013-6 (SEMT 2013-6): -- $130,000,000 class A-1 certificate 'AAAsf'; Outlook Stable; -- $130,000,000 class A-IO1 notional certificate 'AAAsf'; Outlook Stable; -- $267,343,000 class A-2 certificate 'AAAsf'; Outlook Stable; -- $397,343,000 class A-IO2 notional certificate 'AAAsf'; Outlook Stable; -- $7,649,000 class B-1 certificate 'AAsf'; Outlook Stable; -- $7,012,000 class B-2 certificate 'Asf'; Outlook Stable; -- $6,374,000 class B-3 certificate 'BBBsf'; Outlook Stable; -- $2,125,000 non-offered class B-4 certificate 'BBsf'; Outlook Stable. The 'AAAsf' rating on the senior certificates reflects the 6.50% subordination provided by the 1.80% class B-1, 1.65% class B-2, 1.50% class B-3, 0.50% non-offered class B-4 and 1.05% non-offered class B-5. The $4,463,577 non-offered class B-5 certificates will not be rated by Fitch. 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 2013-6 will be Redwood Residential Acquisition Corporation's sixth 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 by United Shore Financial Services (USFS, 7.7%), Cole Taylor Bank (CTB, 7.6%), PrimeLending (PL, 6.7%), and WJ Bradley Mortgage Capital (WJB, 5.2%). 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 545 loans with a total balance of $424,966,578; an average balance of $779,755; a weighted average original combined loan-to-value ratio (CLTV) of 65.8%, and a weighted average coupon (WAC) of 3.8%. Rate/Term and cash out refinances account for 67.0% and 7.7% of the loans, respectively. The weighted average original FICO credit score of the pool is 771. Owner-occupied properties comprise 96.8% of the loans. The states that represent the largest geographic concentration are California (37.1%), Massachusetts (10.2%) and Texas (6.8%). 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 collateral pool is geographically diverse. The percentage in the top three metropolitan statistical areas (MSA) is 19.3%, the lowest concentration to date. Concentration in California (37.1%) 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 2013-6 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 three others, the projected decline is less than 10%. These regions are Seattle-Bellevue-Everett in Washington (5.5%), Cambridge-Newton- Framingham, MA (5.0%), Boston-Quincy in Massachusetts (4.3%), and Chicago-Joliet-Naperville in Illinois (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. SOLAR INVESTMENT: Fitch Affirms 'C' Preferred Shares Rating ----------------------------------------------------------- Fitch Ratings has affirmed the ratings on three classes and revised the Recovery Estimates on two classes of notes issued by Solar Investment Grade CBO II, Ltd./Corp. as follows: -- $5,690,319 class III-A notes at 'CCsf'; to RE90% from RE80%; -- $16,258,056 class III-B notes at 'CCsf'; to RE90% from RE80%; -- $14,189,691 preferred shares at 'Csf'; RE0%. KEY RATING DRIVERS The affirmations of the class III-A and III-B (class III) notes highlight that default continues to remain probable. The notes are exposed to a concentrated portfolio of four performing assets, including two long-dated assets comprising 46.3% of the performing portfolio. These long-dated assets introduce additional tail risk given prevailing market prices when considering a liquidation scenario at Solar II's maturity. Solar II's remaining portfolio is insufficient to repay the preferred shares and default remains inevitable. RATING SENSITIVITIES Due to a heavily concentrated portfolio and a short term to deal maturity, Fitch considers the principal risk of the notes to be tied to the expected recoveries of the remaining performing assets. Lower than expected recoveries on the remaining portfolio would likely result in default due to a loss of principal to the class III notes and preference shares at maturity. Solar II is a collateralized bond obligation (CBO) that closed in July 2001 and matures in July 2013. Solar II's $14 million performing portfolio is currently composed of three senior unsecured securities and one structured finance security and is managed by Sun Capital Advisers LLC (as successor to Sun Capital Advisers, Inc.). Fitch considers 81.8% of the portfolio to have credit quality in the investment-grade rating categories while 18.2% of the portfolio is considered in the distressed rating categories of 'CCC' or lower. SOLOSO CDO 2005-1: Fitch Lowers Ratings on 3 Note Classes to 'D' ---------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed five classes of notes issued by Soloso CDO 2005-1 Ltd. and Soloso CDO 2005-1 Corp. (Soloso 2005-1; or the co-issuers) as follows: -- $94,284,074 class A-1LA notes downgraded to 'Dsf' from 'BBsf'; -- $137,322,986 class A-1L notes downgraded to 'Dsf' from 'BBsf'; -- $39,000,000 class A-1LB notes downgraded to 'Dsf' from 'Bsf'; -- $45,500,000 class A-2L notes affirmed at 'CCsf'; -- $40,000,000 class A-3L notes affirmed at 'Csf'; -- $19,000,000 class A-3A notes affirmed at 'Csf'; -- $19,000,000 class A-3B notes affirmed at 'Csf'; -- $30,500,000 class B-1L notes affirmed at 'Csf'. Prior to today's downgrades the Rating Outlooks for classes A-1LA and A-1L were Stable and the Outlook for class A-1LB was Negative. Fitch does not assign Outlooks to classes rated 'CCC' and below. Key Rating Drivers The rating downgrades reflect the partial default in the payment of interest to the class A-1LA, A-1L and A-LB (collectively, the class A-1) notes. Soloso 2005-1 entered an Event of Default on April 24, 2013 due to the partial default in the payment of interest to the class A-1 notes. The interest shortfall was caused by a new default since Fitch's last rating action (1.1% of the portfolio notional at last review) and one new deferral (2.2%), partially offset by one new cure (1.1%), as well as a redemption by one performing issuer. While the redemption resulted in increased credit enhancement levels to the notes, the spreads on the senior notes are significantly lower than the spread on the asset that redeemed. Rating Sensitivities In the event that additional cures reach the level required to cure the recent interest shortfall and assure sufficient level of interest coverage going forward, Fitch is likely to upgrade these notes to the appropriate level at that time. Soloso 2005-1 is a trust preferred collateralized debt obligation (TruPS CDO), which closed Aug. 24, 2005. The portfolio is composed of bank trust preferred securities and subordinate debt. SOLOSO CDO 2005-1: S&P Lowers Rating on 3 Note Classes to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' on three classes of A-1 notes from Soloso CDO 2005-1 Ltd, a trust preferred collateralized debt obligation transaction backed predominantly by bank trust preferred securities. At the same time, S&P lowered its rating to 'CC (sf)' on the class A-2 note from the same transaction. On the April 2013 payment date, after payment was made to the hedge counterparty, the interest cash remaining was insufficient to make the interest payment in full to the three classes of A-1 notes. The transaction has a fixed notional quarterly pay swap that is set to expire in 2015. The downgrades to the class A-1 notes are a result of the defaults on the interest payments due to these nondeferrable classes. The downgrade to the class A-2 note reflects the low overcollateralization ratio and the decreased likelihood that the noteholder will receive its principal in full. S&P 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED Soloso CDO 2005-1 Ltd. Rating Class To From A-1LA D (sf) CCC- (sf) A-1LB D (sf) CCC- (sf) A-1L D (sf) CCC- (sf) A-2L CC (sf) CCC- (sf) SOVEREIGN COMMERCIAL 2001-C1: Fitch Affirms D Rating on H Certs --------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Sovereign Commercial Mortgage Securities Trust's commercial mortgage pass-through certificates, series 2007-C1. Key Rating Drivers Fitch modeled losses of 12.3% of the remaining pool; expected losses on the original pool balance total 4.7%, including losses already incurred. The pool has experienced $22.85 million (2.3% of the original pool balance) in realized losses to date. Fitch has designated 44 loans (62.4%) as Fitch Loans of Concern, which includes five specially serviced assets (9.9%). The modeled losses are higher than Fitch's previous rating action; however, the pool has benefited from additional pay down and amortization. Rating Sensitivities The loans in this transaction do not have the same features as typical commercial mortgage conduit loans originated for securitization. Additionally, the loans lack some of the typical structural features and reporting requirements seen in CMBS transactions. Therefore, Fitch applied additional stresses, including adjustments of operating income and cap rates. Fitch modeled losses are based on actual performance or expected changes in performance. The Negative Rating Outlook on class C reflects the potential for adverse selection and higher than modeled losses on distressed and highly leveraged assets, as this could rapidly deteriorate the credit enhancement of the subordinate classes. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 80.1% to $201.9 million from $1.01 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting classes F through N. The largest specially serviced asset (4.2% of the pool) is secured by an 85,336 square foot (sf) office property located in Iselin, NJ. The loan transferred to special servicing in January 2013 for imminent maturity default. The borrower has requested a modification and is attempting to refinance the loan. The loan was scheduled to mature in May 2013. Fitch affirms these classes as indicated: -- $22 million class A-1A at 'AAAsf'; Outlook Stable; -- $105.2 million class A-J at 'BBB-sf'; Outlook Stable; -- $15.2 million class B at 'BBsf'; Outlook Stable; -- $17.7 million class C at 'Bsf'; Outlook Negative; -- $20.3 million class D at 'CCCsf', RE 90%; -- $10.1 million class E at 'CCsf'; RE 0%; -- $7.6 million class F at 'Csf'; RE 0%; -- $2.5 million class G at 'Csf'; RE 0%; -- $1.2 million class H at 'Dsf'; RE 0%. The fully depleted classes J, K, L and M 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 N certificates. Fitch previously withdrew the rating on the interest-only class X certificates. TIERS DERBY: Moody's Downgrades Ratings on Three CSO Notes ---------------------------------------------------------- Moody's Investors Service downgraded its ratings of notes issued by TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust, referencing a portfolio of synthetic corporate senior unsecured bonds. The rating action is as follows: Issuer: TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust, Series 2007-9 Class Description: $ 21,000,000 (current outstanding balance $0) TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2017, Series 2007-9, Downgraded to C (sf); previously on February 20, 2009 Downgraded to Ca (sf); Issuer: TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust, Series 2007-10 Class Description: $ 10,000,000 (current outstanding balance $0) TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2014, Series 2007-10, Downgraded to C (sf); previously on February 20, 2009 Downgraded to Ca (sf); Issuer: TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust, Series 2007-14 Class Description: $ 7,500,000 (current outstanding balance $0) TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust Certificates due 2017, Series 2007-14, Downgraded to C (sf); previously on February 20, 2009 Downgraded to Ca (sf); Ratings Rationale: Moody's explained that the rating actions are the result of the rated tranches experiencing 100% losses due to credit events in the portfolio. The ratings will subsequently be withdrawn. The principal methodology used in these ratings was "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations" published in September 2009. Moody's did not run a separate loss and cash flow analysis for this transaction. WACHOVIA BANK 2005-C22: Fitch Cuts Rating on Class D Certs to 'C' ----------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed 15 classes of Wachovia Bank Commercial Mortgage Trust, 2005-C22 commercial mortgage pass-through certificates. Key Rating Drivers The downgrades are attributed to higher Fitch expected losses, primarily due to lower performance and/or valuations on the specially serviced assets as well as the lack of paydown to the senior classes. Fitch modeled losses of 13.6% of the remaining pool; expected losses on the original pool balance total 13.1%, including losses already incurred. The pool has experienced $49.9 million (2% of the original pool balance) in realized losses. Fitch has designated 19 loans (21.3%) as Fitch Loans of Concern, which includes nine specially serviced assets (14.9%). Rating Sensitivities The ratings on the investment grade classes are expected to remain stable. The Negative Rating Outlook on class A-J indicates that future downgrades are possible if the performance of the collateral pool continues to deteriorate. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 17.8% to $2.08 billion from $2.53 billion at issuance. Two loans (0.5% of the pool) are defeased. Interest shortfalls are currently affecting classes F through Q. The largest contributor to expected losses is an 826-room full- service hotel located a quarter of a mile east of the Las Vegas Strip (6.8% of the pool). The loan was transferred to special servicing in March 2010 for imminent default due to declining property performance as a result of decreased tourism and travel in the Las Vegas market. The special servicer is pursuing foreclosure. A receiver was appointed in October 2011. Servicer reported trailing 12 month (TTM) occupancy as of February 2013 was 80.2%, with an average daily rate (ADR) of $87.38, and revenue per room (RevPAR) of $70.04. The next largest contributor to expected losses is a 508,976 square foot (sf) regional mall located in Lake Wales, FL (2.1%). The loan was originally sponsored by GGP, and the asset became real estate owned (REO) on Nov. 1, 2010 through a deed in lieu of foreclosure. In March 2013, the mall was sold (except for a small outparcel) for a significant loss, which should be reflected in the remittance report once the outparcel sale is completed.. The third largest contributor to expected losses is a 152,936 sf office property in Glendale, AZ (1.1%). The loan was transferred to the special servicer in August 2012 due to monetary default caused by low occupancy. A major tenant that occupied 68.4% of the property vacated in April 2012 at lease expiration. Currently, the property is 30% occupied. A receiver was appointed in December 2012 and s cash management agreement is in place. The special servicer is duel tracking with foreclosure and negotiating with the borrower for a workout. Fitch downgrades the following class, remove from Rating Watch Negative and assigns outlook as indicated: -- $253.4 million class A-M to 'Asf' from 'AAAsf', Outlook Stable. Fitch downgrades the following classes as indicated: -- $152 million class A-J to 'Bsf' from 'BBsf', Outlook Negative; -- $22.2 million class B to 'CCCsf' from 'Bsf', RE 95%; -- $31.7 million class C to 'CCsf' from 'CCCsf', RE 0%; -- $25.3 million class D to 'Csf' from 'CCsf', RE 0%. Fitch affirms the following classes as indicated: -- $7.4 million class A-3 at 'AAAsf', Outlook Stable; -- $86.2 million class A-PB at 'AAAsf', Outlook Stable; -- $941 million class A-4 at 'AAAsf', Outlook Stable; -- $337 million class A-1A at 'AAAsf', Outlook Stable; -- $47.5 million class E at 'Csf', RE 0%; -- $31.7 million class F at 'Csf', RE 0%; -- $28.5 million class G at 'Csf', RE 0%; -- $28.5 million class H at 'Csf', RE 0%; -- $34.8 million class J at 'Csf', RE 0%; -- $15.8 million class K at 'Csf', RE 0%; -- $12.7 million class L at 'Csf', RE 0%; -- $12.7 million class M at 'Csf', RE 0%; -- $6.3 million class N at 'Csf', RE 0%; -- $6.3 million class O at 'Csf', RE 0%; -- $690,550 class P at 'Dsf', RE 0%. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the rating on the interest-only class IO certificates. WACHOVIA BANK 2006-C29: Rights Transfer No Impact on Ratings ------------------------------------------------------------ Moody's Investors Service was informed that the Holder of Certificates evidencing a majority of the Voting Rights allocated to the Controlling Class have designated to remove Situs Holdings, LLC as the Special Servicer and to appoint LNR Partners, LLC as the replacement Special Servicer. The Proposed Replacement and Transfer of Special Servicing Rights will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the Proposed Replacement and Transfer. Moody's has determined that this proposed replacement and transfer of special servicing rights will not, in and of itself, and at this time, result in a downgrade or withdrawal of the current ratings to any class of certificates rated by Moody's for Wachovia Bank Commercial Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-C29. Moody's opinion only addresses the credit impact associated with the proposed replacement and transfer of special servicing rights. Moody's is not expressing any opinion as to whether 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 WBCMT 2006-C29 was taken on November 8, 2012 when Moody's affirmed the ratings of 15 classes and downgraded seven CMBS Classes as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Dec 21, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Dec 21, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-PB, Affirmed at Aaa (sf); previously on Dec 21, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Dec 21, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Dec 21, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-M, Downgraded to A3 (sf); previously on Dec 10, 2010 Downgraded to Aa2 (sf) Cl. A-J, Downgraded to B1 (sf); previously on Dec 10, 2010 Downgraded to Baa3 (sf) Cl. B, Downgraded to Caa1 (sf); previously on Dec 10, 2010 Downgraded to Ba3 (sf) Cl. C, Downgraded to Caa2 (sf); previously on Dec 10, 2010 Downgraded to B3 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Dec 10, 2010 Downgraded to Caa1 (sf) Cl. E, Downgraded to Ca (sf); previously on Dec 10, 2010 Downgraded to Caa2 (sf) Cl. F, Downgraded to C (sf); previously on Dec 10, 2010 Downgraded to Ca (sf) Cl. G, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. P, Affirmed at C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. IO, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) WACHOVIA CRE 2006-1: Fitch Affirms CCC Ratings on 3 Note Classes ---------------------------------------------------------------- Fitch Ratings has affirmed all rated classes of Wachovia CRE CDO 2006-1, Ltd. (Wachovia CRE CDO 2006-1) reflecting Fitch's base case loss expectation of 8.1%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. Key Rating Drivers Since last rating action, classes A-1A and A-2A have received pay down totaling $305 million primarily from 21 loan disposals as well as scheduled amortization. Realized losses were only $3.5 million as the majority of the assets were removed or paid off at par. Six loan interests were added over the same period with total built par of only $1.4 million. The CDO remains overcollateralized by approximately $75 million, as of the April 2013 trustee report. As of the April 2013 trustee report, and per Fitch categorization, the CDO is substantially invested as follows: whole loans/A-notes (80.3%), REO (2.3%), B-notes (1%), mezzanine debt (0.3%), CMBS (6.9%), REIT debt (2.3%), and cash (7%). The CDO collateral continues to become more concentrated. There are interests in approximately 55 different assets contributed to the CDO. The current percentage of defaulted assets and Loans of Concern is 6.8% and 27.6%, respectively. The weighted average Fitch derived rating of the rated securities is 'BBB/BBB-'. Under Fitch's methodology, approximately 56% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 8.8% from, generally, YE 2012. Modeled recoveries are well above average at 85.5% due to the, generally, stabilized nature of the collateral and the senior position of the majority of the debt. The largest component of Fitch's base case loss expectation is a whole loan (1.6%) secured by a 233-room hotel located in Warwick, RI, proximate to the airport. The property is underperforming its market with trailing 12 months January 2012 RevPAR 24% below its competitive set. Fitch modeled a significant loss on this loan in its base case scenario. The next largest component of Fitch's base case loss expectation is an REO (1.4%) multifamily property located in Las Vegas, NV. The property became REO in late 2012. Fitch modeled a significant loss on this 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 default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The breakeven rates for classes A through L pass the cash flow model at the ratings listed below. The Positive and Stable Outlooks on classes A through L generally reflect the senior positions in the liabilities structures and/or positive cushion in the modeling. The 'CCC' ratings for classes M through O 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's credit enhancement. Rating Sensitivities If the collateral continues to repay at or near par, classes may be upgraded. The junior classes are subject to further downgrade should realized losses begin to increase. Wachovia CRE CDO 2006-1 is a CRE CDO managed by Structured Asset Investors, LLC with Wells Fargo Bank, N.A., successor-by-merger to Wachovia Bank, N.A., as sub-advisor. The CDO exited its reinvestment period in September 2011. Fitch affirms the following classes and revises Outlooks as indicated: -- $312,772,488 Class A-1A Notes at 'AAsf'; Outlook to Positive from Stable; -- $68,500,000 Class A-1B Notes at 'AAsf'; Outlook to Positive from Stable; -- $16,414,630 Class A-2A Notes at 'AAAsf'; Outlook Stable; -- $145,000,000 Class A-2B Notes at 'AAsf'; Outlook to Positive from Stable; -- $53,300,000 Class B Notes at 'Asf'; Outlook Stable; -- $39,000,000 Class C Notes at 'Asf'; Outlook Stable; -- $12,350,000 Class D Notes at 'Asf'; Outlook Stable; -- $13,650,000 Class E Notes at 'Asf'; Outlook Stable; -- $24,700,000 Class F Notes at 'Asf'; Outlook Stable; -- $16,900,000 Class G Notes at 'BBBsf'; Outlook Stable; -- $35,100,000 Class H Notes at 'BBBsf'; Outlook Stable; -- $13,000,000 Class J Notes at 'BBsf'; Outlook Stable; -- $14,950,000 Class K Notes at 'BBsf'; Outlook Stable; -- $9,100,000 Class L Notes at 'BBsf'; Outlook Stable; -- $34,450,000 Class M Notes at 'CCCsf'; RE 100%; -- $16,250,000 Class N Notes at 'CCCsf'; RE 100%; -- $6,500,000 Class O Notes at 'CCCsf'; RE 100%. WELLS FARGO 2004-2: Moody's Reviews Ratings for Downgrade --------------------------------------------------------- Moody's Investors Service placed the ratings of four tranches issued by Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust on review for downgrade. The collateral backing this deal primarily consists of first-lien, subprime residential mortgages. Complete rating actions are as follows: Issuer: Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust Cl. AII-1B, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on May 4, 2012 Downgraded to Aa3 (sf) Cl. M-4, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on May 4, 2012 Downgraded to Ba2 (sf) Cl. M-5, B1 (sf) Placed Under Review for Possible Downgrade; previously on May 4, 2012 Downgraded to B1 (sf) Cl. M-6, B3 (sf) Placed Under Review for Possible Downgrade; previously on May 4, 2012 Downgraded to B3 (sf) Ratings Rationale: The rating action is a result of the recent performance of the underlying pools and Moody's updated expected losses on the pools. In addition, the rating action reflects an error in the Structured Finance Workstation (SFW) cash flow model previously used by Moody's in rating this transaction. The cash flow model used in prior rating actions did not allocate any losses to bond AII-1B and allocated losses to bond M-8B prior to bond M-8A. However, per the Pooling and Servicing Agreement (PSA), Class AII-1B absorbs losses once the subordinate bonds are depleted while M-8A and M-8B absorbs losses on a pro-rata basis. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008 and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. Moody's 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 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 8.2% in March 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. WELLS FARGO 2013-BTC: S&P Assigns 'BB' Rating on Class E Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Wells Fargo Commercial Mortgage Trust 2013-BTC's $300.0 million commercial mortgage pass-through certificates series 2013-BTC. S&P also withdrew its preliminary 'AA- (sf)' rating on the class X-B certificate. The note issuance is a commercial mortgage-backed securities transaction backed by one 10-year, $300 million commercial mortgage loan secured by the fee interest in the west parcel of Bergen Town Center and the accompanying leases, rents, and other income. The collateral is a 1.00 million-sq.-ft. regional mall and outlet center located in Paramus, N.J. The mall's entire square footage will serve as the loan's collateral. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1445.pdf RATINGS ASSIGNED Wells Fargo Commercial Mortgage Trust 2013-BTC Class Rating Amount ($) A AAA (sf) 160,210,000 X-A AAA (sf) 160,210,000(i) B AA- (sf) 31,426,000 C A- (sf) 22,834,000 D BBB- (sf) 27,726,000 E BB (sf) 39,143,000 F BB- (sf) 18,661,000 (i)Notional balance. PRELIMINARY RATING WITHDRAWN Wells Fargo Commercial Mortgage Trust 2013-BTC Class Rating To From X-B NR AA- (sf) NR-Not rated. WFCM COMMERCIAL 2013-BTC: Moody's Rates Class E Notes 'Ba3' ----------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to six classes of commercial mortgage backed securities, issued by WFCM Commercial Mortgage Securities Trust 2013-BTC. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. X-A, Definitive Rating Assigned Aaa (sf) Ratings Rationale: The Certificates are collateralized by a single loan backed by a first lien commercial mortgage related to one regional mall and outlet center known as Bergen Town Center. The borrowers underlying the mortgage is a special-purpose entity (SPE), VNO Bergen Mall Owner LLC. The ratings are based on the collateral and the structure of the transaction. Moody's rating approach for securities backed by a single loan compares the credit risk inherent in the underlying properties with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The loan is collateralized by a 1,003,539 SF component of a regional mall and outlet center, identified as Bergen Town Center. Bergen Town Center is comprised of two parcels, the East and the West parcel. Only the West parcel secures the loan. The West parcel consists of a two-story retail center, and six separate outparcels contained in 1,003,539 SF. The center was originally constructed in 1957 as an enclosed regional mall known as Bergen Mall, and was extensively renovated and repositioned by the sponsor for a total cost of approximately $313 million between 2006-2012. Anchor tenants at the property include Target, Whole Foods, and Century 21. Major tenants include Marshalls, Nordstrom Rack, Saks Off Fifth, HomeGoods, Bloomingdale's Outlet, Nike Factory Store, and Old Navy Outlet. Lincoln Technical Institute occupies 30,000 SF of office space above the Century 21 space. The remaining East parcel (non-collateral) consists of 210,709 SF occupied by a Lowe's, REI, and other free-standing retail buildings. The credit risk of the loan is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by the DSCR, and 2) Moody's assessment of the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. Moody's rated Trust LTV Ratio of 86.3% is in-line with other fixed-rate standalone-property loans that have previously been assigned an underlying rating of Ba3. The Moody's Trust Actual DSCR of 2.33X and Moody's Stressed Trust DSCR of 0.91X are considered to be in-line with other Moody's rated loans of similar respective leverages. The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Class X-A 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 Large Loan Model v 8.5. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis also uses the CMBS IO calculator v 1.1 which references the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The V Score for this transaction is assessed as Medium, the same as the V score assigned to the U.S. Single Borrower CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 16%, or 25%, the model-indicated rating for the currently rated Aaa classes would be Aa1, A2, or Baa2, 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. ZAIS INVESTMENT X: Moody's Lifts Rating on Three Note Classes ------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by ZAIS Investment Grade Limited X, Ltd.: $75,000,000 Class A-3 Senior Secured Floating Rate Notes Due 2057, Upgraded to Ba2 (sf); previously on November 29, 2011 Upgraded to Ba3 (sf); $75,000,000 Class A-4 Senior Secured Floating Rate Notes Due 2057, Upgraded to Ba3 (sf); previously on November 29, 2011 Upgraded to B2 (sf); $50,000,000 Class B Senior Subordinate Secured Floating Rate Notes Due 2057 (current outstanding balance of $57,444,686), Upgraded to Ca (sf); previously on August 2, 2011 Confirmed at C (sf). Moody's also affirmed the ratings of the following notes: $13,500,000 Class S Senior Secured Floating Rate Notes Due 2015 (current outstanding balance of $1,125,000), Affirmed Aaa (sf); previously on August 2, 2011 Upgraded to Aaa (sf); $152,000,000 Class A-1a Senior Secured Floating Rate Notes Due 2057 (current outstanding balance of $126,885,455), Affirmed A3 (sf); previously on October 8, 2012 Upgraded to A3 (sf); $120,000,000 Class A-1b Senior Secured Floating Rate Notes Due 2057 (current outstanding balance of $100,172,728), Affirmed A3 (sf); previously on October 8, 2012 Upgraded to A3 (sf); $59,500,000 Class A-2 Senior Secured Floating Rate Notes Due 2057, Affirmed Ba1 (sf); previously on October 8, 2012 Upgraded to Ba1 (sf); $32,500,000 Class C Senior Subordinate Secured Floating Rate Notes Due 2057 (current outstanding balance of $41,446,578), Affirmed C (sf); previously on August 2, 2011 Confirmed at C (sf); $5,000,000 Class D Subordinate Secured Floating Rate Notes Due 2057 (current outstanding balance of $7,593,432), Affirmed C (sf); previously on August 2, 2011 Confirmed at C (sf). Ratings Rationale: According to Moody's, the rating upgrade is the result of improvement in the credit quality of the underlying portfolio. Such credit improvement is observed through numerous factors, including a decrease in the WARF and an increase in the transaction's overcollateralization ratios. Based on the latest trustee report dated March 29, 2013, the WARF of the portfolio has decreased to 868 from 949 since the last rating action in October 2012. Additionally, the Class A overcollateralization ratio test is reported at 107.59% versus an August 2012 level of 97.92% due to deleveraging of the Class A-1 Notes. The Class A-1 Notes have been repaid $16.1 million or 6.6% since the last action in October. Finally, the Class A-3 Notes, Class A-4 Notes, and Class B Notes are benefitting from the diversion of excess interest proceeds as a result of continued failure of the Class A Overcollateralization Test. ZAIS Investment Grade Limited X, Ltd., issued in July 2007, is a collateralized debt obligation backed primarily by a portfolio of CLOs originated from 2001 to 2008. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's applied the Monte Carlo simulation framework within CDOROMv2.8 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model. The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's notes that in arriving at its ratings of SF CDOs backed by CLOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. These uncertainties are 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. Moody's rating action factors in a number of sensitivity analyses and stress scenarios. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal: Moody's Ba1 and below rated assets notched up by 2 rating notches: Class S: 0 Class A-1a: +2 Class A-1b: +2 Class A-2: +4 Class A-3: +3 Class A-4: +3 Class B: +4 Class C: 0 Class D: 0 Moody's Ba1 and below rated assets notched down by 2 rating notches: Class S: 0 Class A-1a: -2 Class A-1b: -2 Class A-2: -2 Class A-3: -3 Class A-4: -4 Class B: -3 Class C: 0 Class D: 0 * Fitch Says U.S. CMBS Defaults Rise to 13.6% in 2013 Q1 -------------------------------------------------------- Cumulative U.S. CMBS defaults rose last quarter, with office properties continuing to lead the increase, according to Fitch Ratings. Fitch's U.S. CMBS cumulative default rate for fixed-rate CMBS increased to 13.6% as of first quarter-2013(1Q'13), an 18 basis point (bp) rise from year-end 2012. Office loans, which have led defaults over the past two years, continue their lead with 55% of defaults by balance (42 loans). Defaulted office loans ranged in size from $1.4 million to $130.4 million. Office will continue to lead CMBS defaults in the near term as leases signed at the height of the market are rolling into lower rent environments and tenants reduce space. More large balance loans have defaulted in 2013 than in the same period last year. Newly defaulted loans for 1Q'13 total $2 billion (101 loans), compared to $1.7 billion (155 loans) in 1Q'12. Four loans over $100 million newly defaulted in 1Q'13, compared to one in 1Q'12. * Fitch: Rehab Loans on the Rise in U.S. FFELP Student Loan ABS --------------------------------------------------------------- U.S. FFELP student loan ABS deals with larger concentrations of rehabilitation loans warrant additional scrutiny, according to Fitch Ratings in a new report. With a trend toward larger concentrations of rehab loans in FFELP ABS over the past couple of years, Fitch has compared performance of rehab loan trusts to non-rehab trusts to confirm whether specific cash flow assumptions are consistent with actual performance. 'Compared with traditional FFELP collateral, rehab loans exhibit distinct characteristics, including higher defaults,' said Managing Director Michael Dean. Fitch reviewed the performance of two trusts; one with 100% rehab loans and one with no rehab loans. Among its more notable conclusions, Fitch's assumptions for rehabilitation loan performance remain appropriate for FFELP transactions with exposure to larger concentrations of rehab loans. As expected defaults, delinquencies and prepayments came in notably higher for rehab loans compared to traditional FFELP loans. As such, Fitch accounts for rehab loan performance by building in separate assumptions for transactions in which 5% or more of the collateral is comprised of rehab loans. 'Cumulative defaults are higher for rehab loans, although they still benefit from the same government guarantee of at least 97% of principal just like traditional non-rehab FFELP loans,' said Dean. * Fitch Says Loss Severities Inch Higher for U.S. CMBS Loans ------------------------------------------------------------ U.S. CMBS loan loss severities rose slightly year-over-year, though other favorable trends surfaced that confirm the continued stabilization of the market, according to the latest annual CMBS loss study by Fitch Ratings. Average loss severities rose slightly to 50.5% last year from 49.3% in 2011. Most loan workouts, not surprisingly, were from the problematic 2007 vintage (the peak origination year) with 239 of the 742 loans disposed of with losses coming from the 2007 vintage. CMBS special servicers resolved 1,219 loans totaling $16.6 billion in 2012, a nearly 25% decline from 2011 (1,620 loans totaling $19.6 billion). Fewer loans were modified as well. Special servicers reported modifying 153 loans ($5.4 billion) in 2012 compared to 244 loans ($6.1 billion) in 2011. Nevertheless, many modifications may only be serving to delay losses given that total leverage on the underlying collateral remains high. Fitch has also observed a rise in REO liquidations year-over-year. Fitch notes that REO liquidations rose to 53% of all disposed loans in 2012 compared to 40% in 2011. 'The rise in REO liquidations is a good sign that servicers are taking advantage of stabilizing market conditions to dispose of assets that have been languishing in special servicing for a number of years,' said Senior Director Karen Trebach. Average loss severities were up slightly for all major property types year-over-year except for retail (down slightly). Despite the decrease, retail still has the highest cumulative loss severity at 51.1%, compared to the overall cumulative loss severity of 46.4%. Fitch's latest 'U.S. CMBS Loss Study: 2012' is available at 'www.fitchratings.com' or by clicking on the above link. * Fitch Announces Enhancement to Recovery Uplift in Covered Bonds ----------------------------------------------------------------- Fitch Ratings will more accurately model stressed recoveries given default in covered bond programmes where there is time subordination. Fitch's covered bonds criteria currently specify that recovery benefit will only be recognised, in regimes where recoveries are not believed to be shared pro-rata between all bonds, when stressed recoveries reach 100% of covered bonds deemed to be in default. Under its revised approach, Fitch will assume ongoing allocation of funds from the cover pool to make the payments that become due under the covered bonds, until the maturity date of the last maturing covered bonds, when the stressed value of the remaining assets will be assessed. This is expected to lead to lower breakeven overcollateralisation in line with a given rating scenario for the concerned programmes, such as Portuguese and French legislative covered bonds. However, the breakeven overcollateralisation for a given rating will remain above that calculated for a similar programme subject to a pro- rata allocation of recoveries given default. This enhancement to Fitch covered bonds cash flows modelling will be applied over the next six months to cases where Fitch's analysis rests on the time subordination of later maturing covered bonds, which is analysed on a jurisdiction by jurisdiction basis. Most covered bonds frameworks have cross-default clauses or specific provisions, such as the amortisation test, ensuring a pro-rata allocation of proceeds from the cover pool in the event of cover pool over-indebtedness. However, in other cases, the covered bonds law aims to prevent any early amortisation of covered bonds. As a result, Fitch assumes recoveries given default would be allocated sequentially in order of original maturities. This means that later maturing covered bonds may suffer a loss, while the earlier series of bonds could be repaid in full. In these cases, Fitch will now evaluate recovery prospects at the maturity date of the last covered bonds, by calculating the stressed net present value (NPV) of the future cover pool's cash flows and comparing this with the nominal value (NV) of the covered bonds maturing at that point in time. The last maturing series of covered bonds will be aggregated up to a certain threshold, when the size of the last maturing bonds is not significant as a percentage of the aggregate covered bonds outstanding. In this instance, the stressed recovery rate will be calculated at maturity date of the covered bonds maturing just before the aggregated remaining covered bonds reach a threshold, which will be set on a case-by-case basis. Recovery prospects would then result from the ratio between the stressed NPV of the future cover pool's cash flows and the NV of the covered bonds maturing at that point in time plus the NPV of the payments to be made under the covered bonds that mature after that date. In reality the last series of covered bonds may not be treated as one in the recovery process, which could lead to a total loss on the last one, especially if it is of a small size. The other aspects of the credit given to recovery given default under Fitch's criteria remain unchanged. Notably, the agency will assign notches above the rating of the covered bonds on a probability of default (PD) basis in line with the uplift recognised when there is pro-rata allocation of recoveries. For stressed recoveries estimated in the 91%-100% range, the uplift can reach up to two notches if the covered bonds rating on a PD basis is in the investment-grade range and three notches if the covered bonds rating on a PD basis is in the sub-investment grade- range. The stresses applied are those that correspond to the rating of the covered bonds, incorporating the notching for potential recoveries. For instance, if the rating of the covered bonds is 'AA' on a PD basis and the programme could potentially achieve a maximum of two notches uplift for its recovery prospects, then stressed recoveries from the cover pool would be calculated in a 'AAA' rating scenario. The assets' NPV is calculated based on the same principles that are applied to derive stressed recoveries when pro-rata allocation is assumed. However, the revised method differs from the one used to derive pro-rata recoveries, as recovery prospects are calculated at maturity date of the last series of covered bonds instead of at the time of an assumed covered bonds default. Also, no stressed refinancing costs are applied to maturity mismatches before the maturity of the last bonds. This revised approach concerns only the modelling of recoveries in the event of a covered bonds default, it does not affect the determination of the covered bonds rating on a PD basis, which can be equal or higher than the issuer default rating. * Fitch Takes Various Actions on Distressed Classes in 41 US CMBS ----------------------------------------------------------------- Fitch Ratings has taken various actions on already distressed bonds in 41 U.S. commercial mortgage-backed securities (CMBS) transactions. Fitch downgraded 63 bonds in 28 transactions to 'D', as the bonds have incurred a principal write-down. The bonds were all previously rated 'CC' or 'C', which indicates that Fitch expected a default. In addition, Fitch has affirmed 73 distressed bonds in 11 transactions; the highest rating in these transactions is 'Csf' or 'Dsf', and losses have occurred or are considered inevitable. Recovery prospects are very low for the remaining bonds in these transactions. Fitch also withdraws the ratings on eight bonds in two transactions where the remaining classes have been reduced to zero due to paydown and/or realized losses. All eight bonds incurred some loss and were rated 'Dsf'. Key Rating Drivers These downgrades are limited to just the bonds with write-downs. Any remaining bonds in these transactions have not been analyzed as part of this review. * Moody's Takes Action on $1.4BB of 22 Option ARM RMBS Tranches --------------------------------------------------------------- Moody's Investors Service downgraded one tranche, and upgraded 21 tranches from 11 transactions issued by various issuers, backed by Option ARM mortgage loans. Complete rating actions are as follows: Issuer: DSLA Mortgage Loan Trust 2005-AR6 Cl. 2A-1A, Upgraded to B2 (sf); previously on Dec 3, 2010 Downgraded to Caa2 (sf) Issuer: GreenPoint Mortgage Funding Trust 2006-AR8 Cl. 1-A1A, Downgraded to Caa3 (sf); previously on Dec 9, 2010 Downgraded to B3 (sf) Issuer: HarborView Mortgage Loan Trust 2007-6 Cl. 2A-1A, Upgraded to B2 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2006-FLX1 Cl. A-1, Upgraded to B3 (sf); previously on Jul 18, 2011 Downgraded to Caa2 (sf) Issuer: Lehman XS Trust Series 2005-7N Cl. 1-A1A, Upgraded to B1 (sf); previously on Oct 22, 2010 Downgraded to B3 (sf) Issuer: Merrill Lynch Alternative Note Asset Trust, Series 2007- OAR1 Cl. A-1, Upgraded to Ba1 (sf); previously on Dec 9, 2010 Downgraded to Ba3 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-16XS Cl. A-1, Upgraded to Baa2 (sf); previously on Dec 10, 2010 Downgraded to Ba2 (sf) Cl. A-2A, Upgraded to B1 (sf); previously on Dec 10, 2010 Downgraded to Caa1 (sf) Cl. A-2B, Upgraded to B1 (sf); previously on Dec 10, 2010 Downgraded to Caa1 (sf) Cl. A-3, Upgraded to B3 (sf); previously on Dec 10, 2010 Downgraded to Caa3 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-19XS Cl. 2-A1, Upgraded to Ba1 (sf); previously on Dec 10, 2010 Downgraded to B1 (sf) Cl. 2-A2, Upgraded to B3 (sf); previously on Dec 10, 2010 Downgraded to Caa2 (sf) Cl. 2-A3, Upgraded to Caa2 (sf); previously on Dec 10, 2010 Downgraded to Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR1 Cl. A-1A, Upgraded to Baa3 (sf); previously on Dec 15, 2010 Downgraded to B1 (sf) Cl. A-2A3, Upgraded to B3 (sf); previously on Dec 15, 2010 Downgraded to Caa2 (sf) Cl. A-2A1, Upgraded to B3 (sf); previously on Dec 15, 2010 Downgraded to Caa2 (sf) Cl. X, Upgraded to Caa3 (sf); previously on Feb 22, 2012 Upgraded to Ca (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR19 Cl. A-1A1, Upgraded to Baa3 (sf); previously on Dec 3, 2010 Downgraded to B2 (sf) Cl. A-1A2, Upgraded to B1 (sf); previously on Dec 3, 2010 Downgraded to Caa1 (sf) Cl. A-1B2, Upgraded to B3 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) Cl. A-1B3, Upgraded to B3 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR11 Cl. 2A, Upgraded to B2 (sf); previously on Dec 3, 2010 Downgraded to Caa1 (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. These rating actions constitute of one downgrade and 21 upgrades. Class 1-A1A from Greenpoint Mortgage Funding Trust 2006-AR8 is downgraded to Caa3 (sf) due to outstanding loss on the tranche. The upgrades are primarily due to improved collateral performance and an increase in the credit enhancement available to the bonds. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011, and "Rating Transactions Based on the Credit Substitution Approach: Letter of Credit backed, Insured and Guaranteed Debts" published in March 2013. The methodology used in rating the 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) 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 Option ARM 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 Option ARM 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 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 8.2% in March 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 Reviews Ratings on $1.3-Bil. of Subprime RMBS Deals ------------------------------------------------------------- Moody's Investors Service placed the ratings of 98 tranches from 19 transactions issued by Centex Home Equity Loan Trust and CitiFinancial Mortgage Securities on review for downgrade. In addition to the tranches, class M-1 issued by Centex 2005-A is also impacted by this error and remains on review for downgrade. Complete rating actions are as follows: Issuer: Centex Home Equity Loan Trust 2001-B Cl. A-5, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on May 31, 2012 Downgraded to Ba1 (sf) Cl. A-6, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on May 31, 2012 Downgraded to Baa2 (sf) Cl. A-7, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on May 31, 2012 Upgraded to Aa3 (sf) Cl. M-1, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2011 Downgraded to Caa3 (sf) Issuer: Centex Home Equity Loan Trust 2002-C Cl. AF-4, A2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2011 Downgraded to A2 (sf) Cl. AF-5, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Ba1 (sf) Cl. AF-6, A1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at A1 (sf) Cl. M-1, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Caa1 (sf) Issuer: Centex Home Equity Loan Trust 2002-D Cl. AF-4, A1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at A1 (sf) Cl. AF-5, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Baa3 (sf) Cl. AF-6, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Aa3 (sf) Cl. M-1, B1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at B1 (sf) Issuer: Centex Home Equity Loan Trust 2003-A Cl. AF-4, Aaa (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Aaa (sf) Cl. AF-5, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Aa3 (sf) Cl. AF-6, Aaa (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Aaa (sf) Cl. M-1, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Baa3 (sf) Cl. M-2, B1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to B1 (sf) Issuer: Centex Home Equity Loan Trust 2003-B Cl. AF-4, A1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to A1 (sf) Cl. AF-5, A3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to A3 (sf) Cl. AF-6, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Aa3 (sf) Cl. M-1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Ba3 (sf) Cl. M-2, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Caa3 (sf) Issuer: Centex Home Equity Loan Trust 2003-C Cl. AF-4, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2011 Downgraded to Aa2 (sf) Cl. AF-5, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2011 Downgraded to Aa2 (sf) Cl. AF-6, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2011 Downgraded to Aa1 (sf) Cl. M-1, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2011 Downgraded to Ba2 (sf) Cl. M-2, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Caa1 (sf) Issuer: Centex Home Equity Loan Trust 2004-A Cl. AF-4, Aaa (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Aaa (sf) Cl. AF-5, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Aa2 (sf) Cl. AF-6, Aaa (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Aaa (sf) Cl. M-1, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Ba1 (sf) Cl. M-2, B2 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at B2 (sf) Cl. M-3, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Caa1 (sf) Cl. M-4, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Caa3 (sf) Issuer: Centex Home Equity Loan Trust 2004-B Cl. AF-5, A1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at A1 (sf) Cl. AF-6, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Aa3 (sf) Cl. M-1, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Ba1 (sf) Cl. M-2, B2 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at B2 (sf) Cl. M-3, B3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at B3 (sf) Cl. M-4, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Caa1 (sf) Issuer: Centex Home Equity Loan Trust 2004-C Cl. AF-4, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Upgraded to Aa3 (sf) Cl. AF-5, A2 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to A2 (sf) Cl. AF-6, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at Aa3 (sf) Cl. M-1, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Baa3 (sf) Cl. M-2, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Ba3 (sf) Cl. M-3, B2 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Confirmed at B2 (sf) Cl. M-4, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on May 3, 2012 Downgraded to Caa3 (sf) Issuer: Centex Home Equity Loan Trust 2005-A Cl. AF-5, Aaa (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2010 Confirmed at Aaa (sf) Cl. AF-6, Aaa (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2010 Confirmed at Aaa (sf) Cl. M-2, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 9, 2012 Confirmed at Caa1 (sf) Issuer: Centex Home Equity Loan Trust 2005-B Cl. AF-4, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 9, 2012 Downgraded to Aa3 (sf) Cl. AF-5, A2 (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2010 Downgraded to A2 (sf) Cl. AF-6, A1 (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2010 Downgraded to A1 (sf) Cl. M-1, B2 (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2010 Downgraded to B2 (sf) Issuer: Centex Home Equity Loan Trust 2005-C Cl. AF-5, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 9, 2012 Downgraded to Aa3 (sf) Cl. AF-6, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 9, 2012 Downgraded to Aa3 (sf) Cl. M-1, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2010 Downgraded to Ba2 (sf) Cl. M-2, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2010 Downgraded to Caa2 (sf) Issuer: Centex Home Equity Loan Trust 2005-D Cl. AF-5, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2010 Downgraded to Aa1 (sf) Cl. AF-6, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2010 Downgraded to Aa1 (sf) Cl. M-1, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 9, 2012 Upgraded to Baa1 (sf) Cl. M-2, B1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 9, 2012 Upgraded to B1 (sf) Cl. M-3, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Aug 9, 2012 Upgraded to Caa2 (sf) Issuer: Centex Home Equity Loan Trust 2006-A Cl. AV-3, B1 (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2010 Downgraded to B1 (sf) Cl. AV-4, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 9, 2012 Upgraded to Caa1 (sf) Issuer: CitiFinancial Mortgage Securities Inc. 2003-1 Cl. AF-4, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 24, 2012 Downgraded to Baa1 (sf) Cl. AF-5, A2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 24, 2012 Downgraded to A2 (sf) Cl. AF-PT, A3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 24, 2012 Downgraded to A3 (sf) Cl. MF-1, B1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 24, 2012 Downgraded to B1 (sf) Cl. MV-3, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 7, 2011 Downgraded to Caa3 (sf) Issuer: CitiFinancial Mortgage Securities Inc. 2003-2 Cl. AF-4, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Downgraded to Baa1 (sf) Cl. AF-5, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Downgraded to Baa1 (sf) Cl. MF-1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Downgraded to Ba3 (sf) Cl. MF-2, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Downgraded to Caa1 (sf) Cl. MV-2, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed Caa2 (sf) Issuer: CitiFinancial Mortgage Securities Inc. 2003-3 Cl. AF-4, A3 (sf) Placed Under Review for Possible Downgrade; previously on Apr 9, 2012 Downgraded to A3 (sf) Cl. AF-5, A1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 9, 2012 Downgraded to A1 (sf) Cl. MF-1, B1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 9, 2012 Downgraded to B1 (sf) Cl. MV-3, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 7, 2011 Downgraded to Caa3 (sf) Issuer: CitiFinancial Mortgage Securities Inc. 2003-4 Cl. AF-4, A2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed A2 (sf) Cl. AF-5, A2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed A2 (sf) Cl. AF-6, A1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed A1 (sf) Cl. MF-1, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Downgraded to Ba2 (sf) Cl. MF-2, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed Ba3 (sf) Cl. MF-3, B2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed B2 (sf) Cl. MF-4, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed Caa2 (sf) Cl. MV-4, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed Baa1 (sf) Cl. MV-5, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed Caa2 (sf) Cl. MV-6, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed Caa3 (sf) Issuer: CitiFinancial Mortgage Securities Inc. 2004-1 Cl. AF-3, A2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed A2 (sf) Cl. AF-4, A2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed A2 (sf) Cl. AF-5, A1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed A1 (sf) Cl. MF-1, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Downgraded to Baa3 (sf) Cl. MF-2, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Downgraded to Ba1 (sf) Cl. MF-3, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Downgraded to Ba3 (sf) Cl. MF-4, B2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed B2 (sf) Cl. MF-5, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed Caa1 (sf) Cl. MF-6, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 18, 2013 Affirmed Caa3 (sf) Ratings Rationale: The rating action reflects errors in the Structured Finance Workstation cash flow models previously used by Moody's in rating these transactions, specifically in how the model handles principal and interest allocation for these transactions. The cash flow models used in the past rating actions had incorrectly used separate interest and principal waterfalls. In the impacted deals, all collected principal and interest is commingled into one payment waterfall to pay all promised interest due on bonds first, then to pay scheduled principal. With commingling of funds, even principal proceeds will be used to pay accrued interest, which could result in reduced principal recovery for bonds outstanding. 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 and "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. 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 8.2% in March 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 $780 Million Miscellaneous Alt-A RMBS --------------------------------------------------------------- Moody's Investors Service downgraded the rating of one tranche and upgraded the ratings of 13 tranches from 6 RMBS transactions backed by Alt-A loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: HomeBanc Mortgage Trust 2005-3 Cl. A-1, Upgraded to Ba2 (sf); previously on Oct 14, 2010 Downgraded to B2 (sf) Cl. A-2, Upgraded to Ba2 (sf); previously on Oct 14, 2010 Downgraded to B2 (sf) Issuer: IndyMac INDA Mortgage Loan Trust 2007-AR7 Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Dec 30, 2010 Confirmed at B3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2005-A3 Cl. A-1, Upgraded to Baa2 (sf); previously on Apr 1, 2010 Downgraded to Ba1 (sf) Cl. A-2, Upgraded to Ba1 (sf); previously on Apr 1, 2010 Downgraded to B2 (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2005-5AR Cl. 1-A-1, Upgraded to A3 (sf); previously on Jul 15, 2011 Upgraded to Baa3 (sf) Cl. 1-A-3, Upgraded to Aa3 (sf); previously on Jul 15, 2011 Upgraded to A2 (sf) Cl. 1-A-4, Upgraded to Baa3 (sf); previously on Jul 15, 2011 Upgraded to Ba3 (sf) Cl. 1-M-1, Upgraded to B2 (sf); previously on Jul 15, 2011 Upgraded to Caa3 (sf) Cl. 1-M-2, Upgraded to Caa2 (sf); previously on Apr 26, 2010 Downgraded to C (sf) Cl. 1-M-3, Upgraded to Ca (sf); previously on Apr 26, 2010 Downgraded to C (sf) Issuer: MortgageIT Trust 2005-2 Cl. 1-A-2, Upgraded to Ba2 (sf); previously on Aug 5, 2010 Downgraded to B1 (sf) Issuer: MortgageIT Trust 2005-3 Cl. A-1, Upgraded to Baa3 (sf); previously on Aug 5, 2010 Downgraded to Ba2 (sf) Cl. A-2, Upgraded to B3 (sf); previously on Aug 5, 2010 Downgraded to Caa1 (sf) Ratings Rationale: The actions on the bonds are a result of the recent performance of Alt-A pools originated after 2005 and reflect Moody's updated loss expectations on these pools. 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 rating action constitute of a number of upgrades. The upgrades are due to significant improvement in collateral performance, and/ or rapid build-up in credit enhancement. The downgrade is a result of deteriorating performance and/or structural features resulting in higher expected losses for certain bonds than previously anticipated. For e.g., for shifting interest structures, back-ended liquidations could expose the seniors to tail-end losses. The subordinate bonds in the majority of these deals are currently receiving 100% of their principal payments, and thereby depleting the dollar enhancement available to the senior bonds. In its current approach, Moody's captures this risk by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural nuances of the transaction 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 September 2014. Small Pool Volatility The RMBS approach only applies to structures with at least 40 loans and pool factor of greater than 5%. Moody's can withdraw its rating when the pool factor drops below 5% and the number of loans in the deal declines to lower than 40. If, however, a transaction has a specific structural feature, such as a credit enhancement floor, that mitigates the risks of small pool size, Moody's can choose to continue to rate the transaction. For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on Alt-A pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For Alt-A pools, Moody's first applies a baseline delinquency rate of 10% for 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 Action on $508-Mil. of 9 Subprime RMBS Tranches --------------------------------------------------------------- Moody's Investors Service upgraded the ratings of 9 tranches from 4 RMBS transactions issued by various financial institutions, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-3 Cl. M-3, Upgraded to A3 (sf); previously on May 5, 2010 Confirmed at Baa3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE6 Cl. A-2c, Upgraded to A3 (sf); previously on Dec 28, 2010 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Dec 28, 2010 Upgraded to Caa1 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Jul 15, 2010 Downgraded to C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE7 Cl. A-2c, Upgraded to Baa2 (sf); previously on Jul 18, 2011 Downgraded to Ba1 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Dec 28, 2010 Upgraded to B3 (sf) Issuer: Newcastle Mortgage Securities Trust 2006-1 Cl. A-3, Upgraded to Baa1 (sf); previously on Aug 13, 2010 Downgraded to Ba1 (sf) Cl. A-4, Upgraded to Ba3 (sf); previously on Aug 13, 2010 Downgraded to B3 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Aug 13, 2010 Downgraded to C (sf) Ratings Rationale: The actions are a result of recent performance review of these transaction and reflect Moody's updated loss expectations on these pools. 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. When assigning the final ratings to senior bonds, 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 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 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 8.2% in March 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 of $406MM of 15 Subprime RMBS Tranches ------------------------------------------------------------- Moody's Investors Service upgraded the ratings of 14 tranches and downgraded the rating of one tranche from six transactions, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2006-PC1 Cl. A-3, Upgraded to A3 (sf); previously on May 21, 2010 Downgraded to Baa3 (sf) Cl. M-1, Upgraded to B1 (sf); previously on May 21, 2010 Downgraded to Caa2 (sf) Cl. M-2, Upgraded to Ca (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE1 Cl. A-1, Upgraded to Baa3 (sf); previously on Jul 19, 2010 Downgraded to Ba1 (sf) Cl. A-2C, Upgraded to Ba3 (sf); previously on Jul 19, 2010 Downgraded to B2 (sf) Cl. A-2D, Upgraded to B2 (sf); previously on Jul 19, 2010 Downgraded to Caa2 (sf) Issuer: Nomura Home Equity Loan Trust 2006-WF1 Cl. A-3, Upgraded to A3 (sf); previously on Aug 13, 2010 Downgraded to Baa2 (sf) Cl. A-4, Upgraded to Baa3 (sf); previously on Aug 13, 2010 Downgraded to Ba2 (sf) Cl. M-1, Upgraded to B3 (sf); previously on Aug 13, 2010 Downgraded to Caa2 (sf) Issuer: Option One Mortgage Loan Trust 2007-FXD1 Cl. III-A-2, Downgraded to B2 (sf); previously on Aug 13, 2010 Downgraded to Ba3 (sf) Underlying Rating: Downgraded to B2 (sf); previously on Aug 13, 2010 Downgraded to Ba3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Securitized Asset Backed Receivables LLC Trust 2006-OP1 Cl. M-1, Upgraded to Baa1 (sf); previously on Jul 12, 2010 Downgraded to Baa3 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Jul 12, 2010 Downgraded to B3 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Jul 12, 2010 Downgraded to Caa2 (sf) Issuer: Structured Asset Investment Loan Trust 2005-4 Cl. M2, Upgraded to Baa3 (sf); previously on Apr 12, 2010 Downgraded to Ba2 (sf) Cl. M3, Upgraded to B3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (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 downgrade of class III-A-2 issued by Option One 2007-FXD1 is due to the unrecoverable credit- related interest shortfalls reported on this 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 caps the ratings on tranches that currently have very small unrecoverable interest shortfalls at Baa3 (sf). For tranches with large outstanding interest shortfalls such as in the case of class III-A-2 issued by Option One 2007-FXD1, Moody's applies "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. The class III-A-2 issued by Option One 2007-FXD1 is guaranteed by Ambac Assurance Corporation, which is currently not rated by Moody's. 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. 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. 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 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 8.2% in March 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 $252-Mil. RMBS from 5 Issuers ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches, upgraded the ratings of 8 tranches, and placed 10 tranches on review from 5 RMBS transactions backed by Alt-A loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR1 Cl. 1-A-1, Upgraded to B3 (sf); previously on Apr 30, 2010 Downgraded to Caa2 (sf) Cl. 2-A-1, Downgraded to B1 (sf); previously on Apr 30, 2010 Confirmed at Ba1 (sf) Cl. 3-A-1, Upgraded to B3 (sf); previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 4-A-1, Upgraded to B3 (sf); previously on Apr 30, 2010 Downgraded to Caa1 (sf) Issuer: Lehman Mortgage Trust 2006-2 Cl. 1-A1, Downgraded to Caa2 (sf); previously on Jan 14, 2011 Downgraded to Caa1 (sf) Cl. 2-A1, Caa3 (sf) Placed Under Review Direction Uncertain; previously on Jan 14, 2011 Downgraded to Caa3 (sf) Cl. 2-A2, Caa2 (sf) Placed Under Review Direction Uncertain; previously on Jan 14, 2011 Downgraded to Caa2 (sf) Cl. 2-A3, Caa3 (sf) Placed Under Review Direction Uncertain; previously on Jan 14, 2011 Downgraded to Caa3 (sf) Cl. 3-A1, Caa1 (sf) Placed Under Review Direction Uncertain; previously on Jan 14, 2011 Downgraded to Caa1 (sf) Cl. 4-A1, Caa2 (sf) Placed Under Review Direction Uncertain; previously on Jan 14, 2011 Downgraded to Caa2 (sf) Cl. 5-A1, Caa2 (sf) Placed Under Review Direction Uncertain; previously on Jan 14, 2011 Downgraded to Caa2 (sf) Cl. 6-A1, Caa2 (sf) Placed Under Review Direction Uncertain; previously on Jan 14, 2011 Downgraded to Caa2 (sf) Cl. AP, Caa3 (sf) Placed Under Review Direction Uncertain; previously on Jan 14, 2011 Downgraded to Caa3 (sf) Cl. AX, Caa2 (sf) Placed Under Review Direction Uncertain; previously on Feb 22, 2012 Downgraded to Caa2 (sf) Cl. PAX, Caa2 (sf) Placed Under Review Direction Uncertain; previously on Feb 22, 2012 Downgraded to Caa2 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR5 Cl. II-A-1, Upgraded to B3 (sf); previously on Jul 12, 2010 Downgraded to Caa2 (sf) Issuer: Structured Asset Securities Corp Trust 2005-4XS Cl. 3-A4, Upgraded to Ba1 (sf); previously on Aug 11, 2010 Downgraded to B3 (sf) Cl. 3-A5, Upgraded to B2 (sf); previously on Aug 11, 2010 Downgraded to Caa1 (sf) Underlying Rating: Upgraded to B2 (sf); previously on Aug 11, 2010 Downgraded to Caa1 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Structured Asset Securities Corp Trust 2006-3H Cl. 1-A1, Upgraded to Ba1 (sf); previously on Jan 7, 2011 Confirmed at B3 (sf) Cl. A-IO, Upgraded to B1 (sf); previously on Jan 7, 2011 Confirmed at B3 (sf) Ratings Rationale: These actions are a result of the recent performance of Alt-A pools originated after 2005 and reflect Moody's updated loss expectations on these pools. The rating action constitute of a number of downgrades as well as upgrades. The upgrades are due to significant improvement in collateral performance, and/ or rapid build-up in credit enhancement due to high prepayments. The downgrades are a result of deteriorating performance and/or structural features resulting in higher expected losses for certain bonds than previously anticipated. For e.g., for shifting interest structures, back-ended liquidations could expose the seniors to tail-end losses. The subordinate bonds in the majority of these deals are currently receiving 100% of their principal payments, and thereby depleting the dollar enhancement available to the senior bonds. In Moody's current approach, Moody's captures this risk by running each individual pool through a variety of loss and prepayment scenarios in the Structured Finance Workstation (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural nuances of the transaction. The review actions are the result of a difference in the original collateral balance data for Lehman Mortgage Trust 2006-2, as reported in the trustee reports and the prospectus settlement. As a result, Moody's has placed the related tranches under review to analyze the rating impact once the balance data is reconciled. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, "Rating Transactions Based on the Credit Substitution Approach: Letter of Credit backed, Insured and Guaranteed Debts" published in March 2013, 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 2) small pool volatility and 3) bonds that financial guarantors insure. 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 September 2014. Small Pool Volatility The RMBS approach only applies to structures with at least 40 loans and pool factor of greater than 5%. Moody's can withdraw its rating when the pool factor drops below 5% and the number of loans in the deal declines to lower than 40. If, however, a transaction has a specific structural feature, such as a credit enhancement floor, that mitigates the risks of small pool size, Moody's can choose to continue to rate the transaction. For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on Alt-A pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For Alt-A pools, Moody's first applies a baseline delinquency rate of 10% for 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. Bonds Insured by Financial Guarantors The credit quality of RMBS that a financial guarantor insures reflect the higher of the credit quality of the guarantor or the RMBS without the benefit of the guarantee. As a result, the rating on the security is the higher of 1) the guarantor's financial strength rating and 2) the current underlying rating, which is what the rating of the security would be absent consideration of the guaranty. The principal methodology Moody's uses in determining the underlying rating is the same methodology for rating securities that do not have financial guaranty, described earlier. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in September 2011 to 7.6% 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 Action on $97.9-Mil. of Prime Jumbo RMBS -------------------------------------------------------- Moody's Investors Service upgraded thirteen tranches and downgraded two tranches from four transactions issued by miscellaneous issuers. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $97.9 million of RMBS issued from 2005. Complete rating actions are as follows: Issuer: Citicorp Mortgage Securities, Inc. 2005-8 Cl. IA-1, Upgraded to Baa3 (sf); previously on May 19, 2010 Downgraded to B2 (sf) Cl. IA-2, Upgraded to Baa3 (sf); previously on May 19, 2010 Downgraded to B2 (sf) Cl. IA-3, Upgraded to Baa3 (sf); previously on May 19, 2010 Downgraded to B2 (sf) Cl. IA-8, Upgraded to Baa3 (sf); previously on May 19, 2010 Downgraded to B2 (sf) Issuer: J.P. Morgan Mortgage Trust 2005-A1 Cl. T-B-1, Upgraded to Caa3 (sf); previously on Jan 20, 2012 Downgraded to Ca (sf) Cl. 6-T-1, Upgraded to Ba2 (sf); previously on Jan 20, 2012 Downgraded to B2 (sf) Issuer: RFMSI Series 2005-S1 Trust Cl. II-A-2, Downgraded to Baa2 (sf); previously on Jul 19, 2011 Downgraded to A2 (sf) Cl. II-A-3, Downgraded to B3 (sf); previously on Jul 19, 2011 Downgraded to B2 (sf) Issuer: Wells Fargo Mortgage Backed Securities Trust 2005-9 Trust Cl. I-A-2, Upgraded to Baa2 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf) Cl. I-A-7, Upgraded to Baa2 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf) Cl. I-A-8, Upgraded to Baa2 (sf); previously on May 19, 2010 Downgraded to Ba2 (sf) Cl. I-A-14, Upgraded to Ba2 (sf); previously on May 19, 2010 Downgraded to B1 (sf) Cl. II-A-1, Upgraded to Ba3 (sf); previously on Jul 15, 2011 Downgraded to B3 (sf) Cl. II-A-2, Upgraded to B2 (sf); previously on Jul 15, 2011 Downgraded to Caa1 (sf) Cl. II-A-5, Upgraded to Baa3 (sf); previously on Jul 15, 2011 Downgraded to B1 (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on these pools. The upgrades are due to improvement in collateral performance. 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, 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 8.2% in March 2012 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 Cuts Ratings on $56 Million of Subprime RMBS ------------------------------------------------------ Moody's Investors Service downgraded the ratings of five tranches from four RMBS transactions issued by various financial institutions, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: Equity One Mortgage Pass-Through Trust 2002-1 Cl. M-1, Downgraded to B1 (sf); previously on May 3, 2012 Downgraded to Ba3 (sf) Issuer: Equity One Mortgage Pass-Through Trust 2002-5 M-1, Downgraded to B1 (sf); previously on May 3, 2012 Downgraded to Ba3 (sf) Issuer: Equity One Mortgage Pass-Through Trust 2004-3 Cl. M-1, Downgraded to B1 (sf); previously on May 3, 2012 Downgraded to Ba1 (sf) Issuer: New Century Home Equity Loan Trust, Series 2003-3 Cl. A-3, Downgraded to A3 (sf); previously on Mar 18, 2011 Downgraded to Aa3 (sf) CL. M-1, Downgraded to B1 (sf); previously on May 4, 2012 Confirmed at Ba1 (sf) Ratings Rationale: The actions are a result of recent performance review of these transaction and reflect Moody's updated loss expectations on these pools. These rating actions constitute of downgrades. The downgrades are primarily due to the tranches' weak interest shortfall reimbursement mechanisms. Structural limitations in these transactions will typically 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 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. 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. 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 8.2% in March 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 Withdraws Ratings on 9 CSOs Due to Lack of Information ---------------------------------------------------------------- Moody's Investors Service has withdrawn the following ratings: Issuer: Cloverie Plc Series 2005-5 $20,000,000 Floating Rate Portfolio Credit Linked Notes Due 2015, Withdrawn (sf); previously on Nov 4, 2008 Downgraded to Ca (sf) Issuer: Citi CDS #CN0011879 $1,050,000,000 Bespoke Tranche Transaction due September 20, 2014-1, Withdrawn (sf); previously on Aug 29, 2007 Assigned Aaa (sf) Issuer: UBS $24MM DMR CLN Series 3832 $24MM DMR CLN, Series 3832 Notes, Withdrawn (sf); previously on Sep 15, 2011 Ca (sf) Placed Under Review for Possible Downgrade Issuer: REVE SPC TREQ Rated Equity Notes 2007-33 (Segregated Portfolio Series 33) $20,000,000 TREQ Rated Equity Notes, 2007-33 due 2017, Withdrawn (sf); previously on Feb 27, 2009 Downgraded to Ca (sf) Issuer: REVE SPC Segregated Portfolio Series 48 $75,000,000 ING Managed Synthetic 2007-2 Class JSS Notes, due 2014, Withdrawn (sf); previously on Aug 14, 2009 Downgraded to Ca (sf) Issuer: Dundee 2007-1 Notes Segregated Portfolio Series 45 $20,000,000 Dundee 2007-1 Notes due 2015, Series 45, Withdrawn (sf); previously on Mar 5, 2009 Downgraded to Ca (sf) Issuer: SALS 2007-3 (Series 4657) $20,000,000 SALS 2007-3 Notes due June 20, 2017, Withdrawn (sf); previously on Feb 25, 2009 Downgraded to Ca (sf) Issuer: REVE SPC Segregated Portfolio Series 49 $4,000,000 ING Managed Synthetic 2007-2 Class D Notes, due 2014, Withdrawn (sf); previously on Oct 23, 2008 Downgraded to Ca (sf) Issuer: REVE SPC Segregated Portfolio Series 54 $10,000,000 ING Managed Synthetic 2007-2 Class A Notes, due 2017, Withdrawn (sf); previously on Aug 14, 2009 Downgraded to Ca (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. * S&P Withdraws Ratings on 70 Classes from 23 CDO Transactions -------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on 70 classes of notes from 21 collateralized loan obligation (CLO) transactions, one collateralized debt obligation (CDO) transaction backed by commercial mortgage-backed securities (CMBS), and one CDO re-tranche transaction. Standard & Poor's notes that following transactions redeemed their classes in full after providing notice to S&P that the equity noteholders directed optional redemptions: -- 1888 Fund Ltd. -- CSAM Funding IV -- Four Corners CLO 2005-1 Ltd. -- Genesis CLO 2007-1 Ltd. -- Genesis CLO 2007-2 Ltd. -- Gulf Stream-Compass CLO 2004-1 Ltd. -- Halcyon Structured Asset Management Long Secured/Short Unsecured 2007-3 Ltd. -- Hudson Straits CLO 2004 Ltd. -- Symphony CLO VI Ltd. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS WITHDRAWN 1888 Fund Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B NR AAA (sf) C NR BB+ (sf) Celerity CLO Ltd. Rating Class To From C NR AAA (sf) D NR BBB+ (sf)/Watch Pos E NR CCC- (sf)/Watch Pos CoLTS 2005-2 Ltd. Rating Class To From C NR AAA (sf) Crest Dartmouth Street 2003-1 Ltd. Rating Class To From B-1 NR A+ (sf) B-2 NR A+ (sf) CSAM Funding IV Rating Class To From A-1 NR AAA (sf) A-1NV NR AAA (sf) A-1V NR AAA (sf) A-2 NR AA+ (sf) B-1 NR A+ (sf) B-2 NR A+ (sf) C-1 NR BBB- (sf) C-2 NR BBB- (sf) D-1 NR BB- (sf) D-2 NR BB- (sf) Forest Creek CLO Ltd. Rating Class To From B-1L NR BB (sf) Four Corners CLO 2005-1 Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) A-3 NR AAA (sf) B NR AA+ (sf) C NR A+ (sf) D NR B+ (sf) Franklin CLO IV Ltd. Rating Class To From E NR CCC- (sf) Genesis CLO 2007-1 Ltd. Rating Class To From A NR AAA (sf) B NR AA+ (sf)/Watch Pos C NR A+ (sf)/Watch Pos D NR BBB+ (sf)/Watch Pos E NR BB+ (sf)/Watch Pos Genesis CLO 2007-2 Ltd. Rating Class To From A NR AAA (sf) B NR AA+ (sf) C NR A+ (sf) D NR BBB (sf) E NR BB- (sf) F NR CCC- (sf) Gulf Stream-Compass CLO 2004-1 Ltd. Rating Class To From C NR AAA (sf) D NR B- (sf) Halcyon Loan Advisors Funding 2012-2 Ltd. Rating Class To From X NR AAA (sf) Halcyon Structured Asset Management Long Secured/Short Unsecured 2007-3 Ltd. Rating Class To From X NR AA+ (sf) A-1 NR AA+ (sf) A-2 NR A+ (sf) B NR A- (sf) C NR BBB- (sf) D NR B+ (sf) Hudson Straits CLO 2004 Ltd. Rating Class To From B NR AAA (sf) C NR AAA (sf) D-1 NR BBB+ (sf) D-2 NR BBB+ (sf) E NR B+ (sf) Katonah V Ltd. Rating Class To From A-2 NR AAA (sf) Magnetite V CLO Ltd. Rating Class To From A NR AAA (sf) Magnetite VI Ltd. Rating Class To From X NR AAA (sf) Navigator CDO 2004 Ltd. Rating Class To From A-3A NR AAA (sf) A-3B NR AAA (sf) Pacifica CDO II Ltd. Rating Class To From A-2 NR AAA (sf) Sagamore CLO Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) A-3 NR AAA (sf) Southport CLO Ltd. Rating Class To From A-1 NR AAA (sf) A-3 NR AAA (sf) Symphony CLO VI Ltd. Rating Class To From A-1 NR AA+ (sf) A-2 NR AA+ (sf) B NR A+ (sf) C NR BBB+ (sf) D NR BB+ (sf) Washington Boulevard 2009-1 Rating Class To From A NR AAA (sf) NR-Not rated. * S&P Withdraws 10 Ratings from Six U.S. Synthetic CDOs ------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on 10 classes from six U.S. synthetic collateralized debt obligations (CDOs). The withdrawals follow the receipt of notices indicating the notes' termination. 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 WITHDRAWN Betsen CDO Ltd. Series 2007-2 Rating Class To From Notes NR B+ (sf) Claris Ltd. Series 105/2007 Rating Class To From Tranche NR CCC- (sf) Morgan Stanley ACES SPC Series 2006-16 Rating Class To From IIA NR CCC- (sf) Morgan Stanley Managed ACES SPC Series 2006-10 Rating Class To From IA NR CCC- (sf) IB NR D (sf) IC NR D (sf) PARCS Master Trust Series 2006-16 Rating Class To From Trust Unit NR CCC- (sf) SPGS SPC Series 2006-I Rating Class To From A NR CCC- (sf) B NR CCC- (sf) C NR CCC- (sf) NR-Not rated. ********* 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 ***