/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/130728.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, July 28, 2013, Vol. 17, No. 207 Headlines ACCESS GROUP: Fitch Cuts Rating on Class B Notes to 'B-' ACE SECURITIES 2006-OP1: Moody's Eyes Upgrade for A-2C Securities ARES XXVII: S&P Assigns 'BB' Rating to Class E Notes ARES ENHANCED: S&P Assigns 'BB' Rating to Class D Notes ARES ENHANCED: S&P Assigns Prelim. 'BB' Rating to Class D Notes AVERY STREET: Moody's Hikes Rating on Class C Notes to 'Ba1' BANC OF AMERICA 2005-1: Moody's Revises Rating for 1-CB-1 Certs BEAR STEARNS 2004-TOP14: Moody's Affirms Ca Rating on Cl. N Certs BEAR STEARNS 2007-PWR15: Moody's Affirms 'C' Ratings on 5 Certs BLUE HERON VI: Moody's Cuts Rating on Class A-1 Notes to 'Ca' CAPMARK VII: Moody's Retains Ratings Over New Servicer Appt. CENTEX HOME: Moody's Lowers Rating on 31 Tranches of Various RMBS CHASE FUNDING 2004-1: S&P Lowers Rating on Class IIM-1 Trust to B- CITIGROUP 2006-FL2: Moody's Cuts Ratings on 2 Certificate Classes COMM 2003-LNB1: Moody's Lowers Rating on Class X-1 Notes to 'B3' COMM 2006-C8: Moody's Affirms 'C' Ratings on 4 Cert. Classes COMM 2006-FL12: Moody's Cuts Rating on 2 Cert Classes to Ba3 COMM MORTGAGE 2005-FL11: Fitch Affirms CC Rating on Cl. V-GP Trust CONNECTICUT VALLEY II: S&P Affirms 'CCC+' Rating on 2 Note Classes CONNECTICUT VALLEY III: S&P Assigns 'B+' Rating to 2 Note Classes CORPORATE BACKED 2003-17: Moody's Hikes Class A-1 Certs to 'B1' CPORTS POTOMAC 2007-1: Moody's Hikes Rating on Class B Notes to B2 CRAFT 2007-1: S&P Raises Rating on Class E Notes to 'BB+' CREDIT SUISSE 2007-TFL2: S&P Raises Rating on A-1 Certs From 'BB-' CREST 2000-1: Moody's Affirms 'Caa3' Rating on $21MM Notes CREST 2003-2: Moody's Affirms Caa3 Ratings on 2 Note Classes DBUBS COMMERCIAL 2011-C3: Moody's Keeps B2 Rating on Cl. F Certs DLJ MORTGAGE 2000-CKP1: Moody's Cuts Class S Notes Rating to Caa3 DRYDEN XXI: Supplemental Indenture No Impact on Moody's Ratings DRYDEN XXVI: S&P Affirms 'B' Rating to Class F Notes DUANE STREET I: Moody's Raises Rating on $7MM Cl. E Notes to Ba1 ELEVENTH MORTGAGE-BACKED: Fitch Cuts Rating on $37MM Notes to BB+ EMPORIA PREFERRED: S&P Raises Rating on 2 Note Classes From BB(sf) FRANKLIN CLO V: Moody's Keeps Ratings on $325MM of CLO Notes G-STAR 2003-3: Moody's Affirms Ca Rating on $18MM Class A-3 Notes GE CAPITAL 2001-1: Moody's Affirms Ratings on Four CMBS Classes GMAC COMMERCIAL 1999-C3: Moody's Keeps Caa3 Rating on Cl X Certs GMAC COMMERCIAL 2003-C1: Moody's Cuts X-1 Certs Rating to 'Caa3' GREENWICH CAPITAL 2007-GG9: Moody's Affirms C Rating on 9 Secs. INSTITUTIONAL MORTGAGE: Fitch Affirms 'B' Rating on Class G Certs. JP MORGAN 2006-CIBC15: Moody's Cuts Cl. X-1 Certs Rating to B2 JP MORGAN 2013-3: Fitch to Rate Class B-4 Certificates at 'BB' JP MORGAN 2013-C13: Moody's Rates Class F Notes 'B2(sf)' KLEROS PREFERRED: Moody's Lowers Ratings on $476MM of CDO Notes LATIN AMERICAN EXPORT: Moody's Cuts Rating on Secured Loan to Ba2 LB-UBS 2007-C2: Fitch Cuts Rating on Class A-J Certs to 'D' LEHMAN 2006-LLF C5: Rights Transfer No Impact on Moody's Ratings LIGHTPOINT CLO V: Moody's Lifts Rating on Class C Notes From Ba1 MADISON PARK X: S&P Affirms 'BB' Rating to Class E Notes MAGNOLIA FINANCE 2005-19: S&P Affirms 'B+' Rating on $9MM Notes MARATHON REAL 2006-1: Fitch Places All Ratings on Watch Negative MARQUETTE US/EUROPEAN: Moody's Raises Ratings on 8 CLO Tranches MENLO PARK: Moody's Confirms Ba1 Rating on $61.8MM Debt MERRILL LYNCH 2006-1: Moody's Cuts Ratings on 2 CMBS Classes to C ML-CFC COMMERCIAL 2007-9: S&P Cuts Rating on 3 Note Classes to D MORTGAGE ASSET 2003-2: Fitch Cuts Rating on Class 30-5 Bonds to D PPLUS TRUST SPR-1: Moody's Hikes Rating on $42.5MM Certs to 'B1' RED RIVER: Moody's Hikes Rating on Class E Notes to 'Ba3' REGIONAL DIVERSIFIED 2004-1: Moody's Ups Ratings on 2 Note Classes RESERVOIR FUNDING: Moody's Cuts Ratings on $133MM of SF CDO Notes RESIDENTIAL ASSET 2002-A13: S&P Cuts Rating on Cl. B-1 Secs to B- RFC CDO 2006-1: Moody's Affirms 'C' Rating on 5 Note Classes ROSEVILLE REDEVELOPMENT: Moody's Confirms Ba1 Rating on Tax Bonds SANTANDER CONSUMER: Moody's Eyes Upgrade for 34 Tranches SEQUOIA MORTGAGE 2013-10: Fitch Rates Class B-4 Certificates 'BB' SIERRA TIMESHARE 2013-2: Fitch Rates $36.48MM Class C Notes 'BB' SIERRA TIMESHARE 2013-2: S&P Assigns 'BB' Rating to Class C Notes SPRINT CAPITAL 2004-2: Moody's Hikes Rating on Cl. A-1 Certs to B1 SOLSTICE ABS: Moody's Hikes Rating on $225MM Notes to 'Caa3' SOUND POINT CLO II: S&P Affirms 'BB-' Rating to Class B-2L Notes STRUCTURED ASSET: Moody's Hikes Ratings on $911MM Subprime RMBS TELOS CLO 2013-4: S&P Assigns Prelim. BB Rating on Class E Notes TRAPEZA CDO IV: Moody's Lifts Rating on $33MM CLO Notes to A2 VENTURE XII: S&P Affirms 'BB' Rating on Class E Notes WACHOVIA BANK 2006-C28: Moody's Lowers Ratings on 6 CMBS Classes WELLS FARGO: Moody's Cuts Ratings on 24 Tranches of RMBS WELLS FARGO 2004-2: Moody's Confirms Ratings on $70.7-Mil. Notes * Fitch: No New U.S. CREL CDO Delinquencies in Five Years * Fitch Says Secured Bonds Dominate High Yield Default Mix * Moody's Downgrades Ratings on Six Alt-A and Option ARM RMBS * Moody's Lifts Ratings on $1.6-Bil. of RMBS From 2005-2007 * Moody's Lowers Ratings on 64 by Alt-A and Option ARM Loans * Moody's Ups Ratings on 29 Tranches of Alt-A & Option ARM Loans * Moody's Ups Ratings on 22 Alt-A RMBS Tranches From 2005-2006 * Moody's Takes Action on $1.26-Bil of Prime Jumbo RMBS * S&P Raises 6 Ratings on 5 Sprint Capital-Related Deals to 'BB-' * S&P Lowers 51 Ratings From 117 US RMBS 2nd-Lien Mortgage Loans * S&P Takes Various Rating Actions on 6 RMBS Transactions ********* ACCESS GROUP: Fitch Cuts Rating on Class B Notes to 'B-' -------------------------------------------------------- Fitch Ratings affirms class A-3, A-4, and A-5 senior student loan notes at 'AAAsf' and downgrades class A-2 and class B notes to 'B- sf' from 'AAAsf' and 'AA-sf' issued by Access Group Inc. series 2004-2 Indenture of Trust. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, remains Negative while the Rating Outlook on the subordinate note is revised to Negative from Stable. Fitch used its 'Global Structured Finance Rating Criteria', and 'Rating U.S. Federal Family Education Loan Program Student Loan ABS' to review the ratings. Key Rating Drivers Class A-2 notes are downgraded due to a high possibility that the class will not be fully redeemed by its legal final maturity date of Jan. 25, 2016, which would constitute an event of default. Despite the healthy senior parity of 108.95% and total parity of 101%, the current collateral amortization and cash release structure at 101% parity doesn't support payoff of A2 notes by its maturity date even in Fitch's base case scenario. The other senior notes have maturity dates that are much further in the future and in Fitch's analysis, class A-3, A-4 and A-4 are still expected to fully redeemed by their maturity dates respectively. The downgrade of class B is linked to the fact that in the event of default, class B interest will be subordinated to class A principal payment until all the senior notes are paid in full. If class A-2 notes are in default, class B will be locked out of interest payment, which will be considered a default by Fitch. Rating Sensitivities Since FFELP student loan ABS rely on the U.S. government to reimburse defaults, 'AAAsf' FFELP ABS ratings will likely move in tandem with the 'AAA' U.S. sovereign rating. Aside from the U.S. sovereign rating, defaults and basis risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults and basis shock beyond Fitch's published stresses could result in future downgrades. Likewise, a buildup of credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades. Fitch has taken the following rating actions: Access Group, Inc. Series 2004-2: -- Class A-2 downgraded to 'B-sf' from 'AAAsf'; Outlook Negative; -- Class A-3 affirmed at 'AAAsf'; Outlook Negative; -- Class A-4 affirmed at 'AAAsf'; Outlook Negative; -- Class A-5 affirmed at 'AAAsf'; Outlook Negative; -- Class B downgraded to 'B-sf' from 'AA-sf'; revises Outlook to Negative from Stable. ACE SECURITIES 2006-OP1: Moody's Eyes Upgrade for A-2C Securities ----------------------------------------------------------------- Moody's Investors Service has placed on review for upgrade the rating of class A-2C backed by Subprime loans, issued by ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP1. Complete rating action is as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- OP1 Cl. A-2C, Caa3 (sf) Placed Under Review for Possible Upgrade; previously on Apr 14, 2010 Downgraded to Caa3 (sf) Ratings Rationale: The review action reflects the discovery of a discrepancy between the provisions in the pooling and servicing agreement (PSA) and prospectus supplement as to principal payments to classes A-2C and A-2D once the subordinate bonds are depleted. Moody's ratings on these tranches were based on the prospectus supplement, which allows for principal allocation to shift from sequential to pro- rata between the two tranches. The PSA, by contrast, is silent as to any change in principal waterfall after credit support depletion. This review action will be resolved pending confirmation from the trustee on how it will allocate the principal if the subordinate bonds are depleted. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in June 2013. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in June 2012 to 7.6% in June 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 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. ARES XXVII: S&P Assigns 'BB' Rating to Class E Notes ---------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Ares XXVII CLO Ltd./Ares XXVII CLO LLC's $368.8 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of July 25, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The asset manager's experienced management team. -- 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%-11.57%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of up to 50% of available excess interest proceeds into principal proceeds to purchase additional collateral assets during the reinvestment period that are available before paying uncapped administrative expenses and fees, deferred asset management fees, and collateral manager incentive fees. 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/1686.pdf PRELIMINARY RATINGS ASSIGNED Ares XXVII CLO Ltd./Ares XXVII CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 99.00 A-2 AAA (sf) 150.00 B AA (sf) 46.00 C (deferrable) A (sf) 34.00 D (deferrable) BBB (sf) 22.00 E (deferrable) BB (sf) 17.80 Subordinated notes NR 44.00 NR-Not rated. ARES ENHANCED: S&P Assigns 'BB' Rating to Class D Notes ------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on the class A-1, A-2, B-1, B-2, and C notes from a 2008 issuance by Ares Enhanced Loan Investment Strategy IR Ltd./Ares Enhanced Loan Investment Strategy IR Corp. (Ares), a U.S. cash flow collateralized loan obligation (CLO) transaction, after the notes were redeemed in full (the redeemed notes). At the same time, S&P assigned its ratings to the class A-1A, A-1B, A-2A, A-2B, B, C, and D notes that Ares issued, which will serve as the replacement notes. Ares refinanced the redeemed notes through an optional redemption and from the issuance of the replacement notes. S&P had assigned its preliminary ratings to the replacement notes on July 19, 2013. The replacement note issuance is a CLO transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings on the replacement notes reflects S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- 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%-11.57%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. 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, zarranties 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/1672.pdf REDEEMED NOTE RATINGS WITHDRAWN Ares Enhanced Loan Investment Strategy IR Ltd./Ares Enhanced Loan Investment Strategy IR Corp. (2008 Issuance) Rating Class To From A-1 NR AA+ (sf) A-2 NR AA+ (sf) B-1 NR A+ (sf) B-2 NR A+ (sf) C NR BBB+ (sf) NR-Not rated. REPLACEMENT NOTE RATINGS ASSIGNED Ares Enhanced Loan Investment Strategy IR Ltd./Ares Enhanced Loan Investment Strategy IR Corp. (2013 Issuance) Class Rating Amount (mil. $) A-1A AAA (sf) 236.00 A-1B AAA (sf) 87.00 A-2A AA (sf) 40.00 A-2B AA (sf) 20.00 B (deferrable) A (sf) 34.00 C (deferrable) BBB (sf) 26.00 D (deferrable) BB (sf) 20.00 ARES ENHANCED: S&P Assigns Prelim. 'BB' Rating to Class D Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Ares Enhanced Loan Investment Strategy IR Ltd./Ares Enhanced Loan Investment Strategy IR Corp.'s $463 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of July 19, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.28%-11.57%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. 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/1672.pdf PRELIMINARY RATINGS ASSIGNED Ares Enhanced Loan Investment Strategy IR Ltd./Ares Enhanced Loan Investment Strategy IR Corp. Class Rating Amount (mil. $) A-1A AAA (sf) 236.00 A-1B AAA (sf) 87.00 A-2A AA (sf) 40.00 A-2B AA (sf) 20.00 B (deferrable) A (sf) 34.00 C (deferrable) BBB (sf) 26.00 D (deferrable) BB (sf) 20.00 Subordinated notes NR 78.75 NR-Not rated. AVERY STREET: Moody's Hikes Rating on Class C Notes to 'Ba1' ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by Avery Street CLO, Ltd.: $22,000,000 Class B-1 Notes Due April 5, 2018, Upgraded to Aa1 (sf); previously on July 15, 2013 Upgraded to Aa3 (sf) and Placed Under Review for Possible Upgrade; $7,000,000 Class B-2 Notes Due April 5, 2018, Upgraded to Aa1 (sf); previously on July 15, 2013 Upgraded to Aa3 (sf) and Placed Under Review for Possible Upgrade; $14,000,000 Class C Notes Due April 5, 2018, Upgraded to A3 (sf); previously on July 15, 2013 Baa3 (sf) Placed Under Review for Possible Upgrade; $12,500,000 Class D Notes Due April 5, 2018, Upgraded to Ba1 (sf); previously on August 11, 2011 Upgraded to Ba2 (sf). Moody's also affirmed the ratings of the following notes: $163,500,000 Class A Notes Due April 5, 2018 (current outstanding balance of $89,972,813), Affirmed Aaa (sf); previously on August 11, 2011 Upgraded to Aaa (sf); $50,000,000 Class A-2 Notes Due April 5, 2018 (current outstanding balance of $27,514,622), Affirmed Aaa (sf); previously on August 11, 2011 Upgraded to Aaa (sf); $8,000,000 Class E Notes Due April 5, 2018, Affirmed B1 (sf); previously on August 11, 2011 Upgraded to B1 (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 end of the reinvestment period. Moody's notes that the Class A Notes have been paid down by approximately 45% or $96 million since April 2012. Based on the latest trustee report dated July 2, 2013, the Senior and Mezzanine overcollateralization ratios are reported at 125.10% and 108.30%, respectively, versus April 2012 levels of 118.83% and 107.12%, respectively. Moody's notes that the overcollateralization ratios reported in the July 2013 trustee report do not include the July 5, 2013 payment distribution when $24.4 million of principal proceeds were used to pay down the Class A Notes. In taking the foregoing actions, Moody's also announced that it had concluded its review of its ratings on the issuer's Class B-1 Notes, Class B-2 Notes and Class C Notes announced on July 15, 2013. At that time, Moody's said that it had upgraded and placed certain of the issuer's ratings on review primarily as a result of substantial deleveraging of the senior notes and increases in OC ratios resulting from high rates of loan collateral prepayments during the first half of 2013. Notwithstanding the benefits of deleveraging, 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 Moody's calculations, securities that mature after the maturity date of the notes currently make up approximately 6.1% 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. Notwithstanding the increase in the overcollateralization ratio of the Class E Notes, Moody's affirmed the rating of the Class E Notes due to the market risk posed by the exposure to these long-dated assets. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and 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 $186.6 million, defaulted par of $7.4 million, a weighted average default probability of 18.03% (implying a WARF of 2868), a weighted average recovery rate upon default of 49.57%, 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. Avery Street CLO, Ltd., issued in March 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. 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 Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. 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% (2295) Class A: 0 Class A-1: 0 Class B: +1 Class B2: +1 Class C: +2 Class D: +1 Class E: +2 Moody's Adjusted WARF + 20% (3442) Class A: 0 Class A-1: 0 Class B: -2 Class B2: -2 Class C: -2 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. 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) Post-Reinvestment Period Trading: Subject to certain requirements, the deal is allowed to reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the flexibility to deteriorate some collateral quality metrics to the covenant levels. In particular, Moody's tested for a possible extension of the actual weighted average life in its analysis given that the post-reinvestment period reinvesting criteria has loose restrictions on the weighted average life of the portfolio. BANC OF AMERICA 2005-1: Moody's Revises Rating for 1-CB-1 Certs --------------------------------------------------------------- Moody's Investors Service has corrected the rating for Class 1-CB- 1 certificates issued by Banc of America Alternative Loan Trust 2005-1 to Caa1(sf) from Caa2(sf). The rating for these certificates was inadvertently downgraded on August 8, 2012 to Caa2(sf) due to an internal administrative error. No action was taken on Class 1-CB-1 on August 8, 2012 and the Caa1(sf) rating should have been maintained. In addition, for the August 8, 2012 press release titled "Moody's takes action on $1.3 billion of Alt-A RMBS issued by Banc of America from 2005 to 2007." BEAR STEARNS 2004-TOP14: Moody's Affirms Ca Rating on Cl. N Certs ----------------------------------------------------------------- Moody's upgraded the ratings of nine classes and affirmed six classes of BSCMS Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, Series 2004-TOP14 as follows: Cl. A-4, Affirmed Aaa (sf); previously on May 10, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Upgraded to Aaa (sf); previously on Jan 28, 2011 Upgraded to Aa1 (sf) Cl. C, Upgraded to Aa1 (sf); previously on May 10, 2004 Definitive Rating Assigned Aa3 (sf) Cl. D, Upgraded to Aa3 (sf); previously on Nov 12, 2009 Confirmed at A2 (sf) Cl. E, Upgraded to A1 (sf); previously on Nov 12, 2009 Confirmed at A3 (sf) Cl. F, Upgraded to A2 (sf); previously on Nov 12, 2009 Confirmed at Baa1 (sf) Cl. G, Upgraded to Baa1 (sf); previously on Nov 12, 2009 Downgraded to Baa3 (sf) Cl. H, Upgraded to Ba3 (sf); previously on Sep 1, 2011 Downgraded to B1 (sf) Cl. J, Upgraded to B1 (sf); previously on Sep 1, 2011 Downgraded to B2 (sf) Cl. K, Upgraded to B2 (sf); previously on Sep 1, 2011 Downgraded to B3 (sf) Cl. L, Affirmed Caa1 (sf); previously on Jan 28, 2011 Downgraded to Caa1 (sf) Cl. M, Affirmed Caa2 (sf); previously on Jan 28, 2011 Downgraded to Caa2 (sf) Cl. N, Affirmed Caa3 (sf); previously on Jan 28, 2011 Downgraded to Caa3 (sf) Cl. O, Affirmed Ca (sf); previously on Jan 28, 2011 Downgraded to Ca (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The upgrades of nine principal and interest classes are due to increased credit support due to prior loan payoffs and amortization, anticipated repayment of 14 defeased loans and looming 2014 loan maturities. The pool has paid down 21% since Moody's last review and 51% since securitization. The affirmation of one investment grade principal and interest class is due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable levels. The affirmations of four below investment grade principal and interest classes are due to Moody's expected loss remaining within reasonable levels. The affirmation of the IO Class, Class X-1, is due to consistent ratings from its reference classes. Moody's rating action reflects a base expected loss of 2.0% of the current balance. At last review, Moody's base expected loss was 3.4%. Moody's base expected loss plus realized losses is now 1.4% of the original pooled balance compared to 2.5% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 in the 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 principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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. 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 31 compared to 26 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 26, 2012. Deal Performance: As of the July 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 51% to $441.4 million from $894.5 million at securitization. The Certificates are collateralized by 86 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten non--defeased loans representing 32% of the pool. The pool contains one loan with an investment grade credit assessment which represents 2.5% of the pool. Fourteen loans, representing 26% of the pool, have defeased and are collateralized with U.S. Government securities. Twenty loans, representing 24% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Four loans have been liquidated from the pool, resulting in an aggregate realized loss of $3.8 million (6% loss severity overall). There are no loans in special servicing at this time. Moody's has assumed a high default probability for three poorly performing loans representing 2% of the pool and has estimated a $2.4 million aggregate loss (22% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2012 operating results for 99% of the pool's non-defeased loans and partial year 2013 operating results for 31% of the pool's non-defeased loans. Excluding troubled loans, Moody's weighted average LTV is 74% compared to 77% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.75X and 1.65X, respectively, compared to 1.68X and 1.51X 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 loan with a credit assessment is the 12 East 22nd Street Loan ($11.2 million -- 2.5% of the pool), which is secured by an 89- unit apartment building located in New York City. The property was 100% leased as of December 2011 compared to 99% at last review. Moody's credit assessment and stressed DSCR are Aa2 and 1.79X, respectively, compared to Aa2 and 1.72X at last review. The top three performing conduit loans represent 16% of the pool. The largest conduit loan is the 840 Memorial Drive Loan ($36.8 million -- 8.3% of the pool), which is secured by a 128,793 SF biotech lab/office building located in Cambridge, Massachusetts. The property was 72% leased as of January 2013 compared to 59% leased at last review. Despite the increase in occupancy, financial performance decreased since last review due to tenant concessions and the timing of tenant lease start dates. Moody's LTV and stressed DSCR are 122% and 0.84X, respectively, compared to 124% and 0.83X at last review. The second largest loan is the Greenville Place Apartments Loan ($18.1 million -- 4.1% of the pool), which is secured by a 519- unit apartment complex located in Greenville, Delaware. The property was 83% leased as of March 2013 compared to 85% at last review. Financial performance increased since last review despite the 2% decrease in occupancy. This loan has amortized 7% since securitization. Moody's LTV and stressed DSCR are 51% and 1.96X, respectively, compared to 63% and 1.59X at last review. The third largest conduit loan is the Shaw's Plaza Loan ($14.2 million -- 3.2% of the pool) which is secured by a 175,942 SF Shaw's grocery store anchored shopping center located in Raynham, Massachusetts. This shopping center was 92% leased as of March 2013 compared to 98% at last review. Financial performance for this interest-only loan has been steady the past three years. Moody's LTV and stressed DSCR are 83% and 1.25X, respectively, compared to 83% and 1.24X at last review. BEAR STEARNS 2007-PWR15: Moody's Affirms 'C' Ratings on 5 Certs --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 17 classes of Bear Stearns Commercial Mortgage Securities Inc., Commercial Mortgage Pass-Through Certificates, Series 2007-PWR15 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Apr 9, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Aug 4, 2011 Confirmed at Aaa (sf) Cl. A-4FL, Affirmed Aaa (sf); previously on Aug 4, 2011 Confirmed at Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Apr 9, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-M, Affirmed Baa3 (sf); previously on Jul 19, 2012 Downgraded to Baa3 (sf) Cl. A-MFL, Affirmed Baa3 (sf); previously on Jul 19, 2012 Downgraded to Baa3 (sf) Cl. A-J, Affirmed Caa1 (sf); previously on Aug 4, 2011 Downgraded to Caa1 (sf) Cl. A-JFL, Affirmed Caa1 (sf); previously on Aug 4, 2011 Downgraded to Caa1 (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Aug 4, 2011 Confirmed at Aaa (sf) Cl. B, Affirmed Caa3 (sf); previously on Aug 4, 2011 Downgraded to Caa3 (sf) Cl. C, Affirmed C (sf); previously on Aug 4, 2011 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Aug 4, 2011 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Feb 11, 2010 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Feb 11, 2010 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Feb 11, 2010 Downgraded to C (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. X-2, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of the investment-grade P&I 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. The ratings of the below investment grade P&I classes are consistent with Moody's expected loss and thus are affirmed. Depending on 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 ratings of the IO Classes, Class X-1 and Class X-2, are consistent with the expected credit performance of their referenced classes and thus affirmed. Moody's rating action reflects a base expected loss of 10.1% of the current balance, the same as at last review. Realized losses plus Moody's base expected loss is now 12.6% of the original securitized balance compared to 12.4% at last review. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery in the 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 principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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. 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 44 compared to 46 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 19, 2012. Deal Performance: As of the July 11, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 22% to $2.19 billion from $2.81 billion at securitization. The Certificates are collateralized by 176 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 38% of the pool. One loan, representing less than1% of the pool, has defeased and is secured by U.S. Government securities. The pool contains one loan with an investment grade credit assessment, representing less than 1% of the pool. Forty-two 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. Eighteen loans have been liquidated from the pool, which along with two loan modifications and two partial liquidations of loans still in special servicing, have resulted in an aggregate realized loss of $130.4 million (31% loss severity on average). As part of the loan modification for World Market Center II, the loan experienced a $71.9 million loss due to principal forgiveness. Currently ten loans, representing 6% of the pool, are in special servicing. The largest specially serviced loan is the Laurel Mall Loan ($37.5 million -- 1.6% of the pool), which is secured by a 562,013 square foot (SF) regional mall located in Hazelton, Pennsylvania anchored by K-Mart, JC Penney and Boscovs. The property was 89% leased as of February 2013 compared to 91% as of December 2011 and 91% at securitization. The recent drop in performance is due to a decrease in revenue and increase in expenses. In addition, the original 60 month interest-only period has ended. The loan was transferred to special servicing in May 2012 and a workout strategy is still being determined. The remaining nine specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $50.2 million loss for the specially serviced loans (48% expected loss on average). Moody's has assumed a high default probability for 18 poorly performing loans representing 19% of the pool and has estimated an aggregate $127.6 million loss (32% expected loss based on a 50% probability default) from these troubled loans. As of the most recent remittance date, the pool has experienced cumulative interest shortfalls totaling $33.6 million which impact Classes P through AJ. Moody's anticipates that the pool will continue to experience interest shortfalls caused by modifications and specially serviced loans. 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 2012 operating results for 95% and 93% of the pool respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 102% compared to 107% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.47X and 1.06X, respectively, compared to 1.32X and 0.96X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit assessment is the Commerce Crossings Nine Loan ($13.3 million -- 0.6% of the pool), which is secured by a 500,000 SF industrial property located in Louisville, Kentucky. The property is 100% leased to Solectron USA, a fully owned subsidiary of Flextronics International which is a Fortune Global 500 electronics manufacturing services provider, through December 2014. The loan is amortizing on a 21 year schedule. 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 credit assessment and stressed DSCR are Baa2 and 1.55X, respectively, compared to Baa2 and 1.65X at last review. The top three conduit loans represent 21% of the pool. The largest conduit loan is the World Market Center II - A & B Note Loan (total $264.4 million - $73.1 million A-Note; $191.3 million B- Note) -- 12.0% of the pool), which is secured by a 1.4 million 16- story home furniture and furnishing accessories design center and showroom built in 2006 located in downtown Las Vegas, Nevada. A modification agreement which closed on May 2, 2011 included the following terms: principal forgiveness of $71,927,526; interest reduced on the A-Note ($73,072,474 IO) to 4.35% from 6.35%; no current interest on the B-Note ($191,332,666) and 80% of the net cash flow after debt service is applied to amortization of the B- Note. Post-modification loan payments have been made on time. The property was 73% leased as of March 2013. Moody's LTV and stressed DSCR on the A-Note are 82% and 1.29X, respectively, compared to 79% and 1.34X at last review. The second largest conduit loan is the 1325 G Street Loan ($100.0 million -- 4.4% of the pool), which is secured by a 306,500 SF office property located near the White House in Washington, DC. The tenant base is concentrated in government sponsored entities. The property was 82% leased as of March 2013 prior to a major lease expiration. The largest tenant, Neighborhood Reinvestment Corp which leased 21% of the NRA, vacated at the end of its lease in May 2013. The borrower has hired Cassidy Turley to market the space throughout the summer. Moody's analysis reflects a stabilized value for this asset. Moody's LTV and stressed DSCR on are 119% and 0.77X, respectively, compared to 112% and 0.82X at last review. The third largest conduit loan is the Cherry Hill Town Center Loan ($80.0 million -- 3.8% of the pool), which is secured by a 511,306 SF retail property located in Cherry Hill, New Jersey, a suburb of Philadelphia. The property was 100% leased in December 2011, up from 99% in December 2010 and 97% at securitization. Only 2% of current leases roll within the next 24 months. Performance increased as a majority of leases had rent and CAM increases in 2012 from leases signed in 2007 when property opened. Moody's LTV and stressed DSCR on are 102% and 0.88X, respectively, compared to 105% and 0.85X at last review. BLUE HERON VI: Moody's Cuts Rating on Class A-1 Notes to 'Ca' ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of the following notes issued by Blue Heron Funding VI, Ltd.: $1,113,750,000 Class A-1 Blue Heron Funding VI Notes, due May 21, 2047 (current balance of $ 456,902,674), Downgraded to Ca (sf); previously on August 10, 2010 Downgraded to Caa3 (sf). Ratings Rationale: According to Moody's, the rating downgrade is the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including an increase in the WARF and a decrease in the transaction's overcollateralization ratios. Based on the latest trustee report dated June 2013, the WARF of the portfolio has increased to 3062 from 2107 since June 2012. The Class A and Class B overcollateralization ratio test is reported at 51.4% and 42.3%, respectively, versus a June 2012 level of 66.9% and 58.2%, respectively. Blue Heron Funding VI, Ltd., issued on May 21, 2003, is a collateralized debt obligation issuance backed by a portfolio that consists primarily of residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. 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. CAPMARK VII: Moody's Retains Ratings Over New Servicer Appt. ------------------------------------------------------------ Moody's Investors Service reports that the change in special servicer as detailed in the servicing agreement dated as of June 15, 2013, would not, in and of itself and as of this time, result in the downgrade or withdrawal of the notes issued by Capmark VII -- CRE Ltd. The proposed changes may be summarized as follows: the duties and obligations of Berkadia Commercial Mortgage LLC and SitusServ L.P., each acting as special servicer are being transferred to CenterSquare Investment Management Holdings, Inc. as successor special servicer. Moody's understands that there are no proposed changes to the economic terms and conditions of the servicing agreement. Moody's has determined that the change, in and of itself and at this time, will not result in the downgrade or withdrawal of the notes rating currently assigned to Capmark VII -- CRE Ltd. 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 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. Moody's will continue monitoring these ratings. Any change in the rating will be publicly disseminated by Moody's through appropriate media. The last rating action for Capmark VII -- CRE Ltd. was taken on August 22, 2012: Cl. A-1, Affirmed at Aaa (sf); previously on Sep 30, 2010 Confirmed at Aaa (sf) Cl. A-2, Affirmed at B1 (sf); previously on Sep 30, 2010 Downgraded to B1 (sf) Cl. B, Affirmed at Caa2 (sf); previously on Sep 30, 2010 Downgraded to Caa2 (sf) Cl. C, Affirmed at Caa3 (sf); previously on Sep 30, 2010 Downgraded to Caa3 (sf) Cl. D, Downgraded to Ca (sf); previously on Sep 30, 2010 Confirmed at Caa3 (sf) Cl. E, Downgraded to C (sf); previously on Sep 30, 2010 Downgraded to Ca (sf) Cl. F, Affirmed at C (sf); previously on Sep 30, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Sep 30, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on Sep 30, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Sep 30, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Sep 30, 2010 Downgraded to C (sf) CENTEX HOME: Moody's Lowers Rating on 31 Tranches of Various RMBS ----------------------------------------------------------------- Moody's Investors Service has confirmed the ratings of 41 tranches, downgraded the ratings of 31 tranches and upgraded the ratings of eight tranches from 15 transactions, backed by Subprime mortgage loans issued by Centex. Complete rating actions are as follows: Issuer: Centex Home Equity Loan Trust 2001-B Cl. A-5, Downgraded to Caa1 (sf); previously on Apr 29, 2013 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. A-6, Downgraded to Ba3 (sf); previously on Apr 29, 2013 Baa2 (sf) Placed Under Review for Possible Downgrade Cl. A-7, Downgraded to Ba1 (sf); previously on Apr 29, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to C (sf); previously on Apr 29, 2013 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2002-C Cl. AF-4, Downgraded to A3 (sf); previously on Apr 29, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. AF-5, Confirmed at Ba1 (sf); previously on Apr 29, 2013 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at A1 (sf); previously on Apr 29, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Confirmed at Caa1 (sf); previously on Apr 29, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2002-D Cl. AF-4, Downgraded to Baa1 (sf); previously on Apr 29, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. AF-5, Downgraded to Ba2 (sf); previously on Apr 29, 2013 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at Aa3 (sf); previously on Apr 29, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 29, 2013 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2003-A Cl. AF-4, Downgraded to Aa3 (sf); previously on Apr 29, 2013 Aaa (sf) Placed Under Review for Possible Downgrade Cl. AF-5, Downgraded to A3 (sf); previously on Apr 29, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at Aaa (sf); previously on Apr 29, 2013 Aaa (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Ba2 (sf); previously on Apr 29, 2013 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 29, 2013 B1 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2003-B Cl. AF-4, Confirmed at A1 (sf); previously on Apr 29, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. AF-5, Downgraded to Baa1 (sf); previously on Apr 29, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at Aa3 (sf); previously on Apr 29, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to B2 (sf); previously on Apr 29, 2013 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Confirmed at Caa3 (sf); previously on Apr 29, 2013 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2003-C Cl. AF-4, Confirmed at Aa2 (sf); previously on Apr 29, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. AF-5, Confirmed at Aa2 (sf); previously on Apr 29, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at Aa1 (sf); previously on Apr 29, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Confirmed at Ba2 (sf); previously on Apr 29, 2013 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Confirmed at Caa1 (sf); previously on Apr 29, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2004-A Cl. AF-4, Confirmed at Aaa (sf); previously on Apr 29, 2013 Aaa (sf) Placed Under Review for Possible Downgrade Cl. AF-5, Confirmed at Aa2 (sf); previously on Apr 29, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at Aaa (sf); previously on Apr 29, 2013 Aaa (sf) Placed Under Review for Possible Downgrade Cl. M-1, Confirmed at Ba1 (sf); previously on Apr 29, 2013 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Confirmed at B2 (sf); previously on Apr 29, 2013 B2 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 29, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade Cl. M-4, Downgraded to Ca (sf); previously on Apr 29, 2013 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2004-B Cl. AF-5, Downgraded to A3 (sf); previously on Apr 29, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at Aa3 (sf); previously on Apr 29, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Confirmed at Ba1 (sf); previously on Apr 29, 2013 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Confirmed at B2 (sf); previously on Apr 29, 2013 B2 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Confirmed at B3 (sf); previously on Apr 29, 2013 B3 (sf) Placed Under Review for Possible Downgrade Cl. M-4, Downgraded to Ca (sf); previously on Apr 29, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2004-C Cl. AF-4, Downgraded to A1 (sf); previously on Apr 29, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. AF-5, Downgraded to Baa2 (sf); previously on Apr 29, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at Aa3 (sf); previously on Apr 29, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Ba3 (sf); previously on Apr 29, 2013 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to B2 (sf); previously on Apr 29, 2013 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 29, 2013 B2 (sf) Placed Under Review for Possible Downgrade Cl. M-4, Downgraded to Ca (sf); previously on Apr 29, 2013 Caa3 (sf) Placed Under Review for Possible Downgrade Cl. M-5, Downgraded to C (sf); previously on May 3, 2012 Downgraded to Ca (sf) Cl. M-6, Downgraded to C (sf); previously on May 3, 2012 Downgraded to Ca (sf) Issuer: Centex Home Equity Loan Trust 2004-D Cl. AF-4, Confirmed at A1 (sf); previously on May 7, 2013 A1 (sf) Placed Under Review Direction Uncertain Cl. AF-5, Confirmed at A1 (sf); previously on May 7, 2013 A1 (sf) Placed Under Review Direction Uncertain Cl. AF-6, Downgraded to A1 (sf); previously on May 7, 2013 Aa3 (sf) Placed Under Review Direction Uncertain Cl. MV-1, Confirmed at B3 (sf); previously on May 7, 2013 B3 (sf) Placed Under Review Direction Uncertain Cl. MV-2, Confirmed at Caa3 (sf); previously on May 7, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. MF-1, Downgraded to Ba1 (sf); previously on May 7, 2013 Baa2 (sf) Placed Under Review Direction Uncertain Cl. MF-2, Downgraded to Caa1 (sf); previously on May 7, 2013 B2 (sf) Placed Under Review Direction Uncertain Cl. MF-3, Confirmed at Caa3 (sf); previously on May 7, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: Centex Home Equity Loan Trust 2005-A Cl. AF-5, Confirmed at Aaa (sf); previously on Apr 29, 2013 Aaa (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at Aaa (sf); previously on Apr 29, 2013 Aaa (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Baa2 (sf); previously on Jan 10, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Confirmed at Caa1 (sf); previously on Apr 29, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2005-B Cl. AF-4, Downgraded to A1 (sf); previously on Apr 29, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. AF-5, Confirmed at A2 (sf); previously on Apr 29, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at A1 (sf); previously on Apr 29, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Confirmed at B2 (sf); previously on Apr 29, 2013 B2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. M-3, Upgraded to Ca (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: Centex Home Equity Loan Trust 2005-C Cl. AF-5, Confirmed at Aa3 (sf); previously on Apr 29, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at Aa3 (sf); previously on Apr 29, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Confirmed at Ba2 (sf); previously on Apr 29, 2013 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Confirmed at Caa2 (sf); previously on Apr 29, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Centex Home Equity Loan Trust 2005-D Cl. AF-5, Confirmed at Aa1 (sf); previously on Apr 29, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. AF-6, Confirmed at Aa1 (sf); previously on Apr 29, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Confirmed at Baa1 (sf); previously on Apr 29, 2013 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Upgraded to Ba1 (sf); previously on Apr 29, 2013 B1 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Upgraded to B3 (sf); previously on Apr 29, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade Cl. M-4, Upgraded to Caa2 (sf); previously on Aug 9, 2012 Upgraded to Ca (sf) Issuer: Centex Home Equity Loan Trust 2006-A Cl. AV-3, Upgraded to Ba1 (sf); previously on Apr 29, 2013 B1 (sf) Placed Under Review for Possible Downgrade Cl. AV-4, Upgraded to B1 (sf); previously on Apr 29, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to C (sf) Ratings Rationale: The rating action reflects the recent performance of the underlying pools and Moody's updated expected losses on the pools. The rating action on Class M-1 issued by Centex 2005-A also takes into account the weak interest reimbursement mechanism on that bond. In addition, the rating action reflects correction of errors in the Structured Finance Workstation (SFW) cash flow models previously used by Moody's in rating these transactions. The cash flow models used in the previous rating actions for all transactions except Centex 2004-D had incorrectly applied separate interest and principal waterfalls. In the impacted deals, all collected principal and interest is commingled into one payment waterfall to pay all interest due on bonds first, and then to pay principal. As stated in the deal's pooling and servicing agreements, principal and interest collections in these deals are commingled first and used to make payments on the bonds. With the commingling of funds, principal proceeds can be used to pay accrued interest, which could result in reduced principal recovery for the bonds outstanding. In addition, the principal paid to the class AF-6 for all transactions except Centex 2002-A, Centex 2004-D and Centex 2006-A was incorrectly coded in the cash flow models used for the previous rating actions. According to the legal documents, AF-6 should receive 300% of its pro-rata share of the Group I Principal Distribution Amount as the principal payment. Previously however, AF-6 scheduled principal payment was incorrectly calculated as 300% of AF-6's pro-rata share of the funds available after interest payments. For Centex 2004-D, the cash flow model previously used incorrectly calculated the senior enhancement percentage. The errors have now been corrected these rating actions reflect the changes. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. 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 June 2012 to 7.6% in June 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for 2013. 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. CHASE FUNDING 2004-1: S&P Lowers Rating on Class IIM-1 Trust to B- ------------------------------------------------------------------ Standard & Poor's Ratings Services corrected its ratings on classes IA-5, IA-6, IA-7, and IM-1 from Chase Funding Trust, Series 2004-1 by raising them. At the same time, S&P lowered its ratings on classes IIA-2 and IIM-1 from the same transaction and removed the rating on class IIA-2 from CreditWatch with negative implications. In addition, S&P affirmed its ratings on classes IM-2, IB, IIM-2, and IIB. On Nov. 16, 2012, S&P incorrectly lowered its ratings on classes IA-5, IA-6, IA-7, and IM-1 from this transaction based on incorrect tranche balances that were reported by the trustee. The correction reflects S&P's current view that the projected credit enhancement is expected to be more than sufficient to cover projected losses at the revised rating levels; the revised ratings also reflect S&P's view of ongoing market risk. S&P lowered its rating on Class IIA-2 and removed it from CreditWatch negative due to S&P's assessment of interest shortfalls on this class. S&P also lowered its rating on class IIM-1 due to insufficient projected credit enhancement to cover our base case projected losses. The 'CCC (sf)' and 'CC (sf)' affirmations on classes IM-2, IB, IIM-2, and IIB reflect S&P's current view that the projected credit enhancement for these classes will remain insufficient to cover its base case projected losses. Subordination, overcollateralization (when available), and excess interest generally provide credit support for the reviewed transaction. The underlying collateral for this transaction consists of subprime mortgage loans secured by first liens on one- to four-family residential properties. In accordance with S&P's counterparty criteria, it considered any applicable hedges related to these securities when performing these rating actions. ECONOMIC OUTLOOK When analyzing U.S. RMBS collateral pools to determine their relative credit quality and the potential impact on rated securities, the degree of remaining losses stems, to a certain extent, from S&P's outlook regarding the behavior of such loans in conjunction with expected economic conditions. Overall, Standard & Poor's baseline macroeconomic outlook assumptions for variables that S&P believes could affect residential mortgage performance are as follows: -- Its unemployment rate forecast is 7.5% for 2013 and 6.9% for 2014, compared with the actual 8.1% rate in 2012. -- Home prices will increase 11% in 2013, using the 20-city Standard & Poor's/Case-Shiller Home Price Index. -- Real GDP growth will be 2.0% in 2013 and 3.1% in 2014. -- The 30-year mortgage rate will average 3.9% for 2013 and reach slightly higher levels in 2014. -- Inflation will be 1.3% in 2013 and 1.6% in 2014. Overall, S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinges on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve mildly. However, if a downside scenario were to occur in the U.S. in line with Standard & Poor's forecast, it believes that the credit quality of U.S. RMBS would weaken. S&P's downside scenario incorporates the following key assumptions: -- Home prices once again decline as a result of higher defaults, additional shadow inventory, and less purchase activity. -- Total unemployment remains at 7.7% for the rest of 2013, but rises to 8.1% in 2014 and job growth would slow to almost zero in 2013 and 2014. -- Downward pressure causes 1.5% GDP growth in 2013 and 0.6% growth in 2014, fueled by increased unemployment levels. -- Thirty-year fixed mortgage rates fall back to 3.5% in 2013 and remain there throughout 2014, but capitalizing on such lower rates could be hampered by limited access to credit and pressure on home prices. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Ratings Corrected By Raising Them Chase Funding Trust, Series 2004-1 Rating Class CUSIP To 11/16/12 Pre-11/16/12 IA-5 161546HS8 A+ (sf) BBB+ (sf) AAA (sf) IA-6 161546HT6 AA+ (sf) A+ (sf) AAA (sf) IA-7 161546HU3 A+ (sf) BBB+ (sf) AAA (sf) IM-1 161546HV1 BB (sf) B- (sf) AA (sf) Ratings Lowered Chase Funding Trust, Series 2004-1 Rating Class CUSIP To From IIA-2 161546HZ2 AA+ (sf) AAA (sf) IIM-1 161546JA5 B- (sf) B (sf) Ratings Affirmed Chase Funding Trust, Series 2004-1 Class CUSIP Rating IM-2 161546HW9 CCC (sf) IB 161546HX7 CC (sf) IIM-2 161546JB3 CC (sf) IIB 161546JC1 CC (sf) CITIGROUP 2006-FL2: Moody's Cuts Ratings on 2 Certificate Classes ----------------------------------------------------------------- Moody's Investors Service upgraded one pooled class and two non- pooled, or rake classes; downgraded two pooled classes; and affirmed one pooled class and two rake classes of Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-FL2. Moody's rating action is as follows: Cl. J, Upgraded to A1 (sf); previously on Jul 21, 2010 Upgraded to A3 (sf) Cl. K, Downgraded to Caa2 (sf); previously on Dec 9, 2011 Downgraded to B3 (sf) Cl. L, Affirmed Caa3 (sf); previously on Mar 17, 2011 Downgraded to Caa3 (sf) Cl. DHC-1, Upgraded to B1 (sf); previously on Sep 27, 2012 Upgraded to B3 (sf) Cl. DHC-2, Upgraded to B2 (sf); previously on Sep 27, 2012 Upgraded to Caa1 (sf) Cl. RAM-1, Affirmed C (sf); previously on Sep 27, 2012 Downgraded to C (sf) Cl. RAM-2, Affirmed C (sf); previously on Sep 27, 2012 Downgraded to C (sf) Cl. X-3, Downgraded to Caa1 (sf); previously on Sep 27, 2012 Downgraded to B3 (sf) Ratings Rationale: The upgrade of Class J was due to increased credit support from the payoff of one pooled loan since last review. The upgrades of rake Class DHC-1 and rake Class DHC-2 are due to a decrease in the loan to value (LTV) ratio for the Doubletree Hospitality & Centre Plaza Office Loan due to improved asset performance and a partial loan pay down. The downgrade of Class K was due to the credit quality of the specially serviced Radisson Ambassador Plaza Hotel and Casino Loan, the largest loan in the pool. The downgrade of interest-only Class X-3 is due to a decrease in the credit performance of the referenced principal classes. The affirmation of Class L was based on key parameters, including Moody's loan to value (LTV) ratio remaining within an acceptable range. The affirmations of rake Class RAM-1 and rake Class RAM-2 are based on expected loss for the Radisson Ambassador Plaza & Hotel Casino Loan. 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 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 (Moody's Surveillance Trends) 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 September 27, 2012. Deal Performance: As of the July 17, 2013 Payment Date , the transaction's certificate balance decreased by approximately 95% to $71.4 million from $1.3 billion at securitization due to the payoff of fourteen loans and the partial pay down of one loan. The certificates are collateralized by two floating-rate loans ranging in size from 22% to 78% of the pooled trust mortgage balance. The trust has had $32,224 in losses since securitization affecting three non-pooled classes. As of the July remittance report, interest shortfalls totaled $105,707, of which $105,259 affected non-pooled classes RAM-1 and RAM-2 and the balance affected pooled Class L. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. The certificates are backed by two mortgage loans that are both collateralized primarily by hotel properties. One of the two loans, the Radisson Ambassador Plaza Hotel & Casino Loan (78%) is in special servicing. Moody's weighted average LTV ratio for the pooled trust mortgage balance is 155%, compared to 135% at last review. Moody's stressed debt service coverage (DSCR) for the pooled trust mortgage balance is 0.94x, compared to 1.13sx at last review. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents a greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral score is 40. Large loan transactions generally have a Herf of less than 20. The pool has a Herf of 1.5, compared to 2 at last review. The largest pooled exposure is the Radisson Ambassador Plaza Hotel and Casino Loan ($50.0 million pooled balance -- 78% of the pooled balance) which is secured by a 233 room full-service hotel with a 15,000 square foot casino located in San Juan, Puerto Rico. There is also $4.4 million of non-pooled trust debt and $35.6 million in mezzanine debt. The loan transferred to special servicing in June 2011 due to imminent maturity default. A forbearance Agreement executed in January 2012 terminated on July 9, 2013. An August 2012 appraisal valued the property for $30.6 million. An appraisal reduction has been taken on the loan. The borrower has indicated its inability to pay off the loan and the special servicer is reviewing its options. Moody's LTV for the trust debt is over 100%. Moody's current credit assessment is Caa3, the same as last review. The Doubletree Hospitality & Centre Plaza Loan ($14.3 million -- 22%) is secured by a 258-room full service hotel as well as a 61,000 square foot office tower located in Modesto, California. There is also $2.7 million of rake trust debt and a $7.0 million subordinate B-Note outside the trust. Revenue per available room (RevPAR) for the Year-to-Date period ending in May 2013 increased 7% to $77 from $72 during the first five months of the prior year. RevPAR for the trailing 12-month period ending in May 2013 increased 2% to $74. The loan was modified in December 2011. Modification terms include the payment of all excess net cash flow applied to the trust. The trust balance has decreased about 2.0% since last review. As of March 2013 the office component was 82% leased, the same as last review. Moody's LTV for the trust debt is 74%. Moody's current credit assessment for the pooled debt is Ba3, compared to B1 at last review. COMM 2003-LNB1: Moody's Lowers Rating on Class X-1 Notes to 'B3' ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes, downgraded one classes and affirmed ten classes of COMM 2003-LNB1, Commercial Mortgage Pass-Through Certificates as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Feb 7, 2013 Affirmed Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Feb 7, 2013 Affirmed Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Feb 7, 2013 Affirmed Aaa (sf) Cl. D, Upgraded to Aaa (sf); previously on Feb 7, 2013 Affirmed Aa3 (sf) Cl. E, Upgraded to A1 (sf); previously on Feb 7, 2013 Affirmed Baa1 (sf) Cl. F, Affirmed Ba1 (sf); previously on Feb 7, 2013 Affirmed Ba1 (sf) Cl. G, Affirmed B2 (sf); previously on Feb 7, 2013 Affirmed B2 (sf) Cl. H, Affirmed Caa1 (sf); previously on Feb 7, 2013 Affirmed Caa1 (sf) Cl. J, Affirmed Ca (sf); previously on Feb 7, 2013 Affirmed Ca (sf) Cl. K, Affirmed C (sf); previously on Feb 7, 2013 Affirmed C (sf) Cl. L, Affirmed C (sf); previously on Feb 7, 2013 Affirmed C (sf) Cl. M, Affirmed C (sf); previously on Feb 7, 2013 Affirmed C (sf) Cl. X-1, Downgraded to B3 (sf); previously on Feb 7, 2013 Affirmed Ba3 (sf) Ratings Rationale: The upgrades of principal classes D and E are due to overall improved pool financial performance and increased credit support due to loan payoffs and amortization. The downgrade of the IO Class, Class X-1, is a result of the change in weighted average rating factor (WARF) of its referenced classes. The affirmations of principal classes A-1A, B and C are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The ratings of classes F through M are consistent with Moody's expected loss and thus are affirmed. Moody's rating action reflects a base expected loss of 17.2% of the current balance. At last review, Moody's base expected loss was 5.0%. Moody's base expected loss plus realized losses is now 5.7% of the original pooled balance compared to 5.6% at the prior review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for 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 in the 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 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. 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. 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 13 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 7, 2013. Deal Performance: As of the July 10, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 84% to $135.7 million from $846 million at securitization. The Certificates are collateralized by 12 mortgage loans ranging in size from 1% to 48% of the pool. The pool contains one loan with an investment grade credit assessment, representing 48% of the pool. There are currently no loans defeased. Three loans, representing 7% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $25.2 million (72% loss severity on average). Four loans, representing 33% of the pool, are currently in special servicing. The largest specially serviced loan is the Palladium at Birmingham ($32.6 million -- 24.1% of the pool), which is secured by two non-contiguous, Class A retail centers located in Birmingham, Michigan. The loan transferred to special servicing in February 2013 due to imminent monetary default. Per the servicer, there are negotiations regarding a loan modification. As of January 2013, the property was 79% leased as leasing efforts continue. The second largest specially serviced loan is the Fredericksburg Shopping Center Loan ($5.8 million -- 4.3% of the pool), which is secured by a 102,262 square foot (SF) anchored retail center located in Fredericksburg, Virginia. The loan was transferred to special servicing in June 2013 due to imminent maturity default. The property is anchored by Bottom Dollar Food, 29% of the net rentable area (NRA), with a lease until July 2017. Performance has improved due to rent steps and newly signed leases at higher rental rates. As of March 2013, the property was 95% leased. The borrower is pursuing the sale of the property but may request a maturity extension. The third largest specially serviced loan is the Offices at Pennington Point Loan ($3.7 million -- 2.7% of the pool), which is secured by a 29,657 SF Class B professional office park located in Pennington, New Jersey. The loan was transferred to special servicing in June 2012 due to bankruptcy by the borrower. As of December 2012, the property was 71% leased. Moody's estimates an aggregate $19.2 million loss for two specially serviced loans (53% expected loss on average). Moody's has assumed a high default probability for two poorly performing loans representing 5% of the pool and has estimated an aggregate $2.9 million loss (41% expected loss based) from these troubled loans. Moody's was provided with full year 2012 operating results for 100% of the pool's non-specially serviced loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 81% compared to 78% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.65%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.17X and 1.36X, respectively, compared to 1.44X and 1.33X 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 largest loan with a credit assessment is the 75 Rockefeller Plaza Loan ($65.0 million -- 47.9% of the pool), which is secured by a 578,241 SF office building that is part of the Rockefeller Center complex in New York City. The property is 100% leased to Time Warner Companies Inc. (Moody's Senior Unsecured Rating Baa2, Stable Outlook) under a 21-year triple net lease that is coterminous with the loan's maturity in August 2014. Time Warner has subleased all the space within the building, 96% is currently occupied, and does not plan to renew its lease. RXR Realty signed a 99-year triple net lease commencing in August 2014 and plan to redevelop the asset with completion expected in 3Q 2015. Moody's credit assessment and stressed DSCR are Aa1 and 2.23X, respectively, compared to Aa1 and 2.18X at last review. The top three conduit loans represent 10.8% of the pool. The largest conduit loan is the Shaw's Merrimack Loan ($9.7 million -- 7.2% of the pool), which is secured by a 65,000 SF grocery center located in Merrimack, New Hampshire. The property is 100% leased to Shaw's Supermarket until February 2024. Performance has remained stable. Moody's LTV and stressed DSCR are 98% and 1.10X, respectively, compared to 100% and 1.08X at last review. The second largest conduit loan is the Crystal Lake MHC Loan ($2.8 million -- 2.1% of the pool), which is secured by 175-unit mobile home park located in Troy Township, Ohio. The loan is on the watchlist since it has passed its maturity date. As of March 2013, the property was 82% occupied compared to 85% in December 2012. Performance has remained stable and the loan has amortized 16% since securitization. Moody's LTV and stressed DSCR are 78% and 1.28X, respectively, compared to 79% and 1.27X at last review. The third largest conduit loan is the Walgreens Douglasville Loan ($2.2 million -- 1.6% of the pool), which is secured by a 15,000 SF Walgreens located in Douglasville, Georgia. Performance has remained stable and the loan has amortized 36% since securitization. Moody's LTV and stressed DSCR are 67% and 1.54X, respectively, compared to 71% and 1.45X at last review. COMM 2006-C8: Moody's Affirms 'C' Ratings on 4 Cert. Classes ------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 16 classes of COMM Commercial Mortgage Pass-Through Certificates, Series 2006-C8 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Dec 22, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Dec 22, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Dec 17, 2010 Confirmed at Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Dec 17, 2010 Confirmed at Aaa (sf) Cl. A-M, Affirmed Aa3 (sf); previously on Dec 17, 2010 Downgraded to Aa3 (sf) Cl. A-J, Affirmed B3 (sf); previously on Jul 26, 2012 Downgraded to B3 (sf) Cl. B, Affirmed Caa1 (sf); previously on Jul 26, 2012 Downgraded to Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on Jul 26, 2012 Downgraded to Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Jul 26, 2012 Downgraded to Caa3 (sf) Cl. E, Affirmed Caa3 (sf); previously on Jul 26, 2012 Downgraded to Caa3 (sf) Cl. F, Affirmed C (sf); previously on Jul 26, 2012 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Jul 26, 2012 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. XP, Affirmed Aaa (sf); previously on Dec 22, 2006 Definitive Rating Assigned Aaa (sf) Cl. XS, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of the investment grade P&I 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. The ratings of the below-investment grade P&I classes are consistent with Moody's expected loss and thus are affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit support for the principal classes could decline below their current levels. If future performance materially declines, credit support may be insufficient to support the current ratings. The ratings of the interest-only classes are consistent with the credit performance of their referenced classes and thus are affirmed. Moody's rating action reflects a base expected loss of 9.8% of the current balance compared to 9.6% at Moody's prior full review. Moody's base expected loss plus realized losses is now 11.9% of the original pooled balance compared to 12.7% at last review. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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. 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 33 compared to 35 at Moody's prior full 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 last review and full transaction review are summarized in press releases dated July 26, 2012. Deal Performance: As of the July 10, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 29% to $2.69 billion from $3.78 billion at securitization. The Certificates are collateralized by 143 mortgage loans ranging in size from less than 1% to 13% of the pool. There is one loan with an investment- grade credit assessment, representing 4% of the pool. Two loans, representing less than 1% of the pool, have defeased and are secured by U.S. government securities Twenty-seven loans, representing approximately 24% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-three loans have been liquidated from the pool since securitization, resulting in a realized loss of $186.4 million (47% loss severity on average) to the pooled certificates. As of the most recent remittance statement there are 19 loans, representing approximately 13% of the pool, in special servicing. The largest specially serviced loan is the 369 Lexington Avenue Loan ($58.8 million -- 2.2% of the pool), which is secured by the borrower's interest in a 150,387 square foot (SF) Class B/C office building located in the Grand Central office sub-market of New York City. The loan was transferred to special servicing in February 2012 due to a maturity default on a cross-collateralized loan secured by 2 West 46th Street in Midtown Manhattan. This is a 144,000 square foot Class B/C office property. As of May 2013, the two properties were 100% and 95% leased, respectively. The remaining specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $126.5 million loss for 14 specially serviced loans (57% expected loss on average). Moody's has assumed a high default probability for 12 poorly performing loans representing 12% of the pool and has estimated an aggregate $48.5 million loss (15% expected loss on average) from these troubled loans. Based on the most recent remittance statement, Classes E through S have experienced $29.4 million in cumulative interest shortfalls. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, ASERs and extraordinary trust expenses. Excluding specially serviced loans, Moody's was provided with full year 2011 and 2012 operating results for 93% and 92% of the pool's loans, respectively. Excluding troubled loans and specially serviced loans with estimated losses, Moody's weighted average LTV is 106% compared to 102% at Moody's prior full review. Moody's net cash flow reflects a weighted average haircut of 11.0% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding troubled loans and specially serviced loans with estimated losses, Moody's actual and stressed DSCRs are 1.41X and 1.02X compared to 1.39X and 1.02X 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 loan with a credit assessment is the First City Tower Loan ($93.0 million -- 3.1% of the pool), which is secured by a 1.3 million SF office building located in downtown Houston, Texas. The property is also encumbered with a $17.0 million B-note held outside the trust. The building's largest tenant is Vinson & Elkins, which leases 29% of the property's office space through 2021. As of March 2013, the property was 93% leased compared to 92% at last review. The property's net operating income (NOI) increased in 2012 due to a 7.6% increase in total revenues. Moody's credit assessment and DSCR are A2 and 1.93X, respectively, compared to A3 and 1.87X at last review. The top three performing conduit loans represent 23% of the pool balance. The largest loan is the Mall of America Loan ($345.0 million -- 12.8% of the pool), which represents a 45.7% pari-passu interest in a first mortgage loan totaling $755.0 million. The loan is secured by the borrower's interest in a 2.8 million SF enclosed super-regional shopping mall/entertainment complex located in Bloomington, Minnesota. The mall is anchored by Macy's, Nordstrom, Sears and a variety of entertainment venues. The mall's financial and leasing performance improved since last review due to a 4% increase in base rents and a 12.5% increase in recoveries. As of March 2013, the collateral space was 85% leased compared to 83% at last review and 92% in the second prior review. The decline in occupancy was largely attributed to the closure of the Bloomingdales store (8% of total gross leasable area) in March 2012. However, Forever 21 signed a lease in December 2012 for 86,000 SF of the vacant anchor space. Moody's LTV and DSCR are 85% and 0.98X, respectively, compared to 90% and 0.96X at last review. The second largest loan is the EZ Storage Portfolio Loan ($150.0 million -- 5.6% of the pool), which represents a 50.0% pari-passu interest in a $300.0 million first mortgage loan. The loan is secured by a portfolio of 48 self-storage properties located across Massachusetts, Michigan, Minnesota, Ohio, Rhode Island and Virginia. Approximately 50% of the properties are located in the Detroit, Michigan metro area with the balance in the Boston, Massachusetts and Minneapolis/St. Paul, Minnesota areas. As of December 2012, the portfolio was 81% leased compared to 74% in 2011 and 75% at securitization. The 2012 NOI increased 10.6% from the prior year due to an 8.2% increase in revenue. Moody's LTV and DSCR are 144% and 0.69X, respectively, compared to 177% and 0.58X at last review. The third largest loan is the JQH Hotel Portfolio Loan ($116.3 million -- 4.3% of the pool), which is secured by five hotels located across Arkansas, Kansas, Michigan, Texas and Virginia. As of December 2012, the portfolio's weighted average occupancy and revenue per available room (RevPAR) were 66.8% and $81.89, respectively, compared to 68.4% and $81.66 in 2011. The 2012 NOI declined 8.4% from the prior year largely due to a 5% increase in operating expenses. Moody's LTV and DCSR are 114% and 1.04X, respectively, compared to 110% and 1.08X at last review. COMM 2006-FL12: Moody's Cuts Rating on 2 Cert Classes to Ba3 ------------------------------------------------------------ Moody's Investors Service upgraded the ratings of five pooled P&I classes and two pooled interest-only notional classes, downgraded two pooled interest-only notional classes and affirmed two pooled P&I classes, one interest-only notional class and seven non- pooled, or rake, classes of COMM 2006-FL12 Commercial Pass-Through Certificates as follows: Cl. A-J, Upgraded to Aaa (sf); previously on Mar 17, 2011 Downgraded to A1 (sf) Cl. B, Upgraded to Aa3 (sf); previously on Mar 17, 2011 Downgraded to A3 (sf) Cl. C, Upgraded to A2 (sf); previously on Mar 17, 2011 Downgraded to Baa2 (sf) Cl. D, Upgraded to Baa1 (sf); previously on Mar 17, 2011 Downgraded to Ba1 (sf) Cl. E, Upgraded to Baa3 (sf); previously on Mar 17, 2011 Downgraded to Ba2 (sf) Cl. F, Affirmed B1 (sf); previously on Mar 17, 2011 Downgraded to B1 (sf) Cl. G, Affirmed B3 (sf); previously on Mar 17, 2011 Downgraded to B3 (sf) Cl. ES1, Affirmed Caa1 (sf); previously on Oct 25, 2012 Downgraded to Caa1 (sf) Cl. ES2, Affirmed Caa2 (sf); previously on Oct 25, 2012 Downgraded to Caa2 (sf) Cl. ES3, Affirmed Caa3 (sf); previously on Oct 25, 2012 Downgraded to Caa3 (sf) Cl. KR1, Affirmed B3 (sf); previously on Mar 17, 2011 Downgraded to B3 (sf) Cl. KR3, Affirmed Caa3 (sf); previously on Mar 17, 2011 Downgraded to Caa3 (sf) Cl. TC1, Affirmed Ba2 (sf); previously on Dec 9, 2011 Upgraded to Ba2 (sf) Cl. TC2, Affirmed Ba3 (sf); previously on Dec 9, 2011 Upgraded to Ba3 (sf) Cl. X-2, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. X-3-DB, Downgraded to Ba3 (sf); previously on Oct 25, 2012 Upgraded to Ba2 (sf) Cl. X-5-DB, Downgraded to Ba3 (sf); previously on Oct 25, 2012 Upgraded to Ba2 (sf) Cl. X-3-SG, Upgraded to B2 (sf); previously on Oct 25, 2012 Downgraded to B3 (sf) Cl. X-5-SG, Upgraded to B2 (sf); previously on Oct 25, 2012 Downgraded to B3 (sf) Ratings Rationale: The upgrades of pooled P&I Classes AJ through E are due to increased credit support from the payoff of six loans since last review and the partial pay down of the remaining three loans in the pool. The upgrades of interest-only Class X-3-SG and Class X- 5-SG are based on the credit assessments of the two remaining reference loans, the Avenue at Tower City loan and the Embassy Suites Lake Buena Vista loan. The downgrades of interest--only Class X-3-DB and Class X-5-DB are based on the credit assessment of the one remaining reference loan, the Kerzner International Portfolio loan. The affirmations of two pooled P&I classes and seven rake classes are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), remaining within acceptable ranges. The rating of the interest only Class X-2 is consistent with the expected credit performance of its referenced pooled classes and thus is affirmed. 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. Moody's central global macroeconomic scenario calls for US GPD growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, Moody's expects the US economy to expand at a somewhat faster pace than is likely this year, closer to its long-run average pace of growth. Risks to Moody's forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The principal methodology used in this rating was "Moody's Approach to Rating 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 (Moody's Surveillance Trends) 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 October 25, 2012. Deal Performance: As of the July 13, 2013 Payment Date the transaction's certificate balance has decreased approximately 78% to $663.6 million from $3.0 billion at securitization due to the full pay off of eight loans, the liquidation of five loans and the discounted pay off of one loan. Additionally, the pool has decreased due to the payment of release premiums and/or loan pay downs from the remaining three loans. The certificates are currently collateralized by three floating-rate loans ranging in size from 3% to 93% of the pooled balance. The pool has experienced $15.8 million in losses due to the liquidation of the Legacy Bayside loan and the Superstition Springs loan and the special servicer workout fee related to the Hotel del Coronado loan. The largest loan is the Kerzner International Portfolio loan ($477.6 million -- 93% of the pooled balance), a 50% portion of a pari passu split loan structure that is securitized in CSFB 2006- TFL2. There is also $143.8 million of non-pooled, or rake, trust debt (Classes KR1, KR2 and KR3) and an approximately $1.0 billion non-trust junior secured loan component. The loan is secured by substantially all of the borrower's real estate assets located on Paradise Island, Bahamas, including the Atlantis Hotel and the One & Only Ocean Club Hotel and golf course (106 keys, located one mile from the Atlantis), a marina and vacant and improved land. The resort features the largest casino and ballroom in the Caribbean and water-themed attractions, including the world's largest open-air marine habitat. The loan is also supported by a pledge of management agreements and fees relating to the properties, Harborside timeshare units, and the Residences at Atlantis and Ocean Club condos. Revenue per available room (RevPAR), calculated by multiplying the average daily rate by the occupancy rate, for the trailing 12-month period ending March 2013 was $210 at the Atlantis, unchanged from the trailing 12-month period ending June 2012, and $818 at the One& Only Ocean Club, compared to $812 for the trailing 12-month period ending June 2012. The trust debt has decreased 14% since securitization to $621.5 million from $715.0 million and total debt has decreased to $2.3 billion from $2.8 billion at securitization. The loan was transferred to special servicing in January 2012 due to the loan not being paid in full by the extended maturity date of November 21, 2011. On November 1, 2011 the loan was paid down by $100 million from funds in the Excess Cash Reserve Fund in consideration of a short term extension. A cash trap is in place whereby excess cash flow after debt service is held by the servicer and applied to replenish reserves after which excess funds are applied to pay down the loan balance. In April 2012 Brookfield Asset Management assumed the mortgage debt and took over 100% of the equity in the properties in exchange for the elimination of its $175.4 million B-4-B Participation and a $10 million principal repayment of the senior participation. Kerzner continues to manage the properties for a fee. The term of the loan has been extended to September 2014. A concern is additional competition from the $3.4 billion Baha Mar resort complex that broke ground in March 2011 on Nassau's Cable Beach. Baha Mar is a single-phase project backed by the Chinese government that is scheduled to open in late 2014. The resort will feature four hotels with a total of approximately 2,250 rooms, a golf course, convention center, a casino that is to be the largest in the Caribbean and a 10-acre Eco Water Park. In overall size and amenities it is expected to be very similar to the Atlantis. The project is expected to be future competition for the Atlantis and complicate the re-financing of the current debt. Moody's credit assessment for the pooled debt is Ba3, the same as last review. The Embassy Suites Lake Buena Vista loan ($20.5 million -- 4%) is secured by a 334-key full-service hotel located in Orlando, Florida. The loan was transferred to special servicing in October 2011 due to impending maturity default. The loan matured in November 2011. A forbearance agreement has been in place since then and expires in November 2013. A cash flow sweep is being applied to the A-Note balance and the property is currently listed for sale. Additional debt includes a non-pooled trust component totaling $4.7 million, Classes ES-1, ES-2 and ES-3, and non-trust subordinate debt in the amount of $15.0 million. Moody's credit assessment is Caa1, the same as last review. The Avenue at Tower City loan ($14.9 million -- 3%) is secured by a retail property located in downtown Cleveland, Ohio containing approximately 364,794 square feet. The property was 64% leased as of April 2013. Moody's credit assessment is Baa3, the same as last review. COMM MORTGAGE 2005-FL11: Fitch Affirms CC Rating on Cl. V-GP Trust ------------------------------------------------------------------ Fitch Ratings has affirmed 14 pooled and non-pooled classes of COMM Mortgage Trust 2005-FL11. Key Rating Drivers Although recent valuations and performance indicate the possibility of greater than previously modeled recoveries on the remaining loans in the pool, affirmations are warranted at this time pending the disposition of the largest remaining loan in the pool. In its review, Fitch analyzed servicer-reported rent rolls, updated property valuations, and recent lease and sales comparisons. Rating Sensitivities The Negative Outlook remains on class L pending the ultimate resolution of the DDR/Macquarie Mervyn's Portfolio, which is now real-estate owned (REO). The Whitehall/Starwood Golf Portfolio (89.2% of the pooled balance) is in special servicing; however, the loan remains current and is under an extended forbearance period. The loan is backed by fee golf courses and leasehold or managed golf courses throughout the U.S. There is also $105.6 million in non-pooled subordinate rake bonds. The REO DDR/Macquarie Mervyn's Portfolio (10.8%) was originally collateralized by 35 retail stores, 31 fee and four leasehold, located in California, Nevada, Arizona and Texas, of which 17 remain. The collateral was previously 100% occupied by Mervyn's, which is no longer in operation. The total debt includes three A notes: two fixed rate, pari passu notes with an outstanding balance of approximately $71 million each, and the floating rate component in this transaction with an outstanding balance of $11.4 million. Of the remaining properties, the majority have been fully or partially leased. Fitch affirms the following pooled and non-pooled classes and revises the rating Outlooks as indicated: -- $12.3 million class B at 'AAAsf'; Outlook Stable; -- $14 million class C at 'AAAsf'; Outlook Stable; -- $9.5 million class D at 'AAAsf'; Outlook Stable; -- $12.3 million class E at 'AAAsf'; Outlook Stable; -- $11.2 million class F at 'AA+sf'; Outlook Stable; -- $9.5 million class G at 'AA-sf'; Outlook Stable; -- $8.4 million class H at 'Asf'; Outlook to Stable from Negative; -- $9.5 million class J at 'BBBsf'; Outlook to Stable from Negative; -- $10.1 million class K at 'B-sf'; Outlook Negative; -- $8.4 million class L at 'Dsf', RE 20%; -- $27.9 million class S-GP at 'BBsf'; Outlook to Stable from Negative; -- $31.9 million class T-GP at 'Bsf'; Outlook to Stable from Negative; -- $32.4 million class U-GP at 'CCCsf'; RE 100%'; -- $13.4 million class V-GP at 'CCsf'; RE 100%. Classes A-1, A-J, X-1, X-2-SG, X-3-SG, M-SHI, M-COP, M-GP, N-GP, O-GP, P-GP, Q-GP, and R-GP have paid in full. Classes X-2-CB, X-2- DB, X-3-CB and X-3-DB were previously withdrawn. CONNECTICUT VALLEY II: S&P Affirms 'CCC+' Rating on 2 Note Classes ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its rating on the class A-2 notes from Connecticut Valley Structured Credit CDO II Ltd. (CVSC II), and removed them from CreditWatch where it placed them with positive implications on May 17, 2013. At the same time, S&P affirmed its ratings on the class B-1, B-2, C-1, and C-2 notes. CVSC II is a U.S. corporate collateralized debt obligation (CDO) of CDOs transaction managed by Babson Capital Management LLC. CVSC II hit an event of default (EOD) in August 2009 and the controlling class voted to accelerate in September 2009. Following the EOD and subsequent acceleration, the payment priorities pay the class A interest and principal before paying any interest or principal to the subordinate classes. As a result, the class A-2 notes have paid down almost $100 million since S&P's last rating action in April 2012. The current underlying collateral consists mostly of tranches from various collateralized loan obligations (CLO). The underlying CLO tranches have had significant delevering and collateral quality improvements leading to increased credit support available across their capital structures. As a result, about $67.35 million in par in CVSC II has been upgraded since S&P's last rating action; this upgraded collateral par is about 49.21% of the current pool. Additionally, the transaction has less than $0.7 million in defaulted assets per the June 5, 2012, trustee report, which S&P used for the current rating action. This is down from the $4 million in defaulted assets noted in the March 5, 2012, report, which S&P used for its analysis for the last rating action in April 2012. S&P affirmed the class B and C notes at this time primarily because these notes will not get any interest or principal payments until the class A-2 notes are paid in full. They will continue to capitalize the interest due on them, increasing the total note balance outstanding to be paid. However, S&P do note that the transaction is significantly overcollateralized. Due to the class B notes' overcollateralization and size, they could potentially pay off in a short amount of time once the senior notes are paid off. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Connecticut Valley Structured Credit CDO II Ltd. Class Rating To From A-2 AA- (sf) BBB (sf)/Watch Pos B-1 B (sf) B (sf) B-2 B (sf) B (sf) C-1 CCC+ (sf) CCC+ (sf) C-2 CCC+ (sf) CCC+ (sf) CONNECTICUT VALLEY III: S&P Assigns 'B+' Rating to 2 Note Classes ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the A-1, A-2, C-1, and C-2 notes from Connecticut Valley Structured Credit CDO III Ltd. (CVSC III), a U.S. corporate collateralized debt obligation (CDO) of CDOs transaction that is managed by Babson Capital Management LLC. At the same time, S&P affirmed its ratings on the A-3A and A-3B notes. S&P removed all of the notes from CreditWatch, where it had placed them with positive implications on May 17, 2013. The upgrades primarily reflect paydowns to the senior notes, as well as an improvement in the underlying collateral. CVSC III's reinvestment period ended in March 2011, and all principal proceeds are being used to pay down the notes. The A-1 notes have delevered by a total of $73.68 million since S&P's last rating action in March 2012, and the notes are currently 36.04% of the original notional. As a result, the collateralization available to the notes has increased, resulting in higher overcollateralization ratios (O/C). Since the time of S&P's last rating action, the A-3B O/C ratio has improved by 10.51%, the B-2 O/C by 9.21%, and the C-2 O/C by 8.8%. CVSC III's underlying pool currently consists of tranches from various collateralized loan obligations (CLOs). The underlying CLO tranches have had significant improvements in collateral quality and delevering, leading to better credit support available across their capital structures. As a result, about $151.97 million in par has been upgraded since S&P's last rating action in March 2012. This upgraded collateral par is about 58.65% of the current pool. Additionally, CVSC III now holds a lower number of defaulted assets than it had at the time of S&P's previous rating action. The transaction has about $2.5 million in defaulted assets (as per the trustee report dated June 17, 2013, which S&P used for the current rating action). This compares with the $7.48 million in defaulted assets noted in the Jan. 25, 2012, report (which S&P used for its analysis at the time of its last rating action). The affirmations reflect current credit support levels that S&P believes is sufficient to maintain the current ratings following its upgrade of the notes in March 2012. S&P will continue to review whether, in its view, its current ratings on the notes remain consistent with the credit enhancement available to support them, and it 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 AND CREDITWATCH ACTIONS Connecticut Valley Structured Credit CDO III Ltd. Rating Class To From A-1 A- (sf) BBB+ (sf)/Watch Pos A-2 BBB+ (sf) BBB (sf)/Watch Pos A-3A BB+ (sf) BB+ (sf)/Watch Pos A-3B BB+ (sf) BB+ (sf)/Watch Pos C-1 B+ (sf) B (sf)/Watch Pos C-2 B+ (sf) B (sf)/Watch Pos CORPORATE BACKED 2003-17: Moody's Hikes Class A-1 Certs to 'B1' --------------------------------------------------------------- Moody's Investors Service has upgraded the rating of the following certificates issued by Corporate Backed Trust Certificates, Sprint Capital Note-Backed Series 2003-17: $25,000,000 Principal Amount of 7.00% Class A-1 Certificates due 2028, Upgraded to B1; previously on April 16, 2013 B3 Placed Under Review Direction Uncertain Ratings Rationale: The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $25,455,000 6.875% Notes due 2028 issued by Sprint Capital Corporation, which was upgraded to B1 by Moody's on July 19, 2013. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Moody's conducted no additional cash flow analysis or stress scenarios because the rating is a pass-through of the rating of the underlying security. Moody's says that the underlying securities are subject to a high level of macroeconomic uncertainty, which is manifest in uncertain credit conditions across the general economy. Because these conditions could negatively affect the ratings on the underlying securities, they could also negatively impact the rating on the certificate. CPORTS POTOMAC 2007-1: Moody's Hikes Rating on Class B Notes to B2 ------------------------------------------------------------------ Moody's Investors Service took the following rating action on a note issued by CPORTS Potomac 2007-1 Segregated Portfolio, a corporate synthetic collateralized debt obligation transaction (the "Collateralized Synthetic Obligation" or "CSO"). The CSO, issued in 2007, references a portfolio of senior unsecured and subordinated corporate bonds. $25,000,000 Class B Floating Rate Notes Due 2015 Notes, Upgraded to B2 (sf); previously on June 4, 2012 Upgraded to Caa2 (sf). Ratings Rationale: Moody's rating action is the result of the improving credit quality of the reference portfolio, shortened time to maturity of the CSO and the level of credit enhancement remaining in the transaction. Since the last rating review in June 2012, the ten year weighted average rating factor (WARF) of the portfolio decreased from 637 to 598, excluding settled credit events. Fifteen reference entities have a negative outlook compared to eight that have a positive outlook, and four reference entities are on watch for downgrade compared to none on watch for upgrade. Previously, there were 9 reference entities with a negative outlook compared to 6 that were positive, and 11 entities on watch for downgrade compared to none on watch for upgrade. The portfolio has a 37.2% exposure to references in the Banking, Finance, Insurance and Real estate sector (Banking and FIRE) and the WARF in this sector has improved, decreasing to 358 from 383 in June 2012. The WARF for references in this sector based on Market Implied Ratings (MIRS) has also improved, decreasing to 482 from 706 over the same period. According to the trustee report from May 2013, the portfolio has experienced eight credit events, equivalent to 8.5% of the portfolio based on the portfolio notional value at closing. The subordination of the rated tranche has been reduced by 2.9% since issuance. The portfolio has had credit events on Cemex, S.A.B. de C.V., CIT Group Inc., Federal Home Loan Mortgage Corporation, Federal National Mortgage Association, Glitnir banki hf, Landsbanki Islands hf, Lehman Brothers Holdings Inc. and Washington Mutual, Inc. The CSO has a remaining life of 2.19 years. The principal methodology used in this rating was "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations" published in September 2009. Moody's analysis for this transaction is based on CDOROM v 2.8-9 Moody's rating action factors in a number of sensitivity analyses and stress scenarios. Results are given in terms of the number of notches' difference versus the base case, where higher notches correspond to lower expected losses, and vice-versa: - Moody's reviews a scenario consisting of reducing the maturity of the CSO by six months, keeping all other things equal. The result of this run is one notch above the base case. - MIRs are modeled in place of the corporate fundamental ratings to derive the default probability of the reference entities in the portfolio. The gap between an MIR and a Moody's corporate fundamental rating is an indicator of the extent of the divergence in credit view between Moody's and the market. The result of this run is one notch lower than in the base case. - This transaction has a 4.92% exposure to references in the Banking, Finance, Insurance and Real Estate sector domiciled in Europe. Moody's conducted a stress scenario by applying a default probability to these references derived from the subordinated rating of the issuer and assigning a recovery rate of 90% if the reference is a senior unsecured bond, or 10% if the reference is a subordinated bond. The result of this run is comparable to the base case. Moody's notes that the key model inputs it uses in its analysis are based on its published methodology, and may be different from the manager/arranger's reported numbers. In particular, rating assumptions for all publicly rated corporate credits in the underlying portfolio have been adjusted for "Review for Possible Downgrade", "Review for Possible Upgrade", or "Negative Outlook". Moody's does not run a separate loss and cash flow analysis other than the one already done by the CDOROM model. For a description of the analysis, refer to the methodology and the CDOROM user's guide on Moody's website. Moody's analysis of CSOs is subject to uncertainties, the primary sources of which include complexity, governance and leverage. Although the CDOROM model captures many of the dynamics of the Corporate CSO structure, it remains a simplification of the complex reality. Of greatest concern are (a) variations over time in default rates for instruments with a given rating, (b) variations in recovery rates for instruments with particular seniority/security characteristics and (c) uncertainty about the default and recovery correlations characteristics of the reference pool. Similarly on the legal/structural side, the legal analysis although typically based in part on opinions (and sometimes interpretations) of legal experts at the time of issuance, is still subject to potential changes in law, case law and the interpretations of courts and (in some cases) regulatory authorities. The performance of this CSO is also dependent on on- going decisions made by one or several parties, including the Manager and the Trustee. Although the impact of these decisions is mitigated by structural constraints, anticipating the quality of these decisions necessarily introduces some level of uncertainty in Moody's assumptions. Given the tranched nature of CSO liabilities, rating transitions in the reference pool may have leveraged rating implications for the ratings of the CSO liabilities, thus leading to a high degree of volatility. All else being equal, the volatility is likely to be higher for more junior or thinner liabilities. The base case scenario modeled fits into the central macroeconomic scenario predicted by Moody's of a sluggish recovery scenario in the corporate universe. Should macroeconomics conditions evolve, the CSO ratings will change to reflect the new economic developments. CRAFT 2007-1: S&P Raises Rating on Class E Notes to 'BB+' --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on CRAFT 2007-1 Ltd.'s Class D and E notes. CRAFT 2007-1 Ltd. is a U.S. hybrid collateralized loan obligation (CLO) transaction that closed in March 2007. Hybrid CLOs are corporate collateralized debt obligation (CDO) transactions that combine elements of both cash flow and synthetic CDOs. The transaction's replenishment period ended in March 2012. Since then, the reference obligations have started to amortize, and as a result, the unfunded notional amount has been reduced by more than $216 million. The transaction incorporates a custodial account that is used to cover the losses of any defaults in the portfolio, and the remaining balance is used to pay the principal of the Class D and E notes. When S&P downgraded the Class D and E notes in April 2010, the custodial account had decreased to $29.3 million from its initial balance of $74.0 million. However, since then, the transaction has used recoveries to rebuild the custodial account balance to $72.9 million. The upgrades reflect the unwinding of the swap notional and the increase in the custodial account balance. The improvements are also evident in the Class D and E overcollateralization ratios, which have increased since S&P's April 2010 rating actions. The rating actions on the Class D and E notes were driven by the application of the largest obligor test, a supplemental stress test S&P introduced as part of its corporate CDO criteria update. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take 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 LIST Ratings Raised CRAFT 2007-1 Ltd. Rating Class To From D BBB+ (sf) CCC- (sf) E BB+ (sf) CC (sf) CREDIT SUISSE 2007-TFL2: S&P Raises Rating on A-1 Certs From 'BB-' ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its rating on the class A-1 commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2007-TFL2, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'BBB (sf)' from 'BB- (sf)'. The raised rating follows S&P's analysis of the transaction, which included its review of the two remaining loans' credit characteristics, the transaction structure, the liquidity available to the trust, as well as S&P's revaluation of the remaining two loans. The raised rating reflects S&P's expected available credit enhancement for the class, which it believes is greater than its most recent estimate of necessary credit enhancement for the most recent rating level as well as S&P's views regarding the current and future performance of the transaction's collateral. S&P also considered the reduction of the pool trust balance, as well as its derived stressed loan-to- value (LTV) ratio on the trust balance of below 100% for both loans. As of the July 15, 2013, trustee remittance report, the pool trust balance totaled $715.1 million and comprised two floating-rate loans indexed to one-month LIBOR, one of which is currently with the special servicer, CT Investment Management Co. LLC (CTIMCO). The current pool trust balance has declined by 40.7% since issuance. The one-month LIBOR was 0.1925%, according to the July 2013 trustee remittance report. S&P partly based its analysis of the two loans on its review of the borrowers' operating statements for the years ended Dec. 31, 2012, 2011, 2010, and 2009; the available borrowers' 2013 budgets; and the June 28, 2013 rent rolls for the office collateral. The larger of the two remaining loans, the Planet Hollywood Resort & Casino loan, has a whole-loan balance of $513.2 million, which is split into a $425.9 million senior note that makes up 59.6% of the pool trust balance and three subordinate B notes totaling $87.3 million held outside the trust. The loan is secured by a 2,496-room, full-service gaming hotel in Las Vegas. According to the master servicer, KeyBank Real Estate Capital (KeyBank), the loan was modified on Feb. 19, 2010, and returned to the master servicer on May 20, 2010. The terms of the loan modification included, but are not limited to, reducing the principal of the $400.0 million subordinate B notes and extending the loan's maturity to Dec. 9, 2013 from Dec. 9, 2011. KeyBank indicated that the borrower has the option to further extend the loan's maturity, to April 9, 2015 from Dec. 9, 2013, upon meeting certain conditions, including a debt yield test. KeyBank stated that the borrower paid the special servicing and workout fees on this loan. The borrower's operating statements reported increased or stable net operating income (NOI) for the past four years. The operating statements for the year ended Dec. 31, 2012 reported 92.9% occupancy, a $105.28 average daily rate, and revenue per available room of $97.80. KeyBank reported a debt service coverage (DSC) of 3.73x for the trailing-12-months ended March 31, 2013. The most recent appraisal, dated Sept. 9, 2011, valued the property at $775.0 million. S&P's adjusted valuation, using a weighted average capitalization rate of 10.21%, yielded an in-trust stressed LTV ratio of 83.8%. "The smaller of the two remaining loans, the Whitehall Seattle Portfolio loan, has a whole-loan balance of $463.0 million, which is split into a $289.2 million senior note that makes up 40.4% of the pool trust balance and two subordinate B notes totaling $173.8 million held outside the trust. In addition, the equity interests in the borrower of the whole loan secure five mezzanine notes totaling $430.2 million. The loan is secured by 11 office properties totaling 2.6 million sq. ft. in Bellevue, Seattle, and Mercer Island, Wash. The loan was transferred to the special servicer on Dec. 23, 2011, due to imminent maturity default after the borrower indicated that it would not be able to pay off the loan by its April 9, 2012, maturity date. CTIMCO stated that the borrower is in discussions with the respective lenders on potential workout strategies, which may include restructuring and extending the maturity on the loan. The borrower's combined operating statements for the office portfolio reported declining NOI for the past few years, mainly due to declining occupancy. The overall occupancy on the office portfolio was 60.4%, according to the June 28, 2013 rent rolls. KeyBank reported a combined DSC of 5.65x for the year ended Dec. 31, 2012. The most recent appraisals valued the office portfolio at $693.6 million as of May 2013. Our adjusted valuation, using a weighted average capitalization rate of 7.10%, yielded an in-trust stressed LTV ratio of 91.6%," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com CREST 2000-1: Moody's Affirms 'Caa3' Rating on $21MM Notes ---------------------------------------------------------- Moody's Investors Service has affirmed the rating of one class of Notes issued by Crest 2000-1, Ltd. The affirmation is due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The mitigation of the credit risk of the remaining collateral has been offset by a lower recovery rate and concentration risk due to the number of remaining asset names. 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: $21,000,000 Class D Fourth Priority Fixed Rate Term Notes, Affirmed Caa3 (sf); previously on Sep 21, 2011 Upgraded to Caa3 (sf) Ratings Rationale: Crest 2000-1 Ltd. is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100% of the pool balance). As of the June 28, 2013 Trustee report, the aggregate Note balance of the transaction, including preferred shares was $26.2 million compared to $487 million at issuance, with the paydown directed to the Class D Notes, as a result of regular amortization of the underlying collateral. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated collateral. Moody's modeled a bottom-dollar WARF of 1 compared to 549 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (100% compared to 86.3% at last review), A1-A3 (0%, the same as at last review), Baa1-Baa3 (0%, the same as at last review), Ba1-Ba3 (0% compared to 10% at last review), B1-B3 (0%, the same as at last review), and Caa1-C (0% compared to 3.7% at last review). Moody's modeled a WAL of 1.9 years compared to 1.5 years at last review. The current WAL is based upon assumptions about extensions on the underlying collateral assets. Moody's modeled a fixed WARR of 38.9% compared to 46.4% at last review. Moody's modeled a MAC of 99.1% compared to 4.5% 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, which was released on May 16, 2013, 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 38.9% to 28.9% or up to 48.9% does not result in any further ratings movement on the rated tranche. 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 in the 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 continues to exhibit growth albeit at a slightly slower pace. The multifamily sector should remain stable with moderate growth. Gradual recovery in the office sector continues and will be assisted in the next quarter when absorption is likely to outpace completions. However, since office demand is closely tied to employment, Moody's expects regional employment growth to provide market differentiation. CBD markets continue to outperform secondary suburban markets. The retail sector exhibited a slight reduction in vacancies in the first quarter; the largest drop since 2005. However, consumers continue to be cautious as evidenced by sales growth continuing below historical trends. 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 outlook indicates the global economy has lost momentum over the past quarter as it tries to recover. US GDP growth for 2013 is likely to remain close to 2%, however US sequestration cuts that came into effect in March may create a drag on the positive growth in the US private sector. While the broad economic impact is unclear, the direct effect is likely to shave 0.4% off US GDP growth in 2013. Continuing from the previous quarter, Moody's believes that the three most immediate risks are: i) the risk of an even 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. CREST 2003-2: Moody's Affirms Caa3 Ratings on 2 Note Classes ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of four classes of Notes and affirmed the ratings of four classes of Notes issued by Crest 2003-2, Ltd. The upgrades are due to greater than expected amortization on the underlying collateral. The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-Remic) transactions. Moody's rating action is as follows: Cl. B-1, Upgraded to A3 (sf); previously on Oct 27, 2010 Downgraded to Baa2 (sf) Cl. B-2, Upgraded to A3 (sf); previously on Oct 27, 2010 Downgraded to Baa2 (sf) Cl. C-1, Upgraded to Baa3 (sf); previously on Oct 27, 2010 Downgraded to Ba2 (sf) Cl. C-2, Upgraded to Baa3 (sf); previously on Oct 27, 2010 Downgraded to Ba2 (sf) Cl. D-1, Affirmed Caa1 (sf); previously on Aug 17, 2011 Downgraded to Caa1 (sf) Cl. D-2, Affirmed Caa1 (sf); previously on Aug 17, 2011 Downgraded to Caa1 (sf) Cl. E-1, Affirmed Caa3 (sf); previously on Oct 27, 2010 Downgraded to Caa3 (sf) Cl. E-2, Affirmed Caa3 (sf); previously on Oct 27, 2010 Downgraded to Caa3 (sf) Ratings Rationale: Crest 2003-2, Ltd. is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (86.8% of the pool balance), commercial real estate CDOs (3.2%), rake bonds (5.2%), and real estate investment trust (REIT) debt (4.8%). As of the June 28, 2013 Trustee report, the aggregate Note balance of the transaction, including preferred shares was $178.2 million compared to $325 million at issuance, with the paydown directed to the Class B Notes, as a result of regular amortization of the underlying collateral. There are seventeen assets with a par balance of $52.3 million (33.5% of the current pool balance) that are considered Defaulted Securities as of the June 28, 2013 Trustee report. Sixteen of these assets (90.4% of the defaulted balance) are CMBS, and one asset is a CRE CDO (9.6%). While there has not been any realized losses to date, Moody's does expect moderate losses to occur once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated collateral. Moody's modeled a bottom-dollar WARF of 4,410 compared to 3,829 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (4.1% compared to 4.2% at last review), A1-A3 (2.5% compared to 2.9% at last review), Baa1-Baa3 (19.2% compared to 15.9% at last review), Ba1-Ba3 (13.4% compared to 27.2% at last review), B1-B3 (18.2% compared to 14.5% at last review), and Caa1-C (42.6% compared to 35.2% at last review). Moody's modeled a WAL of 3 years compared to 2.3 years at last review. The current WAL is based upon assumptions about extensions on the underlying collateral assets. Moody's modeled a fixed WARR of 16.6% compared to 16.3% at last review. Moody's modeled a MAC of 9.3% compared to 7.7% 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, which was released on May 16, 2013, 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 16.6% to 6.6% or up to 26.6% would result in a modeled rating movement on the rated tranches of 0 to 2 notches downward and 0 to 2 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery in the 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 continues to exhibit growth albeit at a slightly slower pace. The multifamily sector should remain stable with moderate growth. Gradual recovery in the office sector continues and will be assisted in the next quarter when absorption is likely to outpace completions. However, since office demand is closely tied to employment, Moody's expects regional employment growth to provide market differentiation. CBD markets continue to outperform secondary suburban markets. The retail sector exhibited a slight reduction in vacancies in the first quarter; the largest drop since 2005. However, consumers continue to be cautious as evidenced by sales growth continuing below historical trends. 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 outlook indicates the global economy has lost momentum over the past quarter as it tries to recover. US GDP growth for 2013 is likely to remain close to 2%, however US sequestration cuts that came into effect in March may create a drag on the positive growth in the US private sector. While the broad economic impact is unclear, the direct effect is likely to shave 0.4% off US GDP growth in 2013. Continuing from the previous quarter, Moody's believes that the three most immediate risks are: i) the risk of an even 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. DBUBS COMMERCIAL 2011-C3: Moody's Keeps B2 Rating on Cl. F Certs ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of twelve classes of DBUBS Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2011-C3 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Sep 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Sep 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Sep 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Sep 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Sep 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Sep 1, 2011 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Sep 1, 2011 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed Baa3 (sf); previously on Sep 1, 2011 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Sep 1, 2011 Definitive Rating Assigned Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Sep 1, 2011 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Sep 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The ratings of the IO Classes, Class X-A and Class X-B, are consistent with the expected credit performance of their related referenced classes and thus are affirmed. Moody's rating action reflects a cumulative base expected loss of 2.6% of the current balance. At last review, Moody's cumulative base expected loss was 2.4%. 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 in the 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 principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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. 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's loan level Herf score is 18, compared to 19 at last review. This score is within the band of Herf scores found in most multi- borrower transactions issued between 2009 and 2011. The pool's property level Herf score is 22, compared to 23 at last review. The large loan methodology was not used based on the property level Herf. 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 August 9, 2012. Deal Performance: As of the July 12, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 3% to $1.35 billion from $1.40 billion at securitization. The Certificates are collateralized by 42 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 64% of the pool. The pool contains two loans with investment grade credit assessments, representing 11% of the pool. One loan, representing 7% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. 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. There are no loans in special servicing and no liquidated loans to date. Moody's was provided with full year 2011 and/or 2012 operating results for 95% and 97% of the pool's loans, respectively. Moody's weighted average LTV is 96% compared to 99% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 15% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed DSCRs are 1.45X and 1.09X compared 1.43X compared to 1.05X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. The largest loan with a credit assessment is the Columbia Sussex Hotel Portfolio Loan ($97.4 million -- 7.2% of the pool), which is secured by a 8 cross-collateralized, cross-defaulted full service hotels containing 2,342 rooms in eight states (CA, NM, AK, TX, FL, OH, MA, AL). Hotel brands include JW Marriott, Marriott, Courtyard, Hilton, and Doubletree. As of December 2012, the portfolio had an occupancy rate of 59% and revenue per available room (RevPAR) of $82, compared to 61% and $78 in 2011. Although occupancy levels have dropped slightly, performance improved since securitization due to an increase in average daily rate (ADR). Moody's current credit assessment and stressed DSCR are A1 and 2.58X, respectively, compared to A1 and 2.47X at last review. The second loan with a credit assessment is the Ridgeway Shopping Center Loan ($47.9 million -- 3.5% of the pool), which is secured by two retail buildings, a pad site, and a 5-story parking garage located in Stamford, Connecticut. The property was 97% leased as of March 2013, compared to 99% at last review. Property performance has improved mainly due a decrease in operating expenses. Moody's current credit assessment and stressed DSCR are Baa1 and 1.94X, respectively, compared to Baa1 and 1.89X at last review. The top three conduit loans represent 30% of the pool balance. The largest loan is the Three Allen Center Loan ($160.9 million -- 11.9% of the pool), which is a 50-story, Class A office building in a 4-building complex (called Allen Center) located in the central business district (CBD) of Houston, Texas. Buildings in the complex are connected by skywalks and offer access to parking, health clubs, hotels, restaurants, retail shops, & services. The property was 89% leased as of March 2013 compared to 92% at last review. Property performance has improved mainly due to an increase in rental revenue. Moody's LTV and stressed DSCR are 93% and 1.08X, respectively, compared to 101% and 0.99X at last review. The second largest conduit loan is the Times Square Hotel Portfolio Loan ($138.1 million -- 10.2% of the pool), which is secured by a two adjacent 33-story limited service hotels, the Fairfield Inn Times Square and Four Points Sheraton Times Square, and a 5,000 SF rooftop lounge in New York City. As of March 2013, the portfolio had a trailing twelve occupancy rate of 95% and RevPAR of $234, compared to 91% and $199 in 2011. Both occupancy and ADR have improved at each property resulting in a greater than 17% increase in the portfolio RevPAR from 2011 to 2012. Moody's LTV and stressed DSCR are 94% and 1.20X, respectively, compared to 103% and 1.10X at last review. The third largest conduit loan is the Quadrus Office Park Loan ($112.0 million -- 8.3% of the pool), which is secured by nine Class A office buildings located on Sand Hill Road in Menlo Park, California. One of the nine buildings was completed post securitization. The collateral was 68% leased as of March 2013, compared to 75% at last review. Property performance has declined since last review due to an increase in operating expenses and a slight decrease in rental revenue. Moody's LTV and stressed DSCR are 113% and 0.84X, respectively, compared to 110% and 0.86X at last review. DLJ MORTGAGE 2000-CKP1: Moody's Cuts Class S Notes Rating to Caa3 ----------------------------------------------------------------- Moody's Investors Service affirmed the rating of one class and downgraded the rating of one class of DLJ Mortgage Corporation, Series 2000-CKP1, as follows: Cl. B-5, Affirmed C (sf); previously on Apr 28, 2010 Downgraded to C (sf) Cl. S, Downgraded to Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Ratings Rationale: The rating of the one remaining below investment grade P&I class is consistent with Moody's expected loss and thus is affirmed. The rating of the IO class, class S, is being downgraded to align it with the credit performance of its referenced classes. Moody's rating action reflects a base expected loss of 35.7% of the current balance compared to 16.6% at last review. Base expected losses and realized losses have decreased to 6.0% of the original balance from 6.1% at last review. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery in the 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 methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's also utilized a loss and recovery approach in rating the P&I classes in this deal since 54% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan and determines a most probable loss given default based on a review of broker's opinions of value (if available), other information from the special servicer and available market data. The loss given default for each loan also takes into consideration servicer advances to date and estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). The analyst may have also identified troubled loans which are blown up in addition to specially serviced loans. 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. 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 four compared to five at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from Conduit and Large Loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (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 26, 2012. Deal Performance: As of the July 10, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 98.5% to $19.6 million from $1.29 billion at securitization. The Certificates are collateralized by six mortgage loans ranging in size from less than 7% to 36% of the pool, with the top three loans representing 74% of the pool. Sixty-one loans have been liquidated from the pool, resulting in a realized loss of $70.3 million (29.5% loss severity on average). Currently four loans, representing 56.5% of the pool, are in special servicing. The largest specially serviced exposure is 100 Demarest Drive ($4.7 million -- 24.1% of the pool). The loan is secured by two warehouse buildings totaling 117K square feet (SF) located in Wayne Township, New Jersey. The property was 45% as of March 2013, the same as at Moody's prior review. The loan was transferred to special servicing in July 2010 due to a pending maturity default. A motion for a receiver was denied in October 2011. The special servicer indicated that a foreclosure trial is set for August. The second largest specially serviced loan is the Laddins Rock Loan ($2.6 million -- 13.5% of the pool). The loan is secured by a 24 unit multifamily building located in Stamford, Connecticut. The borrower is currently under contract to close on a purchase of the note. The third largest specially serviced loan is the Cambridge Court Retirement Community ($2.2 million -- 11.1% of the pool). The loan is secured by a skilled nursing facility located in Great Falls, Montana. The loan was transferred to special servicing in January 2008 for maturity default. A receiver was appointed in August 2010. The property was attempted to be sold in November 2012 with no offers in excess of the reserve price. The property became REO in May 2013. The property was foreclosed on in May 2013 with the note holder being the winning bidder. The property is subject to one-year right of redemption. Moody's has estimated an aggregate $6.9 million loss (62.5% expected loss overall) for the specially serviced loans. Moody's was provided with full year 2011 and 2012 operating results for 100% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 66% compared to 68% at last review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.38X and 1.83X, respectively, compared to 1.28X and 1.50X, respectively, 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 remaining two conduit loans represent 43.5% of the pool balance. The largest loan is the Streetsboro Market Square Loan ($7.1 million -- 36.3% of the pool), which is secured by a grocery anchored retail property located in Streetsboro, Ohio. The property was 91% occupied as of September 2012, compared to 87% at last review. Moody's LTV and stressed DSCR are 75% and 1.37X, respectively, compared to 84% and 1.23X at last review. The second largest loan is the Colony Square Apartments Loan ($1.4 million -- 7.2% of the pool), which is secured by a 184 unit apartment building located in Shreveport, Louisiana. The property was 95% occupied as of year-end 2012, compared to 98% as of year- end 2011 and 2010. Property performance has improved since 2010 due to increased rental revenue and stable operating expenses. Moody's LTV and stressed DSCR are 24% and 4.13X, respectively, compared to 27% and 3.58X at last review. DRYDEN XXI: Supplemental Indenture No Impact on Moody's Ratings --------------------------------------------------------------- Moody's Investors Service determined that entry by Dryden XXI Leveraged Loan CDO LLC, a CLO, into a supplemental indenture dated as of July 19, 2013 among the Issuer and Deutsche Bank Trust Company Americas, as Trustee, and performance of the activities contemplated therein, will not in and of themselves and at this time cause the qualification, downgrade or withdrawal of the current Moody's rating of any Class of Secured Notes issued by the Issuer. Moody's does not express an opinion as to whether the Supplemental Indenture could have non-credit-related effects. The Sixth Supplemental Indenture amends the definition of "Cov- Lite Loan" to exclude loans which contain either a cross-default provision or are pari-passu with another loan from the same facility of the underlying obligor that require compliance with both an Incurrence Covenant and a Maintenance Covenant. Moody's was informed that requisite noteholder consent has been obtained with respect to the Sixth Supplemental Indenture. The principal methodology used in reaching its conclusion and in monitoring the ratings of the Notes issued by the Issuer is "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. Other methodologies and factors that may have been considered in the process of rating the Notes issued by the Issuer can also be found in the Rating Methodologies sub-directory on Moody's website. Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying asset or financial instruments related to the monitoring of the transaction in the past six months. Moody's will continue monitoring the ratings of the notes issued by the Issuer. Any change in the ratings will be publicly disseminated by Moody's through appropriate media. On July 15, 2011, Moody's upgraded the ratings of the following notes issued by Dryden XXI Leveraged Loan CDO: $20,000,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2020, Upgraded to Aa3 (sf); previously on Jun 22, 2011 A1 (sf) Placed Under Review for Possible Upgrade; $20,000,000 Class C Third Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2020, Upgraded to A3 (sf); previously on Jun 22, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade; $18,750,000 Class D Forth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2020, Upgraded to Baa2 (sf); previously on Jun 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade. In addition, Moody's confirmed the rating of the following notes: $365,000,000 Class A First Priority Senior Secured Floating Rate Notes Due 2020, Confirmed at Aa1 (sf); previously on Jun 22, 2011 Aa1 (sf) Placed Under Review for Possible Upgrade. DRYDEN XXVI: S&P Affirms 'B' Rating to Class F Notes ---------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Dryden XXVI Senior Loan Fund/Dryden XXVI Senior Loan Fund LLC's $387.0 million in floating-rate notes following the transaction's effective date as of May 14, 2013. Most U.S. cash flow collateralized loan obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio. An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to S&P by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that S&P assigned on the transaction's closing date. The effective date reports provide a summary of certain information that S&P used in its analysis and the results of its review based on the information presented to S&P. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P added. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Dryden XXVI Senior Loan Fund/Dryden XXVI Senior Loan Fund LLC Class Rating Amount (mil. $) X AAA (sf) 3.0 A AAA (sf) 262.0 B AA (sf) 38.0 C (deferrable) A (sf) 35.0 D (deferrable) BBB (sf) 20.0 E (deferrable) BB (sf) 17.0 F (deferrable) B (sf) 7.0 P AA+ pNRi (sf)(i) 5.0 (i) The 'p' subscript indicates that the rating addresses only the principal portion of the obligation. 'NRi' indicates that the interest is not rated. DUANE STREET I: Moody's Raises Rating on $7MM Cl. E Notes to Ba1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Duane Street CLO 1: $15,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2017, Upgraded to Aaa (sf); previously on July 15, 2013 Upgraded to Aa3 (sf) and Placed Under Review for Possible Upgrade; $15,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2017, Upgraded to A2 (sf); previously on July 15, 2013 Upgraded to Baa1 (sf) and Placed Under Review for Possible Upgrade; $7,000,000 Class E Deferrable Junior Floating Rate Notes Due 2017, Upgraded to Ba1 (sf); previously on July 15, 2013 Upgraded to Ba2 (sf) and Placed Under Review for Possible Upgrade; $5,000,000 Class Z-2 Combination Notes Due 2017 (current rated balance of $2,684,017), Upgraded to Aaa (sf); previously on July 15, 2013 A1 (sf) Placed Under Review for Possible Upgrade. Moody's also affirmed the ratings of the following notes: $185,000,000 Class A Senior Floating Rate Notes Due 2017 (current outstanding balance of $16,869,329), Affirmed Aaa (sf); previously on July 15, 2011 Upgraded to Aaa (sf); $65,000,000 Class A-2 Senior Delayed Draw Floating Rate Notes Due 2017 (current outstanding balance of $5,927,061), Affirmed Aaa (sf); previously on July 15, 2011 Upgraded to Aaa (sf); $36,000,000 Class B Senior Floating Rate Notes Due 2017, Affirmed Aaa (sf); previously on July 15, 2013 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 October 2012. Moody's notes that the Class A Senior Notes have been paid down by approximately 84.82% or $127.4 million since October 2012. Based on the latest trustee report from June 2013, the Class A/B, Class C/D and Class E overcollateralization (OC) ratios are reported at 184.4%, 122.1% and 113.2%, respectively, versus August 2012 levels of 125.8%, 109.9% and 106.8%, respectively. In taking the foregoing actions, Moody's also announced that it had concluded its review of its ratings on the issuer's Class C Notes, Class D Notes, Class E Notes, and Class Z-2 Composite Notes announced on July 15, 2013. At that time, Moody's said that it had upgraded and placed certain of the issuer's ratings on review primarily as a result of substantial deleveraging of the senior notes and increases in OC ratios resulting from high rates of loan collateral prepayments during the first half of 2013. Notwithstanding benefits of the deleveraging, Moody's notes that the credit quality of the underlying portfolio has deteriorated since the rating action in October 2012. Based on the June 2013 trustee report, the weighted average rating factor is currently 3025 compared to 2906 in August 2012. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and 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 $103.7 million, defaulted par of $12.1 million, a weighted average default probability of 19.01% (implying a WARF of 3177), a weighted average recovery rate upon default of 49.34%, and a diversity score of 24. 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. Duane Street CLO 1, issued in October 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. The methodology used in rating the Class Z-2 Combination Notes was "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. 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% (2542) Class A: 0 Class A2: 0 Class B: 0 Class C: 0 Class D: +2 Class E: +1 Moody's Adjusted WARF + 20% (3813) Class A: 0 Class A2: 0 Class B: 0 Class C: -1 Class D: -2 Class E: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 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. ELEVENTH MORTGAGE-BACKED: Fitch Cuts Rating on $37MM Notes to BB+ ----------------------------------------------------------------- Fitch Ratings has downgraded the following Eleventh Mortgage- Backed Notes Trust's (Eleventh Trust) notes: -- $37.8 million series A senior notes to 'BB+sf' from 'BBB-sf'. The Outlook is revised to Negative from Stable. Fitch's rating addresses the timely payment of interest on a monthly basis and ultimate payment of principal by legal final maturity in October 2041. KEY RATING DRIVERS The rating action reflects the recent downgrades of El Salvador's foreign currency issuer default rating (FC IDR) to 'BB-' with a Negative Outlook and country ceiling (CC) to 'BB+' from 'BBB-'. According to Fitch's 'Criteria for Rating Securitizations in Emerging Markets' (June 2013), the ratings of emerging market securitizations can be above the sovereign IDR and CC. While this transaction has sufficient credit enhancement to be rated above the country's FC IDR, the rating of the transaction continues to be linked to the ratings of El Salvador. The transaction contains some liquidity to mitigate potential transfer risk, but this level is not sufficient to provide significant rating benefit to breach the CC. Additionally, Fitch believes the macroeconomic environment to be more volatile as the sovereign rating levels are decreased. When rating a transaction above the IDR of a country the transaction must have sufficient credit enhancement to withstand an increase in risk within the macroeconomic environment. The transaction was stressed using a 6.0x historical default rate which is sufficient to go up to the CC or 2 notches above the FC IDR. Due to the sovereign downgrade Fitch no longer believes the 6.0x multiple is sufficient to maintain the 'BBB-'. The Outlook revision reflects the Negative Outlook maintained on the El Salvador's FC IDR, which indicates continued uncertainty over growth and fiscal consolidation prospects in the coming years. RATING SENSITIVITIES The rating of the series A notes is sensitive to changes in the credit quality of El Salvador. A further downgrade of El Salvador's ratings, specifically its country ceiling ('BBB+'), could lead to a downgrade on the notes. In addition, severe increases in frequency of foreclosure and prepayments as well as reductions in recovery rates could lead to a downgrade of the notes. Initial Key Rating Drivers and Rating Sensitivity are further described in the new issue report 'La Hipotecaria El Salvadorian Mortgage Trust 2013-1' published April 25, 2013. EMPORIA PREFERRED: S&P Raises Rating on 2 Note Classes From BB(sf) ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on four classes of notes from Emporia Preferred Funding I Ltd., a cash flow collateralized loan obligation (CLO) transaction, and removed them from CreditWatch we had placed them with positive implications on May 17, 2013. At the same time, S&P affirmed its ratings on two other classes of notes and withdrew its rating from the class A notes as a result of full paydown. According to the July 2013 trustee report, the transaction is currently in its amortization phase since the reinvestment period ended in November 2011. The upgrades reflect the full paydown of the class A notes, as well as the partial paydown to the class B-1 and B-2 notes since S&P's November 2012 rating actions of $19 million and $2.6 million, respectively. Because of this, the overcollateralization (O/C) ratios increased for each class of notes: -- The class A/B O/C increased to 217.63%, up from 136.33% in November 2012; -- The class C O/C ratio is 162.31%, up from 123.43% in November 2012; -- The class D O/C ratio is 129.42%, up from 112.77% in November 2012; and -- The class E O/C ratio is 116.62%, up from 107.73% in November 2012. The affirmations reflect the sufficient credit support available to the notes at the current rating levels. S&P's rating on the class D notes reflects the application of the largest obligor default test, a supplemental stress test it introduced as part of its September 2009 corporate criteria update. S&P will continue to review whether the ratings currently assigned to 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 RATINGS RAISED Emporia Preferred Funding I Ltd. Rating Class To From C AAA (sf) AA (sf) /Watch Pos D A+ (sf) BBB- (sf) /Watch Pos E-1 BBB+ (sf) BB (sf) /Watch Pos E-2 BBB+ (sf) BB (sf) /Watch Pos RATINGS AFFIRMED Emporia Preferred Funding I Ltd. Class Rating B-1 AAA (sf) B-2 AAA (sf) RATING WITHDRAWN Emporia Preferred Funding I Ltd. Rating Class To From A NR AAA (sf) NR-Not rated. FRANKLIN CLO V: Moody's Keeps Ratings on $325MM of CLO Notes ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings of the following notes issued by Franklin CLO V, Limited: $50,000,000 Class A-1 Notes Due June 15, 2018 (current outstanding balance of $31,054,349.56), Affirmed Aaa (sf); previously on May 30, 2006 Assigned Aaa (sf); $303,000,000 Class A-2 Notes Due June 15, 2018 (current outstanding balance of $188,189,358.35), Affirmed Aaa (sf); previously on May 30, 2006 Assigned Aaa (sf); $49,000,000 Class B Notes Due June 15, 2018, Affirmed Aa2 (sf); previously on August 2, 2012 Upgraded to Aa2 (sf); $23,500,000 Class C Notes Due June 15, 2018, Affirmed Baa1 (sf); previously on August 17, 2011 Upgraded to Baa1 (sf); $21,500,000 Class D Notes Due June 15, 2018, Affirmed Ba1 (sf); previously on August 17, 2011 Upgraded to Ba1 (sf); $13,000,000 Class E Notes Due June 15, 2018, Affirmed B1 (sf); previously on August 17, 2011 Upgraded to B1 (sf). Ratings Rationale: According to Moody's, the rating affirmations reflect consideration of deleveraging of the senior notes, resulting in an increase in the transaction's overcollateralization ratios since the last rating action in August 2012. Notwithstanding benefits of the deleveraging, Moody's also notes that the transaction's dollar and percentage exposure to assets that mature after the maturity date of the notes have increased significantly, the credit quality of the portfolio has slightly deteriorated and the weighted average spread has decreased since the last rating action. The Class A-1 and A-2 Notes have been paid down by approximately 36.2% or $124.5 million since the last rating action. Based on the latest trustee report dated June 5, 2013, the Senior and Mezzanine Overcollateralization ratios are reported at 124.68% and 108.86%, respectively, versus July 2012 levels of 119.55% and 107.27%, respectively. 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 June 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately $65.8 million or 16.86% of the underlying portfolio, up from $7.8 million or 1.65% of the portfolio in July 2012. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. The credit quality of the underlying portfolio has deteriorated slightly since the last rating action. Based on the June 2013 trustee report, the weighted average rating factor is currently 2696 compared to 2580 in July 2012. The weighted average spread also decreased from 4.14% to 3.74%. The action on the Class E Notes also reflects a correction to the modeling of the Class E overcollateralization test. In previous rating actions, Moody's did not model interest diversion to the Class E notes when the Class E Mezzanine Note Direct Pay Test fails. The error has now been corrected and the rating action reflects this correction. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and 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 $348.7 million, defaulted par of $5.2 million, a weighted average default probability of 19.69% (implying a WARF of 2803), a weighted average recovery rate upon default of 49.17%, and a diversity score of 44. 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. Franklin CLO V, Limited, 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 Global Approach to Rating Collateralized Loan Obligations" published in May 2013. 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 Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. 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% (2243) Class A1: 0 Class A2: 0 Class B: +2 Class C: +2 Class D: +1 Class E: 0 Moody's Adjusted WARF + 20% (3364) Class A1: 0 Class A2: 0 Class B: -2 Class C: -1 Class D: 0 Class E: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will 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. 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. G-STAR 2003-3: Moody's Affirms Ca Rating on $18MM Class A-3 Notes ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating of three classes of Notes issued by G-Star 2003-3. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The increased credit risk, as evidenced by Moody's WARF and WARR is offset by Moody's expectation of higher recovery on the defaulted collateral. 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: $340,000,000 Class A-1 Floating Rate Senior Notes Due 2038, Affirmed Aa1 (sf); previously on Sep 6, 2012 Upgraded to Aa1 (sf) $48,000,000 Class A-2 Floating Rate Senior Notes Due 2038, Affirmed Caa1 (sf); previously on Oct 19, 2011 Downgraded to Caa1 (sf) $18,000,000 Class A-3 Floating Rate Senior Notes Due 2038, Affirmed Ca (sf); previously on Dec 1, 2010 Downgraded to Ca (sf) Ratings Rationale: G-Star 2003-3 Ltd. is a static cash transaction backed by a portfolio of asset backed securities, primarily in the form of residential subprime securities (63.5% of the pool balance), commercial mortgage backed securities (CMBS) (33.1%) and real estate investment trust (REIT) bonds (3.4%). As of the June 21, 2013 Trustee report, the aggregate Note balance of the transaction, including Preferred Shares has decreased to $130.2 million from $450.0 million at issuance, with the paydown directed to the Class A-1 Notes, as a result of the combination of principal repayment of collateral and failing the par value tests. Currently, the transaction is under-collateralized by $49.2 million, primarily due to write-downs on the underlying collateral. Ten assets with a par balance of $21.1 million (26.0% of the pool balance) were listed as defaulted securities as of the June 21, 2013 Trustee Report. Moody's expects low to moderate losses to occur on these assets once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated collateral. Moody's modeled a bottom-dollar WARF of 5,058 compared to 4,417 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (11.0% compared to 19.1% at last review), A1-A3 (5.0%, same as at last review), Baa1-Baa3 (8.9% compared to 12.2% at last review), Ba1-Ba3 (7.0% compared to 2.9% at last review), B1-B3 (14.0% compared to 12.3% at last review), and Caa1-C (54.1% compared to 48.4% at last review). Moody's modeled a WAL of 3.0 years, compared to 3.3 years at last review. The current WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 16.1% compared to 20.4 % at last review. Moody's modeled a MAC of 100.0%, compared to 4.6% 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, released on May 16, 2013, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Moody's analysis encompasses the assessment of stress scenarios. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption up from 16.1% to 26.1% or down to 6.1% would result in average rating movement on the rated tranches of 0 notches upward and 0 to 1 notch downward 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 outlook indicates the global economy has lost momentum over the past quarter as it tries to recover. US GDP growth for 2013 is likely to remain close to 2%, however US sequestration cuts that came into effect in March may create a drag on the positive growth in the US private sector. While the broad economic impact is unclear, the direct effect is likely to shave 0.4% off US GDP growth in 2013. Continuing from the previous quarter, Moody's believes that the three most immediate risks are: i) the risk of an even 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. GE CAPITAL 2001-1: Moody's Affirms Ratings on Four CMBS Classes --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of four classes of GE Capital Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2001-1 as follows: Cl. H, Affirmed Caa1 (sf); previously on Sep 1, 2011 Upgraded to Caa1 (sf) Cl. I, Affirmed C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. X-1, Affirmed Caa3 (sf); previously on Aug 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale: The affirmation of Class H is due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on its current base expected loss, the credit enhancement level for Class H is sufficient to maintain its current rating. The current ratings of Classes I and J reflect Moody's expected loss for these classes and thus are affirmed. The ratings of the interest-only (IO) classes, Class X-1, 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 38.4% of the current pooled balance compared to 46.5% at last review. Realized losses have increased by $8 million since Moody's last review. Moody's based expected loss plus realized losses is now 6.1% compared to 6.5% 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 in the 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 methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's also utilized a loss and recovery approach in rating the P&I classes in this deal since 54% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan and determines a most probable loss given default based on a review of broker's opinions of value (if available), other information from the special servicer and available market data. The loss given default for each loan also takes into consideration servicer advances to date and estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). The analyst may have also identified troubled loans which are blown up in addition to specially serviced loans. 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. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 4, compared to 6 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated August 22, 2012. Deal Performance: As of the June 17, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 96% to $42 million from $1.1 billion at securitization. The Certificates are collateralized by six mortgage loans ranging in size from less than 4% to 36% of the pool. The pool does not contain any defeased loans or loans with credit assessments. Two loans, representing 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $53 million (43% average loss severity). Two loans, representing 54% of the pool, are currently in special servicing. The largest specially serviced loan is the Hawthorn Suites Loan ($15 million -- 35.6% of the pool), which is secured by a 280 room limited-service hotel located in Atlanta, Georgia. The loan transferred to special servicing in April 2009 and the property became real estate owned (REO) in December 2012. The servicer is preparing to market the property for sale. The other specially serviced loan is the Jantzen Park Loan ($8 million -- 18.0%), which is secured by a 115,000 square foot (SF) mixed-use complex. The loan transferred to special servicing in September 2010 and became REO in September 2012. The retail component is fully leased, but the office component is only 55% leased as of April 2013. The property is currently under contract with closing expected in the third quarter of 2013. The servicer has recognized an aggregate $16 million appraisal reduction for the two specially serviced loans, while Moody's estimates a $15 million loss (65% average loss severity). Based on the most recent remittance statement, Classes H through N have experienced cumulative interest shortfalls totaling $5 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs), extraordinary trust expenses, loan modifications that include either an interest rate reduction or a non-accruing note component, and non-recoverability determinations by the servicer that involve either a clawback of previously made advances or a decision to stop making future advances. Moody's was provided with full year 2011 and partial or full year 2012 operating results for 100% of the pool's loans. Moody's weighted average conduit LTV is 72% compared to 79% at Moody's prior review. The conduit portion of the pool excludes the two specially serviced loans. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.4%. Moody's actual and stressed conduit DSCRs are 1.20X and 1.82X, respectively, compared to 1.14X and 1.59X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. Moody's stressed DSCR is greater than Moody's actual DSCR for this transaction because the actual debt constant for the pool is greater than Moody's 9.25% stressed rate. The top three performing conduit loans represent 43% of the pool balance. The largest loan is the Roswell Corners Shopping Center Loan ($8 million -- 18.5% of the pool), which is secured by a 137,000 SF retail center located in suburban Atlanta, Georgia. The property is shadow anchored by Target. The property is fully leased as of December 2012, which is the same as at last review. Twenty-three percent of the net rentable area (NRA) expires in 2013-2014. Moody's LTV and stressed DSCR are 43% and 2.40X, respectively, compared to 46% and 2.22X at last review. The second largest conduit loan is the Courtyard by Marriott - Manchester Loan ($5 million -- 12.3% of the pool), which is secured by a 90 room limited-service hotel located in Manchester, Connecticut. The loan was transferred to special servicing in April 2010 due to imminent default. The loan was modified in special servicing to extend the maturity date to June 2014. The loan was returned to the master servicer in July 2011. The property's 2012 revenue per available room (RevPAR) decreased by 7% to $69 from $74 in 2011. The decline in performance is mainly attributed to lost revenue during the property's lobby and room renovations. Moody's LTV and stressed DSCR are 129% and 1.01X, respectively, compared to 126% and 1.03X at last review. The third largest conduit loan is the 524 Lamar Loan ($5 million - - 12.2% of the pool), which is secured by a 36,000 SF office property located in downtown Austin, Texas. The property is 100% leased to 10 tenants, essentially the same as last review. Property performance has improved due to increases in base rent and expense reimbursements. Eighty seven percent of the NRA expires before the loan's January 2015 maturity. Moody's LTV and stressed DSCR are 63% and 1.81X, respectively, compared to 81% and 1.40X at last review. GMAC COMMERCIAL 1999-C3: Moody's Keeps Caa3 Rating on Cl X Certs ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes and affirmed the ratings of two classes of GMAC Commercial Mortgage Securities, Inc. Mortgage Pass-Through Certificates, Series 1999- C3 as follows: Cl. H, Upgraded to Aaa (sf); previously on Nov 8, 2012 Upgraded to Ba1 (sf) Cl. J, Upgraded to Aaa (sf); previously on Nov 8, 2012 Upgraded to Ba2 (sf) Cl. K, Affirmed C (sf); previously on Oct 28, 2010 Downgraded to C (sf) Cl. X, Affirmed Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale: The upgrades are due to upcoming defeasance maturities and increased credit subordination due to loan payoffs and amortization. The pool has paid down by 22% since Moody's last full review. The rating of the one remaining below investment grade P&I class is consistent with Moody's expected loss and thus is affirmed. The rating of the IO class is consistent with the credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 0.3% of the current balance compared to 6.7% at last review. Base expected losses and realized losses have decreased to 2.9% of the original balance from 3.0% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery in the 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 methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published on September 2000 and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. 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 two compared to three at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from Conduit and Large Loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (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 8, 2012. Deal Performance: As of the June 17, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $21.8 billion from $1.15 billion at securitization. The Certificates are collateralized by five mortgage loans ranging in size from less than 2% to 35% of the pool, with the remaining three loans, excluding defeasance, representing 37% of the pool. There are two defeased loans representing 63% of the pool. Twenty-eight loans have been liquidated from the pool, resulting in a realized loss of $33 million (15.1% loss severity). There are currently no loans in special servicing or on the watchlist. Moody's was provided with full year 2011 and 2012 operating results for 100% of the pool. Excluding defeased loans, Moody's weighted average conduit LTV is 76% compared to 66% at last full review. Moody's net cash flow reflects a weighted average haircut of 26% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.8%. Excluding defeased loans, Moody's actual and stressed conduit DSCRs are 1.10X and 1.47X, respectively, compared to 1.27X and 1.64X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The remaining three conduit loans represent 37% of the pool balance. The largest loan is the Burleson Towne Center Loan ($5.6 million -- 25.5% of the pool), which is secured by an outdoor shopping center located thirteen miles south of Fort Worth, in Burleson, Texas. The property was 95% leased as of May 2013, compared to 98% leased at last review. JC Penny is the only anchor tenant leasing 68% of the net rentable area (NRA) through October 2019. Moody's LTV and stressed DSCR are 78% and 1.38X, respectively, compared to 70% and 1.54X at last review. The second largest loan is the Rivercrest Apartments Loan ($2.2 million -- 10.0% of the pool), which is secured by a 120 unit apartment building located in Albany, Georgia. The property was 92% leased as of May 2013 compared to 93% leased at last review. The property's performance declined from 2011 to 2012 due to reduced rental revenue and higher operating costs. The property continues to perform. Moody's LTV and stressed DSCR are 77% and 1.34X, respectively, compared to 64% and 1.62X at last review. The third-largest loan is the CVS Pharmacy Baltimore Loan ($387 thousand -- 1.8% of the pool). The loan is secured by a 12,600 SF store located in Baltimore, Maryland. The property is 100% leased to CVS Pharmacy through the loan maturity in March 2016. CVS sublet the space to Family Dollar for the remainder of the lease. Performance remains stable. Moody's current LTV and stressed DSCR are 29% and 3.58X respectively, compared to 37% and 2.86X at last review. GMAC COMMERCIAL 2003-C1: Moody's Cuts X-1 Certs Rating to 'Caa3' ---------------------------------------------------------------- Moody's upgraded the ratings of two classes, affirmed six classes and downgraded one CMBS class of GMAC Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, Series 2003-C1 as follows: Cl. J, Upgraded to A3 (sf); previously on Mar 28, 2013 Upgraded to Ba2 (sf) Cl. K, Upgraded to Baa3 (sf); previously on Mar 28, 2013 Upgraded to B2 (sf) Cl. L, Affirmed Caa2 (sf); previously on Mar 28, 2013 Upgraded to Caa2 (sf) Cl. M, Affirmed Ca (sf); previously on Mar 28, 2013 Affirmed Ca (sf) Cl. N-1, Affirmed Ca (sf); previously on Mar 28, 2013 Affirmed Ca (sf) Cl. N-2, Affirmed C (sf); previously on Mar 28, 2013 Affirmed C (sf) Cl. O, Affirmed C (sf); previously on Mar 28, 2013 Affirmed C (sf) Cl. P, Affirmed C (sf); previously on Mar 28, 2013 Affirmed C (sf) Cl. X-1, Downgraded to Caa2 (sf); previously on Mar 28, 2013 Downgraded to B2 (sf) Ratings Rationale: The upgrades of two principal and interest classes are due to increased credit support due to loan payoffs and amortization. The pool has paid down 71% since Moody's last review and 95% since securitization. The affirmations of the six below investment grade principal and interest classes are due to Moody's expected loss remaining in line with last review. The downgrade of the IO Class, Class X-1, is a result of the significant paydowns of highly rated reference classes and the indicated WARF for the reference classes. Moody's rating action reflects a base expected loss of 14.4% of the current balance. At last review, Moody's base expected loss was 7.4%. On a percentage basis the base expected loss has increased significantly due to the 71% paydown since last review. However, on a numerical basis, the base expected loss has actually decreased by $5.5 million. The pool has realized only $528,954 in additional realized losses since last review. Moody's base expected loss plus realized losses is now 2.2% of the original pooled balance compared to 2.7% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 in the 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 methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. 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. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 7 compared to 12 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated March 28, 2013. Deal Performance: As of the July 10, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $51.1 million from $1.05 billion at securitization. The Certificates are collateralized by 10 mortgage loans ranging in size from less than 1% to 24% of the pool, with the top ten loans representing 100% of the pool. There are no defeased loans. Five loans, representing 51% 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. Six loans have been liquidated from the pool, resulting in an aggregate realized loss of $15.9 million (23% loss severity on average). Three loans, representing 19% of the pool, are currently in special servicing. Moody's has assumed a high default probability for two poorly performing loans representing 25% of the pool and has estimated an aggregate $3.2 million loss (25% expected loss on average) from these troubled loans. Moody's was provided with full year 2012 and partial year 2013 operating results for 100% and 4%, respectively, of the pool's non-specially serviced and non-defeased loans. Excluding troubled and non-performing specially serviced loans, Moody's weighted average LTV is 64% compared to 77% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 18% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding the troubled and non-performing special serviced loans, Moody's actual and stressed DSCRs are 1.52X and 1.87X, respectively, compared to 1.45X and 1.42X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 48% of the pool. The largest conduit loan is the Hologic Facilities Loan ($12.2 million -- 23.8% of the pool), which is secured by two suburban office buildings totaling 269,000 SF. One building, representing 207,000 SF, is located in Bedford, Massachusetts and the other, representing 62,000 SF, is in Danbury, Connecticut. Both buildings are fully leased to Hologic, Inc. through August 2022. The loan is fully amortizing and matures in May 2023, which is less than one year after the lease expiration date. Due to the single tenant nature of the loan Moody's performed a Lit / Dark analysis. Moody's LTV and stressed DSCR are 44% and 2.44X, respectively, compared to 45% and 2.38X at last review. The second largest conduit loan is the Deville Plaza Shopping Center ($7.2 million -- 14% of the pool), which is secured by a 150,671 SF retail center in Jackson, Mississippi. The property's occupancy and financial performance improved since last review. The loan continues to perform under a short-term maturity extension. Moody's LTV and stressed DSCR are 92% and 1.11X, respectively, compared to 97% and 1.06X at last review. The third largest conduit loan is the White Clay II loan ($5.0 million -- 9.9% of the pool) which is secured by a 90,000 SF single tenant office building in White Clay Creek Hundred, Delaware. Moody's had stressed the property cash flow due to lease renewal uncertainty at the prior review. Stronger renewal leasing prospects have improved the property cash flow beyond the 2014 loan maturity. Moody's LTV and stressed DSCR is 81% and 1.38X, respectively, compared to 180% and 0.62X at last review. GREENWICH CAPITAL 2007-GG9: Moody's Affirms C Rating on 9 Secs. --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 21 classes of Greenwich Capital Commercial Funding Corp., 2007-GG9 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Mar 19, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-1-A, Affirmed Aa3 (sf); previously on Jul 20, 2012 Downgraded to Aa3 (sf) Cl. A-4, Affirmed Aa3 (sf); previously on Jul 20, 2012 Downgraded to Aa3 (sf) Cl. A-M, Affirmed Baa3 (sf); previously on Jul 20, 2012 Downgraded to Baa3 (sf) Cl. A-MFX, Affirmed Baa3 (sf); previously on Jul 20, 2012 Downgraded to Baa3 (sf) Cl. A-J, Affirmed Caa1 (sf); previously on Jul 20, 2012 Downgraded to Caa1 (sf) Cl. B, Affirmed Caa2 (sf); previously on Jul 20, 2012 Downgraded to Caa2 (sf) Cl. C, Affirmed Caa3 (sf); previously on Jul 20, 2012 Downgraded to Caa3 (sf) Cl. D, Affirmed Ca (sf); previously on Jul 20, 2012 Downgraded to Ca (sf) Cl. E, Affirmed C (sf); previously on Jul 20, 2012 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Jul 20, 2012 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Jul 20, 2012 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Apr 26, 2012 Downgraded to C (sf) Cl. X, Affirmed Ba3 (sf); previously on Jul 20, 2012 Confirmed at Ba3 (sf) Ratings Rationale: The affirmations of the investment-grade P&I 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. The ratings of the below investment grade P&I classes are consistent with Moody's expected loss and thus are affirmed. Depending on 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 rating of the IO Class, Class X, is consistent with the expected credit performance of its referenced classes and is thus affirmed. Moody's rating action reflects a base expected loss of 13.6% of the current balance. At last full review, Moody's base expected loss was 13.4%. Realized losses plus Moody's base expected loss is 13.9% of the original securitized balance compared to 14.0% at last review. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery in the 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 principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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. 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 32, same as at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated July 19, 2012. Deal Performance: As of the July 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 13% to $5.69 billion from $6.58 billion at securitization. The Certificates are collateralized by 169 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 45% of the pool. Two loans, representing 9% of the pool, have investment grade credit assessments. Fifty-six loans, representing 41% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-five loans have been liquidated from the pool since securitization, resulting in an aggregate $140.3 million loss (31% loss severity on average). Currently 31 loans, representing 23% of the pool, are in special servicing. The largest loan in special servicing is the Schron Industrial Portfolio loan ($305 million -- 5.2% of the pool). The loan is secured by 36 industrial properties located on Long Island, New York. The loan transferred into special servicing in December 2010 due to payment default. The loan was modified in July 2012 and split into an A/B note structure with a temporary rate reduction on the A-note and deferral of interest on the B-note. This is expected to cause increases in interest shortfalls . The portfolio was 75% leased as of May 2013 compared to 64% as of May 2012. The portfolio is expected to be returned to the Master Servicer after the expiration of its rehab period. The second and third specially serviced loans are the COPT Portfolio Loan and Hyatt Regency - Bethesda Loan, representing 2.6% and 2.5%, respectively, of the pool. The COPT Portfolio Loan ($146.5 million) was transferred to special servicing in March 2013 for imminent default due to cash flow issues. The loan is being monitored while information is gathered and discussions with the Borrower take place. The Trust took title for the Hyatt Regency Loan ($140.0 million) in February 2013. Kokua Hospitality has been hired as the outside asset manager for the property. The remaining specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $333.2 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $454.4 million (35% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 26 poorly performing loans representing 12% of the pool and has estimated a $205.9 million loss (29% expected loss based on a 56% probability default) from these troubled loans. As of the most recent remittance date, the pool has experienced cumulative interest shortfalls totaling $53.8 million which affect Classes S through C. Moody's anticipates that the pool will continue to experience interest shortfalls caused by modifications and specially serviced loans. 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 2012 operating results for 89% and of the pool's non-specially serviced loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 113% compared to 108% at last full review. Moody's net cash flow reflects a weighted average haircut of 4% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.9%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.27X and 0.87X, respectively, compared to 1.37X and 0.92X 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 largest loan with a credit assessment is the 590 Madison Avenue Loan ($350 million -- 5.9% of the pool), which is secured by a 1.0 million square foot (SF) Class A office building located in Midtown Manhattan. The loan is interest only for its entire ten year term. The property was 87% leased as of March 2013 compared to 91% at last review. Property performance improved due to increases in base rent and decreases in expenses since last review. Moody's current credit assessment and stressed DSCR are Aa3 and 1.58X, compared to Aa3 and 1.54X at last review. The second loan with a credit assessment is the Merchandise Mart Loan ($175.0 million -- 4.1% of the pool), which represents a 50% pari passu interest in a $350 million first mortgage loan. The property is also encumbered by a $300 million mezzanine loan. The loan is secured by a 3.45 million SF office and design showroom building located in downtown Chicago, Illinois. The sponsor is Vornado Realty, L.P. Google's Motorola Mobility Unit recently leased 572,000 SF (17% NRA) with a lease commencement on September 7, 2013. Including Google's lease, the property is 95% leased compared to 92% at last review. Moody's current credit assessment and stressed DSCR are Baa3 and 1.45X, respectively, compared to Baa3 and 1.39X at last review. The top three performing conduit loans represent 20% of the pool balance. The largest loan is the John Hancock Tower & Garage at Clarendon Loan ($640.5 million -- 10.9% of the pool), which is secured by a 1.7 million SF Class A office building and 2,013 space garage located in Boston, Massachusetts. The loan is interest only for its entire ten year term. The property was 98% leased as of April 2013, the same as at last review. Boston Properties purchased the property in December 2010 and has improved property performance by increasing occupancy and decreasing expenses. Bain Capital expanded its space from 208,000 SF (12% of the net rentable area (NRA)) to 270,000 SF (15% of NRA) in the fall of 2011. However, Bain Capital does not begin paying rent until January 2014. Moody's analysis reflects a stabilized value for this asset. Moody's LTV and stressed DSCR are 116% and 0.79X, compared to 119% and 0.77X at last review. The second largest loan is the 667 Madison Avenue Loan ($250 million -- 4.2% of the pool), which is secured by a 251,000 SF Class A office building located in Midtown Manhattan. The loan is interest only for its entire ten year term. The property was 100% leased as of March 2013, compared to 97% at last review. Property performance is in line with last review. Moody's LTV and stressed DSCR are 106% and 0.87X, the same as at last review. The third largest loan is the TIAA RexCorp Long Island Portfolio ($235.9 million -- 4.0% of the pool), which is secured by five suburban office buildings totaling 1.2 million SF located in Long Island, New York. The loan is interest only for its entire ten year term. The portfolio was 85% leased as of March 2013, compared to 87% at last review. Portfolio performance has improved as of YE 2012, though occupancy recently fell at one of the five properties to 65% as of March 2013 from 72% as of YE 2012. Moody's LTV and stressed DSCR are 128% and 0.78X, compared to 122% and 0.82X at last review. INSTITUTIONAL MORTGAGE: Fitch Affirms 'B' Rating on Class G Certs. ------------------------------------------------------------------ Fitch Ratings has affirmed all rated classes of Institutional Mortgage Capital, commercial mortgage pass-through certificates, series 2012-2 (IMSCI 2012-2). Key Rating Drivers The affirmations of IMSCI 2012-2 are based on the stable performance of the underlying collateral pool. As of the July 2013 remittance, the pool's aggregate principal balance has been paid down by 2% to C$235.4 million from C$240.2 million at issuance. Fitch reviewed the year-end (YE) 2012 operating statements and rent rolls provided for the top 15 assets, which represent 76% of the pool by balance. For those loans in the pool without updated financials, Fitch applied a haircut to the issuance cash flow for modeling purposes. In addition, there are no delinquent or watch list loans as of the July 2013 remittance date. Ratings Sensitivity The Rating Outlook remains Stable for all classes. No rating actions are expected unless there are material changes to property occupancies or cash flows, increased delinquencies, or additional loans transferred to special servicing. The pool has maintained performance consistent with issuance. Additional information on rating sensitivity is available in the report 'IMSCI 2012-2' (Jul. 12, 2012), available at www.fitchratings.com. Fitch affirms the following classes as indicated: -- C$136.4 million class A-1 at 'AAAsf'; Outlook Stable; -- C$63.0 million class A-2 at 'AAAsf'; Outlook Stable; -- Interest-only class XP at 'AAAsf'; Outlook Stable; -- C$6.0 million class B at 'AAsf'; Outlook Stable; -- C$8.4 million class C at 'Asf'; Outlook Stable; -- C$7.2 million class D at 'BBBsf'; Outlook Stable; -- C$3.6 million class E at 'BBB-sf'; Outlook Stable; -- C$3 million class F* at 'BBsf'; Outlook Stable; -- C$2.4 million class G* at 'Bsf'; Outlook Stable. * Non-offered certificates. Fitch does not rate the C$5.4 million class H or the interest-only class XC. JP MORGAN 2006-CIBC15: Moody's Cuts Cl. X-1 Certs Rating to B2 -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of six classes and affirmed four classes of J.P. Morgan Chase Commercial Mortgage Corp., Commercial Mortgage Pass-Through Certificates, Series 2006- CIBC15 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-4, Downgraded to Aa2 (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Downgraded to Aa2 (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-M, Downgraded to Ba2 (sf); previously on Aug 10, 2012 Downgraded to Baa3 (sf) Cl. A-J, Downgraded to Ca (sf); previously on Aug 10, 2012 Downgraded to Caa3 (sf) Cl. B, Downgraded to C (sf); previously on Aug 10, 2012 Downgraded to Ca (sf) Cl. C, Affirmed C (sf); previously on Aug 10, 2012 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Sep 22, 2011 Downgraded to C (sf) Cl. X-1, Downgraded to B2 (sf); previously on Aug 10, 2012 Downgraded to B1 (sf) Ratings Rationale: The downgrades are due to increased realized losses and expected losses from troubled loans and loans in special servicing. The downgrade of the IO Class, Class X-1, is a result of the decline in credit performance of its referenced classes. 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. Moody's rating action reflects a cumulative base expected loss of 10.9% of the current balance. At last review, Moody's cumulative base expected loss was 13.6%. Although the base expected loss has decreased, realized losses have increased significantly to 8.6% of the original balance compared to 3.4% at last review. Moody's base expected loss plus realized losses is now 17.4% of the original pooled balance compared to 15.7% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. 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 in the 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 principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. 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 22 compared to 26 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated August 10, 2012. Deal Performance: As of the July 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 18.4% to $1.7 billion from $2.1 billion at securitization. The Certificates are collateralized by 107 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten non-defeased loans representing 47% of the pool. Two loans, representing 1% of the pool, have defeased and are secured by U.S. Government securities. Fifty-four loans, representing 51% 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. Fifteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $160 million (82% average loss severity). One loan was previously modified with a $20 million principal write-down, resulting in a total certificate realized loss of $181 million. Seven loans, representing 14% of the pool, are currently in special servicing. The largest specially serviced loan is the Midwest Retail Portfolio Loan ($77.6 million -- 4.5% of the pool), which is secured by 13 retail properties located in Nebraska (12) and South Dakota (1). The loan was originally transferred to special servicing in August 2009 after the borrower requested relief due to a decline in property cash flow. While in special servicing, the borrower acquired the mezzanine debt at a substantial discount to its $10 million outstanding balance. The loan returned to the master service in February 2011, but then returned to special servicing in June 2011 to continue loan modification discussions. The special servicer indicated that they are in negotiations with the Borrower in regards to a discounted payoff (DPO). The second largest specially serviced loan is The Factory Building Loan ($73.6 million -- 4.3% of the pool), which is secured by a one million square foot mixed use (office, industrial and retail) building located in Long Island City, New York. The loan transferred to special servicing in October 2011 due to imminent payment default. Although the loan was in special servicing, the loan remained current up to its maturity date in June 2013. The property was approximately 73% leased as of May 2013 compared to 82% the prior year. The special servicer indicated that they are currently in negotiations in regards to a disposition strategy. The third largest specially serviced loan is the US Bank Center -- St. Paul Loan ($37.8 million -- 2.2% of the pool), which is secured by a 26-story office building located in St. Paul, Minnesota. The loan transferred to special servicing in 2009 for imminent payment default due to low occupancy from vacating tenants and became REO in October 2012. The property was 71% leased as of January 2013. The special servicer indicated that several leasing discussion are ongoing and they then plan to market the property for sale. The remaining four specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $71 million appraisal reduction for five of the seven special servicing loans. Moody's estimates an aggregate $104.2 million loss for six of the seven specially serviced loans (63% expected loss on average). Moody's assumed a high default probability for 18 poorly performing loans representing 11% of the pool and has estimated an aggregate $50.9 million loss (26% expected loss on average) from these troubled loans. Moody's was provided with full year 2011 and/or 2012 operating results for 98% and 94% of the pool's non-specially serviced and non-defeased loans, respectively. The conduit portion of the pool excludes defeased, troubled and six of the specially serviced loans. Moody's weighted average conduit LTV is 105% compared to 104% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 9% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.25X and 1.00X, respectively, compared to 1.26X and 0.99X 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. Based on the July 2013 remittance statement, Classes AJ through NR have experienced cumulative interest shortfalls totaling $15.6 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the high exposure to specially serviced and troubled loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs), extraordinary trust expenses, loan modifications that include either an interest rate reduction or a non-accruing note component, and non-recoverability determinations by the servicer that involve a clawback for previously made advances. The top three conduit loans represent 27% of the pool. The largest loan is the Warner Building Loan ($292.7 million -- 16.9% of the pool), which is secured by a 602,000 square foot (SF) Class A office building located four blocks from the White House in Washington, DC. The largest tenant at securitization was Howrey LLP, which leased 49% of the net rentable area (NRA). Howrey declared bankruptcy in March 2011 and subsequently dissolved, which caused the property performance to decline significantly. The property has experienced recent leasing activity and was 72% leased as of March 2013 compared to only 49% leased in January 2012. According to CBRE Econometric Advisors, the vacancy rate in the submarket is approximately 10%. The property benefits from strong sponsorship, a partnership between Vornado Realty Trust and Canada Pension Plan Investment Board. Moody's analysis accounted for the expertise of the sponsors, the strength of the submarket and quality of the asset to offset most of the tenancy risk present at this review. Moody's LTV and stressed DSCR are 126% and 0.73X, respectively, compared to 128% and 0.72X at last review. The second largest loan is the Greenway Portfolio Loan ($112.0 million -- 6.5% of the pool), which is secured by eight office and flex properties located in Middleton, Wisconsin. The portfolio was 91% leased as of March 2013 compared to 87% at last review. Despite an increase in revenue, the property's performance has declined due to an increase in operating expenses. Moody's LTV and stressed DSCR are 119% and 0.84X, respectively, compared to 114% and 0.87X at last review. The third largest loan is the Scottsdale Plaza Resort Loan ($59.0 million -- 3.4% of the pool), which is secured by a 404-unit full- service hotel located in Scottsdale, Arizona. The sponsor, John W. Dawson, has owned the property since 1976. Property performance has been below break-even, but the sponsor has continued to fund operating shortfalls. The January 2013 trailing twelve month occupancy and revenue per available room (RevPAR) were 55% and $68, respectively, compared to 52% and $64 in the previous year. Despite the increase in RevPAR from the prior year, overall performance has declined due to a decrease in other income and an increase in operating expenses. Due to the low DSCR, Moody's has identified this loan as a troubled loan. JP MORGAN 2013-3: Fitch to Rate Class B-4 Certificates at 'BB' -------------------------------------------------------------- Fitch Ratings expects to rate J.P. Morgan Mortgage Trust 2013-3 as follows: -- $310,543,000 class A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $310,543,000 class A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $310,543,000 class A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $248,708,000 class A-4 certificates 'AAAsf'; Outlook Stable; -- $61,835,000 class A-5 exchangeable certificates 'AAAsf'; Outlook Stable; -- $248,708,000 class A-6 exchangeable certificates 'AAAsf'; Outlook Stable; -- $61,835,000 class A-7 exchangeable certificates 'AAAsf'; Outlook Stable; -- $30,917,500 class A-8 certificates 'AAAsf'; Outlook Stable; -- $30,917,500 class A-9 certificates 'AAAsf'; Outlook Stable; -- $248,708,000 class A-IO1 notional certificates 'AAAsf'; Outlook Stable; -- $61,835,000 class A-IO2 notional certificates 'AAAsf'; Outlook Stable; -- $310,543,000 class A-IO3 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $310,543,000 class A-IO4 notional certificates 'AAAsf'; Outlook Stable; -- $310,543,000 class A-IO5 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $3,451,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $7,418,000 class B-2 certificates 'Asf'; Outlook Stable; -- $5,003,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $3,623,000 class B-4 certificates 'BBsf'; Outlook Stable; The $10,179,000 class A-M certificates and $4,831,665 class B-5 certificates will not be rated. Key Rating Drivers High-Quality Mortgage Pool: The collateral pool consists entirely of 30-year fixed-rate mortgages (FRMs) to borrowers with strong credit profiles and full documentation. Strong borrower quality is reflected in the 769 weighted average (WA) original FICO, 66.3% WA CLTV, $543,551 WA household income and $2.4 million WA liquid reserves. In addition, third-party due diligence was conducted on 100% of the pool and the results indicated strong underwriting controls. Weak Representations and Warranties Framework: While the transaction benefits from JPMCB, J.P. Morgan Mortgage Acquisition Corp. (JPMMAC) (rated A+/F1) and FRB (rated BBB+/F2) as rep providers for approximately 98.2% of the pool, Fitch believes the value of the R&W framework is diluted by the presence of qualifying and conditional language, as well as by the inclusion of sunset provisions, each of which substantially reduce lender loan breach liability. While the agency believes that the high credit quality pool and clean diligence results mitigate the R&W risks to some degree, Fitch considered the weaker framework in its analysis. High Geographic Concentration: The pools' primary concentration risk is California, where 49% of the properties are located. In addition, 54.6% of the properties are located in the pool's top five regions, representing MSAs in California, New York and Illinois. The pool has significant regional concentrations that resulted in an additional penalty of approximately 32% to the pool's lifetime default expectation. 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 in the mortgage pool, Chicago-Joliet-Naperville, IL (6.5% of the mortgage pool), Fitch's SHP model does not project declines in home prices. Fitch conducted sensitivity analyses assuming sMVDs of 10%, 15%, and 20% for this identified metropolitan area. The sensitivity analyses 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 15.6% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. In its analysis, Fitch considered placing a greater emphasis on recent economic performance in determining market value declines. While Fitch's current loan loss model looks to three years of historical data and one year of projections, this does not incorporate recent notable economic improvement. To reflect the more recent economic environment, a sensitivity analysis was performed using two years of historical economic data and two years of projections. The result of this sensitivity analysis was included in the consideration of the loss expectations for this transaction. This sensitivity analysis resulted in a base sMVD of 14.5%, down from 15.6%. JP MORGAN 2013-C13: Moody's Rates Class F Notes 'B2(sf)' ------------------------------------------------------- Moody's Investors Service has assigned ratings to twelve classes of CMBS securities, issued by JPMCC 2013-C13, Commercial Mortgage Pass-Through Certificates, Series 2013-C13. Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-SB, Definitive Rating Assigned Aaa (sf) Cl. A-S, Definitive Rating Assigned Aaa (sf) Cl. X-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 Ba2 (sf) Cl. F, Definitive Rating Assigned B2 (sf) * Reflects Interest Only Classes Ratings Rationale: The Certificates are collateralized by 45 fixed rate loans secured by 70 properties, including two credit assessed loans (13.2% of the pool balance). 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 1.80X (1.69X excluding credit assessed loans) is greater than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.05X (0.97X excluding credit assessed loans) is greater than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 97.2% (101.5% excluding credit assessed loans) is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level (includes cross collateralized and cross defaulted loans) Herfindahl Index is 19.4 (19.6 excluding credit assessed loans), which is lower than the Herfindahl scores found in most multi-borrower transactions issued since 2009. With respect to property level diversity, the pool's property level Herfindahl Index is 27.6 (21.7 excluding credit assessed loans), which 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 also grades properties on a scale of 1 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.09, which is slightly 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 Fusion U.S. CMBS Transactions" published in April 2005. 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 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%, 15%, and 23%, the model-indicated rating for the currently rated Aaa Super Senior class would be Aaa, Aaa, and Aa1, respectively; for the most junior Aaa rated class A-S would be Aa1, Aa2, and Aa3, 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. KLEROS PREFERRED: Moody's Lowers Ratings on $476MM of CDO Notes --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of the following notes issued by Kleros Preferred Funding, Ltd.: $850,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2041 (current balance of $414,896,824), Downgraded to Ca (sf); previously on March 26, 2010 Downgraded to Caa3 (sf); $68,500,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2041 (current balance of $60,614,986), Downgraded to C (sf); previously on February 10, 2009 Downgraded to Ca (sf). Ratings Rationale: According to Moody's, the rating downgrade is the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including an increase in the WARF and a decrease in the transaction's overcollateralization ratios. Based on the latest trustee report dated June 2013, the WARF of the portfolio has increased to 2475 from 1374 in February 2010. The Class A/B and Class C/D overcollateralization ratio test is reported at 49.2% and 47.4%, respectively, versus a February 2010 level of 75.3% and 73.2%, respectively. Kleros Preferred Funding, Ltd., issued in June 2005, is a collateralized debt obligation issuance backed primarily by a portfolio of residential mortgage-backed securities (RMBS) originated in 2004 and 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. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. 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. LATIN AMERICAN EXPORT: Moody's Cuts Rating on Secured Loan to Ba2 ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of the Latin American Export Finance Fund Ltd (LAEFF or the fund), Inter- American Development Bank A/B senior secured loan (A/B Loan) to Ba2 (sf) from Baa3 (sf), previously on review for downgrade. Immediately following the rating action, Moody's will withdraw the rating because it believes it has insufficient or otherwise inadequate information to support the maintenance of the rating. The complete rating action is as follows: - Latin American Export Finance Fund Ltd., Inter-American Development Bank A/B senior secured loan due 2015 (Rated Loan): downgraded to Ba2 (sf) and thereafter withdrawn; previously on Oct 19, 2012, Baa3 (sf) placed on review for possible downgrade. Ratings Rationale: Moody's downgrade reflects the exposure to a group of around 50 unrated corporate borrowers in three Latin American countries, the significant concentrations in the volatile commodity production asset sectors (including the sugar and ethanol sector) and the limited data available regarding loan recoveries. In a press release dated May 29, 2013 and titled "Moody's issues market update on Latin American Export Finance Fund loan review for downgrade", Moody's announced that the credit quality of the A/B Loan would be best evaluated using Moody's collateralized loan obligation (CLO) approach described in the methodology report "Moody's Global Approach to Rating Collateralized Loan Obligations", published May 2013. In order to maintain the rating under the CLO approach, Moody's requires relevant information on the underlying obligors, such as audited financial statements, in order to determine a credit estimate and a probability of default assumption for each obligor. Since Moody's has not received this information given LAEFF's focus on Small and Medium Sized Enterprises (SMEs) that traditionally do not have audited financials, immediately following the rating action, Moody's will withdraw the rating. Moody's has withdrawn the rating because it believes it has insufficient or otherwise inadequate information to support the maintenance of the rating. Moody's modeled the transaction using its own best estimate assumptions based on information received to date and Moody's industry information. Key model assumptions include the probability of default (PD) for each obligor in the portfolio and the recovery rate (RR) for each loan following a default of the obligor. In the absence of specific obligor information, and based on Moody's own best estimate, the key portfolio assumptions that underlie this rating action are an average PD consistent with a Caa1 rating and an average RR of 50% given a default. In arriving at this PD assumption, Moody's assumed that the credit quality of the underlying obligors is on average weaker than the "single-B" credit quality of two other companies that Moody's rates or has rated in the Brazilian sugar and ethanol industry, the industry with the highest concentration. Further, Moody's notes that there is limited historical recovery data on secured loans in Brazil, the market with the highest obligor concentration. Also, given the portfolio's high geographic and sector concentrations, Moody's modeled the transaction assuming a high default correlation. Moody's notes that on account of the portfolio's high obligor and sector concentrations, the rating of the A/B senior secured loan is very sensitive to the input assumptions such as the PD and RR of the underlying loans. For example, with an average PD and RR of Caa1 and 65%, the model- implied rating outcome - without further qualitative adjustments - would fall in the low Baa-range. With an average PD and RR of Caa1 and 35%, the model-implied rating outcome - without further qualitative adjustments - would be in the single-B range. In addition to model results, Moody's considers qualitative factors such as the quality of origination, servicing and a transaction's third party oversight. Latin American Export Finance Fund, Ltd. (the Borrower) is a Cayman Islands-domiciled special purpose entity and a wholly owned subsidiary of Latin America Export Finance Fund L.P. (the Fund) managed by Crecera Finance Management Company, LLC (Crecera or the Fund Manager) pursuant to a management agreement. The Fund and Borrower extend pre-export financing and post- shipping financing (Loans) to Latin American exporters of commodities. The Loans and their collateral (inventory, insurance, and guarantees) back the senior secured debt of the Borrower. The Rated Loan benefits from credit enhancement in the form of equity capital, which was $94.1 million (37% credit enhancement) as of the December 31, 2012 consolidated audited financial statements of the Fund. Rating Methodology The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations", published in May 2013. LB-UBS 2007-C2: Fitch Cuts Rating on Class A-J Certs to 'D' ----------------------------------------------------------- Fitch Ratings has downgraded nine classes of LB-UBS Commercial Mortgage Trust (LBUBS) commercial mortgage pass-through certificates series 2007-C2 to 'D', as the bonds have incurred principal write-down. The bonds were all previously rated 'CCCsf' (class A-J), 'CCsf' (classes B and C), or 'Csf' (classes D through J), which indicates that Fitch expected a default. Key Rating Drivers The downgrades are due to losses incurred on classes A-J through J as a result of the liquidation of 21 specially serviced loans. The special servicer, Orix Capital Markets, had placed the foreclosed real estate for sale as part of a marketing campaign focused on distressed loans and REO asset sales. The sales yielded approximately $462 million in net proceeds, which resulted in approximately $310 million in losses as reported in the July 2013 remittance report. This compares to aggregate appraisal reductions of $370 million for the 21 loans reported in June 2013. The recoveries from the recent dispositions paid-in-full the A-2 and A-AB classes, and allowed partial repayments to the A-3 and the multifamily directed A-1A classes. As of July 2013, the pools principal balance has been reduced 41.2% (which includes 12.04% in realized loss) to $2.1 billion, compared to $3.55 billion at issuance. Following the liquidations, only two loans (0.32% of the pool) remain in special servicing. Rating Sensitivities Fitch modeled losses on the recently liquidated loans were primarily in-line or more conservative than actual losses incurred. At the time of the last rating action in September 2012, the timing of the dispositions were not expected to be imminent. At the September 2012 rating action the largest contributors to Fitch modeled losses were the One Alliance Center (60% Fitch modeled loss severity), the Duke Cleveland East Suburban Portfolio (60% modeled loss) and the Bethany Maryland Portfolio loans(42% modeled loss). Following the liquidations the largest actual losses were Duke Cleveland (58% loss severity), Bethany Maryland (30% loss severity) and One Alliance Center (25%). Fitch downgrades the following classes and assigns Recovery Estimates (REs) as indicated: -- $283.1 million class A-J to 'Dsf' from 'CCCsf'; RE 65%; -- $0 class B to 'Dsf' from 'CCsf'; RE 0%; -- $0 class C to 'Dsf' from 'CCsf'; RE 0%; -- $0 class D to 'Dsf' from 'Csf'; RE 0%; -- $0 class E to 'Dsf' from 'Csf'; RE 0%; -- $0 class F to 'Dsf' from 'Csf'; RE 0%; -- $0 class G to 'Dsf' from 'Csf'; RE 0%; -- $0 class H to 'Dsf' from 'Csf'; RE 0%; -- $0 class J to 'Dsf' from 'Csf'; RE 0%. Fitch expects to conduct a full review of the transaction within the next 60 days, including analysis of the remaining loans and collateral discussions with the loan servicers. LEHMAN 2006-LLF C5: Rights Transfer No Impact on Moody's 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 Torchlight Loan Services, LLC as the successor Special Servicer and to replace TriMont Real Estate Advisors, Inc. as the Special Servicer for the Walt Disney World Swan & Dolphin Split Trust Mortgage Loan. The Proposed Special Servicer Replacement and Transfer will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the Proposed Special Servicer Replacement from TriMont to Torchlight. Moody's has determined that this proposed special servicing transfer 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 Lehman Brothers Floating Rate Commercial Mortgage Trust 2006-LLF C5, Commercial Mortgage Pass-Through Certificates, Series 2006-LLF C5. Moody's opinion only addresses the credit impact associated with the proposed transfer of special servicing rights. Moody's is not expressing any opinion as to whether the this change has, or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. The last rating action for LBFRC 2006-LLF C5 was taken on July 12, 2013. The primary methodology used in monitoring this transaction was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's will continue to monitor the ratings. Any change in the ratings will be publicly disseminated by Moody's through appropriate media. On July 12, 2013, Moody's took these rating actions: Cl. A-2, Affirmed Aaa (sf); previously on Aug 17, 2006 Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Jun 14, 2007 Upgraded to Aaa (sf) Cl. C, Upgraded to Aaa (sf); previously on Aug 30, 2012 Upgraded to Aa1 (sf) Cl. D, Upgraded to Aaa (sf); previously on Aug 30, 2012 Upgraded to Aa3 (sf) Cl. X-2, Affirmed B1 (sf); previously on Feb 22, 2012 Downgraded to B1 (sf) Cl. X-FLP, Affirmed Caa3 (sf); previously on Aug 30, 2012 Downgraded to Caa3 (sf) Cl. WSD, Affirmed B3 (sf); previously on Dec 17, 2010 Downgraded to B3 (sf) LIGHTPOINT CLO V: Moody's Lifts Rating on Class C Notes From Ba1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Lightpoint CLO V, Ltd.: $30,000,000 Class A-2 Floating Rate Notes Due August 5, 2019, Upgraded to Aaa (sf); previously on September 1, 2011 Upgraded to Aa3 (sf); $34,500,000 Class B Floating Rate Notes Due August 5, 2019, Upgraded to A1 (sf); previously on September 1, 2011 Upgraded to Baa1 (sf); $20,500,000 Class C Floating Rate Notes Due August 5, 2019, Upgraded to Baa3 (sf); previously on September 1, 2011 Upgraded to Ba1 (sf). Moody's also affirmed the ratings of the following notes: $450,000,000 Class A-1 Floating Rate Notes Due August 5, 2019, Affirmed Aaa (sf); previously on September 1, 2011 Upgraded to Aaa (sf); $19,000,000 Class D Floating Rate Notes Due August 5, 2019, Affirmed B1 (sf); previously on September 1, 2011 Upgraded to B1 (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 August 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 WARR compared to the levels twelve months ago. Based on the June 2013 trustee report, the WARF and WARR are 2176 and 51%, respectively, compared to June 2012 levels of 2336 and 49%, respectively. Moody's also notes that the transaction's reported overcollateralization ratios are stable since the last rating action. In addition, Moody's said that it withdrew the rating of the $5,000,000 Class J Blended Securities Notes Due 2019, previously on September 1, 2011 Upgraded to Ba2 (sf). Based on Moody's calculation, the rated balance of Class J Blended Securities Notes is zero. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and 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 $569 million, defaulted par of $2.5 million, a weighted average default probability of 14.07% (implying a WARF of 2314), a weighted average recovery rate upon default of 51%, and a diversity score of 51. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Lightpoint CLO V, Ltd., issued in August 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 Global Approach to Rating Collateralized Loan Obligations" published in May 2013. 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 Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. 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% (1851) Class A1: 0 Class A2: +1 Class B: +3 Class C: +2 Class D: +1 Moody's Adjusted WARF + 20% (2777) Class A1: 0 Class A2: -2 Class B: -2 Class C: -1 Class D: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 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. Due to the large balance of principal proceeds, Moody's considered several scenarios assuming various amounts of principal proceeds are paid to the senior notes or reinvested. 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. MADISON PARK X: S&P Affirms 'BB' Rating to Class E Notes -------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Madison Park Funding X Ltd./Madison Park Funding X LLC's $717.0 million floating- and fixed-rate notes following the transaction's effective date as of April 9, 2013. Most U.S. cash flow collateralized debt obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio. An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to S&P by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that S&P assigned on the transaction's closing date. The effective date reports provide a summary of certain information that S&P used in its analysis and the results of its review based on the information presented to S&P. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. In S&P's published effective date report, it discusses its analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, S&P intends to publish an effective date report each time it issues an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Madison Park Funding X Ltd./Madison Park Funding X LLC Class Rating Amount (mil. $) A-1a AAA (sf) 300.00 A-1b AAA (sf) 15.75 A-2 AAA (sf) 172.50 B-1 AA (sf) 58.50 B-2 AA (sf) 30.00 C (deferrable) A (sf) 59.25 D (deferrable) BBB (sf) 39.50 E (deferrable) BB (sf) 37.50 MAGNOLIA FINANCE 2005-19: S&P Affirms 'B+' Rating on $9MM Notes --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its rating on Magnolia Finance I PLC's $9 million collateralized debt obligation- referenced fixed-rate notes series 2005-19 at 'B+'. S&P's rating is dependent on the lower of (1) the long-term rating on the swap counterparty, Credit Suisse International ('A') or (2) the rating on the reference security, CSAM Funding II class D notes due Oct. 15, 2016 ('B+(sf)'). The affirmation of the series 2005-19 notes rating follows the July 2 lowering of S&P's long-term rating on the swap counterparty to 'A' from 'A+'. S&P may take subsequent rating actions on the transaction as a result of changes in the rating assigned to the underlying security. 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 MARATHON REAL 2006-1: Fitch Places All Ratings on Watch Negative ---------------------------------------------------------------- Fitch Ratings has placed all classes of Marathon Real Estate CDO 2006-1, Ltd./LLC (Marathon 2006-1) on Rating Watch Negative due to insufficient information. Key Rating Drivers The placement on Rating Watch Negative is due to limited collateral information provided by the asset manager, Marathon Asset Management. Fitch receives period updates on general pool performance; however, Fitch had difficulty obtaining specific collateral information after multiple requests. Fitch uses the most recent year-end/trailing 12 financial statements and rent rolls in its review, as well as updated debt stack positions. With limited updates provided from the information used in the 2012 review, it is difficult to measure the current performance of the pool. Rating Sensitivity Fitch will resolve the Rating Watch status upon receipt of sufficient collateral and structural updates. If obtaining updated information remains difficult, downgrades or withdrawals of the ratings are possible. Commercial Real Estate Loan CDOs are 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 are then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch places the following classes on Rating Watch Negative: -- $338,966,789 class A-1 at 'BBBsf'; Rating Watch Negative; -- $50,000,000 class A-2 at 'BBBsf'; Rating Watch Negative; -- $99,000,000 class B at 'BBsf'; Rating Watch Negative; -- $51,500,000 class C at 'Bsf'; Rating Watch Negative; -- $16,000,000 class D at 'Bsf'; Rating Watch Negative; -- $14,000,000 class E at 'Bsf'; Rating Watch Negative; -- $23,500,000 class F at 'CCCsf'; Rating Watch Negative; -- $15,500,000 class G at 'CCCsf'; Rating Watch Negative; -- $26,000,000 class H at 'CCCsf', Rating Watch Negative; -- $56,300,000 class J at 'CCCsf', Rating Watch Negative; -- $26,700,000 class K at 'CCCsf', Rating Watch Negative. MARQUETTE US/EUROPEAN: Moody's Raises Ratings on 8 CLO Tranches --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Marquette US/European CLO, P.L.C.: $2,550,000 Class B-1 Senior Secured Floating Rate Dollar Notes Due 2020, Upgraded to Aaa (sf); previously on July 15, 2013 Upgraded to Aa3 (sf) and Placed Under Review for Possible Upgrade; EUR7,500,000 Class B-2 Senior Secured Floating Rate Euro Notes Due 2020, Upgraded to Aaa (sf); previously on July 15, 2013 Upgraded to Aa3 (sf) and Placed Under Review for Possible Upgrade; $10,000,000 Class C-1 Secured Floating Rate Dollar Notes Due 2020, Upgraded to A2 (sf); previously on July 15, 2013 Upgraded to Baa2 (sf) and Placed Under Review for Possible Upgrade; EUR7,937,000 Class C-2 Secured Floating Rate Euro Notes Due 2020, Upgraded to A2 (sf); previously on July 15, 2013 Upgraded to Baa2 (sf) and Placed Under Review for Possible Upgrade; $9,500,000 Class D-1 Secured Floating Rate Dollar Notes Due 2020, Upgraded to Ba2 (sf); previously on September 6, 2012 Upgraded to B1 (sf); EUR7,540,000 Class D-2 Secured Floating Rate Euro Notes Due 2020, Upgraded to Ba2 (sf); previously on September 6, 2012 Upgraded to B1 (sf); $3,000,000 Class E-1 Secured Floating Rate Dollar Notes Due 2020, Upgraded to B3 (sf); previously on November 21, 2011 Upgraded to Caa1 (sf); EUR2,381,000 Class E-2 Secured Floating Rate Euro Notes Due 2020, Upgraded to B3 (sf); previously on November 21, 2011 Upgraded to Caa1 (sf). Moody's also affirmed the ratings of the following notes: $103,905,000 Class A-1A Senior Secured Floating Rate Dollar Notes Due 2020 (current outstanding balance of $ 49,041,837.50), Affirmed Aaa (sf); previously on September 6, 2012 Upgraded to Aaa (sf); $11,545,000 Class A-1B Senior Secured Floating Rate Dollar Notes Due 2020, Affirmed Aaa (sf); previously on July 15, 2013 Upgraded to Aaa (sf); EUR86,151,000 Class A-2 Senior Secured Floating Rate Euro Notes Due 2020 (current outstanding balance of EUR 45,367,268.99), Affirmed Aaa (sf); previously on July 15, 2013 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 2012. Moody's notes that the Class A-1A Notes and Class A-2 Notes amortized by approximately $36.2 million and EUR26.8 million or 34.8% and 31.1%, respectively since the rating action in September 2012. Based on the latest trustee report dated July 3, 2013, the Class A/B, Class C, Class D, and Class E overcollateralization ratios are reported at 135.2%, 120.6%, 109.5%, and 106.4%, respectively, versus July 2012 levels of 127.4%, 117.4%, 109.3%, and 107.0%, respectively. In taking the foregoing actions, Moody's also announced that it had concluded its review of its ratings on the issuer's Class B-1 Notes, Class B-2 Notes, Class C-1 Notes, and Class C-2 Notes announced on July 15, 2013. At that time, Moody's said that it had upgraded and placed certain of the issuer's ratings on review primarily as a result of substantial deleveraging of the senior notes and increases in OC ratios resulting from high rates of loan collateral prepayments during the first half of 2013. Moody's also notes that the deal has benefited from an improvement in the credit quality of the underlying portfolio since the rating action in September 2012. In the base case, Moody's modeled a WARF of 2791 compared to 2893 assumed at the time of the rating action in September 2012. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and 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 of $74.6 million in USD denominated assets and EUR90.5 million in non-USD denominated assets respectively, principal proceeds balance of $34.6 million, defaulted par of $1.4 million, a weighted average default probability of approximately 18.7% (implying a WARF of 2791), a weighted average recovery rate upon default of 48.5%, and a diversity score of 39. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Marquette US/European CLO, P.L.C., issued in July 2006, is a collateralized loans obligation backed primarily by a portfolio of senior secured loans denominated in U.S. Dollars and Euros. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. 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 Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. 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% (2233) Class A-1a: 0 Class A-1b: 0 Class A-2 0 Class B: 0 Class C: +2 Class D: +1 Class E: +2 Moody's Adjusted WARF + 20% (3349) Class A-1a: 0 Class A-1b: 0 Class A-2: 0 Class B: 0 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) 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. 4) Currency exposure: The deal has significant exposure to non-USD denominated assets. Volatilities in foreign exchange rate will have a direct impact on interest and principal proceeds available to the transaction, which may affect the expected loss of rated tranches. Furthermore, a higher amortization speed, in either the USD or Euro denominated assets, exposes the transaction to foreign currency risk because the principal proceeds have to be converted at the spot exchange rate to pay down the pro-rata liabilities, which are denominated in USD and Euros. Moody's modeled additional scenarios assuming different amortization profiles for the USD and Euro denominated assets. MENLO PARK: Moody's Confirms Ba1 Rating on $61.8MM Debt ------------------------------------------------------- Moody's Investors Service has confirmed at Ba1 the rating of the successor agency to the Menlo Park Redevelopment Agency's Series 2006 bonds and assigned a negative outlook. The rating action affects approximately $61.8 million of outstanding debt. Ratings Rationale: The confirmation at Ba1 is driven by changes to California law that dissolved redevelopment agencies (RDAs) and changed the method by which the successors agencies to the RDAs receive incremental tax revenues to pay debt service on tax allocation bonds; as a result of these changes, Moody's projects that debt service coverage net of pass-through payments will remain below Moody's threshold of two times to be considered investment grade. Another important consideration --and a major factor in Moody's assignment of a negative outlook-is the structure of the bonds. The bonds are secured by a letter of credit (LOC) from State Street Bank and Trust Company (Aa2 RUR down) and are in a variable rate mode. At issuance, the RDA entered into a variable-to-fixed rate swap with Piper Jaffray (NR) that creates a relatively fixed rate payment obligation of the RDA. Moody's downgrade of the bonds to Ba1 in June, 2012, triggered a termination event under the swap. While the swap provider has not exercised its right to terminate the swap, which has a mark-to-market value of -$15 million as of June 30, 2012, the availability of this right injects considerable uncertainty into the future performance of the bonds. Other factors affecting the rating include a project area with a relatively large AV; the city's location in the midst of Silicon Valley, which remains one of the most important national economic centers; robust socio-economic indicators; the depth of incremental AV which provides protection against economic and real estate downturns; and a top taxpayer profile which, while concentrated, is not unusually so for a redevelopment project area. Strengths - The large, in terms of assessed valuation (AV), project area located in the heart of Silicon Valley, still a leading economic growth engine - Socio-economic indicators that are robust - Strong ratio of incremental AV to the total AV of the project area Challenges - Projected debt service coverage in the first half of each year will be below two times - Under the swap, the successor agency has triggered a termination event, which, if exercised, would result in a large termination payment. The successor RDA no longer has any assets, and while the termination payment would be subordinate to debt service, the counterparty's right to terminate is a source of uncertainty reflected in the rating and outlook. Outlook The negative outlook incorporates the uncertainties of whether the swap counterparty will terminate the swap and how such a termination would end up affecting the revenue available for debt service. What Could Move The Rating-Up - Sizable increase in incremental AV of the project area, leading to greater debt service coverage in all semi-annual periods. - Significant decrease in the concentration of the project area What Could Move The Rating-Down - Termination of the swap by the counterparty - Protracted decline in the district's assessed valuation Rating Methodology The principal methodology used in this rating was Moody's Analytic Approach To Rating California Tax Allocation Bonds published in December 2003. MERRILL LYNCH 2006-1: Moody's Cuts Ratings on 2 CMBS Classes to C ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two notional classes and affirmed the rating of one notional class of Merrill Lynch Floating Trust Commercial Pass-Through Certificates, Series 2006-1 as follows: Cl. X-1B, Affirmed Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Cl. X-3B, Downgraded to C (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Cl. X-3C, Downgraded to C (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale: The downgrades of notional Class X-3B and notional Class X-3C are due to interest shortfalls from the Royal Holiday Portfolio Loan. The affirmation of notional Class X-1B is based on Moody's credit assessments for non-rated Classes K, L and M, the three remaining certificate classes with outstanding principal balances. Class A1 through Class J have paid off in full. The certificates are collateralized by mortgages on the two remaining loans in the trust, the Royal Holiday Portfolio Loan and the Crowne Plaza Hotel San Antonio Loan. 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 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 (Moody's Surveillance Trends) 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 August 23, 2012. Deal Performance: As of the July 15, 2013 Payment Date, the transaction's certificate balance has decreased by 96% to $95.3 million from $2.6 billion at securitization due to the payoff of 13 loans originally in the pool. Two specially serviced loans remain in the pool. The larger loan is the Royal Holiday Portfolio Loan ($65.0 million -- 68%). The loan is secured by six hotels located in Mexico with a total of 1,501 rooms. Two of the hotels are located in Cancun, and the other four are located in Cozumel, Ixtapa, Acapulco and San Jose del Cabo. The loan was transferred to special servicing in February 2010 and is a non-performing matured loan. The borrower filed a Mexican bankruptcy petition for the Cozumel Caribe Hotel in May 2010. The bankruptcy court terminated the flow of funds into the lender's cash management system and blocked the lender from pursuing remedies against the other five assets or the guarantors. The borrower has not made debt service payments since May 2010, nor has the borrower provided financials for the hotels. Interest advances were terminated approximately 10 months ago. Currently approximately $12 million in interest advances and legal and insurance expenses is outstanding. The $103.0 million whole loan includes $38.0 million in non-trust subordinate debt. The special servicer is defending and pursuing multiple legal actions and foresees a lengthy litigation. Moody's current credit assessment is C, the same as last review. The Crowne Plaza Hotel San Antonio ($30.3 million -- 32%) is secured by a full-service hotel with 410-rooms located in downtown San Antonio, Texas. The loan was transferred to special servicing in February 2012 for technical default due to failing a performance test and for facing imminent maturity default, which occurred on June 11, 2012. Revenue per available room (RevPAR) for calendar year 2012 was $72, a 13% increase over 2011. RevPAR for the trailing 12-month period ending in May 2013 was $70, a 5% increase from the prior year. The whole loan includes an additional $26.0 million in non-trust subordinate debt. Moody's current credit assessment is Caa1, the same as last review. The pool has experienced a loss of $541,774, affecting Class M, and interest shortfalls total $1.5 million affecting principal Classes K, L and M and notional Classes X-3B and X-3C. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary trust expenses. ML-CFC COMMERCIAL 2007-9: S&P Cuts Rating on 3 Note Classes to D ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the Class A-4 certificates of commercial mortgage pass-through certificates from ML-CFC Commercial Mortgage Trust 2007-9, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'AA (sf)' from 'A+ (sf)'. Concurrently, Standard & Poor's lowered its ratings on four classes and affirmed its ratings on 10 others from the same transaction. These rating actions follows S&P's analysis of the transaction, primarily using its criteria for rating U.S and Canadian CMBS. S&P's analysis included a review of the credit characteristics and performance of the assets in the pool, the transaction structure, and the liquidity available to the trust. S&P raised rating on the Class A-4 certificates reflects its expected available credit enhancement for this tranche, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the rating level. The upgrades also reflects S&P's views regarding the current and future performance of the transaction's collateral as well as the deleveraging of the trust balance, including the repayment in full of the Farallon Portfolio loan in April 2013. The downgrades reflect the credit support erosion that S&P anticipates will occur upon the resolution of 20 ($315.1 million, 14.0%) of the 22 ($344.9 million, 18.0%) assets currently with the special servicer, LNR Partners Inc. (LNR). Based on S&P's valuation, as well as valuations provided by the special servicer of these 20 specially serviced assets, it expects the trust to incur additional losses approximating 6.1% of the original outstanding trust balance upon the resolution or liquidation of these assets. To date, the trust has incurred losses totaling $107.7 million (3.8% of the original outstanding trust balance). S&P lowered its ratings on Classes D, E, and F to 'D (sf)' due to current interest shortfalls as well as its expectation that these classes will continue to experience interest shortfalls and the accumulated interest shortfalls outstanding will not be repaid in the foreseeable future. While these classes currently have experienced interest shortfalls for one month, these three classes have had accumulated interest shortfalls outstanding for 10 to 23 months. As of the July 12, 2013, trustee remittance report, the trust experienced net monthly interest shortfalls totaling $1.0 million. These interest shortfalls were primarily related to appraisal subordinate entitlement reductions of $840,228, special servicing and workout fees of $137,542, reimbursement for interest on advances of $1,453, and an interest adjustment of $20,813. The affirmation of the principal and interest certificates reflects S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current outstanding ratings. The affirmed ratings on these classes also reflects the credit characteristics and performance of the remaining loans, as well as the transaction-level changes. The affirmation of the interest-only (IO) certificates reflects S&P's current criteria for rating IO securities. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Rating Raised ML-CFC Commercial Mortgage Trust 2007-9 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-4 AA (sf) A+ (sf) 37.74 Ratings Lowered ML-CFC Commercial Mortgage Trust 2007-9 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) C CCC-(sf) CCC (sf) 9.25 D D (sf) CCC-(sf) 7.78 E D (sf) CCC-(sf) 6.49 F D (sf) CCC-(sf) 5.21 Ratings Affirmed ML-CFC Commercial Mortgage Trust 2007-9 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 37.74 A-3 AAA (sf) 37.74 A-SB AAA (sf) 37.74 AM BBB-(sf) 23.76 AM-A BBB-(sf) 23.76 AJ B- (sf) 12.00 AJ-A B- (sf) 12.00 B CCC (sf) 10.35 XC AAA (sf) N/A XP AAA (sf) N/A N/A-Not applicable. MORTGAGE ASSET 2003-2: Fitch Cuts Rating on Class 30-5 Bonds to D ----------------------------------------------------------------- Fitch Ratings has affirmed 16 and downgraded 2 classes of Mortgage Asset Securitization Transactions, Inc. (MASTR) 2003-2, a prime U.S. RMBS transaction, as follows: -- Class 1-A1 (Cusip 55265KRL5) affirmed at 'AAsf'; Outlook Negative; -- Class 2-A1 (Cusip 55265KRN1) affirmed at 'AAsf'; Outlook Negative; -- Class 2-A3 (Cusip 55265KRQ4) affirmed at 'AAsf'; Outlook Negative; -- Class 2-A6 (Cusip 55265KRT8) affirmed at 'AAsf'; Outlook Negative; -- Class 2-A7 (Cusip 55265KRU5) affirmed at 'AAsf'; Outlook Negative; -- Class 2-A10 (Cusip 55265KRX9) affirmed at 'AAsf'; Outlook Negative; -- Class 3-A5 (Cusip 55265KSG5) affirmed at 'BBBsf'; Outlook Negative; -- Class 3-A11 (Cusip 55265KSN0) affirmed at 'BBBsf'; Outlook Negative; -- Class 3-A13 (Cusip 55265KSQ3) affirmed at 'BBBsf'; Outlook Negative; -- Class 3-A14 (Cusip 55265KSR1) affirmed at 'BBBsf'; Outlook Negative; -- Class 1-PO (Cusip 55265KST7) affirmed at 'BBBsf'; Outlook Negative; -- Class 3-PO (Cusip 55265KST7) affirmed at 'BBBsf'; Outlook Negative; -- Class 15-B5 (Cusip 55265KTB5) affirmed at 'Csf/RE 100%'; -- Class 30-B1 (Cusip 55265KSX8) affirmed at 'BBBsf'; Outlook Negative; -- Class 30-B2 (Cusip 55265KSY6) affirmed at 'BBsf'; Outlook Stable; -- Class 30-B3 (Cusip 55265KSZ3) affirmed at 'Bsf'; Outlook revised to Stable from Positive; -- Class 30-B4 (Cusip 55265KTD1) downgraded to 'CCCsf/RE 100%' from 'Bsf'; -- Class 30-B5 (Cusip 55265KTE9) downgraded to 'Dsf/RE 80%' from 'Bsf. Key Rating Drivers The negative rating actions were caused by a principal loss that occurred in June 2013. The 2.129% loss was the result of one loan that liquidated at an 81.3% severity in Pool 3. Pools 1 and 2 were not impacted by this loss. Rating Sensitivities: The probability of default (PD) and loss severity (LS) were determined by Fitch's prime loss model and were adjusted for pool specific performance. Once Fitch determines the base case assumptions, the stressed assumptions are determined using Fitch's loss model PD and severity multiples. This in turn determines Fitch's expected losses in the 'Bsf-AAAsf' stresses. In addition to increasing losses at each rating category to reflect increasingly stressful economic environments, Fitch analyzes various loss-timing, prepayment, loan modification, servicer advancing, and interest rate scenarios as part of the cash flow analysis. Each class is analyzed with 43 different combinations of loss, prepayment and interest rate projections. The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less-likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario. Classes currently rated below 'Bsf' are at-risk to default at some point in the future. As default becomes more imminent, bonds currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and eventually 'Dsf'. The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices nationally to decline further before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch. PPLUS TRUST SPR-1: Moody's Hikes Rating on $42.5MM Certs to 'B1' ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating of the following certificates issued by PPLUS Trust Series SPR-1: $42,515,000 PPLUS Trust Series SPR-1 7.00% Trust Certificates, Upgraded to B1; previously on April 16, 2013 B3 Placed Under Review Direction Uncertain Ratings Rationale: The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $43,297,000 6.875% Notes due 2028 issued by Sprint Capital Corporation which was upgraded to B1 by Moody's on July 19, 2013. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Moody's conducted no additional cash flow analysis or stress scenarios because the rating is a pass-through of the rating of the underlying security. Moody's says that the underlying securities are subject to a high level of macroeconomic uncertainty, which is manifest in uncertain credit conditions across the general economy. Because these conditions could negatively affect the rating on the underlying securities, they could also negatively impact the rating on the certificate. RED RIVER: Moody's Hikes Rating on Class E Notes to 'Ba3' --------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Red River CLO, Ltd.: $657,000,000 Class A Floating Rate Senior Secured Extendable Notes Due July 27, 2018 (current outstanding balance of $567,882,854.90), Upgraded to Aaa (sf); previously on September 26, 2011 Upgraded to Aa1 (sf); $45,000,000 Class B Floating Rate Senior Secured Extendable Notes Due July 27, 2018, Upgraded to Aa1 (sf); previously on September 26, 2011 Upgraded to A2 (sf); $40,500,000 Class C Floating Rate Senior Secured Deferrable Interest Extendable Notes Due July 27, 2018, Upgraded to A1 (sf); previously on September 26, 2011 Upgraded to Ba1 (sf); $45,000,000 Class D Floating Rate Senior Secured Deferrable Interest Extendable Notes Due July 27, 2018, Upgraded to Ba1 (sf); previously on September 26, 2011 Upgraded to Caa1 (sf); $31,500,000 Class E Floating Rate Senior Secured Deferrable Interest Extendable Notes Due July 27, 2018 (current outstanding balance of $26,342,207.08), Upgraded to Ba3 (sf); previously on September 26, 2011 Upgraded to Caa2(sf). Ratings Rationale: These rating actions primarily reflect a correction in Moody's calculation of the weighted average recovery rate. In previous rating actions, due to incorrect reporting by the trustee, Moody's modeled a weighted average recovery rate that was lower than the correct value. This error has now been corrected, and these rating actions reflect this change. In addition, 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 August 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 a higher weighted average spread of 3.50% compared to the covenant level of 3.05% modeled at the last review. The overcollateralization ratios of the rated notes have also improved since the last review. In particular, the Class E overcollateralization ratio has increased in part due to the diversion of excess interest to deleverage the Class E Notes in the event of a Class E overcollateralization test failure. Since November 2011, $5.2 million of interest proceeds have reduced the outstanding balance of the Class E Notes by 16.4%. Moody's also notes that the Class E Notes are no longer deferring interest and that all previously deferred interest has been paid in full. 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 June 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 5.7% of the underlying portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and 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 $741.4 million, defaulted par of $70.9 million, a weighted average default probability of 17.81% (implying a WARF of 2728), a weighted average recovery rate upon default of 51.13%, and a diversity score of 44. 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. Red River CLO, Ltd., issued in August 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 Global Approach to Rating Collateralized Loan Obligations" published in May 2013. 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 Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. 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% (2182) Class A: 0 Class B: +1 Class C: +3 Class D: +2 Class E: +1 Moody's Adjusted WARF + 20% (3273) Class A: 0 Class B: -2 Class C: -2 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 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. REGIONAL DIVERSIFIED 2004-1: Moody's Ups Ratings on 2 Note Classes ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by Regional Diversified Funding 2004-1 Ltd.: $144,000,000 Class A-1 Floating Rate Senior Notes Due 2034 (current balance of $84,736,727.61), Upgraded to A2 (sf); previously on January 7, 2010 Downgraded to Ba1 (sf); $62,000,000 Class A-2 Floating Rate Senior Notes Due 2034, Upgraded to B1 (sf); previously on April 8, 2011 Downgraded 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 A-1 Notes, an increase in the transaction's overcollateralization ratios as well as the improvement in the credit quality of the underlying portfolio as measured by the weighted average rating factor (WARF). The deleveraging is due to diversion of excess interest after paying interest on the Class A-1 and A-2 Notes, the full par recovery of defaulted assets, and the redemption of performing assets. Moody's notes that the Class A-1 Notes have been paid down by approximately 10.5% or $15.1 million since May 2012, due to diversion of excess interest proceeds and disbursement of principal proceeds from redemptions of underlying assets. As a result of this deleveraging, the Class A-1 notes' par coverage improved t. Based on the latest trustee report dated May 15, 2013, the Senior Principal Coverage Ratio and Senior Subordinate Principal Coverage Ratio are reported at 106.22% (limit 125.00%) and 61.33% (limit 105.57%) respectively, versus the April 30, 2012 levels of 100.10% and 58.20% respectively. Going forward, the Class A-1 notes will continue to benefit from the diversion of excess interest and the proceeds from future redemptions of any assets in the collateral pool. Moody's also notes that the deal benefited from an improvement in the credit quality of the underlying portfolio. Based on Moody's calculation, the weighted average rating factor (WARF) improved to 1155 compared to 2040 as of May 2012. The total par amount that Moody's treated as defaulted or deferring declined to $148.53 million from $166.5 million over the same period. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and 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 of $146.5 million, defaulted/deferring par of $148.527 million, a weighted average default probability of 23.22% (implying a WARF of 1155), Moody's Asset Correlation of 20.34%, and a weighted average recovery rate upon default of 10.00%. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of triggering an Event of Default, recent deal performance under current market conditions, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. Regional Diversified Funding issued on March 3, 2004, is a collateralized debt obligation backed by a portfolio of bank trust preferred securities. The portfolio of this CDO is mainly comprised of trust preferred securities (TruPS) issued by small to medium sized U.S. community banks that are generally not publicly rated by Moody's. To evaluate the credit quality of bank TruPS without public ratings, Moody's uses RiskCalc model, an econometric model developed by Moody's KMV, to derive their credit scores. Moody's evaluation of the credit risk for a majority of bank obligors in the pool relies on FDIC financial data reported as of Q1-2013. Moody's also evaluates the sensitivity of the rated transaction to the volatility of the credit estimates, as described in Moody's Cross Sector Rating Methodology "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009. The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs" published in May 2011. The transaction's portfolio was modeled using CDOROM v.2.8 to develop the default distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model using CDOEdge. Moody's performed a number of sensitivity analyses of the results to certain key factors driving the ratings. Moody's analyzed the sensitivity of the model results to changes in the portfolio WARF (representing an improvement or a deterioration in the credit quality of the collateral pool), assuming that all other factors are held equal. If the WARF is increased by 215 points from the base case of 1155, the model-implied rating of the Class A-1 notes is one notch worse than the base case result. Similarly, if the WARF is decreased by 180 points, the model-implied rating of the Class A-1 notes is one notch better than the base case result. In addition, Moody's also performed two additional sensitivity analyses as described in the Special Comment "Sensitivity Analyses on Deferral Cures and Default Timing for Monitoring TruPS CDOs" published in August 2012. In the first sensitivity analysis, Moody's gave par credit to banks that are deferring interest on their TruPS but satisfy specific credit criteria and thus have a strong likelihood of resuming interest payments. Under this sensitivity analysis, Moody's gave par credit to $13.53 million of bank TruPS. In the second sensitivity analysis, it also ran alternative default-timing profile scenarios to reflect the lower likelihood of a large spike in defaults. Summary of the impact 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: Sensitivity Analysis 1- Par Credit to Certain Deferring Banks: Class A-1: +1 Class A-2: +2 Class B-1: 0 Class B-2: 0 Sensitivity Analysis 2- Alternate Default Timing Profile that assumes less defaults in the first year: Class A-1: +1 Class A-2: +1 Class B-1: 0 Class B-2: 0 Moody's notes that this transaction is still subject to a high level of macroeconomic uncertainty although Moody's outlook on the banking sector has changed to stable from negative. The pace of FDIC bank failures continues to decline in 2013 compared to the last few years, and some of the previously deferring banks have resumed interest payment on their trust preferred securities. RESERVOIR FUNDING: Moody's Cuts Ratings on $133MM of SF CDO Notes ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of the following notes issued by Reservoir Funding Limited: $374,900,000 Class A-1-NV First Priority Senior Non-Voting Floating Rate Notes Due 2040 (current balance of $133,162,625), Downgraded to Ca (sf); previously on August 5, 2010 Downgraded to Caa3 (sf); $100,000 Class A-1-V First Priority Senior Floating Rate Notes Due 2040 (current balance of $35,519), Downgraded to Ca (sf); previously on August 5, 2010 Downgraded to Caa3 (sf). Ratings Rationale: According to Moody's, the rating downgrade is the result of deterioration in the credit quality of the underlying portfolio. Such credit deterioration is observed through numerous factors, including an increase in the WARF and a decrease in the transaction's overcollateralization ratios. Based on the latest trustee report dated June 2013, the WARF of the portfolio has increased to 1628 from 1166 since April 2012. The overcollateralization test is reported at 31.4% versus April 2012 level of 45.9%. Reservoir Funding Limited, issued in October 2004, is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage-Backed Securities (RMBS) originated between 2003 and 2004. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. 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. RESIDENTIAL ASSET 2002-A13: S&P Cuts Rating on Cl. B-1 Secs to B- ----------------------------------------------------------------- Standard & Poor's Ratings Services corrected its rating on Residential Asset Securitization Trust 2002-A13 class PO and lowered it to 'BBB+ (sf)' from 'AA+ (sf)'. In addition, S&P lowered its ratings on two additional classes and affirmed its ratings on five classes from this same transaction. Class PO is a principal-only (PO) certificate, with payments that are dependent on a notional balance tied to discount loans from this transaction. On Jan. 30, 2013, due to an error, S&P incorrectly lowered its rating on this class from 'AAA (sf)/Watch Neg' to 'AA+ (sf)'instead of 'A+ (sf)'. The rating on this class would generally match the rating of the lowest rated senior class ('A+ (sf)' at that time) in the same structure. S&P is now correcting this rating and lowering it to 'BBB+ (sf)' based on the June 2013 performance information. "The downgrades reflect our view that the projected credit enhancement will be insufficient to cover projected losses at the previous rating levels. While the projected losses for this pool of mortgage loans are relatively low, the downgrades reflect the erosion of credit enhancement due to the pay down of the subordinate classes, together with the risk that a liquidation and subsequent loss on one or a small number of the 36 remaining loans may have a disproportionate impact on the remaining credit enhancement," S&P said. The affirmations reflect S&P's view that the projected credit enhancement will be sufficient to cover projected losses at these rating levels. Subordination provides credit support for this transaction. The underlying collateral for this deal consists of alternative-A mortgage loans secured by first liens on one- to four-family residential properties. In accordance with S&P's counterparty criteria, it considered any applicable hedges related to these securities when performing these rating actions. ECONOMIC OUTLOOK When analyzing U.S. residential mortgage-backed securities (RMBS) collateral pools to determine their relative credit quality and the potential impact on rated securities, the degree of remaining losses stems, to a certain extent, from S&P's outlook regarding the behavior of such loans in conjunction with expected economic conditions. Overall, Standard & Poor's baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are as follows: -- S&P's unemployment rate forecast is 7.5% for 2013 and 6.9% for 2014, compared with the actual 8.1% rate in 2012. -- Home prices will increase 11% in 2013, using the 20-city Standard & Poor's/Case-Shiller Home Price Index. -- Real GDP growth will be 2.0% in 2013 and 3.1% in 2014. -- The 30-year mortgage rate will average 3.9% for 2013, and reach slightly higher levels in 2014. -- Inflation will be 1.3% in 2013 and 1.6% in 2014. Overall, S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve mildly. However, if a downside scenario were to occur in the U.S. in line with Standard & Poor's forecast, it believes that the credit quality of U.S. RMBS would weaken. S&P's downside scenario incorporates the following key assumptions: -- Home prices once again decline as a result of higher defaults, additional shadow inventory, and less purchase activity. -- Total unemployment increases modestly in 2013 to 7.7%, but rises to 8.1% in 2014, and job growth would slow to almost zero in 2013 and 2014. -- Downward pressure causes less than 1.5% GDP growth in 2013 and only 0.6% growth in 2014, fueled by increased unemployment levels. -- Thirty-year fixed mortgage rates fall back to 3.5% in 2013 and remain there throughout 2014, but capitalizing on such lower rates could be hampered by limited access to credit and pressure on home prices. 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 CORRECTED Residential Asset Securitization Trust 2002-A13 Series 2002-M --Rating-- Class CUSIP Current 1/30/13 Pre-1/30/13 PO 45660NJG1 BBB+ (sf) AA+ (sf) AAA (sf)/Watch Neg RATINGS LOWERED Residential Asset Securitization Trust 2002-A13 Series 2002-M Rating Class CUSIP To From A-5 45660NJN6 BBB+ (sf) A+ (sf) B-1 45660NJQ9 B- (sf) B+ (sf) RATINGS AFFIRMED Residential Asset Securitization Trust 2002-A13 Series 2002-M Class CUSIP Rating A-4 45660NJM8 AA+ (sf) A-6 45660NJP1 AA+ (sf) A-X 45660NJW6 AA+ (sf) B-2 45660NJR7 CCC (sf) B-3 45660NJS5 CC (sf) RFC CDO 2006-1: Moody's Affirms 'C' Rating on 5 Note Classes ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of two and affirmed the ratings of eight classes of notes issued by RFC CDO 2006-1, Ltd. (f/k/a CBRE Realty Finance CDO 2006-1, LTD.). The upgrades are due to rapid paydown to the Class A-1 notes from unscheduled principal repayment and resolution or sales of certain collaterals since last review. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation and collateralized loan obligation (CRE CDO CLO) transactions. Moody's rating action is as follows: Cl. A-1, Upgraded to Aaa (sf); previously on Aug 22, 2012 Upgraded to Aa2 (sf) Cl. A-2, Upgraded to Baa1 (sf); previously on Aug 22, 2012 Upgraded to Ba1 (sf) Cl. B, Affirmed Caa1 (sf); previously on Oct 5, 2010 Downgraded to Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on Oct 5, 2010 Downgraded to Caa2 (sf) Cl. D, Affirmed Ca (sf); previously on Oct 5, 2010 Downgraded to Ca (sf) Cl. E, Affirmed C (sf); previously on Oct 5, 2010 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Oct 5, 2010 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Oct 5, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Oct 5, 2010 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Oct 5, 2010 Downgraded to C (sf) Ratings Rationale: RFC CDO 2006-1, Ltd. is a static cash transaction backed by a portfolio commercial mortgage backed securities (CMBS) (38.6% of the pool balance), whole loan debt (24.0%), mezzanine debt (19.8%), and B-note debt (17.5%). As of the June 25, 2013 payment date, the aggregate Note balance of the transaction, including preferred shares, has decreased to $237.7 million from $600 million at issuance, with the paydown directed to the Class A-1 notes, as a result of the combination of principal repayment of collateral, resolution and sales of impaired collateral, and the failing of certain par value tests. Currently, the transaction has under-collateralization of $77.6 million (12.9% of original aggregate note balance, compared to 6.9% at last review) primarily due to realized losses on the collateral. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated collateral. Moody's modeled a bottom-dollar WARF of 7,230 compared to 6,388 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (3.1% compared to 0.0% at last review), A1-A3 (0.0% compared to 1.9% at last review), Baa1-Baa3 (4.4% compared to 5.1% at last review), Ba1-Ba3 (16.2% compared to 15.8% at last review), B1-B3 (6.9% compared to 9.8% at last review), and Caa1-Ca/C (69.4% compared to 67.4% at last review). Moody's modeled to a WAL of 2.4 years compared to 3.0 years at last review. The current WAL is based on the assumption about extensions on the underlying collateral. Moody's modeled a fixed WARR of 19.6% compared to 32.7% at last review. Moody's modeled a MAC of 100.0%, compared to 12.4% 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, released on May 16, 2013, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Moody's analysis encompasses the assessment of stress scenarios. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 19.6% to 9.6% or up to 29.6% would result in rating movements on the rated tranches of 0 to 5 notches downward or 0 to 2 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery in the 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 continues to exhibit growth albeit at a slightly slower pace. The multifamily sector should remain stable with moderate growth. Gradual recovery in the office sector continues and will be assisted in the next quarter when absorption is likely to outpace completions. However, since office demand is closely tied to employment, Moody's expects regional employment growth to provide market differentiation. CBD markets continue to outperform secondary suburban markets. The retail sector exhibited a slight reduction in vacancies in the first quarter; the largest drop since 2005. However, consumers continue to be cautious as evidenced by sales growth continuing below historical trends. 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 outlook indicates the global economy has lost momentum over the past quarter as it tries to recover. US GDP growth for 2013 is likely to remain close to 2%, however US sequestration cuts that came into effect in March may create a drag on the positive growth in the US private sector. While the broad economic impact in unclear, the direct effect is likely to shave 0.4% off US GDP growth in 2013. Continuing from the previous quarter, Moody's believes that the three most immediate risks are: i) the risk of an even 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. ROSEVILLE REDEVELOPMENT: Moody's Confirms Ba1 Rating on Tax Bonds ----------------------------------------------------------------- Moody's Investors Service has confirmed the Ba1 rating on the Successor Agency of Roseville Redevelopment Agency's (CA) Tax Allocation Bonds, Series 2006 A, Series 2006 A-T, Series 2006 H-T and Series 2002. The bonds are secured by a pledge of tax increment revenues from the Agency's Roseville Redevelopment Project Area. Rating Rationale: The Ba1 rating reflects the risks and weakness that the dissolution of redevelopment agencies (now known as successor agencies) now adds to bond's credit profile. The primary change is the narrow semi-annual debt service coverage. The semi-annual process exposes the Agency to ongoing uncertainty, since it requires the annual approval by the state to reserve sufficient funds for the subsequent principal and interest payment. Despite this weakness, the tax base benefits from its moderate size, moderate wealth levels of city residents, and Moody's expectation that assessed values will eventually recover and gradually grow from their depressed state. Strengths: - Moderate size of project area - Moderate wealth level of residents - Assessed value expected to eventually recover and gradually grow Challenges: - Narrow semi-annual debt service coverage - Concentrated taxpayers - Tax base has weakened with regional decline of real-estate market What Could Make the Rating Go Up - Significant and sustained increase in assessed valuation with at least two times coverage in both periods - Substantial improvement in wealth levels What Could Make the Rating Go Down - Erosion of semi-annual debt service coverage - Protracted assessed value decline The principal methodology used in this rating was Moody's Analytic Approach to Rating California Tax Allocation Bonds published in December 2003. SANTANDER CONSUMER: Moody's Eyes Upgrade for 34 Tranches -------------------------------------------------------- Moody's Investor Services has placed on review for upgrade 34 tranches and affirmed an additional 17 tranches from 2011 and 2012 vintage securitizations sponsored by Santander Consumer USA Inc. in 2011 and 2012. Complete rating actions are as follows: Issuer: Santander Drive Auto Receivables Trust 2011-1 Cl. A-3, Affirmed Aaa (sf); previously on May 6, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Sep 26, 2012 Upgraded to Aaa (sf) Cl. C, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 26, 2012 Upgraded to Aa1 (sf) Cl. D, A1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 26, 2012 Upgraded to A1 (sf) Cl. E, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Sep 26, 2012 Upgraded to Baa3 (sf) Issuer: Santander Drive Auto Receivables Trust 2011-2 Cl. A-3, Affirmed Aaa (sf); previously on Jun 30, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Sep 26, 2012 Upgraded to Aaa (sf) Cl. C, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 26, 2012 Upgraded to Aa1 (sf) Cl. D, A1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 26, 2012 Upgraded to A1 (sf) Cl. E, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Sep 26, 2012 Upgraded to Baa3 (sf) Issuer: Santander Drive Auto Receivables Trust 2011-3 Cl. A-3, Affirmed Aaa (sf); previously on Sep 21, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2011 Definitive Rating Assigned Aa1 (sf) Cl. C, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2011 Assigned Aa3 (sf) Cl. D, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2011 Definitive Rating Assigned Baa2 (sf) Cl. E, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2011 Definitive Rating Assigned Ba2 (sf) Issuer: Santander Drive Auto Receivables Trust 2011-4 Cl. A-2, Affirmed Aaa (sf); previously on Oct 13, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Oct 13, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 13, 2011 Definitive Rating Assigned Aa1 (sf) Cl. C, A1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 13, 2011 Definitive Rating Assigned A1 (sf) Cl. D, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 13, 2011 Definitive Rating Assigned Baa2 (sf) Cl. E, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 13, 2011 Definitive Rating Assigned Ba2 (sf) Issuer: Santander Drive Auto Receivables Trust 2012-1 Class A-2, Affirmed Aaa (sf); previously on Jan 19, 2012 Definitive Rating Assigned Aaa (sf) Class A-3, Affirmed Aaa (sf); previously on Jan 19, 2012 Definitive Rating Assigned Aaa (sf) Class B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Jan 19, 2012 Definitive Rating Assigned Aa1 (sf) Class C, A1 (sf) Placed Under Review for Possible Upgrade; previously on Jan 19, 2012 Definitive Rating Assigned A1 (sf) Class D, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Jan 19, 2012 Definitive Rating Assigned Baa2 (sf) Class E, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Jan 19, 2012 Definitive Rating Assigned Ba2 (sf) Issuer: Santander Drive Auto Receivables Trust 2012-2 Class A-2, Affirmed Aaa (sf); previously on Mar 23, 2012 Definitive Rating Assigned Aaa (sf) Class A-3, Affirmed Aaa (sf); previously on Mar 23, 2012 Definitive Rating Assigned Aaa (sf) Class B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Mar 23, 2012 Definitive Rating Assigned Aa1 (sf) Class C, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Mar 23, 2012 Definitive Rating Assigned Aa3 (sf) Class D, Baa1 (sf) Placed Under Review for Possible Upgrade; previously on Mar 23, 2012 Assigned Baa1 (sf) Class E, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Mar 23, 2012 Assigned Ba1 (sf) Issuer: Santander Drive Auto Receivables Trust 2012-3 Class A-2, Affirmed Aaa (sf); previously on May 18, 2012 Definitive Rating Assigned Aaa (sf) Class A-3, Affirmed Aaa (sf); previously on May 18, 2012 Definitive Rating Assigned Aaa (sf) Class B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on May 18, 2012 Definitive Rating Assigned Aa1 (sf) Class C, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on May 18, 2012 Definitive Rating Assigned Aa3 (sf) Class D, Baa1 (sf) Placed Under Review for Possible Upgrade; previously on May 18, 2012 Definitive Rating Assigned Baa1 (sf) Class E, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on May 18, 2012 Definitive Rating Assigned Ba1 (sf) Issuer: Santander Drive Auto Receivables Trust 2012-4 Class A-2, Affirmed Aaa (sf); previously on Jul 6, 2012 Definitive Rating Assigned Aaa (sf) Class A-3, Affirmed Aaa (sf); previously on Jul 6, 2012 Definitive Rating Assigned Aaa (sf) Class B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Jul 6, 2012 Definitive Rating Assigned Aa1 (sf) Class C, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Jul 6, 2012 Definitive Rating Assigned Aa3 (sf) Class D, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 6, 2012 Definitive Rating Assigned Baa2 (sf) Class E, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 6, 2012 Definitive Rating Assigned Ba2 (sf) Issuer: Santander Drive Auto Receivables Trust 2012-5 Class A-2, Affirmed Aaa (sf); previously on Aug 15, 2012 Definitive Rating Assigned Aaa (sf) Class A-3, Affirmed Aaa (sf); previously on Aug 15, 2012 Definitive Rating Assigned Aaa (sf) Class B, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Aug 15, 2012 Definitive Rating Assigned Aa1 (sf) Class C, A1 (sf) Placed Under Review for Possible Upgrade; previously on Aug 15, 2012 Definitive Rating Assigned A1 (sf) Class D, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Aug 15, 2012 Definitive Rating Assigned Baa2 (sf) Class E, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Aug 15, 2012 Definitive Rating Assigned Ba1 (sf) Ratings Rationale: The reviews of the 2011 transactions are primarily a result of the build-up of credit enhancement due to the sequential pay structure and non-declining reserve account. The reviews of the 2012 transactions are the result of reduction in the lifetime loss expectations due to stronger performance of the underlying collateral pools than originally expected as well as the build-up of credit enhancement due to the sequential pay structure and non- declining reserve account. The stronger performance is in part due to repurchases of early period defaulted loans by SCUSA, which lowered cumulative net loss levels, as of the March distribution date, by approximately 0.40% to 1.15% of the original balance of the securitized pools. For the trusts to benefit from repurchases, the sponsor must be willing to repurchase them and have the ability to do so, and SCUSA has shown its willingness to repurchase the loans to date. If Santander were no longer able to repurchase the loans, the ABS trust would remain subject to this risk. Key performance metrics (as of the June 2013 distribution date) and credit assumptions for each affected transaction. Credit assumptions include Moody's expected lifetime CNL expected range/loss which is expressed as a percentage of the original pool balance; Moody's lifetime remaining CNL expectation and Moody's Aaa (sf) level which are expressed as a percentage of the current pool balance. The Aaa level is the level of credit enhancement that would be consistent with a Aaa (sf) rating for the given asset pool. Performance metrics include pool factor which is the ratio of the current collateral balance to the original collateral balance at closing; total credit enhancement, which typically consists of subordination, overcollateralization, and a reserve fund; and per annum excess spread. Issuer: Santander Drive Auto Receivables Trust 2011-1 Lifetime CNL expected loss -- 13.00%, prior expectation (Sep 2012) -- 13.00% Lifetime Remaining CNL expectation -- 11.80% Aaa Level -- 40.00% Pool factor -- 38.20% Total credit enhancement (excluding excess spread ): Cl. A -- 96.16%, Cl. B -- 67.36%, Cl. C - 51.65%, Cl. D 28.09%, Cl. E -- 20.24% Excess spread -- Approximately 10.7% per annum Issuer: Santander Drive Auto Receivables Trust 2011-2 Lifetime CNL expected loss -- 13.00%, prior expectation (Sep 2012) -- 13.00% Lifetime Remaining CNL expectation -- 13.31% Aaa Level -- 40.00% Pool factor -- 40.01% Total credit enhancement (excluding excess spread ): Cl. A- 92.48%, Cl. B - 64.99%, Cl. C - 49.99%, Cl. D - 27.50%, Cl. E - 20.00% Excess spread -- Approximately 10.5% per annum Issuer: Santander Drive Auto Receivables Trust 2011-3 Lifetime CNL expected loss -- 11.75%, prior expectation (Sep 2012) -- 11.75% Lifetime Remaining CNL expectation -- 12.83% Aaa Level -- 40.00% Pool factor -- 47.74% Total credit enhancement (excluding excess spread ): Cl. A - 89.35%, Cl. B - 69.46%, Cl. C - 44.32%, Cl. D -- 25.47%, Cl. E - 19.19% Excess spread -- Approximately 10.6% per annum Issuer: Santander Drive Auto Receivables Trust 2011-4 Lifetime CNL expected loss -- 12.00%, prior expectation (Sep 2012) -- 12.00% Lifetime Remaining CNL expectation -- 11.46% Aaa Level -- 40.00% Pool factor -- 54.13% Total credit enhancement (excluding excess spread ): Cl. A - 80.58%, Cl. B - 63.03%, Cl. C - 40.86%, Cl. D - 24.24%, Cl. E - 18.69% Excess spread -- Approximately 10.0% per annum Issuer: Santander Drive Auto Receivables Trust 2012-1 Lifetime CNL expected loss range -- 11.50% - 12.50%, prior expectation (closing) -- 14.00% Aaa Level -- 42.00% Pool factor -- 59.35% Total credit enhancement (excluding excess spread ): Cl. A - 74.82%, Cl. B - 58.81%, Cl. C - 38.59%, Cl. D - 23.42%, Cl. E - 18.37% Excess spread -- Approximately 9.9% per annum Issuer: Santander Drive Auto Receivables Trust 2012-2 Lifetime CNL expected loss range -- 11.50% - 12.50%, prior expectation (closing) -- 15.00% Aaa Level -- 42.00% Pool factor -- 63.95% Total credit enhancement (excluding excess spread ): Cl. A - 70.52%, Cl. B - 55.66%, Cl. C - 36.89%, Cl. D - 24.38%, Cl. E - 18.13% Excess spread -- Approximately 11.9% per annum Issuer: Santander Drive Auto Receivables Trust 2012-3 Lifetime CNL expected loss range -- 11.50% - 12.50%, prior expectation (closing) -- 15.50% Aaa Level -- 42.00% Pool factor -- 69.96% Total credit enhancement (excluding excess spread ): Cl. A - 65.74%, Cl. B -- 52.16%, Cl. C - 35.01%, Cl. D - 22.15%, Cl. E - 17.86% Excess spread -- Approximately 12.9% per annum Issuer: Santander Drive Auto Receivables Trust 2012-4 Lifetime CNL expected loss range -- 11.50% - 12.50%, prior expectation (closing) -- 15.00% Aaa Level -- 42.00% Pool factor -- 73.99% Total credit enhancement (excluding excess spread ): Cl. A - 62.98%, Cl. B -- 50.14%, Cl. C - 33.92%, Cl. D - 21.76%, Cl. E - 17.70% Excess spread -- Approximately 11.8% per annum Issuer: Santander Drive Auto Receivables Trust 2012-5 Lifetime CNL expected loss range -- 11.50% - 12.50%, prior expectation (closing) -- 14.50% Aaa Level -- 42.00% Pool factor -- 78.89% Total credit enhancement (excluding excess spread ): Cl. A - 60.00%, Cl. B -- 46.37%, Cl. C - 31.16%, Cl. D - 21.34%, Cl. E - 17.54% Excess spread -- Approximately 12.1% per annum Ratings on the notes may be downgraded if the lifetime CNL expectation is increased by two times. The principal methodology used in these ratings was "Moody's Approach to Rating Auto Loan-Backed ABS" rating methodology published in May 2013. 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 current macroeconomic environment, in which unemployment continues to remain at elevated levels, and strength in the used vehicle market. Moody's currently views the used vehicle market as much stronger now than it was at the end of 2008 when the uncertainty relating to the economy as well as the future of the U.S auto manufacturers was significantly greater. Overall, Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. SEQUOIA MORTGAGE 2013-10: Fitch Rates Class B-4 Certificates 'BB' ----------------------------------------------------------------- Fitch Ratings expects to rate Sequoia Mortgage Trust 2013-10 (SEMT 2013-10) as follows: -- $371,622,000 class A-1 exchangeable certificate 'AAAsf'; Outlook Stable; -- $185,811,000 class A-2 certificate 'AAAsf'; Outlook Stable; -- $185,811,000 class A-3 certificate 'AAAsf'; Outlook Stable; -- $185,811,000 class A-4 exchangeable certificate 'AAAsf'; Outlook Stable; -- $185,811,000 class A-5 exchangeable certificate 'AAAsf'; Outlook Stable; -- $185,811,000 class A-6 exchangeable certificate 'AAAsf'; Outlook Stable; -- $185,811,000 class A-7 exchangeable certificate 'AAAsf'; Outlook Stable; -- $371,622,000 class A-8 exchangeable certificate 'AAAsf'; Outlook Stable; -- $185,811,000 class A-IO1 notional certificate 'AAAsf'; Outlook Stable; -- $185,811,000 class A-IO2 notional certificate 'AAAsf'; Outlook Stable; -- $185,811,000 class A-IO3 notional certificate 'AAAsf'; Outlook Stable; -- $371,622,000 class A-IO notional certificate 'AAAsf'; Outlook Stable; -- $10,217,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $6,811,000 class B-2 certificates 'Asf'; Outlook Stable; -- $4,608,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $3,205,000 non-offered class B-4 certificates 'BBsf'; Outlook Stable. The $4,208,564 non-offered class B-5 certificates will not be rated by Fitch. Key Rating Drivers High-Quality Mortgage Pool: The collateral pool consists of 30- year fully amortizing, fully documented FRMs to borrowers with strong credit profiles, low leverage, and substantial liquid reserves. Third-party loan-level due diligence was conducted on 99.8% of the pool, and Fitch believes the results of the review generally indicate strong underwriting controls. Originators with Limited Performance History: The majority of the pool was originated by lenders with limited non-agency performance history. 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 (MSAs) is 23.1% and concentration in California is 40.9%, similar to recent SEMT transactions. The agency did not apply a default penalty to the pool due to the low geographic concentration risk. Transaction Provisions Enhance Deal Framework: The representation, warranty and enforcement mechanism framework is viewed positively, as it is consistent with Fitch criteria. As in other recent Fitch- rated SEMT transactions, SEMT 2013-10 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 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 sustainable home price (SHP) model does not project declines in home prices. This region is Dallas-Plano-Irving in Texas (4.3%). Fitch conducted sensitivity analysis assuming sMVDs of 10%, 15%, and 20% compared with those projected by Fitch's SHP model for this region. The sensitivity analysis indicated no impact on ratings for all bonds in each scenario. In its analysis, Fitch considered placing a greater emphasis on recent economic performance in determining market value declines. While Fitch's current loan loss model looks to three years of historical data and one year of projections, this does not incorporate recent notable economic improvement. To reflect the more recent economic environment, a sensitivity analysis was performed using two years of historical economic data and two years of projections. The result of this sensitivity analysis was included in the consideration of the loss expectations for this transaction. This sensitivity analysis resulted in a base sMVD of 13.7%, slightly less than the 14.5% base sMVD projected in the current model. 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 14.5% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. SIERRA TIMESHARE 2013-2: Fitch Rates $36.48MM Class C Notes 'BB' ---------------------------------------------------------------- Fitch Ratings assigns the following ratings to Sierra Timeshare 2013-2 Receivables Funding LLC: -- $226,340,000 class A asset-backed notes 'Asf'; Outlook Stable; -- $62,180,000 class B asset-backed notes 'BBBsf'; Outlook Stable; -- $36,480,000 class C asset-backed notes 'BBsf'; Outlook Stable. Key Rating Drivers Improved Brand Concentration: Approximately 62.6% of Sierra 2013-2 consists of WVRI-originated loans (down from 67.3% in 2013-1), and the remaining 37.4% are WRDC loans. On a like-for-like FICO basis, excluding sub-600 FICO score obligors, WRDC's receivables perform better than WVRI's. Offsetting the improved brand concentration is a slightly negative shift toward borrowers with lower FICO scores. Continued Weak WVRI Performance: Similar to other timeshare originators and other consumer asset types, Wyndham Worldwide delinquency and default performance exhibited notable increases in the 2007-2008 vintages. While more recent vintages are displaying improved performance under the WRDC platform, the improvement is not evident under the WVRI platform. Sufficient CE Structure: Initial hard credit enhancement (CE) is expected to be 34.25%, 15.50%, and 4.50% for the class A, B, and C notes, respectively. Hard CE is composed of overcollateralization, a letter of credit reserve account, and subordination. Soft CE is also provided by excess spread and is expected to be 9.29% per annum. Quality of Origination/Servicing: Wyndham Worldwide has demonstrated sufficient abilities as an originator and servicer of timeshare loans. This is evidenced by the historical delinquency and loss performance of securitized trusts and of the managed portfolio. Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of Wyndham Worldwide and Wyndham Consumer Finance, Inc. (WCF) would not impair the timeliness of payments on the securities. Rating Sensitivities Unanticipated increases in the frequency of defaults could produce cumulative gross default (CGD) levels higher than the base case and would likely result in declines of credit enhancement and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Thus, Fitch conducts sensitivity analysis stressing both a transaction's initial base case CGD and prepayment assumptions by 1.5x and 2.0x and examining the rating implications on all classes of issued notes. The 1.5x and 2.0x increases of the base case CGD and prepayment assumptions represent moderate and severe stresses, respectively, and are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Key Rating Drivers and Rating Sensitivities are further described in the presale report dated July 15, 2013. Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in 'Sierra Timeshare 2013-2 Receivables Funding LLC - Appendix'. This R&W is compared to those of typical R&W for the asset class as detailed in the special report 'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' dated April 17, 2012. SIERRA TIMESHARE 2013-2: S&P Assigns 'BB' Rating to Class C Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Sierra Timeshare 2013-2 Receivables Funding LLC's $325 million vacation timeshare loan-backed notes. The note issuance is an asset-backed securities transaction backed by vacation ownership interval (timeshare) loans. The ratings reflect S&P's view of the credit enhancement available in the form of subordination, overcollateralization, a reserve account, and available excess spread. S&P's ratings also reflect its view of Wyndham Consumer Finance Inc.'s servicing ability and experience in the timeshare market. 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/1663.pdf RATINGS ASSIGNED Sierra Timeshare 2013-2 Receivables Funding LLC Class Rating Amount (mil. $) A A (sf) 226.34 B BBB (sf) 62.18 C BB (sf) 36.48 SPRINT CAPITAL 2004-2: Moody's Hikes Rating on Cl. A-1 Certs to B1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating of the following certificates issued by Structured Repackaged Asset-Backed Trust Securities Trust for Sprint Capital Corporation Securities, Series 2004-2: $38,000,000 6.500% STRATS, Series 2004-2, Class A-1 Certificates, Upgraded to B1; previously on April 16, 2013 B3 Placed Under Review Direction Uncertain Ratings Rationale: The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of $38,000,000 6.875% Notes due 2028 issued by Sprint Capital Corporation, which was upgraded to B1 by Moody's on July 19, 2013. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Moody's conducted no additional cash flow analysis or stress scenarios because the rating is a pass-through of the rating of the underlying security. Moody's says that the underlying securities are subject to a high level of macroeconomic uncertainty, which is manifest in uncertain credit conditions across the general economy. Because these conditions could negatively affect the ratings on the underlying securities, they could also negatively impact the rating on the certificate. SOLSTICE ABS: Moody's Hikes Rating on $225MM Notes to 'Caa3' ------------------------------------------------------------ Moody's Investors Service has upgraded the rating of the following notes issued by Solstice ABS CBO, Ltd.: $225,000,000 Class A First Priority Senior Secured Floating Rate Notes Due 2036 (current outstanding balance of $4,030,434), Upgraded to Caa3 (sf); previously on May 26, 2010 Downgraded to Ca (sf) Ratings Rationale: According to Moody's, the rating action taken on the notes is primarily a result of deleveraging of the Class A notes and an increase in the transaction's overcollateralization ratios. Moody's notes that the Class A Notes have been paid down by approximately $12.2 million or 75% since May 2012. Based on the latest trustee report dated June 28, 2013, the Class A overcollateralization ratio is reported at 338.5% versus April 2012 levels of 118.7%. Notwithstanding benefits of the deleveraging, Moody's notes that the credit quality of the underlying portfolio has deteriorated since April 2012. Based on the June 2013 trustee report, the weighted average rating factor is currently 9150 compared to 8875 in April 2012. Solstice ABS CBO, Ltd., issued in April 2001, is a collateralized debt obligation backed primarily by a portfolio of structured finance securities. According to Moody's, the current portfolio is comprised of 4 performing ABS and MBS assets and 23 assets that are treated as defaulted. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. Due to the deal's lack of granularity, Moody's did not use a cash flow model to analyze the default and recovery properties of the collateral pool. Instead, Moody's analyzed the transaction by assessing the overcollateralization of the rated notes. 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. SOUND POINT CLO II: S&P Affirms 'BB-' Rating to Class B-2L Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Sound Point CLO II Ltd./Sound Point CLO II LLC's $357.5 million fixed- and floating-rate notes following the transaction's effective date as of June 7, 2013. Most U.S. cash flow collateralized debt obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio. An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to S&P by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that S&P assigned on the transaction's closing date. The effective date reports provide a summary of certain information that S&P used in its analysis and the results of its review based on the information presented to S&P. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P added. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Sound Point CLO II Ltd./Sound Point CLO II LLC Class Rating Amount (mil. $) A-1L AAA (sf) 230.50 A-1F AAA (sf) 10.00 A-2L AA (sf) 27.50 A-2F AA (sf) 10.00 A-3L A (sf) 31.50 B-1L BBB (sf) 19.50 B-2L BB- (sf) 19.00 B-3L B (sf) 9.50 STRUCTURED ASSET: Moody's Hikes Ratings on $911MM Subprime RMBS --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 24 tranches from nine transactions, backed by Subprime mortgage loans issued by Structured Asset Securities Corp Trust. Complete rating actions are as follows: Issuer: Structured Asset Securities Corp Trust 2005-NC2 Cl. M2, Upgraded to A1 (sf); previously on Aug 20, 2012 Upgraded to Baa1 (sf) Cl. M3, Upgraded to Baa3 (sf); previously on Aug 20, 2012 Upgraded to B1 (sf) Cl. M4, Upgraded to B3 (sf); previously on Aug 20, 2012 Upgraded to Ca (sf) Cl. M5, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2006-BC6 Cl. A3, Upgraded to A1 (sf); previously on Aug 20, 2012 Upgraded to A3 (sf) Issuer: Structured Asset Securities Corp Trust 2006-WF1 Cl. M1, Upgraded to Baa2 (sf); previously on Aug 20, 2012 Confirmed at Ba3 (sf) Cl. M2, Upgraded to B3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. M3, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to C (sf) Cl. A5, Upgraded to A1 (sf); previously on Apr 12, 2010 Downgraded to A2 (sf) Issuer: Structured Asset Securities Corp Trust 2006-WF3 Cl. A1, Upgraded to Ba2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. A3, Upgraded to Baa3 (sf); previously on Aug 20, 2012 Confirmed at B1 (sf) Cl. A4, Upgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. A5, Upgraded to Ba2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. M1, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2007-BC1 Cl. A3, Upgraded to A1 (sf); previously on Aug 20, 2012 Upgraded to Baa1 (sf) Cl. A4, Upgraded to B3 (sf); previously on Aug 20, 2012 Upgraded to Caa2 (sf) Issuer: Structured Asset Securities Corp Trust 2007-BC2 Cl. A3, Upgraded to Baa3 (sf); previously on Apr 12, 2010 Confirmed at Ba2 (sf) Issuer: Structured Asset Securities Corp Trust 2007-BC3 Cl. 1-A2, Upgraded to Baa2 (sf); previously on Aug 20, 2012 Upgraded to Ba3 (sf) Cl. 1-A3, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Cl. 2-A1, Upgraded to A1 (sf); previously on Aug 20, 2012 Upgraded to A3 (sf) Cl. 2-A2, Upgraded to Baa2 (sf); previously on Aug 20, 2012 Upgraded to Ba2 (sf) Cl. 2-A3, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2007-WF1 Cl. A3, Upgraded to A1 (sf); previously on Aug 20, 2012 Confirmed at Baa1 (sf) Issuer: Structured Asset Securities Corporation Trust 2006-BC5 Cl. A3, Upgraded to A1 (sf); previously on Aug 20, 2012 Confirmed at A3 (sf) Ratings Rationale: The rating actions reflect 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 principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. 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 June 2012 to 7.6% in June 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for 2013. 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. TELOS CLO 2013-4: S&P Assigns Prelim. BB Rating on Class E Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to TELOS CLO 2013-4 Ltd./TELOS CLO 2013-4 LLC's $328.25 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured. The preliminary ratings are based on information as of July 24, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which comprises primarily broadly syndicated speculative-grade senior secured term loans. -- The collateral servicer's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which it 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%-12.53%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees; collateral servicer subordinated and incentive fees; and subordinated note payments into principal proceeds for additional collateral asset purchases 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/1680.pdf PRELIMINARY RATINGS ASSIGNED TELOS CLO 2013-4 Ltd./TELOS CLO 2013-4 LLC Class Rating Amount (mil. $) X AAA (sf) 3.50 A AAA (sf) 214.00 B AA (sf) 46.50 C (deferrable) A (sf) 29.00 D (deferrable) BBB (sf) 19.25 E (deferrable) BB (sf) 16.00 Subordinated notes NR 37.00 NR-Not rated. TRAPEZA CDO IV: Moody's Lifts Rating on $33MM CLO Notes to A2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Trapeza CDO IV, LLC: $145,000,000 Class A1A First Priority Senior Secured Floating Rate Notes due May 2034 (current balance of $20,969,253.36), Upgraded to Aaa (sf); previously on March 27, 2009 Confirmed at Aa3 (sf) $95,000,000 Class A1B Second Priority Senior Secured Floating Rate Notes due May 2034, Upgraded to Aa2 (sf); previously on February 16, 2012 Upgraded to A3 (sf) $33,000,000 Class B Third Priority Senior Secured Floating Rate Notes due May 2034, Upgraded to A2 (sf); previously on February 16, 2012 Upgraded to Ba1 (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the Class A1A Notes, an increase in the transaction's overcollateralization ratios, redemptions of underlying assets and a decreasing likelihood that the deal will experience an event of default. Moody's notes that the Class A1A Notes have been paid down by approximately 66% or $40.2 million since November 2012, due to diversion of excess interest proceeds and disbursement of principal proceeds from redemptions of underlying assets. As a result of this deleveraging, the Class A1A notes' par coverage improved to 855.8% based on Moody's calculation. Based on the latest trustee report dated June 15, 2013, the Class A/B Overcollateralization Test, and Class C/D Overcollateralization Test Ratio are reported at 121.92% (limit 141.50%) and 69.16% (limit 102.00%), respectively, versus November 2012 levels of 114.81%, and 72.35%, respectively. Going forward, the Class A1A notes will continue to benefit from the diversion of excess interest and the proceeds from future redemptions of any assets in the collateral pool. Moody's also notes that improving collateralization levels decreases the likelihood that an event of default will occur because the Class A/B Overcollateralization Test falls below 100%. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and 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 $180.8 million, defaulted/deferring par of $108.7 million, a weighted average default probability of 16.13% (implying a WARF of 719), Moody's Asset Correlation of 21.18%, and a weighted average recovery rate upon default of 10%. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of triggering an Event of Default, recent deal performance under current market conditions, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. Trapeza CDO IV, LLC, issued on October 21, 2003, is a collateralized debt obligation backed by a portfolio of bank trust preferred securities. The portfolio of this CDO is mainly comprised of trust preferred securities (TruPS) issued by small to medium sized U.S. community banks that are generally not publicly rated by Moody's. To evaluate the credit quality of bank TruPS without public ratings, Moody's uses RiskCalc model, an econometric model developed by Moody's KMV, to derive their credit scores. Moody's evaluation of the credit risk for a majority of bank obligors in the pool relies on FDIC financial data reported as of Q1-2013. Moody's also evaluates the sensitivity of the rated transaction to the volatility of the credit estimates, as described in Moody's Cross Sector Rating Methodology "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009. The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs" published in May 2011. The transaction's portfolio was modeled using CDOROM v.2.8.9 to develop the default distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model using CDOEdge. Moody's performed a number of sensitivity analyses of the results to certain key factors driving the ratings. Moody's analyzed the sensitivity of the model results to changes in the portfolio WARF (representing an improvement or a deterioration in the credit quality of the collateral pool), assuming that all other factors are held equal. If the WARF is increased by 308 points from the base case of 719, the model-implied rating of the A1A notes is one notch worse than the base case result. Similarly, if the WARF is decreased by 273 points, the model-implied rating of the A1A notes is one notch better than the base case result. In addition, Moody's also performed two additional sensitivity analyses as described in the Special Comment "Sensitivity Analyses on Deferral Cures and Default Timing for Monitoring TruPS CDOs" published in August 2012. In the first sensitivity analysis, Moody's gave par credit to banks that are deferring interest on their TruPS but satisfy specific credit criteria and thus have a strong likelihood of resuming interest payments. Under this sensitivity analysis, Moody's gave par credit to $37 million of bank TruPS. In the second sensitivity analysis, it also ran alternative default-timing profile scenarios to reflect the lower likelihood of a large spike in defaults. Summary of the impact 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: Sensitivity Analysis 1: Class A1A: +1 Class A1B: +1 Class B: +3 Class C-1: +5 Class C-2: +5 Class D: +0 Sensitivity Analysis 2: Class A1A: +1 Class A1B: +0 Class B: +1 Class C-1: +0 Class C-2: +0 Class D: +0 Moody's notes that this transaction is still subject to a high level of macroeconomic uncertainty although Moody's outlook on the banking sector has changed to stable from negative. The pace of FDIC bank failures continues to decline in 2013 compared to the last few years, and some of the previously deferring banks have resumed interest payment on their trust preferred securities. VENTURE XII: S&P Affirms 'BB' Rating on Class E Notes ----------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Venture XII CLO Ltd./Venture XII CLO Corp.'s $676 million fixed- and floating-rate notes following the transaction's effective date as of April 22, 2013. Most U.S. cash flow collateralized loan obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an "effective date rating affirmation"). An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to S&P by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that S&P assigned on the transaction's closing date. The effective date reports provide a summary of certain information that S&P used in its analysis and the results of its review based on the information presented to S&P. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. In S&P's published effective date report, it discusses its analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, S&P intends to publish an effective date report each time it issues an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Venture XII CLO Ltd./Venture XII CLO Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 475.00 A-X AAA (sf) 10.00 B-1 AA (sf) 55.00 B-2 AA (sf) 15.00 C-1 (deferrable) A (sf) 33.00 C-2 (deferrable) A (sf) 10.00 D (deferrable) BBB (sf) 36.00 E (deferrable) BB (sf) 42.00 WACHOVIA BANK 2006-C28: Moody's Lowers Ratings on 6 CMBS Classes ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of six classes and affirmed 13 classes of Wachovia Bank Commercial Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates, Series 2006-C28 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-PB, Affirmed Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4FL, Affirmed Aaa (sf); previously on Jan 22, 2007 Assigned Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Jan 22, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-M, Downgraded to Baa2 (sf); previously on Jul 27, 2012 Downgraded to Baa1 (sf) Cl. A-J, Downgraded to B3 (sf); previously on Jul 27, 2012 Downgraded to B2 (sf) Cl. B, Downgraded to Caa1 (sf); previously on Jul 27, 2012 Downgraded to B3 (sf) Cl. C, Downgraded to Caa2 (sf); previously on Jul 27, 2012 Downgraded to Caa1 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Jul 27, 2012 Downgraded to Caa2 (sf) Cl. E, Downgraded to C (sf); previously on Jul 27, 2012 Downgraded to Caa3 (sf) Cl. F, Affirmed C (sf); previously on Jul 27, 2012 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Jul 27, 2012 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Nov 19, 2009 Downgraded to C (sf) Cl. IO, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The downgrades are due to higher than anticipated realized and anticipated losses from specially serviced and troubled loans. The affirmations of the investment grade P&I 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. The ratings of the below-investment grade P&I classes are consistent with Moody's expected loss and thus are affirmed. 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 Class IO, the interest-only tranche, is consistent with the weighted average rating factor (WARF) of the referenced tranches and is thus affirmed. Moody's rating action reflects a base expected loss of 13.0% of the current balance compared to 13.4% at Moody's prior full review. Moody's base expected loss plus realized losses is now 13.7% of the original pooled balance compared to 13.1% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit support for the principal classes could decline below their current levels. If future performance materially declines, credit support may be insufficient to support 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 principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. 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 35 compared to 37 at Moody's prior full 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 last review and full transaction review are summarized in press releases dated July 27, 2012. Deal Performance: As of the July 17, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 13% to $3.13 billion from $3.59 billion at securitization. The Certificates are collateralized by 177 mortgage loans ranging in size from less than 1% to 7% of the pool. Forty-four loans, representing approximately 23% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eighteen out of 21 loans have been liquidated from the pool since securitization, resulting in a realized loss of $85.9 million (67% loss severity on average) to the pooled certificates. As of the most recent remittance statement 21 loans, representing 19% of the pool, are in special servicing. The largest specially serviced loan is the Montclair Plaza Loan ($190.0 million -- 6.1% of the pool), which is secured by a 875,085 square foot (SF) regional mall located 33 miles from Los Angeles in Montclair, California. Shadow anchored by Macy's, Sears and Nordstrom, the total mall space consists of 1.19 million SF. The owned collateral space is anchored by JC Penney and there is also a dark anchor space. The loan was transferred to special servicing in January 2010 for monetary default and became real estate owned (REO) in March 2011. As of March 2013, the inline occupancy was 79% excluding temporary tenants (95% including temporary tenants). The trailing 12-month March 2013 in-line sales for tenants less than 10,000 SF were $347 per SF. As of April 2013 comparable store occupancy cost was 21%. The second largest specially serviced loan is the Four Seasons Resorts and Club -- Dallas, TX Loan ($175.0 million -- 5.4% of the pool) which is secured by a 431-room AAA Five Diamond rated hotel located in Irving, Texas. The loan was transferred to special servicing in October 2009 due to imminent payment default due to property-level cash flow problems. Subsequently, foreclosure was filed in April 2010 and the loan became REO in June 2010. As of May 2013, the trailing-12 month occupancy rate and revenue per available room (RevPAR) were 63.1% and $153.38 compared to 61.9% and $144.04 in 2012. The remaining specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $275.3 million loss for 20 specially serviced loans (46% expected loss on average). Moody's has assumed a high default probability for 14 poorly performing loans representing 9% of the pool and has estimated an aggregate $50.3 million loss (18% expected loss on average) from these troubled loans. Based on the most recent remittance statement, Classes E through F have experienced $23.7 million in cumulative interest shortfalls. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, ASERs and extraordinary trust expenses. Excluding specially serviced loans, Moody's was provided with full year 2011 and 2012 operating results for 85% and 89% of the pool's loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 113% compared to 112% at Moody's prior full review. Moody's net cash flow reflects a weighted average haircut of 9% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.25X and 0.94X compared to 1.23X and 0.95X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent approximately 18% of the pool. The largest conduit loan is The Gas Company Tower Loan ($229.0 million -- 7.3% of the pool), which represents a pari passu interest in a $458.0 million first mortgage loan. The loan is secured by a 1.3 million SF Class A office building located in downtown Los Angeles, California. The loan is on the watchlist due to declining occupancy and base rent. The largest tenant, Southern California Gas Company (30% net rentable area (NRA), lease expiration in 10/31/2026), significantly reduced both its space and base rent in November 2011. Additionally, a tenant representing 8% of NRA vacated in November 2011. As of April 2013, the property was 76% leased compared to 82% at last review. The Master Servicer received notification that Morrison & Forrester LLP (11% of the NRA) will vacate the premises when its lease expires in September 2013 and that Sidley Austin (15% of the NRA) will reduce its reduce its foot print by approximately 27,800 SF in December 2013. The loan sponsor is Maguire Properties. Moody's valuation is based on a stabilized cash flow analysis. Moody's LTV and stressed DSCR are 155% and 0.59X, respectively, compared to 167% and 0.57X, at last review. The second largest loan is the 1180 Peachtree Street Loan ($193.9 million -- 6.2% of the pool), which is secured by a 669,711 SF Class A office building located in Atlanta, Georgia. The largest tenant is King & Spalding, which leases 66% of the NRA through March 2021. As of December 2012, the property was 94% leased compared to 92% % at last review. Moody's LTV and stressed DSCR are 120% and 0.81X, compared to 123% and 0.81X at last review. The third largest loan is the 311 South Wacker Drive Loan ($155.6 million -- 5.0% of the pool), which is secured by a 1.3 million square foot Class A office tower located in downtown Chicago, Illinois. The top three tenants include Freeborn & Peters LLP (9% of the NRA; lease expiration in November 2022), Duff & Phelps LLC (6% of the NRA; lease expiration in September 2021) and CB Richard Ellis Inc. (5% of the NRA; lease expiration in November 2014). As of December 2012 the property was approximately 87% leased compared to 90% at last review. Despite the uptick in vacancy, the net operating income rose 6% due to base rent step-ups in 2012. Moody's LTV and stressed DSCR are 97% and 1.10X, respectively, compared to 100% and 0.97X at last review. WELLS FARGO: Moody's Cuts Ratings on 24 Tranches of RMBS -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 24 tranches, upgraded the rating of one tranche, and confirmed the ratings of 18 tranches backed by Prime Jumbo RMBS loans, issued by Wells Fargo. Complete rating actions are as follows: Issuer: Wells Fargo Mortgage Backed Securities 2003-J Trust Cl. II-A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. II-A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. IV-A-1, Confirmed at A1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. IV-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. IV-A-3, Downgraded to Baa3 (sf); previously on Feb 19, 2013 Affirmed Baa1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2003-L Trust Cl. I-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. I-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. I-A-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2004-1 Trust Cl. A-3, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-7, Confirmed at Aa3 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-8, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-10, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-11, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-12, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-13, Confirmed at A1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-14, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-17, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. A-20, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. A-PO, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2004-F Trust Cl. A-4, Downgraded to Ba1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-5, Confirmed at Aa2 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. A-6, Confirmed at Aa1 (sf); previously on Jun 19, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-7, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. A-9, Downgraded to Ba1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-10, Downgraded to Ba1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-11, Downgraded to Ba3 (sf); previously on Dec 4, 2012 Downgraded to Baa1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2005-AR16 Trust Cl. I-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. I-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Confirmed at Baa2 (sf); previously on May 7, 2013 Baa2 (sf) Placed Under Review Direction Uncertain Cl. III-A-1, Confirmed at B3 (sf); previously on May 7, 2013 B3 (sf) Placed Under Review Direction Uncertain Cl. III-A-2, Confirmed at Ba2 (sf); previously on May 7, 2013 Ba2 (sf) Placed Under Review Direction Uncertain Cl. III-A-3, Confirmed at Caa3 (sf); previously on May 7, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. IV-A-2, Confirmed at Caa1 (sf); previously on May 7, 2013 Caa1 (sf) Placed Under Review Direction Uncertain Cl. IV-A-3, Confirmed at Ca (sf); previously on May 7, 2013 Ca (sf) Placed Under Review Direction Uncertain Cl. IV-A-8, Confirmed at Caa2 (sf); previously on May 7, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Cl. V-A-1, Upgraded to Baa3 (sf); previously on May 7, 2013 Ba2 (sf) Placed Under Review Direction Uncertain Cl. VI-A-1, Confirmed at Caa1 (sf); previously on May 7, 2013 Caa1 (sf) Placed Under Review Direction Uncertain Cl. VI-A-2, Confirmed at Ca (sf); previously on May 7, 2013 Ca (sf) Placed Under Review Direction Uncertain Cl. VI-A-3, Confirmed at B3 (sf); previously on May 7, 2013 B3 (sf) Placed Under Review Direction Uncertain Cl. VI-A-4, Confirmed at Ca (sf); previously on May 7, 2013 Ca (sf) Placed Under Review Direction Uncertain Cl. VII-A-1, Confirmed at B1 (sf); previously on May 7, 2013 B1 (sf) Placed Under Review Direction Uncertain Cl. VII-A-2, Confirmed at Ca (sf); previously on May 7, 2013 Ca (sf) Placed Under Review Direction Uncertain 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. In addition, the downgrades reflect the exposure of the affected bonds to tail risk due to the pro-rata pay nature of the transaction. The rating actions for Wells Fargo Mortgage Backed Securities 2005-AR16 Trust also reflect correction of errors in the Structured Finance Workstation (SFW) cash flow model used by Moody's in rating this transaction. In prior rating actions, the calculation of principal payments from cross collateralization to senior bonds in under collateralized groups was incorrect and losses to the subordinate bonds were not correctly applied. This has now been corrected, and these rating actions reflect this change. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in June 2012 to 7.6% in June 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 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. WELLS FARGO 2004-2: Moody's Confirms Ratings on $70.7-Mil. Notes ---------------------------------------------------------------- Moody's Investors Service has confirmed the ratings of four tranches backed by Subprime loans, issued by Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust. Complete rating actions are as follows: Issuer: Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust Cl. AII-1B, Confirmed at Aa3 (sf); previously on Apr 29, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. M-4, Confirmed at Ba2 (sf); previously on Apr 29, 2013 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. M-5, Confirmed at B1 (sf); previously on Apr 29, 2013 B1 (sf) Placed Under Review for Possible Downgrade Cl. M-6, Confirmed at B3 (sf); previously on Apr 29, 2013 B3 (sf) Placed Under Review for Possible Downgrade 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. In addition, the rating actions reflect errors 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 absorb losses on a pro-rata basis. Due to the discovery of these errors, four tranches were place on review for downgrade on April 29, 2013. The errors have now been corrected, and these rating actions reflect that change. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in June 2013. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in June 2012 to 7.6% in June 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 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. * Fitch: No New U.S. CREL CDO Delinquencies in Five Years --------------------------------------------------------- For the first time in five years, there were no new U.S. CREL CDO delinquencies reported, according to the latest index results from Fitch Ratings. The overall rate of CREL CDO late-pays fell to 11.8% last month from 12.7% in May as no new delinquent assets were reported and 15 assets were removed from the Index. The removed assets included ten assets disposed of at losses, two defaulted assets that paid in full, two loans repurchased by asset managers in May, and one matured balloon loan that was recently extended. While one large loan default could swing the CREL CDO delinquency rate back up rather quickly, the decline in late pays in recent months is an encouraging sign for the market. CDO managers reported approximately $55 million in realized principal losses in June from asset disposals. The average loss on these assets, including both loans and securities, was 51%. * Fitch Says Secured Bonds Dominate High Yield Default Mix ---------------------------------------------------------- Secured bonds were the most prevalent in the batch of first-half 2013 defaults, according to Fitch Ratings. A majority (14) of the 19 defaulted issuers carried secured bonds with six of those issuers selling the bonds as recently as 2011 and 2012. Secured bonds produced a weighted average recovery rate of 71.7% versus 59.6% for unsecured issues. However, median recovery rates for secured and unsecured bonds were not vastly different at 65.6% and 61.2%, respectively. The par weighted average recovery rate on high yield defaults through June was 67.3% of par and the median recovery rate was 59.8%. Several sectors had multiple defaults in the first half, including broadcasting and media; energy; gaming, lodging, and restaurants; and healthcare and pharmaceuticals. However, the highest industry default rates were associated with single-issuer defaults with unique challenges. The trailing 12 month U.S. high yield default rate rose modestly to 1.7% at the end of June from 1.6% at the end of March. It is projected to end July at 1.9%. Eleven issuers defaulted on $5.0 billion in bonds in the second quarter, compared with eight issuers and $3.4 billion in the first three months of the year. On a year-over-year basis, the $8.4 billion in defaults through June is shy of the $9.9 billion recorded in first-half 2012. However, July has added $3.1 billion to the 2013 tally versus $0.3 billion last year. The share of 'CCC' bonds trading above par continues to fluctuate with market sentiment and was back up to 63% in late July after falling to 49% in June. However, the group trading at distressed levels - below 80% of par - has shown far less movement. This suggests that for these entities, there was not enough substance in the prospect of Federal Reserve tapering - either on the upside or downside - to greatly alter their immediate outlook. The most recent large default originating from this group was textbook publisher Cengage, which filed for bankruptcy on July 2. The distressed 'CCC' pool is currently $32.5 billion in size. * Moody's Downgrades Ratings on Six Alt-A and Option ARM RMBS ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 6 tranches and upgraded the ratings of 28 tranches backed by Alt-A and Option ARM RMBS loans, issued by 12 RMBS transactions Complete rating actions are as follows: Issuer: Banc of America Alternative Loan Trust 2005-10 Cl. 1-CB-1, Downgraded to Caa2 (sf); previously on Aug 8, 2012 Downgraded to Caa1 (sf) Cl. 1-CB-2, Downgraded to Caa2 (sf); previously on Aug 8, 2012 Downgraded to Caa1 (sf) Cl. 4-A-2, Upgraded to Caa2 (sf); previously on Apr 26, 2010 Downgraded to Caa3 (sf) Cl. 4-A-3, Upgraded to Caa2 (sf); previously on Apr 26, 2010 Downgraded to Caa3 (sf) Cl. 4-A-4, Upgraded to Caa2 (sf); previously on Apr 26, 2010 Downgraded to Caa3 (sf) Issuer: Bear Stearns ALT-A Trust 2005-1 Cl. A-1, Upgraded to Baa1 (sf); previously on Aug 10, 2012 Upgraded to Baa3 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Aug 10, 2012 Upgraded to Ca (sf) Issuer: Bear Stearns ALT-A Trust 2005-2 Cl. I-A-1, Upgraded to Baa1 (sf); previously on Aug 10, 2012 Upgraded to Baa2 (sf) Cl. I-M-1, Upgraded to Caa1 (sf); previously on Aug 10, 2012 Upgraded to Ca (sf) Issuer: Bear Stearns ALT-A Trust 2005-4 Cl. I-A-1, Upgraded to Ba1 (sf); previously on Jul 2, 2010 Downgraded to B1 (sf) Cl. I-A-2, Upgraded to B3 (sf); previously on Aug 10, 2012 Downgraded to Caa3 (sf) Issuer: Bear Stearns ALT-A Trust 2005-5 Cl. I-A-1, Upgraded to Baa3 (sf); previously on Aug 10, 2012 Upgraded to Ba3 (sf) Cl. I-A-3, Upgraded to Baa3 (sf); previously on Aug 10, 2012 Upgraded to Ba3 (sf) Cl. I-A-4, Upgraded to Ba3 (sf); previously on Aug 10, 2012 Upgraded to B3 (sf) Cl. I-M-1, Upgraded to Caa2 (sf); previously on Jul 2, 2010 Downgraded to C (sf) Issuer: Bear Stearns ALT-A Trust 2005-7 Cl. I-1A-1, Upgraded to Ba3 (sf); previously on Aug 10, 2012 Upgraded to B2 (sf) Cl. I-1A-2, Upgraded to Caa3 (sf); previously on Aug 10, 2012 Confirmed at Ca (sf) Cl. I-2A-1, Upgraded to Ba1 (sf); previously on Aug 10, 2012 Upgraded to Ba3 (sf) Cl. I-2A-2, Upgraded to B2 (sf); previously on Aug 10, 2012 Upgraded to Caa1 (sf) Cl. I-2A-3, Upgraded to Caa3 (sf); previously on Aug 10, 2012 Confirmed at Ca (sf) Issuer: ChaseFlex Trust Series 2005-2 Cl. 5-A4, Upgraded to Ba1 (sf); previously on Jun 4, 2010 Downgraded to B3 (sf) Issuer: CHL Mortgage Pass-Through Trust 2005-7 Cl. 1-A-1, Upgraded to Baa3 (sf); previously on Apr 15, 2010 Downgraded to Ba2 (sf) Cl. 1-A-2, Upgraded to Ba3 (sf); previously on Aug 20, 2012 Confirmed at B2 (sf) Issuer: Citigroup Mortgage Loan Trust Series 2005-8 Cl. III-A1, Downgraded to Caa1 (sf); previously on Aug 27, 2012 Downgraded to B3 (sf) Cl. III-XS, Downgraded to Caa1 (sf); previously on Aug 27, 2012 Downgraded to B3 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2005-WF2 Cl. MV-1, Upgraded to A3 (sf); previously on Aug 27, 2012 Upgraded to Baa1 (sf) Cl. MV-2, Upgraded to Ba3 (sf); previously on Aug 27, 2012 Upgraded to Caa1 (sf) Cl. MV-3, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to C (sf) Issuer: CitiMortgage Alternative Loan Trust 2007-A1 Cl. IIA-1, Downgraded to Caa1 (sf); previously on Aug 27, 2012 Confirmed at B3 (sf) Cl. IIA-IO, Downgraded to Caa1 (sf); previously on Dec 14, 2010 Confirmed at B3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-IM1 Cl. A-2, Upgraded to A1 (sf); previously on Aug 27, 2012 Confirmed at A2 (sf) Cl. A-2M, Upgraded to A3 (sf); previously on Aug 27, 2012 Upgraded to Ba1 (sf) Cl. A-3, Upgraded to B2 (sf); previously on Aug 27, 2012 Upgraded to Caa1 (sf) Cl. A-4, Upgraded to B2 (sf); previously on Aug 27, 2012 Upgraded 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 higher expected losses for the bonds than previously anticipated. The upgrades are a result of improved performance of the related pools and/or faster pay-down of the bonds due to high prepayments/faster liquidations. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in May 2012 to 7.6% in May 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 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 Lifts Ratings on $1.6-Bil. of RMBS From 2005-2007 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 46 tranches from 19 transactions, backed by Subprime mortgage loans, issued by various trusts. Complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- ASAP2 Cl. A-1, Upgraded to Baa1 (sf); previously on Aug 2, 2012 Upgraded to Baa2 (sf) Cl. A-2C, Upgraded to Ba3 (sf); previously on Aug 2, 2012 Downgraded to B3 (sf) Cl. A-2D, Upgraded to B1 (sf); previously on Aug 2, 2012 Confirmed at Caa3 (sf) Issuer: Carrington Home Equity Loan Trust, Series 2005-NC4 Cl. A-3, Upgraded to A1 (sf); previously on Aug 21, 2012 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to Baa3 (sf); previously on Aug 21, 2012 Upgraded to B2 (sf) Cl. M-2, Upgraded to B3 (sf); previously on Aug 21, 2012 Confirmed at C (sf) Issuer: Carrington Mortgage Loan Trust, Series 2005-FRE1 Cl. A-6, Upgraded to Ba1 (sf); previously on Aug 21, 2012 Confirmed at Ba3 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2005-NC2 Cl. M-4, Upgraded to B1 (sf); previously on Aug 21, 2012 Confirmed at B2 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Aug 21, 2012 Confirmed at C (sf) Issuer: Carrington Mortgage Loan Trust, Series 2005-NC3 Cl. M-1, Upgraded to A3 (sf); previously on Aug 21, 2012 Confirmed at Baa3 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Aug 21, 2012 Confirmed at Caa1 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Aug 21, 2012 Upgraded to Ca (sf) Issuer: Carrington Mortgage Loan Trust, Series 2005-NC5 Cl. A-2, Upgraded to Baa1 (sf); previously on Aug 21, 2012 Confirmed at Ba1 (sf) Cl. A-3, Upgraded to Baa3 (sf); previously on Aug 21, 2012 Upgraded to B1 (sf) Cl. M-1, Upgraded to B3 (sf); previously on Aug 21, 2012 Confirmed at Ca (sf) Issuer: Carrington Mortgage Loan Trust, Series 2006-OPT1 Cl. A-3, Upgraded to Ba2 (sf); previously on Aug 21, 2012 Confirmed at Ba3 (sf) Cl. A-4, Upgraded to B1 (sf); previously on Aug 21, 2012 Confirmed at B3 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2006-RFC1 Cl. A-4, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2006-HE1 Cl. M-1, Upgraded to Baa2 (sf); previously on Aug 20, 2012 Upgraded to Ba3 (sf) Cl. M-2, Upgraded to B3 (sf); previously on Aug 20, 2012 Upgraded to Caa3 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: Citigroup Mortgage Loan Trust 2006-WFHE4 Cl. A-3, Upgraded to B1 (sf); previously on Aug 20, 2012 Confirmed at B3 (sf) Cl. A-4, Upgraded to B3 (sf); previously on Aug 20, 2012 Confirmed at Caa3 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: Citigroup Mortgage Loan Trust 2007-WFHE1 Cl. A-3, Upgraded to B1 (sf); previously on Aug 20, 2012 Upgraded to B3 (sf) Cl. A-4, Upgraded to B3 (sf); previously on Aug 20, 2012 Confirmed at Caa3 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: Citigroup Mortgage Loan Trust 2007-WFHE2 Cl. A-2, Upgraded to Ba1 (sf); previously on Aug 20, 2012 Confirmed at Ba3 (sf) Cl. A-3, Upgraded to B3 (sf); previously on Aug 20, 2012 Confirmed at Caa3 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Aug 20, 2012 Confirmed at Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2007-WFHE4 Cl. A-1, Upgraded to B1 (sf); previously on Aug 20, 2012 Upgraded to B3 (sf) Cl. A-2B, Upgraded to B3 (sf); previously on Aug 20, 2012 Upgraded to Caa1 (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Aug 20, 2012 Upgraded to Caa3 (sf) Issuer: CSFB Home Equity Asset Trust 2007-1 Cl. 2-A-2, Upgraded to B3 (sf); previously on Aug 20, 2012 Confirmed at Caa3 (sf) Issuer: CSFB Home Equity Asset Trust 2007-2 Cl. 2-A-2, Upgraded to B3 (sf); previously on Aug 20, 2012 Upgraded to Caa2 (sf) Issuer: CSFB Home Equity Asset Trust 2007-3 Cl. 2-A-2, Upgraded to Ba2 (sf); previously on Aug 20, 2012 Upgraded to B1 (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-1 Cl. M-2, Upgraded to A1 (sf); previously on Aug 20, 2012 Upgraded to A2 (sf) Cl. M-3, Upgraded to A2 (sf); previously on Aug 20, 2012 Upgraded to Baa2 (sf) Cl. M-4, Upgraded to Ba3 (sf); previously on Aug 20, 2012 Upgraded to Caa1 (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-2 Cl. M-2, Upgraded to A1 (sf); previously on Aug 20, 2012 Upgraded to A3 (sf) Cl. M-3, Upgraded to A2 (sf); previously on Aug 20, 2012 Upgraded to Baa2 (sf) Cl. M-4, Upgraded to Ba1 (sf); previously on Aug 20, 2012 Upgraded to Ba3 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Aug 20, 2012 Upgraded to Caa3 (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-4 Cl. M-3, Upgraded to A2 (sf); previously on May 5, 2010 Downgraded to A3 (sf) Cl. M-4, Upgraded to Ba1 (sf); previously on Aug 20, 2012 Confirmed at B2 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Caa3 (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 upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds due to high prepayments/faster liquidations. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 7.6% in June 2012 to 8.2% in June 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 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 Lowers Ratings on 64 by Alt-A and Option ARM Loans ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 64 tranches, and confirmed the rating of four tranches from 11 RMBS transactions backed by Alt-A and Option ARM loans, issued by various issuers. Complete rating actions are as follows: Issuer: CWMBS, Inc. Alternative Loan Trust 2002-13 Cl. A-13, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-14, Downgraded to Baa2 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Alternative Loan Trust 2002-14 Cl. A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-5, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass Through Certificates, Series 2003-13 Cl. A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. A-PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2003-16 Cl. A-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-7, Downgraded to Baa2 (sf); previously on Jun 13, 2012 Downgraded to Baa1 (sf) Cl. A-PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2003-33 Cl. A-2, Confirmed at A1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-3, Confirmed at A1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-5, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-6, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-7, Confirmed at A1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-8, Confirmed at A1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-9, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-10, Downgraded to Ba1 (sf); previously on Jun 13, 2012 Downgraded to Baa1 (sf) Cl. A-11, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-12, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-13, Downgraded to Ba1 (sf); previously on Jun 13, 2012 Downgraded to Baa1 (sf) Cl. PO, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: DSLA Mortgage Loan Trust 2004-AR3 Cl. 1-A1A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 1-A1B, Downgraded to Baa3 (sf); previously on Jul 10, 2012 Downgraded to Baa2 (sf) Cl. 2-A1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A2A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A2B, Downgraded to Baa3 (sf); previously on Jul 10, 2012 Downgraded to Baa2 (sf) Issuer: MASTR Alternative Loan Trust 2003-1 Cl. 3-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. PO-1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Alternative Loan Trust 2003-2 Cl. 1-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. 6-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 6-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 6-A-PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 15-PO, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 30-PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Alternative Loan Trust 2004-3 Cl. 1-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 6-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 7-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 8-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 15-PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 30-PO, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Morgan Stanley Mortgage Loan Trust 2004-1 Cl. 1-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-6, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-7, Downgraded to Ba3 (sf); previously on Jul 9, 2012 Downgraded to Baa2 (sf) Cl. 1-A-9, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-10, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-11, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-2, Downgraded to Ba2 (sf); previously on Jul 9, 2012 Downgraded to Baa1 (sf) Cl. 2-A-4, Downgraded to Ba1 (sf); previously on Jul 9, 2012 Downgraded to Baa3 (sf) Underlying Rating: Downgraded to Ba3 (sf); previously on Jul 9, 2012 Downgraded to Baa3 (sf) Financial Guarantor: Radian Asset Assurance Inc. (Affirmed at Ba1 on Feb 27, 2013, Outlook Negative) Cl. 2-A-5, Downgraded to Ba2 (sf); previously on Jul 9, 2012 Downgraded to Baa1 (sf) Cl. 2-A-X, Downgraded to B2 (sf); previously on Jul 9, 2012 Confirmed at Ba3 (sf) Cl. 2-A-P, Downgraded to Ba3 (sf); previously on Jul 9, 2012 Downgraded to Baa3 (sf) Issuer: RALI Series 2001-QS19 Trust Cl. A-2, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-5, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-P, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade 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 reflect the exposure of the affected bonds to tail risk due to the pro-rata pay nature of the transaction. The ratings of these securities are being capped to A3 (sf) or below due to tail risk. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in June 2012 to 7.6% in June 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 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 Ups Ratings on 29 Tranches of Alt-A & Option ARM Loans ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 29 tranches and downgraded the ratings of two tranches from 11 transactions backed by Alt-A and Option ARM loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: GSAA Home Equity Trust 2005-1 Cl. AF-4, Upgraded to A3 (sf); previously on Aug 29, 2012 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to Ba1 (sf); previously on Aug 29, 2012 Upgraded to Ba3 (sf) Issuer: GSAA Home Equity Trust 2005-11 Cl. 2A1, Upgraded to Ba2 (sf); previously on Aug 16, 2012 Upgraded to B1 (sf) Cl. 3A1, Upgraded to Baa2 (sf); previously on Aug 16, 2012 Upgraded to Ba1 (sf) Issuer: GSAA Home Equity Trust 2005-3 Cl. M-1, Upgraded to A3 (sf); previously on Aug 29, 2012 Confirmed at Baa1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Aug 29, 2012 Downgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2005-4 Cl. A-3, Upgraded to A2 (sf); previously on Aug 16, 2012 Upgraded to A3 (sf) Cl. A-4, Upgraded to Baa2 (sf); previously on Aug 16, 2012 Upgraded to Ba2 (sf) Cl. A-6, Upgraded to Baa2 (sf); previously on Aug 16, 2012 Upgraded to Ba2 (sf) Cl. M-1, Upgraded to B3 (sf); previously on Aug 16, 2012 Upgraded to Caa2 (sf) Issuer: GSAA Home Equity Trust 2005-6 Cl. A-3, Upgraded to Baa2 (sf); previously on Aug 16, 2012 Upgraded to Ba2 (sf) Cl. M-1, Upgraded to Caa2 (sf); previously on Aug 16, 2012 Upgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2005-8 Cl. A-3, Upgraded to Ba3 (sf); previously on Aug 16, 2012 Upgraded to B3 (sf) Cl. A-4, Upgraded to Baa1 (sf); previously on Jul 18, 2011 Upgraded to Baa3 (sf) Cl. A-5, Upgraded to B3 (sf); previously on Aug 16, 2012 Upgraded to Caa2 (sf) Issuer: GSAA Home Equity Trust 2005-9 Cl. 1A1, Upgraded to A2 (sf); previously on Aug 16, 2012 Upgraded to Baa1 (sf) Cl. 1A2, Upgraded to B1 (sf); previously on Aug 16, 2012 Upgraded to B3 (sf) Cl. 2A3, Upgraded to Baa3 (sf); previously on Aug 16, 2012 Upgraded to Ba2 (sf) Cl. 2A4, Upgraded to B1 (sf); previously on Aug 16, 2012 Upgraded to B3 (sf) Issuer: GSAA Home Equity Trust 2005-MTR1 Cl. A-2, Upgraded to A2 (sf); previously on Aug 16, 2012 Upgraded to Baa2 (sf) Cl. A-3, Upgraded to Ba3 (sf); previously on Aug 16, 2012 Upgraded to Caa1 (sf) Cl. A-4, Upgraded to B1 (sf); previously on Aug 16, 2012 Upgraded to B3 (sf) Cl. A-5, Upgraded to Ca (sf); previously on May 11, 2010 Downgraded to C (sf) Issuer: GSAA Home Equity Trust 2006-7 Cl. AF-5A, Downgraded to B2 (sf); previously on Aug 23, 2012 Upgraded to Ba3 (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX1 Cl. A-2, Downgraded to Ba2 (sf); previously on Aug 29, 2012 Upgraded to Baa3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2005-A8 Cl. A-1A, Upgraded to A1 (sf); previously on Apr 1, 2010 Downgraded to A3 (sf) Cl. A-1B2, Upgraded to A1 (sf); previously on Apr 1, 2010 Downgraded to A3 (sf) Cl. A-1B4, Upgraded to A1 (sf); previously on Apr 1, 2010 Downgraded to A3 (sf) Cl. A-1C1, Upgraded to Aa3 (sf); previously on Apr 1, 2010 Downgraded to A3 (sf) Cl. A-2A, Upgraded to B3 (sf); previously on Aug 27, 2012 Confirmed at Caa1 (sf) Cl. A-2B2, Upgraded to Caa3 (sf); previously on Apr 1, 2010 Downgraded to Ca (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 upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in June 2012 to 7.6% in June 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 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 Ups Ratings on 22 Alt-A RMBS Tranches From 2005-2006 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 22 tranches and downgraded the rating of one tranche from ten transactions backed by Alt-A loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: CSFB Adjustable Rate Mortgage Trust 2005-3 Cl. 8-M-1, Upgraded to Caa3 (sf); previously on May 4, 2010 Downgraded to Ca (sf) Cl. 8-A-2, Upgraded to A1 (sf); previously on Aug 8, 2012 Upgraded to A2 (sf) Cl. 8-A-3-2, Upgraded to A1 (sf); previously on Aug 8, 2012 Upgraded to A2 (sf) Cl. 8-A-4, Upgraded to A2 (sf); previously on Aug 8, 2012 Upgraded to Baa1 (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2005-4 Cl. 4-A-1, Downgraded to Caa1 (sf); previously on May 4, 2010 Downgraded to B3 (sf) Cl. 7-A-1-2, Upgraded to Baa1 (sf); previously on Aug 8, 2012 Upgraded to Baa3 (sf) Cl. 7-A-4, Upgraded to A3 (sf); previously on Aug 8, 2012 Upgraded to Baa1 (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2005-5 Cl. 6-A-1-2, Upgraded to Baa2 (sf); previously on Aug 8, 2012 Upgraded to Ba1 (sf) Cl. 6-A-2-1, Upgraded to A3 (sf); previously on Aug 8, 2012 Upgraded to Baa1 (sf) Cl. 6-A-2-2, Upgraded to Baa2 (sf); previously on Aug 8, 2012 Upgraded to Ba1 (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2005-8 Cl. 7-A-2, Upgraded to Caa1 (sf); previously on Aug 8, 2012 Confirmed at Caa3 (sf) Cl. 7-A-3-2, Upgraded to Caa1 (sf); previously on Aug 8, 2012 Upgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2005-1 Cl. 1-A3, Upgraded to A2 (sf); previously on Aug 20, 2012 Upgraded to A3 (sf) Cl. 1-A4, Upgraded to A3 (sf); previously on Aug 20, 2012 Upgraded to Baa2 (sf) Cl. 2-A1, Upgraded to Baa1 (sf); previously on Aug 20, 2012 Upgraded to Ba1 (sf) Cl. 2-A2, Upgraded to Ba1 (sf); previously on Aug 20, 2012 Upgraded to B1 (sf) Issuer: Lehman XS Trust Series 2005-3 Cl. 1-A3, Upgraded to Baa1 (sf); previously on Aug 20, 2012 Upgraded to Baa3 (sf) Cl. 1-A4, Upgraded to Ba1 (sf); previously on Aug 20, 2012 Upgraded to Ba3 (sf) Issuer: Lehman XS Trust Series 2005-4 Cl. 1-A3, Upgraded to Ba3 (sf); previously on Aug 20, 2012 Upgraded to B2 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-10 Cl. A1, Upgraded to A1 (sf); previously on Aug 27, 2012 Upgraded to A3 (sf) Cl. A2, Upgraded to A3 (sf); previously on Aug 27, 2012 Upgraded to Baa1 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-3XS Cl. M1, Upgraded to Baa1 (sf); previously on Aug 27, 2012 Upgraded to Baa3 (sf) Issuer: Structured Asset Securities Corp Trust 2005-9XS Cl. 1-A3C, Upgraded to B3 (sf); previously on Aug 27, 2012 Upgraded 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 upgrades are a result of improved performance of the related pools and/or faster pay-down of the related bonds. The downgrade on Class 4-A-1 issued by CSFB Adjustable Rate Mortgage Trust 2005-4 to Caa1 is due to higher expected losses on the bond. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in June 2012 to 7.6% in June 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 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 $1.26-Bil of Prime Jumbo RMBS ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 112 tranches and confirmed the rating of one tranche backed by Prime Jumbo RMBS loans, issued by various issuers. Complete rating actions are as follows: Issuer: ABN AMRO Mortgage Corporation, Multi-Class Mortgage Pass- Through Certificates, Series 2003-6 Cl. IA-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. IA-26, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. IA-27, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. IA-28, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. IA-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. IIA-2, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. IIA-4, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. IIA-8, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. IIA-P, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: ABN AMRO Mortgage Corporation, Series 2003-3 Cl. A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-10, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. A-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2002-12 Cl. I-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. I-B-1, Downgraded to Baa3 (sf); previously on May 18, 2012 Downgraded to Baa1 (sf) Cl. I-A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust, Series 2003-S14 Cl. IA-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. IA-2, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. IA-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. M, Downgraded to Ba3 (sf); previously on Feb 15, 2013 Affirmed Ba1 (sf) Cl. B-1, Downgraded to Caa2 (sf); previously on Feb 15, 2013 Affirmed B2 (sf) Cl. B-2, Downgraded to Ca (sf); previously on Feb 15, 2013 Affirmed Caa2 (sf) Cl. IIA-8, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. IIA-9, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. IIA-10, Downgraded to Baa2 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. IIIA-8, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. IIIA-9, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. IIIA-10, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: First Republic Mortgage Loan Trust 2001-FRB1 Cl. A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Ba2 (sf); previously on Apr 25, 2011 Downgraded to Baa2 (sf) Cl. B-2, Downgraded to Ba3 (sf); previously on Apr 24, 2012 Confirmed at Baa3 (sf) Cl. B-3, Downgraded to B2 (sf); previously on Apr 24, 2012 Confirmed at Ba1 (sf) Cl. B-4, Downgraded to B3 (sf); previously on Apr 24, 2012 Confirmed at Ba2 (sf) Cl. B-5, Downgraded to Caa2 (sf); previously on Apr 24, 2012 Confirmed at B2 (sf) Cl. X, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: First Republic Mortgage Loan Trust 2002-FRB1 Cl. A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Ba1 (sf); previously on Apr 25, 2011 Downgraded to Baa2 (sf) Cl. B-2, Downgraded to Ba3 (sf); previously on Apr 24, 2012 Confirmed at Baa3 (sf) Cl. B-3, Downgraded to B1 (sf); previously on Apr 24, 2012 Confirmed at Ba1 (sf) Cl. B-4, Downgraded to B3 (sf); previously on Apr 24, 2012 Downgraded to B1 (sf) Cl. B-5, Downgraded to Caa2 (sf); previously on Apr 24, 2012 Downgraded to B3 (sf) Cl. X, Downgraded to Baa2 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: GMACM Mortgage Loan Trust 2004-J1 Cl. A-3, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-8, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3, Outlook Positive on May 21, 2013) Cl. A-13, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3, Outlook Positive on May 21, 2013) Cl. A-20, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-21, Downgraded to Ba2 (sf); previously on Feb 15, 2013 Downgraded to Baa2 (sf) Cl. PO, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: GSR Mortgage Loan Trust 2003-13 Cl. 1A1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Adjustable Rate Mortgages Trust 2004-13 Cl. 1-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-2, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-3, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1B, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1C, Downgraded to Baa3 (sf); previously on Apr 28, 2011 Downgraded to Baa1 (sf) Cl. 3-A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-7A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-7B, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-8, Downgraded to Baa2 (sf); previously on Apr 28, 2011 Downgraded to Baa1 (sf) Cl. 3-A-X, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Asset Securitization Trust 2004-1 Cl. 1-A-10, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-11, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-8, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-13, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-18, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-19, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-20, Downgraded to Baa2 (sf); previously on Dec 3, 2012 Downgraded to Baa1 (sf) Cl. 15-PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 30-PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. B-2, Downgraded to Ca (sf); previously on Dec 3, 2012 Downgraded to Caa2 (sf) Issuer: MRFC Mortgage Pass-Through Certificates, Series 2001-TBC1 Cl. A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. B-2, Downgraded to Ba2 (sf); previously on May 2, 2012 Downgraded to Baa3 (sf) Cl. B-3, Downgraded to B1 (sf); previously on May 2, 2012 Downgraded to Ba3 (sf) Issuer: RFMSI Series 2003-S10 Trust Cl. A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. A-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Issuer: Sequoia Mortgage Trust 2003-4 Cl. 1-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. 1-X-1A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 1-X-1B, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 1-X-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 2-M-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 2-X-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade Cl. 2-X-M, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: WaMu Mortgage Pass-Through Certificates, Series 2004-S3 Cl. 1-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-8, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-1, Confirmed at Aa3 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Washington Mutual MSC 2003-MS8 Trust Cl. I-A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3, Outlook Positive on May 21, 2013) Cl. I-A-9, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. I-A-10, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. I-A-11, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. I-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. II-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. II-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade Cl. II-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade 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. In addition, the downgrades reflect the exposure of the affected bonds to tail risk due to the pro-rata pay nature of the transaction. The ratings on these bonds are being capped to A3 or below due to exposure to tail-risk. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in June 2012 to 7.6% in June 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 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. * S&P Raises 6 Ratings on 5 Sprint Capital-Related Deals to 'BB-' ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings to on six classes from five separate Sprint Capital Corp.-related repack transactions to 'BB-' from 'B+'. At the same time, S&P removed the ratings from CreditWatch with developing implications, where it had placed them on April 25, 2013. All of the transactions are pass-through structures. The ratings on the transactions are based on the ratings on one of the following underlying securities. The rating actions follows the raising of S&P's rating on the two underlying securities to 'BB-' and their removal from CreditWatch with developing implications on July 10. S&P may take subsequent rating actions on these transactions due to changes in its rating assigned to the underlying securities. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST COBALTS Trust For Sprint Capital Notes Series 2002-1 $25 million COBALTS trust certificates series 2002-1 (underlying security: Sprint Capital Corp.'s 6.875% notes due Nov. 15, 2028) Rating Rating Class To From Certs BB- B+/Watch Dev Corporate Backed Trust Certificates, Sprint Capital Note-Backed Series 2003-17 $25 million Sprint Capital note-backed series 2003-17 (underlying security: Sprint Capital Corp.'s 6.875% notes due Nov. 15, 2028) Rating Rating Class To From A-1 BB- B+/Watch Dev PPLUS Trust Series SPR-1 $42.515 million trust certificates series SPR-1 (underlying security: Sprint Capital Corp.'s 6.875% notes due Nov. 15, 2028) Rating Rating Class To From Cert BB- B+/Watch Dev Structured Asset Trust Unit Repackagings (SATURNS) Sprint Capital Corporation Debenture Backed Series 2003-2 $30 million callable units series 2003-2 (underlying security: Sprint Capital Corp.'s 8.75% notes due March 15, 2032) Rating Rating Class To From A BB- B+/Watch Dev B BB- B+/Watch Dev Structured Repackaged Asset Backed Trust Securities (STRATS) Trust for Sprint Capital Corp. Securities Series 2004-2 $38 million certificates series 2004-2 (underlying security: Sprint Capital Corp.'s 6.875% notes due Nov. 15, 2028) Rating Rating Class To From A-1 BB- B+/Watch Dev * S&P Lowers 51 Ratings From 117 US RMBS 2nd-Lien Mortgage Loans ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 51 classes from 32 U.S. residential mortgage-backed securities (RMBS) transactions, removing three of them from CreditWatch with developing implications and 25 of them from CreditWatch with negative implications. S&P also raised its ratings on 10 classes from nine transactions, removing six of them from CreditWatch developing and one of them from CreditWatch negative. In addition, S&P affirmed its ratings on 151 classes from 86 transactions, removing 15 of them from CreditWatch developing and 12 of them from CreditWatch negative. The rating actions follows S&P's recently implemented revised criteria for the surveillance of pre-2009 RMBS transactions backed by second-lien mortgage loans, which include closed-end second- lien loans, home equity line of credit (HELOC) loans, and second- lien high-combined loan-to-value (HLTV) loans. S&P reviewed 212 ratings from 117 U.S. RMBS transactions issued between 2000 and 2007 that are backed primarily by adjustable- and fixed-rate closed-end second-lien, HELOC, and second-lien HLTV mortgage loans on one- to four-family residential properties. "On March 29, 2013, we placed our ratings on 62 classes from 30 transactions within this review on CreditWatch negative or developing, along with ratings from another group of RMBS securities backed by second-lien mortgage loans. CreditWatch negative placements accounted for approximately 61% of the total CreditWatch actions, while CreditWatch developing placements totaled approximately 39%. The high number of CreditWatch negative placements reflected our view that the credit support available for the majority of the classes was insufficient to withstand our revised projected losses for their respective rating categories. We completed our review using the new methodology and assumptions, and the rating actions resolve some of the CreditWatch placements; an overview of the CreditWatch resolutions is shown in Table 1," S&P said. Table 1 CreditWatch Action Summary Three or fewer More than three From Affirmations notches notches Up Down Up Down Watch Neg 12 1 14 0 11 Watch Dev 15 2 3 4 0 Table 2 Deals/Structures Reviewed No. deals/ structures Shelf name reviewed ACE Home Equity Loan Trust (ACE) 6/6 American Home Mortgage Assets Trust (AHA) 3/4 Bear Stearns Home Loan Owner Trust (BSL) 1/1 C-BASS Trust (CBS) 2/2 CWHEQ Revolving Home Equity Loan Trust (CWH) 29/42 First Franklin Mortgage Loan Trust (FFM) 7/8 Fieldstone Mortgage Investment Trust (FLD) 1/1 Flagstar Home Equity Loan Trust (FLG) 2/2 GMACM Home Equity Loan Trust (GMH) 6/6 GreenPoint Home Equity Loan Trust (GPH) 6/7 GSAA Home Equity Trust (GSA) 3/3 GSR Trust (GSR) 2/2 HomeBanc Mortgage Trust (HBA) 1/1 Home Equity Mortgage Trust (HMT) 15/17 IndyMac Home Equity Mortgage AB Trust (IND) 6/6 Irwin Home Equity Loan Trust (IRH) 4/5 Lehman ABS Corp. Home Equity Loan Trust (LAB) 2/2 MESA Global Issuance Co. (MES) 1/1 Merrill Lynch Mortgage Investors Trust (MLH) 2/2 MSCC HELOC Trust (MSC) 1/1 MASTR Second Lien Trust (MSN) 1/1 Nomura Asset Acceptance Corp. (NAA) 3/3 Ownit Mortgage Trust (OWM) 1/1 SACO I Trust (SACO) 1/1 Structured Asset Securities Corp. (SAS) 5/5 SBI HELOC Trust (SBI) 1/1 SunTrust Acquisition Closed-End Seconds Trust (STQ) 1/1 Terwin Mortgage Trust (TMT) 4/5 Table 3 Summary of Rating Actions By Shelf Shelf No. IG No. non-IG No. IG to No. down/up name affirmed affirmed non-IG more than three notches ACE 1 6 0 0/0 AHA 0 3 0 0/0 BSL 0 3 0 0/0 CBS 0 2 0 0/0 CWH 5 29 1 2/3 FFM 1 13 1 1/1 FLG 1 3 0 0/0 FMI 0 1 0 0/0 GMH 0 13 0 0/0 GPH 3 4 1 1/2 GSA 0 1 0 0/0 GSR 0 1 0 0/0 HMT 0 8 1 2/0 IND 0 12 0 0/0 IRH 12 0 2 0/0 LAB 0 1 0 0/0 MLH 0 1 0 0/0 MSH 0 0 0 1/0 MSN 0 1 0 0/0 NAA 0 2 0 1/1 OWM 0 2 0 0/0 RFC 4 8 0 0/0 SAC 0 1 0 0/0 SAS 0 3 0 0/0 SBI 1 0 0 0/0 STQ 0 1 0 0/0 TMT 2 2 2 3/0 IG--Investment grade. Of the 51 downgrades, S&P lowered eight ratings out of investment- grade (investment-grade indicates a rating of 'BBB-' or higher), with two ratings remaining at investment-grade after being lowered. The remaining downgraded classes already had speculative-grade ratings (speculative-grade indicates a rating of 'BB+' or lower) before the actions. Senior tranches accounted for 39 of the lowered ratings. The downgrades stemmed primarily from increased loss projections due to longer loss horizons and the roll-rates applied to nondelinquent loans, as well as an increase in our default multiples applied to each rating category, including increased stress multiples applied to ratings 'A (sf)' and above. Despite increased remaining projected losses for a majority of the transactions, S&P raised its ratings on 10 classes from nine transactions and removed six of them from CreditWatch developing and one of them from CreditWatch negative. The upgrades reflect sufficient projected credit enhancement to support projected losses at the respective rating level. Some of these classes are the senior-most tranches outstanding in their respective transactions. Some transactions, especially those from the pre-2005 vintages, are exhibiting better pool performance than others. The upgrades also reflect these transactions' structural mechanics, including situations where cumulative loss triggers embedded in the deals have failed, causing principal to be distributed sequentially, which helps prevent credit support erosion and increases the likelihood that these tranches will receive full principal payments before our projected losses are realized. S&P upgraded other classes because of an extended loss horizon that increases the excess spread available for credit support in S&P's projections. None of the classes in this review were raised higher than 'A+ (sf)'. As specified in the criteria, the ratings for classes in pre-2009 second-lien transactions will generally be limited to 'A+ (sf)', but S&P may assign a rating above 'A+ (sf)' only if the following conditions are present: -- S&P's forward-looking projection at the applicable rating level indicates the security will be paid in full within 12- 24 months, and the transaction benefits from hard credit enhancement (i.e., not including excess spread) that is equal to at least 2x the level of total credit enhancement needed to support a 'AA' or 'AAA' rating for that transaction; or if such a security is projected to be paid in full in less than one year, it would need to have hard credit support equal to at least 1.5x the level of credit enhancement needed to support a 'AA' or 'AAA' rating. -- The collateral pool performance trend is not deteriorating. S&P affirmed its ratings on 151 classes from 86 transactions, including 71 classes rated 'CCC (sf)' or 'CC (sf)'. S&P believes that the projected credit support for these classes will remain insufficient to cover the revised projected losses. Conversely, the affirmations for classes with ratings above 'CCC (sf)' reflects S&P's opinion that the credit support for these classes will remain sufficient to cover the revised projected losses. In line with S&P's counterparty criteria, it considered any applicable hedges related to these securities when performing these rating actions. "Based on our criteria, the collateral pool's total cumulative losses is used to determine its risk score, which in turn is used to determine the default rates applied to the pool's nondelinquent and delinquent loans. Some transactions in this review benefit from a pool policy and/or seller's loss coverage (where the issuer makes payments to the trust fund to the extent of any realized losses on the mortgage loans after liquidation proceeds are applied and any pool policy payments) and have reported cumulative losses that do not fully indicate collateral performance. Therefore, we evaluate these transactions by adding the amounts drawn on each collateral pool's respective pool policy or seller's loss coverage to the reported cumulative loss amounts to determine the collateral pool's actual cumulative losses, which may have resulted in higher risk scores and higher projected default rates," S&P said. Subordination, overcollateralization (when available), and excess interest (as applicable) generally provide credit support for these transactions. Bond insurance might also benefit some classes. In these cases, the long-term rating on the class reflects the higher of the rating on the bond insurer and the underlying credit rating on the security without the benefit of such bond insurance. ECONOMIC OUTLOOK When analyzing U.S. RMBS collateral pools to determine their relative credit quality and the potential impact on rated securities, the degree of remaining losses stems, to a certain extent, from S&P's outlook regarding the behavior of such loans in conjunction with expected economic conditions. Overall, Standard & Poor's baseline macroeconomic outlook assumptions for variables that S&P believes could affect residential mortgage performance are as follows: -- S&P's unemployment rate forecast is 7.5% for 2013 and 6.9% for 2014, compared with the actual 8.1% rate in 2012. -- Home prices will increase 11% in 2013, using the 20-city Standard & Poor's/Case-Shiller Home Price Index. -- Real GDP growth will be 2.0% in 2013 and 3.1% in 2014. -- The 30-year mortgage rate will average 3.9% for 2013 and reach slightly higher levels in 2014. -- Inflation will be 1.3% in 2013 and 1.6% in 2014. Overall, S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve mildly. However, if a downside scenario were to occur in the U.S. in line with Standard & Poor's forecast, S&P believes that the credit quality of U.S. RMBS would weaken. S&P's downside scenario incorporates the following key assumptions: -- Home prices once again decline as a result of higher defaults, additional shadow inventory, and less purchase activity. -- Total unemployment increases modestly in 2013 to 8.6%, but rises to 9% in 2014 and job growth would slow to almost zero in 2013 and 2014. -- Downward pressure causes less than 1% GDP growth in 2013 and 2014, fueled by increased unemployment levels. -- Thirty-year fixed mortgage rates fall below 3% in 2013, but capitalizing on such lower rates could be hampered by limited access to credit and pressure on home prices. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS ACE Securities Corp. Home Equity Loan Trust (Series 2006-ASL1) Series 2006-ASL1 Rating Class CUSIP To From A 00442AAA1 CC (sf) CCC (sf) ACE Securities Corp. Home Equity Loan Trust (Series 2006-SL1) Series 2006-SL1 Rating Class CUSIP To From A 004421VE0 CC (sf) CCC (sf) ACE Securities Corp. Home Equity Loan Trust (Series 2006-SL3) Series 2006-SL3 Rating Class CUSIP To From A-1 004423AA7 CC (sf) CCC (sf) A-2 004423AB5 CC (sf) CCC (sf) American Home Mortgage Investment Trust 2006-2 Series 2006-2 Rating Class CUSIP To From IV-A 02660YAB8 CC (sf) CCC (sf) C-BASS 2006-SL1 Series 2006-SL1 Rating Class CUSIP To From A-1 14983AAA7 CC (sf) CCC (sf) A-2 14983AAB5 CC (sf) CCC (sf) A-3 14983AAC3 CC (sf) CCC (sf) CWABS Master Trust Series 2003-A Rating Class CUSIP To From Notes 126671XC5 BBB- (sf) BBB- (sf)/Watch Dev CWABS Master Trust Series 2003-B Rating Class CUSIP To From Notes 1266719F0 A+ (sf) BBB- (sf)/Watch Dev CWABS Master Trust Series 2003-C Rating Class CUSIP To From Notes 126671YH3 A+ (sf) BBB- (sf)/Watch Dev CWABS Master Trust Series 2003-D Rating Class CUSIP To From Notes 126671ZJ8 A+ (sf) BBB (sf)/Watch Dev CWABS Master Trust Series 2003-E Rating Class CUSIP To From Notes 126671B21 CCC (sf) BBB- (sf)/Watch Neg CWABS Master Trust Series 2004-A Rating Class CUSIP To From Notes 1266712S4 CCC (sf) B (sf)/Watch Neg CWABS Revolving Home Equity Loan Trust (Series 2004-K) Series 2004-K Rating Class CUSIP To From 1-A 126673KF8 CCC (sf) B- (sf)/Watch Neg 2-A 126673KG6 CCC (sf) B (sf)/Watch Neg CWABS Revolving Home Equity Loan Trust (Series 2004-N) Series 2004-N Rating Class CUSIP To From 1-A 126673KM3 CCC (sf) B (sf)/Watch Neg 2-A 126673KN1 CCC (sf) B (sf)/Watch Neg CWABS Revolving Home Equity Loan Trust (Series 2004-D) Series 2004-D Rating Class CUSIP To From 1-A 126673BW1 CCC (sf) B (sf)/Watch Neg 2-A 126673BX9 CCC (sf) B (sf)/Watch Neg CWABS Revolving Home Equity Loan Trust (Series 2004-F) Series 2004-F Rating Class CUSIP To From 1-A 126673BS0 CCC (sf) B (sf)/Watch Neg 2-A 126673BT8 CCC (sf) B (sf)/Watch Neg CWABS Revolving Home Equity Loan Trust (Series 2004-G) Series 2004-G Rating Class CUSIP To From 1-A 126673AS1 CCC (sf) BB (sf)/Watch Neg 2-A 126673AT9 B- (sf) B (sf)/Watch Dev CWHEQ Revolving Home Equity Loan Trust (Series 2007-G) Series 2007-G Rating Class CUSIP To From A 23242JAA6 BBB (sf) BB (sf)/Watch Dev M-1 23242JAB4 BB- (sf) BB- (sf)/Watch Neg M-2 23242JAC2 B- (sf) B (sf)/Watch Neg M-3 23242JAD0 CCC (sf) B- (sf)/Watch Neg M-6 23242JAG3 CC (sf) CCC (sf) First Franklin Mortgage Loan Trust 2003-FFA Series 2003-FFA Rating Class CUSIP To From I-B-1 22541ND48 BBB+ (sf) A+ (sf)/Watch Neg I-B-2 22541NF46 BB+ (sf) A+ (sf)/Watch Neg II-M-2 22541NE62 A+ (sf) A+ (sf)/Watch Neg First Franklin Mortgage Loan Trust 2003-FFB Series 2003-FFB Rating Class CUSIP To From M2 32027NCJ8 BB (sf) BB (sf)/Watch Dev First Franklin Mortgage Loan Trust 2003-FFC Series 2003-FFC Rating Class CUSIP To From M-1 32027NCP4 B+ (sf) CC (sf) GreenPoint Home Equity Loan Trust 2004-2 Series 2004-2 Rating Class CUSIP To From A-1 395385AT4 B+ (sf) CC (sf) A-2 395385AU1 B+ (sf) CC (sf) Greenpoint Mortgage Funding Trust 2005-HE4 Series 2005-HE4 Rating Class CUSIP To From IA-1 39538WDC9 A+ (sf) A+ (sf)/Watch Neg IIA-1a 39538WDD7 A+ (sf) A+ (sf)/Watch Neg IIIA-4c 39538WDG0 A+ (sf) A+ (sf)/Watch Neg M1 39538WDH8 BB- (sf) A+ (sf)/Watch Neg GSAMP Trust 2006-S4 Series 2006-S4 Rating Class CUSIP To From A-1 36244MAA9 CC (sf) CCC (sf) A-2 36244MAB7 CC (sf) CCC (sf) A-3 36244MAC5 CC (sf) CCC (sf) GSAMP Trust 2006-S6 Series 2006-S6 Rating Class CUSIP To From A-1B 36245CAB8 CC (sf) CCC (sf) A-1C 36245CAC6 CC (sf) CCC (sf) A-2 36245CAD4 CC (sf) CCC (sf) A-3 36245CAE2 CC (sf) CCC (sf) GSR Trust 2005-HEL1 Series 2005-HEL1 Rating Class CUSIP To From A-1 362341N39 CC (sf) CCC (sf) Home Equity Loan Trust 2003-HS2 Series 2003-HS2 Rating Class CUSIP To From A-I-4 76110VMS4 A+ (sf) AA+ (sf)/Watch Neg M-I-1 76110VMU9 A+ (sf) A+ (sf)/Watch Neg A-II-A 76110VMX3 BBB+ (sf) BBB+ (sf)/Watch Dev A-II-B 76110VMY1 BBB+ (sf) BBB+ (sf)/Watch Dev VFN BBB+ (sf) BBB+ (sf)/Watch Dev Home Equity Mortgage Loan Asset-Backed Trust Series 2006-A Rating Class CUSIP To From A 43709UAA5 CC (sf) CCC (sf) HomeBanc Mortgage Trust 2007-1 Series 2007-1 Rating Class CUSIP To From II-A 43741BAN9 BB+ (sf) A+ (sf)/Watch Neg II-M-1 43741BAP4 CC (sf) BB- (sf)/Watch Neg IndyMac Residential Asset-Backed Trust (Series 2004-LH1) Series 2004-LH1 Rating Class CUSIP To From A 456606GK2 CCC (sf) B (sf)/Watch Dev Irwin Home Equity Loan Trust 2002-1 Series 2002-1 Rating Class CUSIP To From I A-1 464126BR1 BBB (sf) BBB (sf)/Watch Neg II M-1 464126BU4 A+ (sf) A+ (sf)/Watch Neg II M-2 464126BV2 A (sf) A (sf)/Watch Dev II B-1 464126BW0 BB+ (sf) BBB (sf)/Watch Neg Irwin Home Equity Loan Trust 2003-1 Series 2003-1 Rating Class CUSIP To From M-2 464126CD1 A+ (sf) A (sf)/Watch Dev B-1 464126CE9 BBB (sf) BBB (sf)/Watch Dev B-2 464126CF6 BBB- (sf) BBB- (sf)/Watch Dev Irwin Whole Loan Home Equity Trust 2003-D Series 2003-D Rating Class CUSIP To From M-1 464187BL6 A+ (sf) A+ (sf)/Watch Neg M-2 464187BM4 A (sf) A (sf)/Watch Dev B-1 464187BN2 BBB (sf) BBB (sf)/Watch Dev B-2 464187BP7 BB+ (sf) BBB- (sf)/Watch Dev Irwin Whole Loan Home Equity Trust 2004-A Series 2004-A Rating Class CUSIP To From M-1 464187BV4 A+ (sf) A+ (sf)/Watch Neg M-2 464187BW2 A (sf) A (sf)/Watch Dev B-1 464187BX0 BBB (sf) BBB (sf)/Watch Dev B-2 464187BY8 BBB- (sf) BBB- (sf)/Watch Dev Lehman ABS Corp. Series 2004-2 Rating Class CUSIP To From A 525170BZ8 A+ (sf) A (sf)/Watch Neg Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-A Rating Class CUSIP To From A-2 59025QAB5 CC (sf) CCC (sf) A-3 59025QAC3 CC (sf) CCC (sf) MESA 2002-1 Global Issuance Co. Series 2002-1 Rating Class CUSIP To From B-1 59066RAE7 CC (sf) CCC (sf) MSCC HELOC Trust 2007-1 Series 2007-1 Rating Class CUSIP To From A 55352RAA6 CCC (sf) BB+ (sf)/Watch Neg Nomura Asset Acceptance Corp. Alternative Loan Trust (Series 2005- S2) Series 2005-S2 Rating Class CUSIP To From M-1 65535VLU0 A+ (sf) BB (sf)/Watch Dev Nomura Asset Acceptance Corp. Alternative Loan Trust (Series 2005- S1) Series 2005-S1 Rating Class CUSIP To From M-2 65535VJU3 CCC (sf) BB+ (sf)/Watch Neg SBI Home Equity Loan Trust 2006-1 Series 2006-1 Rating Class CUSIP To From 2A 78402TAE6 AA- (sf) AA- (sf)/Watch Dev Structured Asset Securities Corp. Series 2003-S1 Rating Class CUSIP To From B 86359AV75 BB+ (sf) BB+ (sf)/Watch Dev Structured Asset Securities Corp. Mortgage Loan Trust 2006-S1 Series 2006-S1 Rating Class CUSIP To From A1 86359DXC6 CC (sf) CCC (sf) Structured Asset Securities Corp. Mortgage Loan Trust 2006-S4 Series 2006-S4 Rating Class CUSIP To From A 86363AAA5 CC (sf) CCC (sf) Terwin Mortgage Trust 2004-8HES Series 2004-8HES Rating Class CUSIP To From B-2 881561GH1 B- (sf) BB+ (sf)/Watch Neg Terwin Mortgage Trust 2005-11 Series 2005-11 Rating Class CUSIP To From I-A-1b 881561YB4 A+ (sf) A+ (sf)/Watch Neg I-G 881561YU2 A+ (sf) A+ (sf)/Watch Neg 1-M-1a 881561YD0 CCC (sf) BBB (sf)/Watch Neg II-A-2 881561C69 CCC (sf) A+ (sf)/Watch Neg RATINGS AFFIRMED ACE Securities Corp. Home Equity Loan Trust (Series 2006-SL4) Series 2006-SL4 Class CUSIP Rating A-1 00441WAA4 CC (sf) A-2 00441WAB2 CC (sf) A-3 00441WAC0 CC (sf) ACE Securities Corp. Home Equity Loan Trust (Series 2007-ASL1) Series 2007-ASL1 Class CUSIP Rating A-1 00443MAA4 CC (sf) A-2 00443MAB2 CC (sf) ACE Securities Corp. Home Equity Loan Trust (Series 2007-SL1) Series 2007-SL1 Class CUSIP Rating A-1 00442FAA0 CC (sf) A-2 00442FAB8 AA- (sf) American Home Mortgage Investment Trust 2005-4 Series 2005-4 Class CUSIP Rating II-A 02660TGR8 CCC (sf) American Home Mortgage Investment Trust 2006-2 Series 2006-2 Class CUSIP Rating V-A 02660YAA0 CC (sf) American Home Mortgage Investment Trust 2006-3 Series 2006-3 Class CUSIP Rating IV-A 026929AN9 CC (sf) Bear Stearns Second Lien Trust 2007-SV1 Series 2007-SV1 Class CUSIP Rating A-2 07401UAB9 CCC (sf) A-3 07401UAU7 CCC (sf) M-1 07401UAC7 CC (sf) C-BASS 2007-SL1 Trust Series 2007-SL1 Class CUSIP Rating A-1 1248MKAA3 CC (sf) A-2 1248MKAB1 CC (sf) CWABS Master Trust Series 2004-C Class CUSIP Rating Notes 1266715Y8 CCC (sf) CWABS Master Trust Series 2004-B Class CUSIP Rating 1-A 1266715W2 CCC (sf) 2-A 1266715X0 CC (sf) CWABS Revolving Home Equity Loan Trust (Series 2004-I) Series 2004-I Class CUSIP Rating Notes 126673FH0 B (sf) CWABS Revolving Home Equity Loan Trust (Series 2004-P) Series 2004-P Class CUSIP Rating 1-A 126673LL4 B (sf) 2-A 126673LM2 B (sf) CWABS Revolving Home Equity Loan Trust (Series 2004-S) Series 2004-S Class CUSIP Rating Notes 126673QR6 CC (sf) CWABS Revolving Home Equity Loan Trust (Series 2004-U) Series 2004-U Class CUSIP Rating 1-A Notes 126673VD1 CCC (sf) 2-A Notes 126673VE9 CC (sf) CWHEQ Home Equity Loan Trust (Series 2006-S10) Series 2006-S10 Class CUSIP Rating A-2 12668YAB9 B (sf) A-3 12668YAC7 B (sf) CWHEQ Revolving Home Equity Loan Trust (Series 2005-A) Series 2005-A Class CUSIP Rating 1-A 761545AC6 B (sf) 2-A 761545AD4 B (sf) CWHEQ Revolving Home Equity Loan Trust (Series 2005-B) Series 2005-B Class CUSIP Rating 1-A 126685AA4 CC (sf) 2-A 126685AB2 CC (sf) CWHEQ Revolving Home Equity Loan Trust (Series 2005-E) Series 2005-E Class CUSIP Rating 1-A 126685AG1 B (sf) 2-A 126685AH9 B (sf) CWHEQ Revolving Home Equity Loan Trust (Series 2005-I) Series 2005-I Class CUSIP Rating 1-A 126685AQ9 B (sf) 2-A 126685AR7 B (sf) CWHEQ Revolving Home Equity Loan Trust (Series 2005-L) Series 2005-L Class CUSIP Rating A 126685BA3 CCC (sf) CWHEQ Revolving Home Equity Loan Trust (Series 2005-M) Series 2005-M Class CUSIP Rating A-1 126685BT2 B (sf) A-4 126685BW5 B (sf) CWHEQ Revolving Home Equity Loan Trust (Series 2006-F) Series 2006-F Class CUSIP Rating 1-A 23242LAA1 AA- (sf) 2-A-1A 23242LAB9 AA- (sf) 2-A-1B 23242LAC7 AA- (sf) 3-A 23242LAD5 AA- (sf) CWHEQ Revolving Home Equity Loan Trust (Series 2006-G) Series 2006-G Class CUSIP Rating 1-A 23243JAA5 B (sf) 2-A 23243JAB3 B (sf) CWHEQ Revolving Home Equity Loan Trust (Series 2007-C) Series 2007-C Class CUSIP Rating A 12670CAA5 CC (sf) CWHEQ Revolving Home Equity Loan Trust (Series 2007-E) Series 2007-E Class CUSIP Rating A 12670TAA8 B (sf) CWHEQ Revolving Home Equity Loan Trust (Series 2007-G) Series 2007-G Class CUSIP Rating M-4 23242JAE8 CCC (sf) M-5 23242JAF5 CCC (sf) Fieldstone Mortgage Investment Trust Series 2006-S1 Class CUSIP Rating A 31659XAA4 CC (sf) First Franklin Mortgage Loan Trust 2003-FFA Series 2003-FFA Class CUSIP Rating I-B-3 22541ND55 CCC (sf) First Franklin Mortgage Loan Trust 2006-FFA Series 2006-FFA Class CUSIP Rating A1 318340AA4 CC (sf) A2 318340AB2 CC (sf) A3 318340AC0 CC (sf) A4 318340AD8 CC (sf) First Franklin Mortgage Loan Trust 2006-FFB Series 2006-FFB Class CUSIP Rating A1 32028JAA7 CC (sf) A2 32028JAB5 CC (sf) A3 32028JAC3 CC (sf) A4 32028JAD1 CC (sf) First Franklin Mortgage Loan Trust (Series 2007-FFA) Series 2007-FFA Class CUSIP Rating A-1 32027AAA7 CC (sf) First Franklin Mortgage Loan Trust (Series 2007-FFC) Series 2007-FFC Class CUSIP Rating A-2A 32029HAB8 CC (sf) A-2B 32029HAC6 CC (sf) Flagstar Home Equity Loan Trust 2005-1 Series 2005-1 Class CUSIP Rating Notes 33848DAA6 AA- (sf) Flagstar Home Equity Loan Trust 2007-1 Series 2007-1 Class CUSIP Rating AF-3 33848JAC9 B (sf) AF-4 33848JAD7 B (sf) AF-5 33848JAE5 B (sf) GMACM Home Equity Loan Trust 2000-HE2 Series 2000-HE2 Class CUSIP Rating A-1 361856AN7 B (sf) GMACM Home Equity Loan Trust 2000-HE4 Series 2000-HE4 Class CUSIP Rating A-1 361856AQ0 B (sf) A-2 361856AR8 B (sf) GMACM Home Equity Loan Trust 2002-HE1 Series 2002-HE1 Class CUSIP Rating A-1 361856BT3 CCC (sf) A-2 361856BU0 CCC (sf) GMACM Home Equity Loan Trust 2004-HE4 Series 2004-HE4 Class CUSIP Rating A-3 361856DP9 B (sf) A-2 VPRN 361856DR5 B (sf) GMACM Home Equity Loan Trust 2006-HE4 Series 2006-HE4 Class CUSIP Rating A-1 38012UAA7 B (sf) A-2 38012UAB5 B (sf) A-3 38012UAC3 B (sf) GMACM Home Equity Loan Trust 2007-HE1 Series 2007-HE1 Class CUSIP Rating A-3 36186KAC9 B (sf) A-4 36186KAD7 B (sf) A-5 36186KAE5 B (sf) GreenPoint Home Equity Loan Trust 2004-3 Series 2004-3 Class CUSIP Rating A 395385AW7 CCC (sf) Greenpoint Home Equity Loan Trust 2004-4 Series 2004-4 Class CUSIP Rating A 395385AZ0 CCC (sf) Greenpoint Mortgage Funding Trust 2005-HE3 Series 2005-HE3 Class CUSIP Rating A1 39538WCZ9 CC (sf) Greenpoint Mortgage Funding Trust 2006-HE1 Series 2006-HE1 Class CUSIP Rating Ac 39539BAB9 CC (sf) GSAA Home Equity Trust 2007-S1 Series 2007-S1 Class CUSIP Rating A-1 362246AA8 CC (sf) GSR Trust 2007-HEL1 Series 2007-HEL1 Class CUSIP Rating A 36245HAA9 B (sf) Home Equity Loan Trust 2006-HSA4 Series 2006-HSA4 Class CUSIP Rating A 43709WAA1 B (sf) Home Equity Loan Trust 2006-HSA5 Series 2006-HSA5 Class CUSIP Rating A 437099AA2 B (sf) Home Equity Loan Trust 2007-HSA1 Series 2007-HSA1 Class CUSIP Rating A 43710MAA0 B (sf) Variable F 43710M9A2 B (sf) Home Equity Loan Trust 2007-HSA3 Series 2007-HSA3 Class CUSIP Rating A-I-4 43710WAD2 B (sf) A-I-5 43710WAE0 B (sf) A-I-6 43710WAF7 B (sf) A-II 43710WAG5 B (sf) Home Equity Mortgage Loan Asset Backed Trust (Series INDS 2006-2B) Series 2006-2B Class CUSIP Rating A 43709KAA7 CC (sf) Home Equity Mortgage Loan Asset-Backed Trust (Series INDS 2007-1) Series 2007-1 Class CUSIP Rating A 43708DAA4 B (sf) Home Equity Mortgage Loan Asset-Backed Trust (Series INDS 2006-1) Series 2006-1 Class CUSIP Rating A-3 437089AC9 CC (sf) A-4 437089AD7 CC (sf) A-5 437089AE5 CC (sf) Home Equity Mortgage Loan Asset-Backed Trust (Series INDS 2006-3) Series 2006-3 Class CUSIP Rating A 43709RAA2 CC (sf) Home Equity Mortgage Loan Asset-Backed Trust (Series INDS 2007-2) Series INDS 2007-2 Class CUSIP Rating A 43710CAA2 B (sf) Home Equity Mortgage Trust 2006-2 Series 2006-2 Class CUSIP Rating 2-A1 225470W58 CCC (sf) Home Equity Mortgage Trust 2006-6 Series 2006-6 Class CUSIP Rating 1A-1 43709YAA7 CC (sf) Home Equity Mortgage Trust 2007-1 Series 2007-1 Class CUSIP Rating A-1 43710ABB3 CC (sf) Home Equity Mortgage Trust 2007-2 Series 2007-2 Class CUSIP Rating 2A-1F 43710DAR3 B (sf) 2A-1A 43710DAB8 B (sf) 2A-2 43710DAC6 B (sf) 2A-3 43710DAD4 B (sf) 2A-4 43710DAE2 B (sf) IndyMac Home Equity Loan Trust 2004-2 Series 2004-2 Class CUSIP Rating A 45661AAC6 CCC (sf) IndyMac Home Equity Mortgage Loan Asset-Backed Trust (Series 2006- H4) Series 2006-H4 Class CUSIP Rating Notes 45660JAD6 B (sf) IndyMac Home Equity Mortgage Loan Asset-Backed Trust (Series 2006- H1) Series 2006-H1 Class CUSIP Rating A 456606MZ2 CC (sf) Indymac Home Equity Mortgage Loan Asset-Backed Trust (Series 2006- H2) Series 2006-H2 Class CUSIP Rating A 45661DAA4 CC (sf) IndyMac Home Equity Mortgage Loan Asset-Backed Trust (Series 2006- H3) Series 2006-H3 Class CUSIP Rating A 45664UAA3 CC (sf) Lehman ABS Corp. Home Equity Loan Trust 2005-1 Series 2005-1 Class CUSIP Rating A 525170CG9 CCC (sf) MASTR Second Lien Trust 2006-1 Series 2006-1 Class CUSIP Rating A 57644DAR4 CC (sf) Merrill Lynch Mortgage Investors Trust Series 2006-SL2 Class CUSIP Rating A 59021BAA4 CC (sf) Nomura Asset Acceptance Corp. Alternative Loan Trust (Series 2005- 4) Series 2005-S4 Class CUSIP Rating A-2 65535VQP6 CCC (sf) A-3 65535VQQ4 CCC (sf) Ownit Mortgage Trust 2006-OT1 Series 2006-OT1 Class CUSIP Rating A-1 88156AAA2 CC (sf) A-2 69121YAA2 CC (sf) SACO I Trust 2006-12 Series 2006-12 Class CUSIP Rating II-A 78577NAG3 CC (sf) Structured Asset Securities Corp. Mortgage Loan Trust 2006-S2 Series 2006-S2 Class CUSIP Rating A2 86359FAB8 CCC (sf) Structured Asset Securities Corp. Mortgage Loan Trust 2006-S3 Trust Series 2006-S3 Class CUSIP Rating A 86359WAA3 CCC (sf) SunTrust Acquisition Closed-End Seconds Trust Series 2007-1 Class CUSIP Rating A 86801CAA1 CC (sf) Terwin Mortgage Trust 2004-23HELOC Series 2004-23 Class CUSIP Rating A 881561PM0 CC (sf) Terwin Mortgage Trust 2007-3SL Series 2007-3SL Class CUSIP Rating A-1 88157TAA0 CC (sf) * S&P Takes Various Rating Actions on 6 RMBS Transactions --------------------------------------------------------- Standard & Poor's Ratings Services lowered to 'D (sf)' its rating on Class M-2 from 2004-CB4 Trust, a U.S. residential mortgage- backed securities (RMBS) transaction. In addition, Standard & Poor's placed its ratings on five classes from five additional U.S. RMBS transactions on CreditWatch with negative implications. The downgrade reflects S&P's assessment of the interest shortfalls on the affected class during recent remittance periods. The lowered rating also reflects S&P's view of the magnitude of the interest payment deficiencies (compared with the remaining principal balance owed) that have affected the class to date and the likelihood that certificateholders will be reimbursed for these deficiencies. The CreditWatch placements reflects S&P's assessment of potential interest shortfalls on the affected classes in recent remittance periods being reported by the trustee that would likely negatively affect those ratings. Standard & Poor's is in the process of verifying these possible interest shortfalls and, upon confirmation of the reported data, will adjust the ratings as it considers appropriate according to its criteria. The transactions reviewed are supported by mixed collateral of fixed- and adjustable-rate mortgage loans. A combination of subordination, excess spread, and overcollateralization (where applicable) provide credit enhancement for all of the transactions in this review. 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 LIST Rating Lowered 2004-CB4 Trust Series 2004-CB4 Rating Class CUSIP To From M-2 12489WJS4 D (sf) CCC (sf) Ratings Placed On CreditWatch Negative ACE Securities Corp. Home Equity Loan Trust, Series 2006-SD1 Series 2006-SD1 Rating Class CUSIP To From A-1B 004421XV0 A+ (sf)/Watch Neg A+ (sf) Bear Stearns Asset Backed Securities Trust 2002-1 Series 2002-1 Rating Class CUSIP To From 1-A5 07384YCU8 AAA (sf)/Watch Neg AAA (sf) C-Bass 2007 MX-1 Trust Series 2007 MX-1 Rating Class CUSIP To From A-1 1248MPAA2 BB- (sf)/Watch Neg BB- (sf) First Franklin Mortgage Loan Trust 2005-FF1 Series 2005-FF1 Rating Class CUSIP To From A-1A 32027NQE4 BBB+ (sf)/Watch Neg BBB+ (sf) Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G Series 2004-G Rating Class CUSIP To From B-1 59020UPD1 B (sf)/Watch Neg B (sf) ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, 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 ***