/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/130818.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, August 18, 2013, Vol. 17, No. 228 Headlines AGATE BAY 2013-1: Fitch to Rate $3.47MM Cl. B-4 Certificates 'BB' AJAX TWO: Moody's Affirms 'Caa3' Rating on Class C Notes ALPINE SECURITIZATION: DBRS Confirms Bsf Rating on $22.91MM Debt AMMC CLO VI: Moody's Affirms Ba1 Rating on $35MM Class D Notes APIDOS CDO II: Moody's Raises Rating on Class D Notes to Ba1 ARROWPOINT CLO 2013-1: S&P Affirms 'BB' Rating on Class D Notes ASHFORD CDO I: S&P Raises Rating on Class A-3L Notes to 'BB+' AVENUE CLO II: Moody's Confirms Ba3 Rating on Class B-2L Notes BANC OF AMERICA 2003-2: Fitch Affirms CCC Rating on Class J Certs BANC OF AMERICA 2005-4: Fitch Affirms 'D' Rating on Class L Certs BALLYROCK CLO III: Moody's Ups $45MM Cl. D Notes' Rating From Ba1 BALLYROCK CLO III: S&P Raises Rating on Class D Notes From 'B+' BANC OF AMERICA: Moody's Takes Action on $141-Mil. of RMBS BANK OF AMERICA 2005-6: Moody's Keeps C Ratings on 2 Cert Classes CABELA'S CREDIT: Fitch Rates $9.6MM Class D Notes at 'BB' CAPITAL TRUST 2004-1: Fitch Affirms 'D' Ratings on 5 Cert. Classes CAPITAL TRUST 2005-1: Fitch Affirms 'D' Rating on Class B Trust CARLYLE BRISTOL: Moody's Confirms B1 Rating on Class D Notes CHINO REDEVELOPMENT: Moody's Confirms Ba1 Rating on RDA TABs COMM 2007-C9: Moody's Affirms C Ratings on 7 Debt Classes COMM 2013-300P: Fitch to Rate $28MM Class E Certificates 'BB+' COMMERCIAL MORTGAGE 2007-GG11: S&P Keeps CCC Rating on Cl. B Notes CREDIT SUISSE 2000-C1: S&P Affirms 'B-' Rating on Class H Notes CREST 2001-1: Moody's Affirms Ca Rating on $30MM Class C Notes DAVIS SQUARE IV: Moody's Cuts Rating on $0.6MM Cl. E Notes to Ba1 DENALI CAPITAL: S&P Affirms 'B+' Rating on Class B-2L Notes DEUTSCHE BANK 2011-LC3: Fitch Affirms 'B' Rating on Class F Certs FOUNDERS GROVE: Moody's Affirms 'Ba2' Rating on $27MM Cl. D Notes GANNETT PEAK: S&P Affirms 'B+' Rating on 2 Note Classes GS MORTGAGE 1999-C1: S&P Affirms 'CCC-' Rating on G Certificates GS MORTGAGE 2011-GC3: Moody's Keeps Ratings over Rights Transfer GS MORTGAGE 2012-GC6: Moody's Keeps Ratings After Rights Transfer ICONS LTD: A.M. Best Cuts Rating on 3 Debt Classes to 'bb' IMPAC CMB: Moody's Takes Action on $6.6BB of Alt-A RMBS JP MORGAN 2003-LN1: Moody's Affirms C Ratings on 2 Cert Classes JP MORGAN 2005-A8: Moody's Cuts Ratings on 5 Prime Jumbo RMBS JP MORGAN 2005-LDP5: Fitch Affirms 'C' Ratings on 4 Certificates JP MORGAN 2007-CIBC20: S&P Lowers Rating on Class H Notes to CCC- JP MORGAN 2007-LDP12: S&P Lowers Rating on Class H Notes to 'D' JP MORGAN 2008-C2: Fitch Lowers Rating on 12 Certs. to 'D' LANDMARK VII: Moody's Raises Ratings on $14MM Class B-2L Notes LB-UBS 2001-C3: S&P Lowers Rating on 2 Note Classes to 'D' LEGG MASON I: Moody's Affirms Caa3 Rating on Class G Notes MAPS CLO II: Moody's Corrects and Withdraws B2 and Baa3 Ratings ML-CFC COMMERCIAL 2006-2: Moody's Keeps C Ratings on 6 Securities MORGAN STANLEY 1999-WF1: Moody's Hikes Rating on Cl. N Certs to B2 MORGAN STANLEY 2005-6AR: Moody's Hikes Rating on 8 RMBS Tranches MORGAN STANLEY 2013-C11: Fitch Rates $20.3MM Class G Certs 'B' MT WILSON: S&P Raises Rating on Class E Notes to 'B+' NATIONSTAR HOME 2006-B: Moody's Hikes Cl. AV-4 Debt Rating to Caa1 NORTH END CLO: S&P Assigns 'BB' Rating on Class E Notes NORTHSTAR 2013-1: Moody's Assigns 'P)B3' Rating to Class C Notes OCP CLO 2012-2: S&P Affirms 'BB' Rating on Class E Notes OCTAGON INVESTMENT V: Moody's Hikes Ratings on 4 CLO Note Classes PREFERRED TERM: Moody's Raises Rating on $88MM Notes From 'Ca' PREFERRED TERM IX: Moody's Lifts Ratings on 3 Note Classes to Caa1 REVE SPC XVII: Moody's Raises Rating on $30MM Notes to 'Ba3' RFSMI 2005-S7: Moody's Cuts Ratings on 3 RMBS Tranches RIALTO REAL: Servicing Rights Transfer No Impact on Ratings SANDELMAN REALTY I: Moody's Lifts Ratings on Four Note Classes SDART 2013-A: S&P Assigns Prelim. 'BB+' Rating on Class E Notes SHASTA CLO I: Moody's Affirms Ba2 Rating on $18MM of CLO Notes SOLOMON MORTGAGE 2001-CB4: Amendments No Impact on Moody's Ratings STUDENT LOAN 2007-1: S&P Puts 'B-' Rating on CreditWatch Negative TABERNA PREFERRED III: Ratings Unchanged Following Trustee Switch TRAPEZA CDO VII: Moody's Affirms Ca Ratings on 2 Debt Classes TROPIC CDO II: Moody's Upgrades Rating on $35MM Cl. C Notes to B2 UBS-CITIGROUP 2011-C1: Rights Transfer No Impact on Ratings UBS-CITIGROUP 2012-C1: Rights Transfer No Impact on Ratings VIBRANT CLO II: S&P Assigns Preliminary B Rating on Class E Notes WACHOVIA BANK 2003-C7: Moody's Cuts Rating on X-C Debt to B1 WACHOVIA BANK 2006-C24: Moody's Affirms Ratings on 14 Cert Classes WF-RBS COMMERCIAL 2011-C2: Moody's Keeps B2 Rating on Cl. F Certs WHITEHORSE III: S&P Raises Rating on Class B-2L Notes to BB+ WHITEHORSE VII: S&P Assigns Prelim. BB- Rating on Class B-2L Notes * Fitch Takes Various Actions on 20 Trust Preferred CDOs * Fitch Says Delinquencies and Foreclosures Decreasing * Fitch Says U.S. CMBS Market Metrics Mostly Stable in 2Q * Fitch Downgrades Various Distressed U.S. RMBS Bonds to 'Dsf' * Fitch: Largest Post-Recession Drop for U.S. CMBS Delinquencies * Moody's Lowers Ratings on 63 Alt-A, Option ARM RMBS Tranches * Moody's Takes Action on $544MM of RMBS From Various Issuers * S&P Withdraws Ratings on 79 Classes From 32 CDOs After Paydowns ********* AGATE BAY 2013-1: Fitch to Rate $3.47MM Cl. B-4 Certificates 'BB' ----------------------------------------------------------------- Fitch Ratings expects to rate Agate Bay Mortgage Trust 2013-1 as follows: -- $400,743,000 class A-1 certificates 'AAAsf'; Outlook Stable; -- $400,743,000 class A-IO notional certificates 'AAAsf'; Outlook Stable; -- $10,637,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $8,466,000 class B-2 certificates 'Asf'; Outlook Stable; -- $6,296,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $3,473,000 class B-4 certificates 'BBsf'; Outlook Stable. The $429,476,951 class A-IO-S notional certificate and $4,559,489 class B-5 certificates will not be rated by Fitch. Key Rating Drivers High-Quality Mortgage Pool: The collateral pool consists of 30- year, fixed-rate, fully amortizing loans to borrowers with strong credit profiles, low leverage and substantial liquid reserves. A 69.9% CLTV provides a significant buffer against potential home price declines. Strong borrower quality is reflected in the 770 weighted average (WA) original FICO, $350,747 WA household income and $322,789 WA liquid reserves. Originators with Limited Performance History: A large portion of the pool was originated by lenders with limited non-agency performance history. While the significant contribution of loans from these originators is a concern, Fitch considers the credit enhancement (CE) on this transaction sufficient to mitigate the originator risk. High Geographic Concentration: The pool's primary concentration risk is California, where 46.4% of the properties are located. In addition, the metropolitan areas encompassing San Francisco, San Jose, Oakland and Los Angeles combine for 36.1% of the collateral balance and represent four of the top 10 regions. The regional concentration resulted in an additional penalty of roughly 15% to the pool's lifetime default expectation. Transaction Provisions Enhance Performance: Similar to recent transactions rated by Fitch, ABMT 2013-1 contains binding arbitration provisions that may serve to provide timely resolution to representation (rep) and warranty disputes. In addition, all loans that become 120 days or more delinquent will be automatically reviewed for breaches of reps and warranties. Moderate Due Diligence Findings: Third-party loan-level due diligence was conducted by Clayton Holdings LLC (Clayton) on 100% of the pool. While the review resulted in minimal credit and compliance findings, it identified 19% of the pool in Federal Emergency Management Agency (FEMA) designated disaster areas as part of its property valuation review. Fitch considered these findings as part of its analysis and performed sensitivities adjusting property values to account for potential damage. Limited Operating History: Two Harbors Investment Corp. (Two Harbors) was formed in 2009 and is a publicly held REIT. While management has extensive mortgage industry experience, ABMT 2013-1 is Two Harbors' first securitization using its own depositor. Fitch conducted a conference call with Two Harbors in June 2013 to discuss its organizational structure, conduit strategy, due diligence, and property valuation approaches and methodologies. They have been active as a loan aggregator and investor in both agency and non-agency residential mortgage-backed securities (RMBS). Although the current form of Two Harbor's conduit initiative is relatively new, Fitch did not identify material weaknesses in its discussions with the company. Robust Representation Framework: The representation, warranty and enforcement mechanism (RW&E) framework is viewed positively by the agency as it is consistent with Fitch's criteria. The transaction benefits from life of loan representations and warranties (R&W), as well as a backstop by the sponsor, TH TRS Corp., in case of insolvency of the related originator. The sponsor's repurchase obligations will also be guaranteed by its parent, Two Harbors, for the life of each loan. Seller Interests Aligned with Investors': A Two Harbors affiliate is expected to be the initial subordinate investor in the transaction and, thus, have a direct economic interest in the performance of the transaction. As holder of the first-loss class in the transaction, the controlling holder has an incentive to maintain the credit quality of the asset pool, which would include enforcing the repurchase obligations of the contributing originators on defaulted loans. Rating Sensitivities Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis on areas where the model projected lower home price declines than that of the overall collateral pool. The model currently projects sustainable MVDs (sMVDs) at the MSA level. For one of the top 10 regions, Fitch's SHP model does not project declines in home prices and for another, the projected decline is less than 2%. These regions are Chicago-Joliet-Naperville in Illinois (10.3%) and Dallas-Plano- Irving in Texas (3.3%). 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 14.7% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch's stress and rating sensitivity analysis are discussed in the presale report titled 'Agate Bay Mortgage Trust, Series 2013- 1', dated Aug. 13, 2013. AJAX TWO: Moody's Affirms 'Caa3' Rating on Class C Notes -------------------------------------------------------- Moody's has affirmed the rating of two classes of Notes issued by Ajax Two Limited. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-REMIC) transactions. Moody's rating action is as follows: Class B Floating Rate Deferrable Interest Notes, Due 2032, Affirmed Aaa (sf); previously on Sep 6, 2012 Upgraded to Aaa (sf) Class C Floating Rate Notes, Due 2032, Affirmed Caa3 (sf); previously on Oct 7, 2011 Downgraded to Caa3 (sf) Ratings Rationale: Ajax two Limited is a static cash transaction backed by a portfolio of asset backed securities (53.9% of the pool balance), commercial mortgage backed securities (CMBS) (35.2%) and CRE CDO (10.9%). As of the July 8, 2013 Trustee report, the aggregate Note balance of the transaction, including Preferred Shares and D Combination Note has decreased to $39.8 million from $383.9 million at issuance, with the paydown directed to the senior outstanding classes Class A-1 , Class A-2A, Class A-2B and mezzanine Class B Notes, as a result of the combination of principal repayment of collateral and failing certain par value tests. Currently, the transaction is under-collateralized by $2.9 million, primarily due to realized losses on the collateral. Eight assets with a par balance of $18.3 million (49.5% of the pool balance) were listed as defaulted securities as of the July 8, 2013 Trustee Report. Moody's expects significant losses to occur on these assets once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. 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 5,548 compared to 4,137 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (24.7% compared to 42.7% at last review), A1-A3 (0.0% compared to 2.0% at last review), Baa1-Baa3 (18.3% compared to 11.9% at last review), Ba1-Ba3 (0.0%, same as last review), B1-B3 (0.0% same as last review), and Caa1-C (56.1% compared to 42.7% at last review). Moody's modeled a WAL of 2.8 years, compared to 2.9 years at last review. The current WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 17.9% compared to 26.8 % at last review. Moody's modeled a MAC of 100.0%, compared to 2.3% at last review. The increase in MAC is due to higher credit risk collateral concentrated in fewer collateral names. 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 17.9% to 27.9% or down to 7.9% 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. ALPINE SECURITIZATION: DBRS Confirms Bsf Rating on $22.91MM Debt ---------------------------------------------------------------- DBRS, Inc. has confirmed the rating of R-1 (high) (sf) for the Commercial Paper ("CP") issued by Alpine Securitization Corp. ("Alpine"), an asset-backed commercial paper ("ABCP") vehicle administered by Credit Suisse, New York branch. In addition, DBRS has confirmed the ratings and revised the tranche sizes of the aggregate liquidity facilities ("the Liquidity") based on the November 30, 2012, reported portfolio provided by Credit Suisse, the administrator of Alpine. The $9,725,042,453 aggregate liquidity facilities as of November 30, 2012, are tranched as follows: - $9,321,004,879 rated AAA (sf) - $57,704,526 rated AA (sf) - $78,372,662 rated A (sf) - $66,134,419 rated BBB (sf) - $52,430,808 rated BB (sf) - $22,915,496 rated B (sf) - $126,479,663 unrated (sf) The CP rating reflects the AAA credit quality of Alpine's asset portfolio. The updated credit quality aspect of the CP rating is based on both the portfolio of assets and the available program- wide credit enhancement ("PWCE"). The rationale for the CP rating is based on the updated AAA credit quality assessment as well as DBRS's prior and ongoing review of legal, operational and liquidity risks associated with Alpine's overall risk profile. The ratings assigned to the Liquidity reflect the credit quality of Alpine's asset portfolio based on an analysis that assesses each transaction to a term standard. The tranche sizes are expected to vary each month based on reported changes in portfolio composition. For Alpine, both the CP and the Liquidity ratings use DBRS's simulation methodology, which was developed to analyze diverse ABCP conduit portfolios. This analysis uses the DBRS Diversity Model, with adjustments to reflect the unique structure of an ABCP conduit and its underlying assets. DBRS determines attachment points for risk based on an analysis of the portfolio and models the portfolio based on key inputs such as asset ratings, asset tenors and recovery rates. The attachment points determine the portion of the exposure rated AAA, AA, A through B, as well as unrated. DBRS models the prior (lagged) month(s) portfolio on an ongoing basis to reflect changes in Alpine's portfolio composition and credit quality. The rating results are updated and posted on the DBRS website. The principal methodology is the Asset-Backed Commercial Paper Criteria Report: U.S. & European ABCP Conduits, which can be found on our website under Methodologies and private Rating Methodology for Liquidity and Program Wide Enhancement Ratings. This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU. AMMC CLO VI: Moody's Affirms Ba1 Rating on $35MM Class D Notes -------------------------------------------------------------- Moody's Investors Service has upgraded the rating of the following notes issued by AMMC CLO VI, Limited: $28,750,000 Class C Floating Rate Deferrable Notes Due 2018, Upgraded to Aaa (sf); previously on July 15, 2013 Upgraded to Aa2 (sf) and Placed Under Review for Possible Upgrade Moody's also affirmed the ratings of the following notes: $228,000,000 Class A-1-A Floating Rate Notes Due 2018 (current outstanding balance of $23,499,126), Affirmed Aaa (sf); previously on June 30, 2006 Assigned Aaa (sf) $25,000,000 Class A-1-R Variable Funding Floating Rate Notes Due 2018 (current outstanding balance of $2,576,659), Affirmed Aaa (sf); previously on June 30, 2006 Assigned Aaa (sf) $63,250,000 Class A-1-B Floating Rate Notes Due 2018, Affirmed Aaa (sf); previously on June 30, 2011 Upgraded to Aaa (sf) $70,000,000 Class A-2 Floating Rate Notes Due 2018 (current outstanding balance of $19,771,715) , Affirmed Aaa (sf); previously on June 30, 2011 Upgraded to Aaa (sf) $17,500,000 Class B Floating Rate Notes Due 2018, Affirmed Aaa (sf); previously on November 7, 2012 Upgraded to Aaa (sf) $35,000,000 Class D Floating Rate Deferrable Notes Due 2018, Affirmed Ba1 (sf); previously on June 30, 2011 Upgraded to Ba1 (sf) APIDOS CDO II: Moody's Raises Rating on Class D Notes to Ba1 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by Apidos CDO II Ltd.: $13,000,000 Class C Floating Rate Notes Due 2018, Upgraded to A2 (sf); previously on July 15, 2013 Baa1 (sf) Placed Under Review for Possible Upgrade; $13,500,000 Class D Floating Rate Notes Due 2018, Upgraded to Ba1 (sf); previously on March 29, 2013 Upgraded to Ba2 (sf). Moody's also affirmed the ratings of the following notes: $195,000,000 Class A-1 Floating Rate Notes Due 2018 (current outstanding balance of $63,439,100), Affirmed Aaa (sf); previously on March 29, 2013 Affirmed Aaa (sf); $100,000,000 Class A-2 Delayed Draw Notes Due 2018 (current outstanding balance of $32,532,872), Affirmed Aaa (sf); previously on March 29, 2013 Affirmed Aaa (sf); $22,500,000 Class A-3 Floating Rate Notes Due 2018, Affirmed Aaa (sf); previously on March 29, 2013 Upgraded to Aaa (sf). In addition, Moody's confirmed the rating of the following notes: $24,000,000 Class B Deferrable Floating Rate Notes Due 2018, Confirmed at Aa1 (sf); previously on July 15, 2013 Upgraded to Aa1 (sf) and Placed Under Review for Possible Upgrade. Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the Class A-1 and A-2 notes and an increase in the transaction's overcollateralization ratios since the rating action in March 2013. Moody's notes that the Class A-1 and A-2 notes have been paid down by approximately 48% or $88 million since March 2013. Based on the latest trustee report dated July 16, 2013, the Class A, Class B, Class C, and Class D overcollateralization ratios are reported at 144.7%, 124.7%, 116.0%, and 108.1%, respectively, versus February 2013 levels of 133.3%, 119.5%, 113.1%, and 107.2%, respectively. Moody's also notes that the deal has benefited from an improvement in the credit quality of the underlying portfolio since March 2013. Based on the July 2013 trustee report, the weighted average rating factor is currently 2373 compared to 2442 in February 2013. In taking the foregoing actions, Moody's announced that it had concluded its review of its ratings on the issuer's Class B 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. 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 $183 million, defaulted par of $4.7 million, a weighted average default probability of 15.40% (implying a WARF of 2451), a weighted average recovery rate upon default of 49.79%, 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. Apidos CDO II Ltd., issued in December of 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans and CLO tranches. 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% (1961) Class A-1: 0 Class A-2: 0 Class A-3: 0 Class B: +1 Class C: +2 Class D: +1 Moody's Adjusted WARF + 20% (2941) Class A-1: 0 Class A-2: 0 Class A-3: 0 Class B: -1 Class C: -2 Class D: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. ARROWPOINT CLO 2013-1: S&P Affirms 'BB' Rating on Class D Notes --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Arrowpoint CLO 2013-1 Ltd./Arrowpoint CLO 2013-1 LLC's $274.00 million floating-rate notes following the transaction's effective date as of July 15, 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. "We believe 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," S&P said. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of S&P's criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect 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 Arrowpoint CLO 2013-1 Ltd./Arrowpoint CLO 2013-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 188.00 A-2 AA (sf) 35.00 B (deferrable) A (sf) 24.00 C (deferrable) BBB (sf) 14.00 D (deferrable) BB (sf) 13.00 ASHFORD CDO I: S&P Raises Rating on Class A-3L Notes to 'BB+' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1LA, A-1LB, A-2L, A-3L, and B-1L notes from Ashford CDO I Ltd., a cash flow collateralized debt obligation (CDO) transaction backed by primarily collateralized loan obligation (CLO) tranches originated before 2007. The upgrades reflect paydowns to class A-1LA notes since S&P's April 2012 rating actions. Principal amortization has resulted in $60.03 million in paydowns to the class A-1LA notes since S&P's April 2012 rating actions based on the March 5, 2012, trustee report. The transaction's overall overcollateralization (O/C) ratio tests have benefited from the principal paydowns; the class A O/C test has increased to 126.31% from 117.53%, and the class B O/C test has increased to 104.11% from 91.81%. The underlying portfolio's credit quality has also improved over the same period. According to the July 2013 trustee report, the amount of 'CCC' rated collateral held in the transaction's asset portfolio fell since S&P's April 2012 rating actions. The transaction held $18.35 million of 'CCC' rated collateral in July 2013, down from $48.20 million back in the March 2012 trustee report. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS RAISED Ashford CDO I Ltd. Class Rating To From A-1LA AA- (sf) BBB+ (sf) A-1LB A+ (sf) BBB+ (sf) A-2L BBB+ (sf) BB- (sf) A-3L BB+ (sf) B- (sf) B-1L B+ (sf) CCC (sf) AVENUE CLO II: Moody's Confirms Ba3 Rating on Class B-2L Notes -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Avenue CLO II, Ltd.: $22,500,000 Class A-3L Floating Rate Notes Due October 30, 2017, Upgraded to Aaa (sf); previously on July 15, 2013 Upgraded to Aa1 (sf) and Placed Under Review for Possible Upgrade $19,250,000 Class B-1L Floating Rate Notes Due October 30, 2017, Upgraded to A1 (sf); previously on July 15, 2013 Upgraded to A3 (sf) and Placed Under Review for Possible Upgrade Moody's also affirmed the ratings of the following notes: $320,000,000 Class A-1L Floating Rate Notes Due October 30, 2017 (current outstanding balance of $53,030,634), Affirmed Aaa (sf); previously on July 13, 2011 Upgraded to Aaa (sf) $35,500,000 Class A-2L Floating Rate Notes Due October 30, 2017, Affirmed Aaa (sf); previously on December 19, 2012 Upgraded to Aaa (sf) Moody's also confirmed the rating of the following notes: $19,000,000 Class B-2L Floating Rate Notes Due October 30, 2017 (current outstanding balance of $18,032,863), Confirmed at Ba3 (sf); previously on July 15, 2013 Ba3 (sf) Placed Under Review for Possible Upgrade 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 December 2012. Moody's notes that the Class A-1L Notes have been paid down by approximately 75% or $161.2 million since that time. Based on the latest trustee report dated July 9, 2013, the Class A-2L, Class A-3L, Class B-1L and Class B- 2L overcollateralization ratios are reported at 154.7%, 132.6%, 118.1% and 107.1%, respectively, versus November 2012 levels of 129.3%, 118.6%, 110.8% and 104.3%, respectively. The overcollateralization ratios reported in the July 2013 trustee report do not include the July 30, 2013 payment distribution, when $46 million of principal proceeds were used to pay down the Class A-1L Notes. Notwithstanding benefits of the deleveraging, Moody's notes that the credit quality of the underlying portfolio has deteriorated since the last rating action. Based on the July 2013 trustee report, the weighted average rating factor is currently 2807 compared to 2495 in November 2012. In taking the foregoing actions, Moody's announced that it had concluded its review of its ratings on the issuer's Class A-3L, B- 1L and B-2L 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 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 $153.5 million, defaulted par of $23 million, a weighted average default probability of 16.00% (implying a WARF of 2773), a weighted average recovery rate upon default of 51.54%, and a diversity score of 25. 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. Avenue CLO II, Ltd, issued in August 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's 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% (2218) Class A-1L: 0 Class A-2L: 0 Class A-3L: 0 Class B-1L: +2 Class B-2L: +1 Moody's Adjusted WARF + 20% (3328) Class A-1L: 0 Class A-2L: 0 Class A-3L: 0 Class B-1L: -2 Class B-2L: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 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. BANC OF AMERICA 2003-2: Fitch Affirms CCC Rating on Class J Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Banc of America Commercial Mortgage Inc. (BACM) commercial mortgage pass-through certificates series 2003-2. Key Rating Drivers The affirmations are due to the pool performing in-line with Fitch's expectations from the prior review. Fitch modeled losses of 1.7% of the remaining pool; expected losses on the original pool balance total 3.2%, including $50.7 million (2.9% of the original pool balance) in realized losses to date. Fitch has designated six loans (7.1%) as Fitch Loans of Concern, which includes two specially serviced assets (2%). As of the July 2013 distribution date, the pool's aggregate principal balance has been reduced by 78.1% to $387.1 million from $1.77 billion at issuance. Per the servicer reporting, 10 loans (60.7% of the pool) are defeased. Interest shortfalls are currently affecting classes J through P. The largest contributor to expected losses is secured by a 480- unit multifamily property in Bowling Green, OH (2.3% of the pool). The property serves as student housing for a nearby university, and as such experiences seasonality impact during the summer months. The servicer reported a year-end 2012 debt service coverage ratio of 0.89x, which compares to a year-end 2011 debt service coverage ratio of 0.81x. The loan remains current as of July 2013. The next largest contributor to expected losses is specially- serviced and secured by a 72,236-sf anchored retail center in Madison, OH (1.5%). The loan entered special servicing in May 2013. The year-end 2012 net cash flow debt service coverage ratio was 1.53x with a 57.5% physical occupancy. Anchor tenant Tops supermarket (48,881-sf; 67.7% NRA) went dark in February 2005. The borrower has recently been granted a 24 month maturity extension. Rating Sensitivity Rating Outlooks on classes A-1A through G remain Stable due to increasing credit enhancement and continued paydown. The Rating Outlook on class H remains Negative due to its low placement in the class structure and the increasing concentration of the pool. Fitch affirms the following classes and assigns or revises REs and Rating Outlooks as indicated: -- $21 million class H at 'Bsf'; Outlook to Stable from Negative; -- $10.5 million class K at 'Csf'; RE 100%; -- $7.2 million class L at 'Dsf'; RE 35%. Fitch affirms the following classes as indicated: -- $108.9 million class A-1A at 'AAAsf'; Outlook Stable; -- $56.7 million class B at 'AAAsf'; Outlook Stable; -- $21 million class C at 'AAAsf'; Outlook Stable; -- $44.1 million class D at 'AAAsf'; Outlook Stable; -- $23.1 million class E at 'AAsf'; Outlook Stable; -- $21 million class F at 'Asf'; Outlook Stable; -- $23.1 million class G at 'BBsf'; Outlook Stable; -- $18.9 million class J at 'CCCsf'; RE 100%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%; -- $31.7 million class BW Rakes at 'AAAsf'; Outlook Stable. The class A-1, A-2, A-3 and A-4 certificates have paid in full. Fitch does not rate the class P and HS Rakes certificates. Fitch previously withdrew the ratings on the interest-only class XC and XP certificates. BANC OF AMERICA 2005-4: Fitch Affirms 'D' Rating on Class L Certs ----------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed 19 classes of Banc of America Commercial Mortgage Inc. (BACM) commercial mortgage pass-through certificates series 2005-4. Key Rating Drivers The upgrade is a result of additional defeasance since Fitch's last rating action. Fitch modeled losses of 11.5% of the remaining pool; expected losses on the original pool balance total 10.8%, including $44.1 million (2.8% of the original pool balance) in realized losses to date. Fitch has designated 41 loans (44.4%) as Fitch Loans of Concern, which includes 18 specially serviced assets (15.2%). As of the July 2013 distribution date, the pool's aggregate principal balance has been reduced by 30.4% to $1.1 billion from $1.59 billion at issuance. Per the servicer reporting, two loans (5% of the pool) are defeased and one larger loan is pending a potential defeasance (7%). Interest shortfalls are currently affecting classes F through P. The largest contributor to expected losses is a specially-serviced loan (3.3% of the pool), which is secured by a 535 unit multifamily property and a 78,463 square foot (sf) office property in Jenkintown, PA. The loan was transferred to special servicing in January 2010 due to the borrower's request for relief. The property has suffered from significant deferred maintenance and city code violations. Per the special servicer, the majority of the city code violations have been cleared, and deferred maintenance items are being addressed. Litigation between the special servicer and borrower is ongoing. Occupancy for the residential and commercial space was a reported 49% and 69% respectively, as of April 2013The loan is current as of July 2013. The next largest contributor to expected losses (2.4% of the pool), is secured by an 188,040 sf office building located in San Juan Capistrano, CA. The top three tenants are Los Golondrinas Mex. Food/Arturo Galindo Jr. (4%) lease expiry January 2019, Semi Conductor Technology Associates Inc. (3%) lease expiry December 2013, and The Effect (3%) lease expiry December 2013. Approximately (57%) of the tenant base expires within the next two years: 2013 - 37%, 2013 - 20%. No other tenant represents more than 2% of the total NRA. The year-end (YE) 2012 net operating income (NOI) declined 10% from YE 2011 and 30% since issuance. The property is performing below market in terms of occupancy, which was 66% as of March 2013 with average in-place rents below market. The loan remains current. The third largest contributor to expected losses is a specially- serviced (1.2%), which is secured by a 99,819 sf office property located in Hoffman Estates, IL, built in 1992. The loan was transferred to the special servicer in November 2009 for payment default due to declines in occupancy. The special servicer continues to pursue foreclosure. The property is currently 46.1% occupied. Rating Sensitivity Rating Outlooks on classes A-5A through B remain Stable due to sufficient credit enhancement and continued paydown. Rating Outlooks on class C remains Negative due to the large number of Fitch loans of concern and the potential for future defaults. Fitch upgrades the following classes as indicated: -- $97.1 million class A-J to 'BBBsf' from 'BBB-sf', Outlook Stable. Fitch affirms the following classes and revises RE as indicated: -- $485.9 million class A-5A at 'AAAsf', Outlook Stable; -- $135.1 million class A3 and A4 at 'AAAsf', Outlook Stable; -- $22.8 million class A-SB at 'AAAsf', Outlook Stable; -- $69.4 million class A-5B at 'AAAsf', Outlook Stable; -- $117.8 million class A-1A at 'AAAsf', Outlook Stable; -- $31.7 million class B at 'BBsf', Outlook Stable; -- $15.9 million class C at 'Bsf', Outlook Negative; -- $29.7 million class D at 'CCCsf', RE 20%; -- $17.8 million class E at 'CCsf', RE 0%; -- $19.8 million class F at 'CCsf', RE 0%; -- $17.8 million class G at 'Csf', RE 0%; -- $23.8 million class H at 'Csf', RE 0%; -- $7.9 million class J at 'Csf', RE 0%; -- $7.9 million class K at 'Csf', RE 0%; -- $3.6 million class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0% -- $0 class O at 'Dsf'; RE 0%. Classes A-1 and A-2 are paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the ratings on the interest-only class XP and XC certificates. BALLYROCK CLO III: Moody's Ups $45MM Cl. D Notes' Rating From Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Ballyrock CLO III, Ltd.: $33M Class C Deferrable Floating Rate Notes (current rated balance $31,397,502), Upgraded to Aaa (sf); previously on July 15, 2013 Upgraded to A1 (sf) and Placed Under Review for Possible Upgrade; $45M Class D Deferrable Floating Rate Notes (current rated balance $43,563,181), Upgraded to Aa2 (sf); previously on July 15, 2013 Upgraded to Ba1 (sf) and Placed Under Review for Possible Upgrade. 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, particularly since October 2012. Moody's notes that the Class S Notes, Class A-1 Notes, Class A-2 Notes and Class B Notes have been paid down in full since October 2012. Based on the latest trustee report dated July 18, 2013 the Class C and Class D overcollateralization ratios are reported at 130.6% and 111.8%, respectively, versus October 2012 levels of 115.8% and 106.4%, respectively. However, the July 18, 2013 trustee-reported OC ratios do not yet reflect the July 25, 2013 payment distribution, when $228.1 million of principal proceeds were used to pay down the Class A-1 Notes, Class A-2 Notes, Class B Notes and Class C Notes. Moody's notes that prior to the July 2013 paydowns, the issuer had accumulated significant cash positions primarily resulting from loan prepayments since July 2012, but had only applied a small portion of such collections to note paydowns during the January and April 2013 payment dates. 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 $98.8 million, defaulted par of $14.0 million, a weighted average default probability of 11.06% (implying a WARF of 2356), a weighted average recovery rate upon default of 50.7%, and a diversity score of 20. 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. Ballyrock CLO III, Ltd., issued in June 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. 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% (1885) Class C: 0 Class D: 0 Moody's Adjusted WARF + 20% (2827) Class C: 0 Class D: 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: A 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 impact the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. 4) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors that are rated, especially when they experience jump to default. BALLYROCK CLO III: S&P Raises Rating on Class D Notes From 'B+' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class C and D notes from Ballyrock CLO III Ltd., a U.S. collateralized loan obligation (CLO) managed by Ballyrock Investment Advisors LLC and removed them from CreditWatch positive. At the same time, S&P also removed its ratings on the class A-1, A-2, and B notes from CreditWatch positive and subsequently withdrew them. All of the ratings had been placed on CreditWatch with positive implications on May 17, 2013. The upgrades mainly reflect increased credit support available to the rated notes as the deal continues to amortize and pay down the senior notes. The rating withdrawals follow the complete principal paydowns of the notes on their recent payment date. The transaction's reinvestment period ended in July 2010. Since then, it has paid down the class A-1, A-2, and B notes completely (a total paydown of $474 million) and approximately $1.6 million to the class B notes. This includes a paydown of approximately $228.09 million on the July 2013 payment date. The paydown of the notes increased the transaction's overcollateralization (O/C) ratios. The trustee reports the following O/C ratios in the July 2013 monthly report: -- The class C O/C ratio is 130.60%, up from 116.07% in the January 2012 trustee report that S&P used for its February 2012 analysis; -- The class D O/C ratio is 111.83%, higher than the 106.69% ratio in January 2012. After the recent paydowns on the July 2013 payment date, the O/C ratio will increase. The class C O/C ratio will go up to 352.92% and the class D O/C ratio will rise to 147.82%. The transaction also has fewer defaulted obligations than it did in January 2012. Based on the July 2013 trustee report, which S&P referenced for the rating actions, the transaction contained no defaulted assets, down from the $4.11 million noted in the January 2012 trustee report, which S&P used for its rating action in February 2012. Furthermore, the amount of assets from obligors rated in the 'CCC' category was reported at $14.13 million in July 2013, down from $16.69 million in January 2012. S&P notes that the transaction has significant exposure to an obligor currently rated 'CCC' with a negative outlook. It is the pool's largest obligor and constitutes approximately 12.39% of the transaction's total performing par. The upgrade on the class D notes was constrained by the largest obligor default test, one of the two supplemental tests S&P introduced as part of its revised corporate CDO criteria published in 2009. 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 RAISED AND REMOVED FROM CREDITWATCH Ballyrock CLO III Ltd. Rating Class To From C AAA (sf) BBB+ (sf)/Watch Pos D BBB+ (sf) B+ (sf)/Watch Pos RATINGS WITHDRAWN Ballyrock CLO III Ltd. Rating Class To From A-1 NR AA+ (sf)/Watch Pos A-2 NR AA+ (sf)/Watch Pos B NR AA+ (sf)/Watch Pos NR - Not rated. TRANSACTION INFORMATION Issuer: Ballyrock CLO III Ltd. Co-issuer: Ballyrock CLO III Inc. Collateral manager: Ballyrock Investment Advisors LLC Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO CDO - Collateralized debt obligation. BANC OF AMERICA: Moody's Takes Action on $141-Mil. of RMBS ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 23 tranches from six transactions backed by Alt-A loans, issued by Banc of America. Complete rating actions are as follows: Issuer: Banc of America Alternative Loan Trust 2003-1 Cl. A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. A-PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2003-10 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 A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-3, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-1, Downgraded to Ba1 (sf); previously on Mar 11, 2013 Downgraded to Baa3 (sf) Cl. 6-A-2, Downgraded to Ba1 (sf); previously on Mar 11, 2013 Downgraded to Baa3 (sf) Cl. 6-A-3, Downgraded to Ba1 (sf); previously on Mar 11, 2013 Downgraded to Baa3 (sf) Issuer: Banc of America Alternative Loan Trust 2003-11 Cl. 5-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2003-2 Cl. NC-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. NC-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2003-7 Cl. 1-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-4, Downgraded to Ba2 (sf); previously on Jun 21, 2012 Confirmed at Ba1 (sf) Cl. 2-A-PO, Downgraded to Ba2 (sf); previously on Mar 15, 2011 Downgraded to Ba1 (sf) Issuer: Banc of America Funding 2004-1 Trust Cl. 6-A-1, Downgraded to Ba1 (sf); previously on Apr 13, 2012 Confirmed at Baa1 (sf) Cl. 8-A-1, 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. 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 the 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 July 2012 to 7.4% in July 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. BANK OF AMERICA 2005-6: Moody's Keeps C Ratings on 2 Cert Classes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 16 classes of Bank of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2005-6 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Jan 3, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed A1 (sf); previously on Dec 10, 2010 Downgraded to A1 (sf) Cl. A-M, Affirmed Aaa (sf); previously on Jan 3, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jan 3, 2006 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed A2 (sf); previously on Dec 10, 2010 Downgraded to A2 (sf) Cl. C, Affirmed A3 (sf); previously on Dec 10, 2010 Downgraded to A3 (sf) Cl. D, Affirmed Baa1 (sf); previously on Dec 10, 2010 Downgraded to Baa1 (sf) Cl. E, Affirmed Baa2 (sf); previously on Dec 10, 2010 Downgraded to Baa2 (sf) Cl. F, Affirmed Ba1 (sf); previously on Dec 10, 2010 Downgraded to Ba1 (sf) Cl. G, Affirmed B1 (sf); previously on Aug 23, 2012 Downgraded to B1 (sf) Cl. H, Affirmed Caa1 (sf); previously on Aug 23, 2012 Downgraded to Caa1 (sf) Cl. J, Affirmed Caa2 (sf); previously on Aug 23, 2012 Downgraded to Caa2 (sf) Cl. K, Affirmed Caa3 (sf); previously on Aug 23, 2012 Downgraded to Caa3 (sf) Cl. L, Affirmed C (sf); previously on Aug 23, 2012 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. XW, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of Classes A-4 through G are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels the affirmed classes is sufficient to maintain their current rating. The rating of Classes H through M are consistent with Moody's base expected loss and thus are affirmed. The rating of the interest-only (IO) class, Class XW, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 5.0% of the current pooled balance compared to 5.1% at last review. Moody's based expected loss plus realized losses is now 6.2% of the original pooled balance, which is the same as 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. 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 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 29 compared to 31 at Moody's prior review. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the July 10, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 20% to $2.2 billion from $2.7 billion at securitization. The deal contains $180 million of non-pooled rake bonds tied to the KinderCare Portfolio Loan, which brings the deal's total balance to $2.4 billion. The Certificates are collateralized by 135 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 47% of the pool. One loan, representing less than 1% of the pool, has been defeased and is collateralized with U.S. Government Securities. Two loans, representing 18% of the pool, have investment grade credit assessments. Twenty-eight loans, representing 12% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nineteen loans have liquidated at a loss from the pool, resulting in an aggregate realized loss of $61 million (46% average loss severity). Eight loans, representing 5% of the pool, are currently in special servicing. The largest specially serviced loan is the One Old County Road Loan ($47 million -- 2.1% of the pool), which is secured by a 320,000 square foot (SF) office property in Long Island, New York. The loan transferred to special servicing in November 2010 due to Imminent Default. The property was 92% leased as of May 2013 compared to 91% as of December 2011. The servicer is dual tracking foreclosure and a possible loan modification. The remaining specially serviced loans are secured by a mix of office, industrial and self-storage properties. The servicer has recognized an aggregate appraisal reduction of $51 million for seven of the eight specially serviced loans. Moody's estimates an aggregate $50 million loss from all the specially serviced loans (42% average loss severity). Moody's has assumed a high default probability for 12 poorly performing loans representing 4% of the pool and has estimated a $19 million aggregate loss (22% expected loss based on a 52% probability of default) from these troubled loans. Moody's was provided with full year 2011 and partial or full year 2012 operating results for 96% and 95% of the pool, respectively. Moody's weighted average conduit LTV is 91% compared to 94% at Moody's prior review. The conduit portion of the pool excludes specially serviced, troubled and defeased loans as well as the two loans with a credit assessments. 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 9.5%. Moody's actual and stressed conduit DSCRs are 1.51X and 1.18X, respectively, compared to 1.53X and 1.15X 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 277 Park Avenue Loan ($260 million -- 11.9%), which represents a participation interest in the senior component of a $500 million mortgage loan. The loan is secured by a 1.8 million SF 50-story Class A office tower located in Midtown Manhattan. The property is also encumbered by $200 million in mezzanine debt. The property was 97% leased as of December 2012, which is the same as at Moody's last review. JP Morgan Chase Bank leases 75% of the net rentable area (NRA) through March 2021. Moody's credit assessment and stressed DSCR are A2 and 1.50X, respectively, which is the same as at last review. The second largest loan with a credit assessment is the KinderCare Portfolio Loan ($136 million -- 6.2% of the pool), which represents a participation interest in the senior component of $587 million mortgage loan. The property's $180 million subordinate B-note is collateral for six non-pooled raked classes in this deal. The property is encumbered by $50 million of mezzanine debt. The loan was originally secured by a portfolio of 713 properties located throughout 37 states. The portfolio is master-leased to Knowledge Universe Education LLC (f.k.a. Knowledge Learning Corporation; Moody's corporate family rating B3, stable outlook). Moody's current credit assessment and stressed DSCR are A3 and 2.04X, respectively, compared to A3 and 2.09X at last review. The top three performing conduit loans represent 14.1% of the pool. The largest loan is the Burnett Plaza Loan ($105 million -- 4.8% of the pool), which is secured by a 40-story Class A office property located in downtown Fort Worth, Texas. The property was 88% leased as March 2013 compared to 85% at Moody's last review. The largest tenant, the General Services Administration, occupies 16% of the NRA under a lease that expires in September 2013. Moody's current LTV and stressed DSCR are 106% and 0.97X, respectively, compared to 102% and 1.01X at last review. The second largest loan is the In Town Suites Loan ($104 million - - 4.8% of the pool), which is secured by a portfolio of 40 In Town Suites extended-stay hotels located in 33 cities across 16 states. The properties were constructed between 1996 and 2001. An increase in the portfolio's average weekly rate led to an increase in performance. Moody's current LTV and stressed DSCR are 67% and 1.88X, respectively, compared to 72% and 1.77X at last review. The third largest loan is the Omni Hotel -- San Diego Loan ($99 million -- 4.5% of the pool). The loan is secured by a 511-room full-service hotel located in downtown San Diego, California. The hotel is adjacent to the San Diego Padres' baseball stadium and is located near the San Diego convention center. The property's revenue per available room increased slightly to $152 in 2012 from $149 in 2011, which led to an increase in property performance. Moody's current LTV and stressed DSCR are 88% and 1.29X, respectively, compared to 92% and 1.23X at last review. CABELA'S CREDIT: Fitch Rates $9.6MM Class D Notes at 'BB' --------------------------------------------------------- Fitch Ratings assigns the following ratings to Cabela's Credit Card Master Note Trust's asset-backed notes, series 2013-II: -- $100,000,000 class A-1 fixed-rate 'AAAsf'; Outlook Stable; -- $197,500,000 class A-2 floating-rate 'AAAsf'; Outlook Stable; -- $28,000,000 class B fixed-rate 'Asf'; Outlook Stable; -- $14,875,000 class C fixed-rate 'BBBsf'; Outlook Stable; -- $9,625,000 class D fixed-rate 'BBsf'; Outlook Stable. Key Rating Drivers: Fitch's ratings are based on the underlying receivables pool, available credit enhancement, World's Foremost Bank's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early redemption triggers. The transaction structure is similar to series 2013-I, with credit enhancement totaling 15% for class A, credit enhancement of 7% for the class B, credit enhancement of 2.75% plus an amount from a spread account for the class C, and credit enhancement of an amount from a spread account for the class D notes only. Rating Sensitivities: Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults; 2) a reduction in monthly payment rate (MPR), and 3) a combination stress of higher defaults and lower MPR. Increasing defaults alone has the least impact on rating migration even in the most severe scenario of a 75% increase in defaults. The rating sensitivity to a reduction in MPR is more pronounced with a moderate stress, of a 25% reduction, leading to possible downgrades across all classes. The harshest scenario assumes both stresses occur simultaneously. Similarly, the ratings would only be downgraded under the moderate stress of a 40% increase in defaults and 20% reduction in MPR; however the severe stress could lead to more drastic downgrades to all classes. To date, the transactions have exhibited strong performance with all performance metrics within Fitch's initial expectations. For further discussion of our sensitivity analysis, please see the related presale report. For a discussion of the representations, warranties, and enforcement mechanisms available to investors in this transaction please see the related presale appendix. CAPITAL TRUST 2004-1: Fitch Affirms 'D' Ratings on 5 Cert. Classes ------------------------------------------------------------------ Fitch Ratings has upgraded two and affirmed four classes of Capital Trust RE CDO 2004-1 (Capital Trust 2004-1) reflecting Fitch's base case loss expectation of 47.8%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. Key Rating Drivers The upgrades are due to deleveraging of the pool since the last rating action, coupled with lower expected losses, particularly related to improved performance of the largest asset in the pool. Capital Trust 2004-1 is a commercial real estate (CRE) collateralized debt obligation (CDO) managed by CT Investment Management Co., LLC (CTIMCO). As of the July 2013 trustee report, the CDO was invested as follows: B-notes (99.6%) and commercial mortgage backed securities (CMBS) (0.4%). Since Fitch's last rating action, the capital structure has paid down by $26.9 million. Realized losses over the same period were approximately $18 million. The transaction is highly concentrated with only seven assets remaining in the portfolio. Approximately 47.6% of the pool is currently defaulted while a further 32.8% are considered assets of concern. Fitch expects significant losses on most of the assets as they are generally highly leveraged subordinate positions. Under Fitch's methodology, approximately 88.6% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. Fitch estimates that average recoveries will be 46.1% reflecting the low recovery expectations upon default of the CMBS tranches and real estate loans which are predominantly subordinate positions. The largest component of Fitch's base case loss expectation is a 922,385 square foot (sf) office property located within an office complex (26.5%) located in New Hyde Park, NY. As of YE 2012, occupancy had declined to 64.6% primarily due to tenants vacating in the fourth quarter of 2012. Fitch modeled a substantial loss in its base case scenario on this overleveraged position. The next largest component of Fitch's base case loss expectation was originally collateralized by four casino/hotel properties located in Atlantic City, NJ, East Chicago, IN, Robinsonville, MS and Tunica, MS (10.3%). The loan was foreclosed in November 2011 and the two remaining properties became REO assets. Fitch modeled a substantial loss in its base case scenario on this overleveraged position. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio (DSCR) tests to project future default levels for the underlying CREL collateral in the portfolio and uses the Portfolio Credit Model for the CMBS collateral. Recoveries for the CREL collateral are based on stressed cash flows and Fitch's long-term capitalization rates. The transaction was not run through the cash flow model given the concentrated nature of the portfolio. Rating Sensitivities The ratings for classes B through G are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern, factoring in anticipated recoveries relative to the credit enhancement of each class. Fitch has upgraded the following classes as indicated: -- $24,143,210 class B to 'Bsf' from 'CCCsf'; Outlook Stable Assigned; -- $19,444,000 class C to 'CCCsf' from 'CCsf'; RE 100%. Fitch has affirmed the following classes as indicated: -- $21,065,000 class D at 'Csf'; RE 45%; -- $3,241,000 class E at 'Csf'; RE 0%; -- $6,481,000 class F at 'Csf'; RE 0%; -- $16,204,000 class G at 'Csf'; RE 0%. CAPITAL TRUST 2005-1: Fitch Affirms 'D' Rating on Class B Trust --------------------------------------------------------------- Fitch Ratings has affirmed eight classes of Capital Trust RE CDO 2005-1 (Capital Trust 2005-1). Fitch's base case loss expectation for the transaction is 61.4%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. Key Rating Drivers Capital Trust 2005-1 is a commercial real estate collateralized debt obligation (CDO) managed by CT Investment Management Co., LLC (CTIMCO). As of the July 2013 trustee report, the CDO was invested as follows: senior notes (11.5%), B-notes (45.1%), mezzanine debt (17.1%), commercial mortgage backed securities (CMBS) (14.4%) and CDOs (11.9%). Since Fitch's last rating action, the capital structure has paid down by $26.6 million. Realized losses over the same period were approximately $76,919. As of the July 2013 trustee report, all overcollateralization (OC) are failing their respective triggers. The transaction is highly concentrated with only 13 assets remaining in the portfolio. Approximately 49.2% of the pool is currently defaulted while a further 22.3% are considered assets of concern. Fitch expects significant losses on most of the assets as they are generally highly leveraged subordinate positions. Under Fitch's methodology, approximately 85.7% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. Fitch estimates that average recoveries will be 28.4% reflecting the low recovery expectations upon default of the CMBS tranches and real estate loans which are predominantly subordinate. The largest component of Fitch's base case loss is the expected losses on the CMBS bond collateral. The second largest contributor to loss is a defaulted B-note (11.9% of the pool) secured by a full service hotel located in Long Beach, CA. The loan defaulted at loan maturity in July 2012. Cash flow to the property declined slightly since the last rating action as the loan continues to be overleveraged. Fitch modeled a substantial loss in its base case scenario. The next largest component of Fitch's base case loss expectation is a 922,385 square foot (sf) office property located within an office complex (10.4%) located in New Hyde Park, NY. As of year- end (YE) 2012, occupancy had declined to 64.6% primarily due to tenants vacating in the fourth quarter of 2012. Fitch modeled a substantial loss in its base case scenario on this overleveraged position. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio (DSCR) tests to project future default levels for the underlying CREL collateral in the portfolio and uses the Portfolio Credit Model for the CMBS collateral. Recoveries for the CREL collateral are based on stressed cash flows and Fitch's long-term capitalization rates. The transaction was not run through the cash flow model given the distressed nature of the ratings. Rating Sensitivities The ratings on all notes may be subject to further downgrades as losses are realized. The affirmation of the class A-1 notes at 'CCC' reflects the possibility going forward that interest and/or principal proceeds will not be available to pay the timely interest class, especially if there are further defaults or delinquencies on the underlying collateral. Ultimate recoveries to the class; however, should be substantial. On March 20, 2012, the Trustee declared an event of default (EOD) due to non-payment of full and timely accrued interest to the class B notes. The class B notes are a non-deferrable class and have been affirmed at 'Dsf' due to default in the timely payment of their accrued interest. Noteholders had not given direction to accelerate the notes or liquidate the portfolio at the time of this review. The ratings for classes C through H are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern, factoring in anticipated recoveries relative to the credit enhancement of each class. Fitch has affirmed the following classes as indicated: -- $41,757,890 class A at 'CCCsf'; RE 100%; -- $36,309,000 class B at 'Dsf'; RE 75%; -- $21,110,000 class C at 'Csf'; RE 0%; -- $14,354,000 class D at 'Csf'; RE 0%; -- $15,199,000 class E at 'Csf'; RE 0%; -- $6,755,000 class F at 'Csf'; RE 0%; -- $6,755,000 class G at 'Csf'; RE 0%; -- $10,133,000 class H at 'Csf'; RE 0%. CARLYLE BRISTOL: Moody's Confirms B1 Rating on Class D Notes ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by Carlyle Bristol CLO, Ltd.: $25,000,000 Class B-1 Senior Secured Deferrable Floating Rate Notes due 2019, Upgraded to Aa1 (sf); previously on July 15, 2013 Upgraded to Aa3 (sf) and Placed Under Review for Possible Upgrade; $3,000,000 Class B-2 Senior Secured Deferrable Fixed Rate Notes due 2019, Upgraded to Aa1 (sf); previously on July15, 2013 Upgraded to Aa3 (sf) and Placed Under Review for Possible Upgrade; $8,000,000 Type I Composite Notes due 2019 (current rated balance of $4,519,360.37), Upgraded to Aaa (sf); previously on July 15, 2013 Aa1 (sf) Placed Under Review for Possible Upgrade; $4,000,000 Type II Composite Notes due 2019 (current rated balance of $1,487,115.42), Upgraded to Aaa (sf); previously on July 15, 2013 Aa3 (sf) Placed Under Review for Possible Upgrade. Moody's also affirmed the ratings of the following notes: $382,000,000 Class A-1 Senior Secured Floating Rate Notes due 2019 (current outstanding balance of $135,600,099.93), Affirmed Aaa (sf); previously on July 13, 2011 Upgraded to Aaa (sf); $18,750,000 Class A-2 Senior Secured Floating Rate Notes due 2019, Affirmed Aaa (sf); previously on July 15, 2013 Upgraded to Aaa (sf). Moody's also confirmed the ratings of the following notes: $28,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2019, Confirmed at Ba1 (sf); previously on July 15, 2013 Ba1 (sf) Placed Under Review for Possible Upgrade; $4,000,000 Class D Secured Deferrable Floating Rate Notes due 2019, Confirmed at B1 (sf); previously on July 15, 2013 B1 (sf) Placed Under Review for Possible Upgrade. 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. Moody's notes that the Class A-1 Notes have been paid down by approximately 38% or $145.4 million since December 2012. Based on the latest trustee report dated July 15, 2013, the Class A, Class B, Class C and Class D overcollateralization ratios are reported at 148.69%, 125.86%, 108.85% and 106.82% respectively, versus December 2012 levels of 125.18%, 114.49%, 105.33% and 104.16%, 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, Class B-2, Class C, Class D, Type I Composite and Type II 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. 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 $218 million, defaulted par of $14.9 million, a weighted average default probability of 15.16% (implying a WARF of 2461), a weighted average recovery rate upon default of 52.23%, and a diversity score of 40. 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. Carlyle Bristol CLO, Ltd., 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 Type I and Type II Composite Notes was "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's 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% (1968) Class A-1: 0 Class A-2: 0 Class B-1: 0 Class B-2: 0 Class C: +2 Class D: +2 Type I: 0 Type II: 0 Moody's Adjusted WARF + 20% (2953) Class A-1: 0 Class A-2: 0 Class B-1: -1 Class B-2: -1 Class C: 0 Class D: 0 Type I: 0 Type II: 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: A 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. CHINO REDEVELOPMENT: Moody's Confirms Ba1 Rating on RDA TABs ------------------------------------------------------------ Moody's Investors Service has confirmed the Ba1 rating on the Successor Agency to the Chino Redevelopment Agency (RDA) Series 1998A & 1998B and the Series 2001A & 2001B Tax Allocation Bonds (TABs). 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 confirmation of the Ba1 rating incorporates the expectation that debt service coverage, net of pass-through payments, will be narrow in some semi-annual payment periods. The rating favorably takes into account the large Merged Project area, the above average wealth levels, and the high incremental assessed valuation (AV) to total AV. The rating also reflects the risks associated with the project area's high taxpayer concentration. The bonds are secured by tax increment revenues of the Merged Project Area. Strengths: - Large size of project area - Above average wealth levels - High incremental AV to total AV Challenges: - High taxpayer concentration - Projected debt service coverage in the first half of each year will be below two times - Narrow debt service coverage due to expected loss of revenue associated with Central City Project Area What could move the rating-UP - Significant and sustained increase in assessed valuation with at least two times coverage in both periods What could move the rating-DOWN - Erosion of semi-annual debt service coverage levels - Protracted assessed value decline - Failure to implement and execute on plan to address projected semi-annual debt service coverage shortfalls Rating Methodology: The principal methodology used in this rating was Moody's Analytic Approach To Rating California Tax Allocation Bonds published in December 2003. COMM 2007-C9: Moody's Affirms C Ratings on 7 Debt Classes --------------------------------------------------------- Moody's Investors Service upgraded the ratings of 13 classes and affirmed 13 classes of COMM 2007-C9 Commercial Mortgage Pass- Through Certificates as follows: Cl. A-2, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-J, Upgraded to Baa3 (sf); previously on Aug 22, 2012 Downgraded to Ba1 (sf) Cl. AJ-FL, Upgraded to Baa3 (sf); previously on Aug 22, 2012 Downgraded to Ba1 (sf) Cl. AM, Upgraded to Aa1 (sf); previously on Dec 2, 2010 Downgraded to Aa2 (sf) Cl. AM-FL, Upgraded to Aa1 (sf); previously on Dec 2, 2010 Downgraded to Aa2 (sf) Cl. B, Upgraded to Ba1 (sf); previously on Aug 22, 2012 Downgraded to Ba2 (sf) Cl. C, Upgraded to Ba2 (sf); previously on Aug 22, 2012 Downgraded to Ba3 (sf) Cl. D, Upgraded to B1 (sf); previously on Aug 22, 2012 Downgraded to B2 (sf) Cl. E, Upgraded to B2 (sf); previously on Aug 22, 2012 Downgraded to B3 (sf) Cl. F, Upgraded to B3 (sf); previously on Dec 2, 2010 Downgraded to Caa1 (sf) Cl. G, Upgraded to Caa1 (sf); previously on Dec 2, 2010 Downgraded to Caa2 (sf) Cl. H, Upgraded to Caa2 (sf); previously on Dec 2, 2010 Downgraded to Caa3 (sf) Cl. J, Upgraded to Caa3 (sf); previously on Dec 2, 2010 Downgraded to Ca (sf) Cl. K, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. O, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. P, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. Q, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. XP, Upgraded to Aa1 (sf); previously on Feb 22, 2012 Downgraded to Aa2 (sf) Cl. XS, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The upgrades are due primarily to paydowns, amortization, and overall improved performance of the deal. 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. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The affirmations of the below-investment grade classes are due to Moody's expected loss remaining within a range commensurate with the in-place ratings. The rating of the Class X-P IO bond is upgraded to reflect the improved credit quality of its referenced classes. Class X-P is a PAC IO and references the A-M and A-J bonds, which are upgraded in this rating action. The rating of the Class X-S IO bond is consistent with the expected credit performance of its referenced classes and thus is affirmed. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of approximately 8.0% of the current deal balance. At last review, Moody's base expected loss was approximately 8.3%. Moody's base expected loss plus realized loss is 8.0% of the original securitized deal balance compared to 8.7% at Moody's 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. 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 pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit assessments in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 23 compared to 24 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the July 10, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 12% to $2.54 billion from $2.89 billion at securitization. The Certificates are collateralized by 92 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 58% of the pool. The pool contains no loans with investment-grade credit assessments and no defeased loans. Twenty-four loans, representing 23% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have liquidated from the pool, contributing to an aggregate realized loss to the trust of $27 million. Loans that were liquidated from the pool averaged a 12% loss severity. Currently, eight loans, representing 4% of the pool, are in special servicing. Moody's estimates an aggregate $54 million loss (52% expected loss) for all specially serviced loans. Moody's has assumed a high default probability for 21 poorly- performing loans representing 21% of the pool. Moody's analysis attributes to these troubled loans an aggregate $76 million loss (14% expected loss severity based on a 49% probability default). Moody's was provided with full-year 2012 and partial year 2013 operating results for 94% and 35% of the performing pool, respectively. Excluding troubled and specially serviced loans, Moody's weighted average LTV is 111% compared to 110% at last full review. Moody's net cash flow reflects a weighted average haircut of 9.1% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Excluding troubled and specially serviced loans, Moody's actual and stressed DSCRs are 1.34X and 0.92X, respectively, compared to 1.37X and 0.93X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 28% of the pool. The largest loan is the 60 Wall Street Loan ($285 million -- 11% of the pool). The loan represents two pooled pari passu loan pieces of a $919.4 million loan which is secured by a Class A office tower in the Financial District of Lower Manhattan. The property is 100% leased to Deutsche Bank AG (Moody's senior unsecured rating A2, stable outlook) until June 2022. Moody's current LTV and stressed DSCR are 112% and 0.79X, respectively, the same as at Moody's last review. The second largest loan is the Waterview Loan ($210 million -- 8% of the pool), which is secured by a 24-story Class A office building in the Rosslyn section of Arlington, Virginia. The property is 99% leased to The Corporate Executive Board (Moody's senior unsecured rating B1, stable outlook) through January 2028. The property commands higher rents than the submarket average due to the high quality of the property and commanding views of nearby Washington, DC. Moody's current LTV and stressed DSCR are 94% and 0.98X, unchanged from Moody's last review. The third largest loan is the DDR Portfolio Loan ($221 million -- 9% of the pool). The loan is secured by 52 anchored retail properties located across ten states. Approximately three quarters of the properties are grocery-anchored centers. Portfolio occupancy was 88% as of year-end 2012, up slightly from 86% at Moody's last review, but down from 96% at securitization. The loan benefits from amortization. The loan sponsor is the real estate investment trust DDR Corp. (Moody's senior unsecured rating Baa3, positive outlook). Moody's current LTV and stressed DSCR are 118% and 0.78X, respectively, compared to 120% and 0.76X at last review. COMM 2013-300P: Fitch to Rate $28MM Class E Certificates 'BB+' -------------------------------------------------------------- Fitch Ratings has issued a presale report on COMM 2013-300P Mortgage Trust commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $222,000,000 class A1 'AAAsf'; Outlook Stable; -- $75,000,000 class A1P 'AAAsf'; Outlook Stable; -- $297,000,000* class X-A 'AAAsf'; Outlook Stable; -- $61,000,000 class B 'AA-sf'; Outlook Stable; -- $42,000,000 class C 'A-sf'; Outlook Stable; -- $57,000,000 class D 'BBB-sf'; Outlook Stable; -- $28,000,000 class E 'BB+sf'; Outlook Stable. * Interest-only and notional amount. The expected ratings are based upon information received by the issuer as of July 31, 2013. The COMM 2013-300P certificates represent the beneficial interests in the mortgage loan securing the 300 Park Avenue property located in New York, NY. Proceeds of the loan were used to refinance existing debt, pay closing costs, and return equity to the sponsor. The certificates will follow a sequential-pay structure. Key Rating Drivers Low Trust Leverage: Fitch's stressed debt service coverage ratio (DSCR) for the trust component of the debt is 1.32x, and the stressed loan to value (LTV) is 67.2%. Additionally, the 'AAAsf' rated debt is only $385 per square foot (psf) which implies the property could sustain a 70% decline in value from its current $1 billion appraised value and still repay 'AAAsf' debt. Credit Tenancy: As of July 2013, the property was 91.6% leased by 13 tenants and serves as the global headquarters for Colgate- Palmolive ('AA-'; Stable Outlook by Fitch), which leases 65.3% of the net rentable area (NRA) through June 2023. Tenant Concentration and Rollover Risk: During the 10-year loan term 98.8% of the leased NRA rolls, including the largest tenant, Colgate-Palmolive, whose lease expires two months before the loan matures. Colgate-Palmolive has demonstrated a commitment to the property through long-term occupancy of 59 years, a 2008 early lease renewal for 15 years, and recent and ongoing investments in their space. Limited Structural Features: The loan has no upfront reserves other than real estate taxes, no structure in place to mitigate the Colgate-Palmolive lease expiration, springing cash management, and there is no carve-out guarantor. Excellent Location: The property is located in the Grand Central submarket (just south of the Plaza submarket) between 49th and 50th streets on the west side of Park Avenue. The location is four blocks north of Grand Central Terminal and offers excellent accessibility and proximity to public transportation. Rating Sensitivities Fitch found that the pool could withstand a 70.3% decline in value and an approximately 56.3% decrease in the most recent actual cash flow prior to experiencing $1 of loss to any 'AAAsf' rated class. Fitch evaluated the sensitivity of the ratings of class A (rated 'AAAsf') and found that a 8% decline in Fitch net cash flow would result in a one-category downgrade, while a 35% decline would result in a downgrade to below investment grade. The Rating Sensitivity section in the presale report includes a detailed explanation of additional stresses and sensitivities. Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report. COMMERCIAL MORTGAGE 2007-GG11: S&P Keeps CCC Rating on Cl. B Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-4 and A-1-A commercial mortgage pass-through certificates from Commercial Mortgage Trust 2007-GG11, a U.S. commercial mortgage- backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on eight other classes. S&P's rating actions reflect its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS. S&P's analysis included a review of the credit characteristics and performance of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. "Our raised ratings on the class A-4 and A-1-A certificates reflect our expected available credit enhancements for these tranches, which we believe are greater than our most recent estimate of necessary credit enhancement for the rating levels. The upgrades also reflect our views regarding the current and future performance of the transaction's collateral, as well as the reduced trust balance, including the repayment in full of the Scottsdale Fashion Square loan in March 2013," S&P said. "The affirmations of our ratings on the principal and interest certificates reflect our expectation that the available credit enhancement for these classes will be within our estimate of the necessary credit enhancement required for the current outstanding ratings. The affirmed ratings also reflect the credit characteristics and performance of the remaining assets, as well as the transaction-level changes," S&P added. "While available credit enhancement may suggest positive rating movement on the certificate classes, we affirmed our ratings because our analysis also took into consideration our view on available liquidity support and risks associated with potential interest shortfalls in the future. Specifically, we considered the potential for the 12 specially serviced assets ($297.4 million, 14.9%) and the 24 loans on the master servicer's watchlist ($825.7 million, 41.3%) to generate additional interest shortfalls and decrease the liquidity support available to the trust," S&P added. S&P affirmed its 'AAA (sf)' ratings on the class XP and XC interest-only (IO) certificates based on its criteria for rating IO securities. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS RAISED Commercial Mortgage Trust 2007-GG11 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-4 AA- (sf) BBB+ (sf) 36.44 A-1-A AA- (sf) BBB+ (sf) 36.44 RATINGS AFFIRMED Commercial Mortgage Trust 2007-GG11 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-3 AAA (sf) 36.44 A-AB AAA (sf) 36.44 A-M BB (sf) 22.98 A-J B- (sf) 12.39 B CCC (sf) 11.38 C CCC- (sf) 10.04 XP AAA (sf) N/A XC AAA (sf) N/A N/A-Not applicable. CREDIT SUISSE 2000-C1: S&P Affirms 'B-' Rating on Class H Notes --------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class G commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2000-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction. Concurrently, S&P affirmed its 'B- (sf)' rating on the class H certificates from the same transaction (see list). "Our rating actions follow our analysis of the transaction, which included a review of the credit characteristics of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. The raised rating on class G also reflects our expected available credit enhancement for this class, which we believe is greater than our most recent estimate of necessary credit enhancement for the most recent rating levels. Additionally, the upgrade reflects our views regarding the current and future performance of the collateral supporting the transaction, as well as the reduced pool trust balance," S&P said. The affirmed rating on class H reflects S&P's expectation that the available credit enhancement for this class will be within its estimate of necessary credit enhancement required for the current outstanding rating. The affirmation also reflects the credit characteristics and performance of the remaining loans, as well as the transaction-level changes. "While available credit enhancement levels may suggest further positive rating movements on classes G and H, our analysis also considered the number of loans on the master servicers' combined watchlist ($2.7 million, 12.1%), accumulated interest shortfalls outstanding as well as the liquidity support available to the remaining classes. As of the July 17, 2013, trustee remittance report, the trust experienced interest shortfalls totaling $10,170 primarily due to an interest rate reductions ($9,886) related to the modification of The Ponds Cooperative Homes Inc. loan ($4.9 million, 21.8%), which is a corrected mortgage loan that has been returned to the master servicer. The loan was previously transferred to the special servicer in April 2010 due to imminent maturity default and has been given multiple extensions since. The loan is secured by a 144-unit multifamily cooperative housing (co-op) property in Okemos, Mich. According to the master servicer, the modification terms included reducing the interest rate to 6.5% from 8.9% and extending the new maturity date to Jan. 1, 2015. Class H has accumulated interest shortfalls outstanding for 11 months and could potentially experience additional interest shortfalls in the future should any of the remaining loans be transferred to the special servicer. The G class certificates have experienced interest shortfalls one time in the past," S&P added. Using servicer-provided financial information, S&P calculated an adjusted Standard & Poor's debt service coverage (DSC) ratio of 1.14x and a loan-to-value (LTV) ratio of 57.6% for 29 of the 34 remaining loans in the pool, which include 27 co-op loans ($12.9 million, 56.8%). The DSC and LTV calculations exclude four defeased loans ($1.8 million, 7.9%) and one nonreporting loan ($489,716, 2.2%). As of the July 17, 2013, trustee remittance report, the collateral pool had an aggregate trust balance of $22.6 million, down from $1.1 billion at issuance. The pool comprises 34 loans, down from 211 loans at issuance. To date, the transaction has experienced losses totaling $50.3 million, or 4.5% of the transaction's original pool balance. No loans are currently with the special servicer. The master servicers, Berkadia Commercial Mortgage LLC and NCB FSB, reported seven loans ($2.7 million, 12.1%) on their combined watchlist. The largest loan on the master servicers' combined watchlist is the Timber Ridge Apartments loan ($2.2 million, 9.7%). The loan is secured by a 136-unit multifamily apartment complex in Arlington, Texas. The loan is on the master servicers' watchlist due to a low reported DSC of 0.57x for year-end 2012. The reported occupancy was 91.9% for the same reporting 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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING RAISED Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2000-C1 Rating Class To From Credit enhancement (%) G A- (sf) BBB- (sf) 73.08 RATING AFFIRMED Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2000-C1 Class Rating Credit enhancement (%) H B- (sf) 17.82 CREST 2001-1: Moody's Affirms Ca Rating on $30MM Class C Notes -------------------------------------------------------------- Moody's has affirmed the rating of one class of Notes issued by Crest 2001-1, Ltd. The affirmation is due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The increased note redemption was offset by a deterioration in the underlying collateral as evidenced by the Moody's weighted average rating factor (WARF) and recovery rate (WARR). 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: $30,000,000 Class C Third Priority Fixed Rate Term Notes, Due 2034, Affirmed Ca (sf); previously on Sep 28, 2011 Downgraded to Ca (sf) Ratings Rationale: Crest 2001-1, 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 25, 2013 Trustee report, the aggregate Note balance of the transaction, including preferred shares, was $46.3 million down from $500 million at issuance, with the paydown directed to the Class C Notes, as a result of amortization of the underlying collateral and the failing of certain par value tests. There are two assets with a par balance of $17.5 million (58.7% of the current pool balance) that are considered Defaulted Securities as of the June 25, 2013 Trustee report. Both of these assets are CMBS. While there have been limited 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 6,155 compared to 3,674 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (22.4% compared to 18.4% at last review), A1-A3 (0% the same as at last review), Baa1-Baa3 (15.0% compared to 35.8% at last review), Ba1-Ba3 (0% compared to 12.2% at last review), B1-B3 (0% the same as at last review), and Caa1-C (62.6% compared to 33.7% at last review). Moody's modeled a WAL of 4.8 years compared to 2.8 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 12.1% compared to 23.8% at last review. Moody's modeled a MAC of 100% compared to 3.3% at last review. The increase in MAC is due to higher credit risk collateral concentrated in a small number of collateral names. 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 12.1% to 2.1% or up to 22.1% would not result in any further rating 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. DAVIS SQUARE IV: Moody's Cuts Rating on $0.6MM Cl. E Notes to Ba1 ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of the following notes issued by Davis Square Funding IV, Ltd.: $2,000,000 Class E Deferrable Floating Rate Notes Due 2040 (current balance of $612,069), Downgraded to Ba1 (sf); previously on March 10, 2011 Upgraded to Aa2 (sf). Ratings Rationale: According to Moody's, the rating action taken on the notes is primarily due to the concern that under certain circumstances the Class E Notes might be exposed to sizable losses if a significant majority of the underlying collateral is sold or redeemed before the expected amortization in full of the Class E Notes in May 2015. Moody's says that it has re-assessed the risk that unscheduled sales or redemptions of collateral pose to holders of the Class E Notes. Moody's notes that in consideration of the prior occurrence of a default in paying interest on the Class E Notes, the transaction's priority of payments specifies that the Class E Notes are entitled to receive periodic interest, plus a scheduled principal repayment of $26,611 on every monthly payment date. However, absent an event of default, other noteholders have a senior claim on principal repayment from sales or redemption proceeds, and no other outstanding principal on the Class E Notes is paid from such proceeds. In reviewing the potential that unscheduled sales or redemptions of collateral prior to May 2015 may result in constraining the future availability of cashflow to amortize the Class E Notes, Moody's concluded that the risk was more compatible with a speculative grade rating. Davis Square Funding IV, Ltd., issued in April 2005, is a collateralized debt obligation backed primarily by a portfolio of RMBS originated from 2004 to 2007. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. The main source of uncertainty on the rating of Class E notes is the speed of sales and/or unscheduled principal payment of the underlying collateral. The deal is also subject to the uncertainty of the slowdown in growth in the current macroeconomic environment and the commercial and residential real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. Moody's did not use a cash flow model to analyze the default and recovery properties of the collateral pool. 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. DENALI CAPITAL: S&P Affirms 'B+' Rating on Class B-2L Notes ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1L, A-1LR, A-2L, A-3L, and B-1L notes from Denali Capital CLO VI Ltd., a U.S. collateralized loan obligation (CLO) managed by Denali Capital LLC. Simultaneously, S&P affirmed its rating on the class B-2L notes. At the same time, S&P removed all of the ratings from CreditWatch, where they had been placed with positive implications on May 17, 2013. The upgrades mainly reflect increased credit support available to the rated notes as the deal continues to amortize and pay down the senior notes. The affirmation reflects sufficient credit support available to the notes at the current rating level. The transaction's reinvestment period ended in July 2012. Since then, it has paid down approximately $214 million and $77 million to the class A-1L and class A-1LR notes, respectively. Following the paydowns, these notes are currently at approximately 22% of their original issuance amounts. The paydown of the notes increased the overcollateralization (O/C) ratios in the transaction. The trustee reports the following O/C ratios in the July 2013 monthly report: -- The class A-2L ratio is 139.88%, up from 117.68% in the November 2011 trustee report that we used for our December 2011 analysis. -- The class A-3L ratio is 121.90%, compared with 111.08% in November 2011. -- The class B-1L ratio is 110.64%, compared with 106.36% in November 2011. -- The class B-2L ratio is 103.59%, compared with 103.13% in November 2011. The transaction also has fewer defaulted obligations than it did in November 2011. Based on the July 2013 trustee report, which S&P referenced for the rating actions, the transaction contained $5.71 million of defaulted assets, down from the $9.62 million noted in the November 2011 trustee report, which S&P used for its last rating action on December 2011. The affirmation of the class B-2L notes was driven by the application of the largest obligor default test, one of the two supplemental tests S&P introduced as part of its revised corporate CDO criteria published in 2009. 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 RATING AND CREDITWATCH ACTIONS Denali Capital CLO VI Ltd. Rating Class To From A-1L AAA (sf) AA+ (sf)/Watch Pos A-1LR AAA (sf) AA+ (sf)/Watch Pos A-2L AAA (sf) A+ (sf)/Watch Pos A-3L AA+ (sf) BBB+ (sf)/Watch Pos B-1L BBB+ (sf) BBB- (sf)/Watch Pos B-2L B+ (sf) B+ (sf)/Watch Pos TRANSACTION INFORMATION Issuer: Denali Capital CLO VI Ltd. Co-issuer: Denali Capital CLO VI Ltd. (Delaware) LLC Collateral manager: Denali Capital LLC Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO DEUTSCHE BANK 2011-LC3: Fitch Affirms 'B' Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 17 classes of Deutsche Bank Securities (DBUBS) commercial mortgage pass-through certificates series 2011- LC3. Key Rating Drivers The rating affirmations are based on the stable performance of the underlying collateral. Expected losses are in-line with issuance. The transaction is highly concentrated with the top five and 10 largest loans accounting for 44% and 61%, respectively. Additionally, the transaction has a large hotel concentration of 22.5% with the second and fourth largest loans being secured by hotels. The pool has experienced no delinquencies, nor have any loans been specially serviced since issuance. Fitch has flagged one Loan of Concern (7.2%). As of the July 2013 distribution date, the pool's aggregate principal balance has been reduced by 3.1% to $1.6 billion from $1.65 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting class G. The Fitch Loan of Concern (7.2%) is secured by a portfolio of eight full-service hotels located across eight states consisting of 2.342 rooms. The portfolio includes six Marriott hotels, one Doubletree, and one Hilton. As of December 2012 the portfolio was 60% occupied with revenue per available room (RevPAR) of $89 compared to 59% and $83.11 for the prior year. The portfolio is on the master servicer's watchlist due to borrower notification that the Hilton Boston Woburn sustained damage due to Hurricane Irene. Per the master servicer, as of February 2013, the restoration is approximately 90% complete. The year end (YE) 2012 debt service coverage ratio declined to 4.97x compared to 5.90x YE 2011 but remains above that at issuance. Rating Sensitivity Rating Outlooks on classes A-1 through P-M5 remain Stable due to sufficient credit enhancement and continued paydown and overall stable pool performance. Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue report published on Sept. 8, 2011. Fitch affirms the following classes: -- $52.4 million class A-1 at 'AAAsf'; Outlook Stable; -- $671.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $97.3 million class A-3 at 'AAAsf'; Outlook Stable; -- $112.1 million class A-4 at 'AAAsf'; Outlook Stable; -- $127.6 million class A-M at 'AAAsf'; Outlook Stable; -- Interest-only Class X-A at 'AAAsf'; Outlook Stable; -- $75.2 million class B at 'AAsf'; Outlook Stable; -- $54.2 million class C at 'Asf'; Outlook Stable; -- $73.4 million class D at 'BBB-sf'; Outlook Stable; -- $19.2 million class E at 'BBsf'; Outlook Stable; -- $19.2 million class F at 'Bsf'; Outlook Stable; -- $134.7 million class PM-1 at 'AAAsf'; Outlook Stable; -- Interest-only class PM-X at 'AAAsf'; Outlook Stable; -- $32.9 million class PM-2 at 'AAsf'; Outlook Stable; -- $28.9 million class PM-3 at 'Asf'; Outlook Stable; -- $26.5 million class PM-4 at 'BBBsf'; Outlook Stable; -- $20.9 million class PM-5 at 'BBB-sf'; Outlook Stable. Fitch does not rate the interest-only class X-B or the class G certificates. FOUNDERS GROVE: Moody's Affirms 'Ba2' Rating on $27MM Cl. D Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Founders Grove CLO, Ltd.: $6,600,000 Class C Deferrable Floating Rate Notes Due April 25, 2018, Upgraded to Aaa (sf); previously on July 15, 2013 Upgraded to Aa1 (sf) and Placed Under Review for Possible Upgrade. Moody's also affirmed the ratings of the following notes: $50,000,000 Class A-1 Floating Rate Notes Due April 25, 2018 (current outstanding balance of $6,999,785.05), Affirmed Aaa (sf); previously on September 15, 2011 Upgraded to Aaa (sf); $170,500,000 Class A-2 Floating Rate Notes Due April 25, 2018 (current outstanding balance of $23,869,267), Affirmed Aaa (sf); previously on September 15, 2011 Upgraded to Aaa (sf); $20,100,000 Class B Floating Rate Notes Due April 25, 2018, Affirmed Aaa (sf); previously on July 15, 2013 Upgraded to Aaa (sf); $27,300,000 Class D Floating Rate Notes Due April 25, 2018 (current outstanding balance of $25,122,733.17), Affirmed Ba2 (sf); previously on September 15, 2011 Upgraded to Ba2 (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 January 2013. Moody's notes that the Class A Notes have been paid down by approximately 43.9% or $44.4 million since January 2013. Based on the latest trustee report dated July 15, 2013, the Class A/B, C and D overcollateralization ratios are reported at 145.96%,135.07% and 105.19%, respectively, versus January 2013 levels of 128.91% 122.69% and 103.66%, respectively. Moody's also announced that it has concluded its review of its ratings on the issuer's 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. 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 $82.4 million, defaulted par of $7.9 million, a weighted average default probability of 17.65% (implying a WARF of 2784), a weighted average recovery rate upon default of 53.12%, and a diversity score of 33. 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. Founders Grove CLO, Ltd, issued in April 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's 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% (2227) Class A-1: 0 Class A-2: 0 Class B: 0 Class C: 0 Class D: +1 Moody's Adjusted WARF + 20% (3341) Class A-1: 0 Class A-2: 0 Class B: 0 Class C: 0 Class D: 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: A 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. The deal continues to experience an increased exposure resulted from Amendment and Extend to loan agreements. GANNETT PEAK: S&P Affirms 'B+' Rating on 2 Note Classes ------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1a, A-1b, A-2, B-1, B-2, and C notes from Gannett Peak CLO I Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by THL Credit Senior Loan Strategies LLC. At the same time, S&P affirmed its ratings on the D-1 and D-2 notes. S&P removed all of the ratings on the notes from CreditWatch, where it placed them with positive implications on July 9, 2013. The upgrades primarily reflect paydowns to the class A-1 noteholders. Since S&P's latest rating action in July 2012, the A-1 notes have paid down a total of $256.24 million and are currently about 40% of their original notional balance. There have also been some improvements in the performance of the transaction's underlying asset portfolio since July 2012. As of the July 2013 trustee report, the transaction had $0.94 million of defaulted assets. This was down from the $8.86 million noted in the June 2012 report, which S&P referenced for its July 2012 rating action. Furthermore, the amount of assets from obligors rated in the 'CCC' category was reported at $30.13 million in July 2013, down from $45.65 million in July 2012. S&P notes that the transaction has significant exposure to two obligors that are at risk of restructuring in the near future. One of the two obligors is the pool's second-largest obligor and constitutes 3.53% of the transaction's total performing par. The other obligor is the 12th-largest and constitutes about 1.58%. The upgrades also reflect an increase in the overcollateralization (O/C) available to support the notes since the July 2012 rating action. The trustee reported a senior O/C of 137.02% at the A-2 level, higher than the 125.26% noted in the June 2012 report. The most subordinate O/C was 105.84% at the D-2 level, higher than the 104.67% at the time of the latest rating action. Based on S&P's review of the cash flow and the supplemental test results, it affirmed its ratings on the class D-1 and D-2 notes to reflect the availability of sufficient credit support at the current ratings. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Gannett Peak CLO I Ltd. Rating Class To From A-1a AAA (sf) AA+ (sf)/Watch Pos A-1b AAA (sf) AA+ (sf)/Watch Pos A-2 AAA (sf) AA (sf)/Watch Pos B-1 AA (sf) A (sf)/Watch Pos B-2 AA (sf) A (sf)/Watch Pos C BBB+ (sf) BB+ (sf)/Watch Pos D-1 B+ (sf) B+ (sf)/Watch Pos D-2 B+ (sf) B+ (sf)/Watch Pos TRANSACTION INFORMATION Issuer: Gannett Peak CLO I Ltd. Coissuer: Gannett Peak CLO I Corp. Collateral manager: THL Credit Senior Loan Strategies LLC Underwriter: Deutsche Bank Securities Inc. Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO GS MORTGAGE 1999-C1: S&P Affirms 'CCC-' Rating on G Certificates ---------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'CCC- (sf)' rating on the class G commercial mortgage pass-through certificates from GS Mortgage Securities Corp. II's series 1999-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction. The affirmation 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 all of the pool's remaining loans, the transaction structure, and the trust's available liquidity. The affirmation of S&P's 'CCC- (sf)' rating on the class G principal and interest certificates reflects our expectation that this class's available credit enhancement will be within S&P's estimates for what is necessary for the current outstanding rating. The affirmation also reflects the transaction-level changes. While available credit enhancement levels may suggest positive rating movement on class G, S&P's analysis also considered the historical interest shortfalls the class has experienced as well as the class's limited available liquidity support. As of the July 18, 2013, trustee remittance report, the collateral pool consisted of 22 loans with an aggregate pooled trust balance of $20.7 million, down from $890.6 million at issuance. Using servicer-provided financial information, S&P calculated a Standard & Poor's adjusted debt service coverage (DSC) of 1.22x and a Standard & Poor's loan-to-value (LTV) ratio of 56.2% for 20 of the pool's 22 remaining loans. The DSC and LTV calculations exclude one defeased loan ($0.6 million, 3.0%) and one hope note ($1.5 million, 7.3%). To date, the transaction has experienced losses totaling $33.9 million, or 3.8% of the transaction's original pooled certificate balance. The master servicer, Berkadia Commercial Mortgage LLC (Berkadia), provided financial information for 97.0% of the nondefeased loans in the pool, of which 2.9% was full-year 2011 and the remainder was full-year 2012 data. Nine loans ($6.1 million, 29.5%) in the pool are on the master servicer's watchlist. Details of the three largest loans on the master servicer's watchlist are as follows: -- The Sahara View Apartments loan ($1.5 million, 7.5%), the second-largest nondefeased loan in the pool, is the largest loan on the master servicer's watchlist. The loan is secured by an 81-unit multifamily property in Las Vegas. The loan is on the master servicer's watchlist because of a low reported DSC of 1.02x as of year-end 2012. The reported occupancy was 83.8% for the same reporting period. -- The Days Inn-Stone Mountain loan ($1.1 million, 5.6%) is the second-largest loan on the master servicer's watchlist. The loan is secured by an 81-room, limited service lodging property in Stone Mountain, Ga. The loan appears on the watchlist because of a low reported DSC of 0.50x for year- end 2012. The reported occupancy and average daily rate were 50.5% and $49.96, respectively, for the six months ended June 30, 2012. -- The Pinehill Plaza & Apartments loan ($0.9 million, 4.4%) is the third-largest loan on the master servicer's watchlist. The loan is secured by a 43-unit multifamily property in Pembroke Pines, Fla. The loan appears on the watchlist because of a low reported DSC of 0.85x as of year-end 2012. The reported occupancy was 88.0% for the same reporting 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 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 GS MORTGAGE 2011-GC3: Moody's Keeps Ratings over Rights Transfer ---------------------------------------------------------------- Moody's Investors Service was informed that Rialto Real Estate Fund, LP, as the Controlling Class Representative, has elected to terminate Midland Loan Services as the existing Special Servicer (except with respect to the Stanley Hotel Whole Loan) and to appoint Rialto Capital Advisors, LLC (Rialto) as the successor Special Servicer (except with respect to the Stanley Hotel Whole Loan). The Proposed Special Servicer Transfer and Replacement will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the Proposed Special Servicer Replacement. Moody's has determined that this proposed special servicing replacement 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 GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2011-GC3 (the Certificates). Moody's opinion only addresses the credit impact associated with the proposed designation and transfer of special servicing rights. Moody's is not expressing any opinion as to whether this change has, or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. The last rating action for GSMS 2011-GC3 was taken on March 20, 2013. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. On March 20, 2013, Moody's affirmed the ratings of ten classes of GS Mortgage Securities Trust 2011-GC3 Commercial Mortgage Pass- Through Certificates Series 2011-GC3 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Apr 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Apr 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Apr 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 1, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Apr 1, 2011 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Apr 1, 2011 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Apr 1, 2011 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Apr 1, 2011 Definitive Rating Assigned Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Apr 1, 2011 Definitive Rating Assigned B2 (sf) Cl. X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) GS MORTGAGE 2012-GC6: Moody's Keeps Ratings After Rights Transfer ----------------------------------------------------------------- Moody's Investors Service was informed that Rialto Real Estate Fund, LP, as the Controlling Class Representative, has elected to terminate CWCapital Asset Management (CWCAM) as the existing Special Servicer and to appoint Rialto Capital Advisors, LLC (Rialto) as the successor Special Servicer. The Proposed Special Servicer Transfer and Replacement will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the Proposed Special Servicer Replacement. Moody's has determined that this proposed special servicing replacement 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 GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2012-GC6 (the Certificates). Moody's opinion only addresses the credit impact associated with the proposed designation and transfer of special servicing rights. Moody's is not expressing any opinion as to whether this change has, or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. The last rating action for GSMS 2012-GC6 was taken on February 7, 2013. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. On February 7, 2013, Moody's affirmed the ratings of 11 classes of GS Mortgage Securities Corporation II, Commercial Mortgage Pass- Through Certificates, Series 2012-GC6 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Feb 9, 2012 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Feb 9, 2012 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Feb 9, 2012 Definitive Rating Assigned Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Feb 9, 2012 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) ICONS LTD: A.M. Best Cuts Rating on 3 Debt Classes to 'bb' ---------------------------------------------------------- A.M. Best Co. has downgraded the debt ratings on three tranches and affirmed the debt ratings on three additional tranches on a multi-tranche collateralized debt obligation (CDO) co-issued by two bankruptcy remote special purpose vehicles: ICONS, Ltd. (Cayman Islands) and ICONS CDO Corp. (Delaware) (collectively known as ICONS and issuers). The outlook for all ratings is stable. (See below for a detailed listing of the debt ratings.) The principal balance of the rated notes are collateralized by a pool of trust preferred securities, surplus notes and secondary market securities (collectively, the capital securities), primarily issued by small to medium-sized insurance companies. The capital securities are pledged as security to the notes. Interest paid by the issuers of the capital securities are the primary source of funds to pay operating expenses of the issuers and interest on the notes. Repayment of the principal for the notes is primarily funded from the redemption of the capital securities. These rating actions primarily reflect: (1) the current issuer credit ratings (ICR) of the remaining issuers of the capital securities and the number of terminated capital securities; (2) a stress of up to 250% on the assumed marginal default rates of insurers (derived from Best's Idealized Default Rates of Insurers); (3) the amount of capital securities considered to be in distress; (4) recoveries of 0% after defaults of the capital securities; and (5) qualitative factors such as the effect of interest rate spikes; subordination level associated with each rated tranche; the adjacency of very high investment grade ratings to very low non-investment grade ratings in the transaction's capital structure; and the possibility that additional redemptions of highly-rated entities will leave lower-rated companies in the collateral pool. The debt ratings could be upgraded or downgraded and/or the outlook revised if there are material changes in the ICRs of the remaining insurance carriers, an increase in the number of defaulted capital securities or significant termination of the number of existing capital securities. The following debt ratings have been downgraded: ICONS, Ltd. and ICONS CDO Corp. * "bb" from "bbb-" on $8 million Class C-1 Deferrable Mezzanine Notes Due 2034 * "bb" from "bbb-" on $20 million Class C-2 Deferrable Mezzanine Notes Due 2034 * "bb" from "bbb-" on $6 million Class C-3 Deferrable Mezzanine Notes Due 2034 The following debt ratings have been affirmed: ICONS, Ltd. and ICONS CDO Corp. -- "aaa" on $172 million Class A Senior Notes Due 2034 -- "aa" on $40 million Class B Senior Notes Due 2034 -- "b+" on $20 million Class D Deferrable Mezzanine Notes Due 2034 These are structured finance ratings. IMPAC CMB: Moody's Takes Action on $6.6BB of Alt-A RMBS ------------------------------------------------------- Moody's Investors Service upgraded the ratings of two tranches and confirmed the ratings of 29 tranches backed by Alt-A RMBS loans, issued by 6 Impac CMB Trust RMBS transactions Complete rating actions are as follows: Issuer: Impac CMB Trust Series 2003-11 Cl. 1-A-1, Confirmed at A3 (sf); previously on May 14, 2013 A3 (sf) Placed Under Review Direction Uncertain Cl. 1-A-2, Confirmed at Baa2 (sf); previously on May 14, 2013 Baa2 (sf) Placed Under Review Direction Uncertain Cl. 1-M-1, Confirmed at Baa3 (sf); previously on May 14, 2013 Baa3 (sf) Placed Under Review Direction Uncertain Cl. 1-M-2, Confirmed at Ba3 (sf); previously on May 14, 2013 Ba3 (sf) Placed Under Review Direction Uncertain Cl. 1-M-3, Confirmed at B2 (sf); previously on May 14, 2013 B2 (sf) Placed Under Review Direction Uncertain Issuer: Impac CMB Trust Series 2003-8 Cl. 1-A-1, Confirmed at Aa2 (sf); previously on May 14, 2013 Aa2 (sf) Placed Under Review Direction Uncertain Cl. 1-A-2, Confirmed at A1 (sf); previously on May 14, 2013 A1 (sf) Placed Under Review Direction Uncertain Cl. 1-M-1, Confirmed at Baa1 (sf); previously on May 14, 2013 Baa1 (sf) Placed Under Review Direction Uncertain Cl. 1-M-2, Confirmed at Baa2 (sf); previously on May 14, 2013 Baa2 (sf) Placed Under Review Direction Uncertain Cl. 1-M-3, Confirmed at Baa2 (sf); previously on May 14, 2013 Baa2 (sf) Placed Under Review Direction Uncertain Cl. 1-M-4, Confirmed at Baa3 (sf); previously on May 14, 2013 Baa3 (sf) Placed Under Review Direction Uncertain Issuer: Impac CMB Trust Series 2004-10 Cl. 1-A-1, Confirmed at B2 (sf); previously on May 14, 2013 B2 (sf) Placed Under Review Direction Uncertain Underlying Rating: Confirmed at B2 (sf); previously on May 14, 2013 B2 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. 1-A-2, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Underlying Rating: Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. 2-A, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Underlying Rating: Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. 3-A-1, Confirmed at Ba1 (sf); previously on May 14, 2013 Ba1 (sf) Placed Under Review Direction Uncertain Cl. 3-A-2, Confirmed at B1 (sf); previously on May 14, 2013 B1 (sf) Placed Under Review Direction Uncertain Cl. 3-M-1, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Issuer: Impac CMB Trust Series 2004-11 Collateralized Asset-Backed Bonds, Series 2004-11 Cl. 1-A-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Underlying Rating: Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. 1-A-2, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Underlying Rating: Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. 2-A-1, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Issuer: Impac CMB Trust Series 2004-5 Collateralized Asset-Backed Bonds, Series 2004-5 Cl. 1-A-1, Confirmed at Baa2 (sf); previously on May 14, 2013 Baa2 (sf) Placed Under Review Direction Uncertain Cl. 1-A-2, Confirmed at A3 (sf); previously on May 14, 2013 A3 (sf) Placed Under Review Direction Uncertain Cl. 1-A-3, Confirmed at Baa3 (sf); previously on May 14, 2013 Baa3 (sf) Placed Under Review Direction Uncertain Cl. 1-M-1, Confirmed at Ba2 (sf); previously on May 14, 2013 Ba2 (sf) Placed Under Review Direction Uncertain Cl. 1-M-2, Confirmed at B1 (sf); previously on May 14, 2013 B1 (sf) Placed Under Review Direction Uncertain Cl. 1-M-3, Confirmed at B2 (sf); previously on May 14, 2013 B2 (sf) Placed Under Review Direction Uncertain Cl. 1-M-4, Confirmed at Caa1 (sf); previously on May 14, 2013 Caa1 (sf) Placed Under Review Direction Uncertain Cl. 1-M-5, Upgraded to Caa2 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. 1-M-6, Upgraded to Ca (sf); previously on Jul 12, 2012 Confirmed at C (sf) Issuer: Impac CMB Trust Series 2005-3 Collateralized Asset-Backed Bonds, Series 2005-3 Cl. A-1, Confirmed at Caa1 (sf); previously on May 14, 2013 Caa1 (sf) Placed Under Review Direction Uncertain Cl. A-3, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Underlying Rating: Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Ratings Rationale: These actions reflect recent performance of the underlying pools and Moody's updated loss expectations on the pools. These rating actions consist of 29 confirmations, and two upgrades. The upgrades are due to an increase in the credit enhancement available to the bonds. The actions also reflect the correction of an error in the Structured Finance Workstation (SFW) cash flow models used by Moody's in rating these transactions, specifically in how the models handle principal and interest allocation. The cash flow models used in the past rating actions had incorrectly used separate interest and principal waterfalls. However, the pooling and servicing agreements for these transactions provide that all collected principal and interest is commingled into one payment waterfall to pay all promised interest due on bonds first, then to pay scheduled principal. Due to the discovery of this error, thirty of the tranches in these rating actions were placed on review on May 14, 2013. The errors have been corrected, and these rating actions take into account the correct interest and principal waterfall. 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 July 2012 to 7.4% in July 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. JP MORGAN 2003-LN1: Moody's Affirms C Ratings on 2 Cert Classes --------------------------------------------------------------- Moody's Investors Service upgraded the ratings of five classes and affirmed nine CMBS classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates, Series 2003-LN1 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Oct 9, 2003 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Oct 9, 2003 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Jul 9, 2007 Upgraded to Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Jul 26, 2007 Upgraded to Aaa (sf) Cl. D, Upgraded to Aaa (sf); previously on Jul 26, 2007 Upgraded to Aa3 (sf) Cl. E, Upgraded to Aa1 (sf); previously on Jul 26, 2007 Upgraded to A2 (sf) Cl. F, Upgraded to A2 (sf); previously on Aug 9, 2012 Downgraded to Baa3 (sf) Cl. G, Upgraded to Baa1 (sf); previously on Aug 9, 2012 Downgraded to Ba2 (sf) Cl. H, Upgraded to B1 (sf); previously on Aug 9, 2012 Downgraded to B3 (sf) Cl. J, Affirmed Caa2 (sf); previously on Aug 9, 2012 Downgraded to Caa2 (sf) Cl. K, Affirmed Ca (sf); previously on Aug 9, 2012 Downgraded to Ca (sf) Cl. L, Affirmed C (sf); previously on Aug 9, 2012 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Sep 22, 2011 Downgraded to C (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The upgrades are due primarily to increased credit support from paydown and amortization, plus the expectation of future paydown from high-quality loans which are scheduled to mature in the coming months. Over 70% of the current loan balance is due to mature before year-end 2013. Of the loans with upcoming maturities, the majority have debt yields, DSCRs and LTVs which meet or exceed levels typically required for financing in the current marketplace. Additionally, nearly one-third of the maturing loan balance is represented by defeased 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. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The affirmations of the below-investment grade classes are due to Moody's expected loss remaining within a range commensurate with the in-place ratings. The rating of the IO Class, Class X-1, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of approximately 6.0% of the current deal balance. At last review, Moody's base expected loss was approximately 4.6%. Moody's base expected loss plus realized losses represents 4.6% of the original securitized deal balance compared to 5.7% at Moody's 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. 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 pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit assessments in the same transaction. 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 30 compared to a Herf of 49 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. Deal Performance: As of the July 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 70% to $372 million from $1.26 billion at securitization. The Certificates are collateralized by 71 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans (excluding defeasance) representing 30% of the pool. The pool contains no loans with investment-grade credit assessments. Twelve loans, representing approximately 25% of the pool, are defeased and are collateralized by U.S. Government securities. Forty-eight loans, representing 55% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seven loans have liquidated from the pool, contributing to an aggregate realized loss to the trust of $33 million. Loans that were liquidated from the pool averaged a 58% loss severity. As of the last reporting date, two loans, representing 3% of the pool, are in special servicing. Since the last reporting date, an additional loan, the Senate Plaza Loan ($11 million -- 3% of the pool) was transferred to the special servicer for maturity default. Inclusive of the Senate Plaza Loan, Moody's estimates an aggregate $12 million loss (52% expected loss) for all specially serviced loans. Moody's has assumed a high default probability for four poorly- performing loans representing 10% of the pool. Moody's analysis attributes to these troubled loans an aggregate $6 million loss (16% expected loss severity based on a 50% probability default). Moody's was provided with full-year 2011 operating results for 96% of the performing pool. Excluding troubled and specially serviced loans, Moody's weighted average LTV is 80%, the same as at Moody's last review. Moody's net cash flow reflects a weighted average haircut of 11.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding troubled and specially serviced loans, Moody's actual and stressed DSCRs are 1.48X and 1.38X, respectively, compared to 1.56X 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 performing conduit loans represent 18% of the pool. The largest loan is the Sheraton Inner Harbor Hotel Loan ($28 million -- 8% of the pool), which is secured by a 337-unit full- service hotel in downtown Baltimore, Maryland. Property financial performance has been stable since Moody's last review. The loan had a scheduled maturity date of October 15, 2013. Moody's current LTV and stressed DSCR are 112% and 1.06X, respectively, compared to 113% and 1.06X at last review. The second largest loan is the Chasewood Office Portfolio Loan ($21 million -- 6% of the pool). The loan is secured by two suburban office buildings located in the FM 1960 area of northwest Houston, Texas. The property was 65% leased as of year-end 2012 compared to 70% at Moody's last review and 93% at securitization. Property performance has suffered since 2011 when a tenant occupying approximately 25% of the net rentable area vacated. The space has since been only partially backfilled with new tenants. Since Moody's last review, the largest tenant, CDM Resources Management, renewed its lease through June 2020. CDM's prior lease expired in August 2012. Despite this positive development, Moody's continues to view this as a troubled loan due to ongoing high vacancy at the property and high vacancy in the larger FM 1960 submarket. Moody's current LTV and stressed DSCR are 140% and 0.75X, respectively, compared to 135% and 0.79X at last review. The third largest loan is the Piilani Shopping Center Loan ($17 million -- 5% of the pool). The loan is secured by a 66,000 square-foot retail center in Kihei, Hawaii. Property performance has improved markedly since securitization. The retail center was 100% leased as of March 2013 compared to 94% at securitization. Moody's current LTV and stressed DSCR are 59% and 1.61X, respectively, compared to 71% and 1.33X at last review. JP MORGAN 2005-A8: Moody's Cuts Ratings on 5 Prime Jumbo RMBS ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of six tranches and upgraded the rating of one tranche from two RMBS transactions issued by J.P. Morgan. The actions impact approximately $111 million of RMBS issued from 2005. Complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2005-A7 Cl. 2-A-2, Upgraded to B1 (sf); previously on Apr 6, 2010 Downgraded to B3 (sf) Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to B2 (sf) Issuer: J.P. Morgan Mortgage Trust 2005-A8 Cl. 1-A-3, Downgraded to Caa1 (sf); previously on Aug 29, 2012 Downgraded to B2 (sf) Cl. 1-A-4, Downgraded to C (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. 2-A-6, Downgraded to Caa1 (sf); previously on Aug 29, 2012 Downgraded to B3 (sf) Cl. 3-A-2, Downgraded to Caa1 (sf); previously on Aug 29, 2012 Downgraded to B3 (sf) Cl. 6-A-2, Downgraded to Caa1 (sf); previously on Aug 29, 2012 Downgraded to B1 (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflects Moody's updated loss expectations on the pools. The downgrade rating actions reflect deterioration of collateral performance. The upgrade rating action is a result of faster pay-down of the bond due to high prepayments/fast 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 July 2012 to 7.4% in July 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. JP MORGAN 2005-LDP5: Fitch Affirms 'C' Ratings on 4 Certificates ---------------------------------------------------------------- Fitch Ratings has downgraded seven classes and affirmed 15 classes of J.P. Morgan Chase Commercial Mortgage Series Corp. commercial mortgage pass-through certificates series 2005-LDP5. Key Rating Drivers The downgrades are a result of further cash flow deterioration to the underlying collateral of the pool. The affirmations are due to sufficient credit enhancement relative to modeled losses. Fitch modeled losses of 8.5% of the remaining pool; expected losses on the original pool balance total 7%, including $22.9 million (0.5% of the original pool balance) in realized losses to date. Fitch has designated 30 loans (21%) as Fitch Loans of Concern, which includes nine specially serviced assets (10.4%). As of the July 2013 distribution date, the pool's aggregate principal balance has been reduced by 21.6% to $3.39 billion from $4.33 billion at issuance. Per the servicer reporting, four loans (1.1% of the pool) are defeased. Interest shortfalls are currently affecting classes K through NR. The largest contributor to expected losses is the specially- serviced real estate owned (REO) property (2.5% of the pool), which is secured by a 706,005 square foot (sf) mall located in Hanover, MA. The loan transferred to special servicing in November 2009 due to imminent default and foreclosure of the property occurred in February 2010. The special servicer reported occupancy of in-line space was 86.9%, of which 76% were permanent tenants, as of April 31, 2013. The property has not yet been listed for sale. The next largest contributor to expected losses is a specially- serviced loan (2.9%), which is secured by a 526,245 sf office complex located in Irving, TX. The loan transferred to the special servicer in March 2012 due to a covenant default after failing to fund reserves. The property is 100% leased to NEC America, Inc., however they subleased approximately 50% of their space to several other small tenants. The special servicer reports the debt service coverage ratio (DSCR) was 1.51 times (x) as of year-end 2012. The third largest contributor to expected losses is the Atlantic Development Portfolio loan (2.5%), which is secured by five office complexes and two industrial properties located in Somerset and Warren, NJ. The properties have suffered from poor performance over the last several years with rents below market. The servicer reported occupancy and DSCR was 73.8% and 0.81x as of year-end 2012. One of the buildings remains vacant. Rating Sensitivity Rating Outlooks on classes A-2 through A-M remain Stable due to increasing credit enhancement and continued paydown. Classes B through F also remain Stable due to stronger credit enhancement relative to their ratings. The Rating Outlooks on classes A-J and G are Negative, as future downgrades may be possible should realized losses be greater than expected, particularly associated with the first and third largest contributors to losses. Loss expectations may increase on the REO property in Hanover, MA, if additional tenants leave at their lease expirations. Fitch downgrades the following classes and assigns Recovery Estimates (REs) as indicated: -- $26.2 million class B to 'Asf' from 'AAsf', Outlook Stable; -- $73.4 million class C to 'BBBsf' from 'Asf', Outlook Stable; -- $42 million class D to 'BBB-sf' from 'Asf', Outlook Stable; -- $21 million class E to 'BBsf' from 'BBBsf', Outlook Stable; -- $52.5 million class F to 'Bsf' from 'BBsf', Outlook Stable; -- $36.7 million class G to 'B-sf' from 'BBsf', Outlook Negative; -- $63 million class K to 'CCsf' from 'CCCsf', RE 0%. Fitch affirms the following classes, revises Outlooks and revises REs as indicated: -- $139.3 million class A-2 at 'AAAsf', Outlook Stable; -- $171.5 million class A-3 at 'AAAsf', Outlook Stable; -- $1.4 billion class A-4 at 'AAAsf', Outlook Stable; -- $59.3 million class A-SB at 'AAAsf', Outlook Stable; -- $261.6 million class A-1A at 'AAAsf', Outlook Stable; -- $419.7 million class A-M at 'AAAsf', Outlook Stable; -- $299 million class A-J at 'AAsf', Outlook to Negative from Stable; -- $52.5 million class H at 'CCCsf', RE 5%. -- $42 million class J at 'CCCsf', RE 0%; -- $26.2 million class L at 'CCsf', RE 0%; -- $15.7 million class M at 'CCsf', RE 0%; -- $15.7 million class N at 'Csf', RE 0%; -- $5.2 million class O at 'Csf', RE 0%; -- $5.2 million class P at 'Csf', RE 0%; -- $10.5 million class Q at 'Csf', RE 0%. The class A-1 and A-2FL certificates have paid in full. Fitch does not rate the class NR, HG-1, HG-2, HG-3, HG-4 and HG-5 certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. JP MORGAN 2007-CIBC20: S&P Lowers Rating on Class H Notes to CCC- ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class A-SB commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'AAA (sf)' from 'A+ (sf)'. Concurrently, S&P lowered its ratings on classes H and J to 'CCC- (sf)' and 'D (sf)', respectively. In addition, S&P affirmed its ratings on 15 other classes from the same transaction. S&P's rating actions follows its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics and performance of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust The upgrade reflects the results of S&P's cash flow analysis, which indicates that class A-SB should receive its full repayment of principal due to "time tranching," as described in "U.S. CMBS 'AAA' Scenario Loss And Recovery Application," published July 21, 2009. The downgrades of the class H and J certificates reflect current and projected interest shortfalls affecting these classes. As of the July 12, 2013, trustee remittance report, the trust experienced monthly interest shortfalls totaling $344,424, primarily related to appraisal subordinate entitlement reduction amounts of $268,786 on six ($128.3 million, 5.8%) of the nine ($154.9 million, 7.0%) specially serviced assets and shortfalls due to interest rate modification of $29,829, special servicing fees of $32,320, and workout fees of $12,350. The interest shortfalls affected all classes subordinate to and including class J. S&P downgraded class H to 'CCC- (sf)' from 'CCC (sf)' due to projected additional interest shortfalls that S&P anticipates may affect the class from the nine specially serviced assets currently with the special servicer, C-III Asset Management LLC (C-III). S&P downgraded class J to 'D (sf)' due to recurring interest shortfalls that it anticipate will continue in the near term. Class J had accumulated interest shortfalls outstanding for 12 months in total. In addition, based solely on S&P's valuation of eight ($145.0 million, 6.5%) of the nine specially serviced assets, S&P expects the trust to incur additional losses approximating 3.2% of the original pool trust balance upon the resolution and/or liquidation of these assets. To date, the trust has incurred losses totaling $91.3 million, or 3.6% of the original pool trust balance. The affirmations of S&P's ratings on the principal and interest certificates reflect its expectation that the available credit enhancement for these classes will be within its estimated necessary credit enhancement required for the current outstanding ratings. The affirmations also reflect the liquidity support available to these classes, credit characteristics and performance of the remaining assets, and the transaction-level changes. S&P affirmed its 'AAA (sf)' ratings on the class X-1 and X-2 interest-only (IO) certificates based on S&P's 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 RATING RAISED JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-SB AAA (sf) A+ (sf) 30.20 RATINGS LOWERED JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) H CCC- (sf) CCC (sf) 3.33 J D (sf) CCC- (sf) 1.90 RATINGS AFFIRMED JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-1A A+ (sf) 30.20 A-2 AAA (sf) 30.20 A-3 AAA (sf) 30.20 A-4 A+ (sf) 30.20 A-M BBB- (sf) 18.76 A-MFX BBB- (sf) 18.76 A-J BB- (sf) 11.90 B B+ (sf) 10.47 C B+ (sf) 9.33 D B (sf) 8.05 E B (sf) 7.04 F B- (sf) 6.04 G B- (sf) 4.90 X-1 AAA (sf) N/A X-2 AAA (sf) N/A N/A-Not applicable. JP MORGAN 2007-LDP12: S&P Lowers Rating on Class H Notes to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf)' from 'CCC- (sf)' on the class H commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP12, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on 14 other classes from the same transaction. S&P's rating actions reflects its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics and performance of all of the pool's remaining assets, the transaction structure, and the trust's available liquidity. "We lowered our rating on the class H certificates to 'D (sf)' because we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future. As of the July 15, 2013, trustee remittance report, the trust experienced monthly interest shortfalls totaling $280,940, primarily related to appraisal subordinate entitlement reduction amounts of $101,188 on six ($49.0 million, 2.4%) of the 13 specially serviced assets ($297.9 million, 14.8%), shortfalls because of deferred interest on three modified subordinate hope notes ($19.8 million, 1.0%), special servicing fees of $61,866, and workout fees of $6,980. The interest shortfalls affected all the classes subordinate to and including class H. We also downgraded class H because we anticipate current and projected additional interest shortfalls from the specially serviced assets will affect the class. In addition, based on our valuation of 10 ($232.0 million, 11.5%) of the 13 specially serviced assets, we expect the trust to incur additional losses approximating 3.7% of the original pool trust balance upon the assets' resolution or liquidation. To date, the trust has incurred losses totaling $104.8 million or 4.2% of the original pool trust balance," S&P said. "The affirmations of our ratings on the principal and interest certificates reflect our expectation that the available credit enhancement for these classes will be within our estimate of the necessary credit enhancement required for the current outstanding ratings. The affirmations also reflect our review of the remaining assets' credit characteristics and performance, as well as the transaction-level changes," S&P added. S&P affirmed its 'AAA (sf)' rating on the class X interest-only (IO) certificates based on its criteria for rating IO securities. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING LOWERED JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP12 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) H D (sf) CCC- (sf) 1.64 RATINGS AFFIRMED JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP12 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-2 AAA (sf) 32.05 A-3 AAA (sf) 32.05 A-4 A- (sf) 32.05 A-SB AAA (sf) 32.05 A-1A A- (sf) 32.05 A-M BB+ (sf) 19.63 A-J B- (sf) 9.86 B B- (sf) 8.77 C B- (sf) 7.38 D CCC+ (sf) 6.29 E CCC (sf) 5.67 F CCC- (sf) 4.43 G CCC- (sf) 3.03 X AAA (sf) N/A N/A-Not applicable. JP MORGAN 2008-C2: Fitch Lowers Rating on 12 Certs. to 'D' ---------------------------------------------------------- Fitch Ratings has downgraded 13 and affirmed nine classes of J.P. Morgan Chase Commercial Mortgage Securities Trust, series 2008-C2. Key Rating Drivers The downgrades reflect the expected losses after the sale of the largest asset in the pool, The Shops at Dos Lagos (12.4% of the pool). The Shops at Dos Lagos, a $124 million real estate owned (REO) retail property, was sold July 23, 2013 for $30 million. Including advances, appraisal subordinate entitlement reductions (ASERs), fees and other unpaid amounts of approximately $41 million, the loan loss severity will be approximately 109% on the current loan balance. Realized losses to the trust will reflect the full principal balance of $124 million. Losses are expected to be incurred as of the Aug. 12, 2013 distribution date. Classes C through Q, currently rated 'Csf' or 'Dsf' by Fitch, will be affected. These classes rated 'Csf' are downgraded to 'Dsf'. The additional amount of $11.4 million will cause permanent shortfalls to the transaction. These amounts were part of the total $27 million ASER (advances not made due to an appraisal reduction). Therefore, the sales proceeds of $30 million will be used to pay fees, expenses, advances and $16 million of the total $27 million in ASER amounts. The remaining $11.4 million in ASER amounts will not be repaid, while the most senior bondholders with an interest shortfall will recover $16 million in interest. No additional interest is expected to be taken from the trust due to the disposition of the Dos Lagos asset. The property is a 345,847 square foot (sf) lifestyle/entertainment retail center built in 2006/2007; therefore, the property was not fully stabilized, with no operating history. The loan transferred to special servicing in October 2008 for monetary default after the borrower indicated the property was significantly affected by the downturn in the economy. The special servicer foreclosed on the property and, along with a third party management team, worked to stabilize occupancy. The last reported occupancy was 72.5%. The property represented phase one of a two-phase, 534 acre development that was significantly pressured by economic conditions in 2009. The development included a residential subsection, a golf course, hotel, office building, a senior housing development and a 135 acre wildlife preserve. The retail center was 95% occupied at issuance; however, occupancy steadily declined to a low of 68% in early 2012. The borrower cited slower- than-anticipated growth in the residential neighborhood for the decline in performance, as tenant sales, rental rates and ultimately occupancy declined. Rating Sensitivities The super senior classes' Rating Outlooks are revised to Negative due to the erosion in credit enhancement and continued risk of both principal and interest losses as the pool becomes more concentrated. After the sale of The Shops at Dos Lagos, eight loans (18.4%), including three REOs (1.8%) remain in the pool. Downgrades are possible if expected losses increase or if these classes are affected by repeated interest shortfalls. Fitch downgrades the following classes and revises Recovery Estimates as indicated: -- $116.5 million class AM to 'CCsf' from 'CCCsf'; RE 50% from 100%; -- $14.6 million class C to 'Dsf' from 'Csf'; RE 0%; -- $10.2 million class D to 'Dsf' from 'Csf'; RE 0%; -- $10.2 million class E to 'Dsf' from 'Csf'; RE 0%; -- $13.1 million class F to 'Dsf' from 'Csf'; RE 0%; -- $11.7 million class G to 'Dsf' from 'Csf'; RE 0%; -- $16 million class H to 'Dsf' from 'Csf'; RE 0%; -- $14.6 million class J to 'Dsf' from 'Csf'; RE 0%; -- $14.6 million class K to 'Dsf' from 'Csf'; RE 0%. -- $8.7 million class L to 'Dsf' from 'Csf'; RE 0%; -- $4.4 million class M to 'Dsf' from 'Csf'; RE 0%; -- $5.8 million class N to 'Dsf' from 'Csf'; RE 0%; -- $4.4 million class P to 'Dsf' from 'Csf'; RE 0%; The following classes are affirmed and Rating Outlooks and Recovery Estimates revised as indicated: -- $71.2 million class A-3 at 'Asf'; Outlook Negative from Stable; -- $45.6 million class A-SB at 'Asf'; Outlook Negative from Stable; -- $354.6 million class A-4 at 'Asf'; Outlook Negative from Stable; -- $145 million class A-4FL at 'Asf'; Outlook Negative from Stable; -- $60.4 million class A-1A at 'Asf'; Outlook Negative from Stable; -- $61.2 million class AJ at 'Csf'; RE 0% from 40%; -- $14.6 million class B at 'Csf'; RE 0%; -- $2.9 million class Q at 'Dsf'; RE 0%; -- $1.7 million class T at 'Dsf'; RE 0%. Classes A-1 and A-2 have paid in full. Class X was previously withdrawn. LANDMARK VII: Moody's Raises Ratings on $14MM Class B-2L Notes -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Landmark VII CDO, Ltd.: $23,000,000 Class A-3L Floating Rate Notes Due July 15, 2018, Upgraded to Aaa (sf); previously on July 15, 2013 Aa1 (sf) Placed Under Review for Possible Upgrade $14,000,000 Class B-1L Floating Rate Notes Due July 15, 2018, Upgraded to A2 (sf); previously on July 15, 2013 Baa1 (sf) Placed Under Review for Possible Upgrade Moody's also affirmed the ratings of the following notes: $229,500,000 Class A-1L Floating Rate Notes Due July 15, 2018 (current outstanding balance of $88,385,358.26), Affirmed Aaa (sf); previously on April 25, 2013 Affirmed Aaa (sf) $20,500,000 Class A-2L Floating Rate Notes Due July 15, 2018, Affirmed Aaa (sf); previously on April 25, 2013 Upgraded to Aaa (sf) $14,000,000 Class B-2L Deferrable Floating Rate Notes Due July 15, 2018 (current outstanding balance of $12,780,861.58), Affirmed Ba3 (sf); previously on April 25, 2013 Upgraded to Ba3 (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the class A-1L Notes and an increase in the transaction's overcollateralization ratios since the rating action in April 2013. Moody's notes that the Class A-1L Notes have been paid down by approximately 31% or $39.1 million since April 2013. Based on the latest trustee report dated July 2, 2013, the Senior Class A, Class A, Class B-1L and Class B-2L overcollateralization ratios are reported at 142.28%,123.14%, 113.82% and 106.26%, respectively, versus April 2013 levels of 132.76%, 118.07%, 110.62% and 104.59%, respectively. Moody's notes that the overcollateralization ratios reported in the July 2, 2013 trustee report do not reflect the July 15, 2013 payment distribution, when $39 million of principal proceeds were used to pay down the Class A-1L Notes. Notwithstanding benefits of the deleveraging, Moody's notes that the credit quality of the underlying portfolio has deteriorated since the last rating action. Based on the July 2013 trustee report, the weighted average rating factor is currently 2866 compared to 2651 in April 2013. Moody's also announced that it has concluded its review of its ratings on the issuer's Class A-3L and Class B-1L 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 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 $164.4 million, defaulted par of $13.4 million, a weighted average default probability of 19.51% (implying a WARF of 2960), a weighted average recovery rate upon default of 51.06%, and a diversity score of 56. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Landmark VII CDO, issued in April 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" 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% (2368) Class A-1L: 0 Class A-2L: 0 Class A-3L: 0 Class B-1L: +2 Class B-2L: +1 Moody's Adjusted WARF + 20% (3552) Class A-1L: 0 Class A-2L: 0 Class A-3L: -1 Class B-1L: -2 Class B-2L: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. LB-UBS 2001-C3: S&P Lowers Rating on 2 Note Classes to 'D' ---------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of commercial mortgage pass-through certificates from LB-UBS Commercial Mortgage Trust 2001-C3, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on three other classes from the same transaction. The rating actions follows S&P's analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics and performance of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. S&P lowered its ratings to 'D (sf)' on classes J and K, based on its belief that interest shortfalls on these two classes will continue and that the accumulated interest shortfalls will remain outstanding for the foreseeable future. Classes J and K had accumulated interest shortfalls outstanding for six consecutive months and 11 months in total. "We lowered our ratings to 'CCC- (sf)' on classes G and H, reflecting the reduced liquidity support available to these classes as a result of continued interest shortfalls and the potential for continued interest shortfalls due to the specially serviced assets. As of the July 17, 2013 trustee remittance report, the trust incurred monthly interest shortfalls totaling $371,604, primarily from an appraisal subordinate entitlement reduction (ASER) amount of $337,162, special servicing fees of $15,296, the master servicer's recoupment of prior advances of $6,880, and workout fees of $6,287. Classes G and H had accumulated interest shortfalls outstanding for three and six consecutive months, respectively," S&P said. If classes G and H continues to experience interest shortfalls for an extended period of time, S&P could lower its ratings on these classes to 'D (sf)'. "We lowered our ratings on classes E and F to 'BBB- (sf)' and 'B- (sf)', respectively, reflecting the reduced liquidity support available to these classes as a result of continued interest shortfalls from the specially serviced assets. In addition, we also considered the potential for additional interest shortfalls from the five specially serviced assets ($73.3 million; 48.2%) and/or the largest asset in the pool, the Vista Ridge Mall loan, which is on the master servicer's watchlist due to low reported debt-service coverage (DSC). In addition, the Vista Ridge Mall loan is a worked-out mortgage loan. According to the transaction documents, the special servicer is entitled to receive a workout fee of 1% on each collection of principal and interest with respect to a worked-out mortgage loan. If this loan is transferred to the special servicer, it could generate additional interest shortfalls and further decrease the liquidity support available to the trust," S&P added. "We affirmed our 'AA (sf)' and 'A+ (sf)' ratings on classes C and D, respectively, reflecting our expectation of available credit enhancement for the affected tranches, which we believe will be within our estimate of the necessary credit enhancement required for the current outstanding ratings. The affirmations also reflect our view regarding the current and future performance of the remaining assets, as well as the transaction-level changes," S&P noted. Although available credit enhancement levels might suggest positive rating movements on classes C and D, S&P affirmed its ratings on these classes because its analysis also considered: -- The remaining small pool size; -- Five out of the remaining eight assets are delinquent and with the special servicer; -- The limited liquidity support available to these classes; And -- The potential for additional interest shortfalls. S&P affirmed its 'AAA (sf)' rating on the class X interest-only (IO) certificates based on its criteria for rating IO securities. As of the July 17, 2013 trustee remittance report, the collateral pool consisted of six loans and two real estate owned (REO) assets with an aggregate principal balance of $151.9 million (down from 135 loans with an aggregate balance of $1.38 billion at issuance). Currently, the trust consists of five specially serviced assets ($73.3 million; 48.2%), the defeased Rite Aid-Ramona loan ($2.9 million; 1.9%), which matures on March 10, 2020, and two performing loans ($75.7 million; 49.9%). To date, the transaction experienced losses totaling $23.7 million, or 1.7% of the transaction's original pooled certificate balance. Details on the two nondefeased performing loans, one of which is on the master servicer's watchlist, are as follows: -- The Vista Ridge Mall loan ($72.3 million; 47.7%), the largest asset in the pool, is secured by 379,777 sq. ft. of a 1.05 million-sq.-ft. mall located in Lewisville, Texas, approximately 22 miles northwest of the Dallas central business district. According to the March 31, 2013 rent roll, the mall consists of the following shadow anchors with Jan. 1, 2038 lease expirations (not part of the collateral): -- Dillard's Inc. (200,000 sq. ft.), Macy's Inc. (178,322 sq. ft.), Sears Holdings Corp. (147,148 sq. ft.), and J.C. Penney Co. Inc. (144,740 sq. ft.). The loan is currently on the master servicer's watchlist because of low reported DSC. (For the year ended Dec. 31, 2012, reported DSC was 0.98x.) According to the March 31, 2013 rent roll, the collateral property was 78.1% occupied. According to the master servicer, Wells Fargo Bank N.A., the property manager plans to improve the property's performance by increasing efforts to rent available units and to lower operating expenses. -- The Long's Drugs-San Pablo loan ($3.4 million; 2.2%) is secured by a 31,290-sq.-ft. retail property in San Pablo, Calif. According to Wells Fargo, the sole tenant was previously Long's Drugs, but the property is now subleased to Ross Stores Inc. As of Dec. 31, 2012, reported DSC and occupancy were 1.00x and 100.0%, respectively. SPECIALLY SERVICED ASSETS As of the July 17, 2013 trustee remittance report, three loans and two REO assets ($73.3 million; 48.2%) were with the special servicer. Details on the five specially serviced assets are as follows: -- The Shoppingtown Mall REO asset ($37.3 million; 24.6%), the second-largest asset in the pool, is the largest asset with LNR Partners, LLC (LNR). The asset consists of a 773,634-sq.-ft. mall in Syracuse, N.Y. The reported exposure is $40.3 million and a $26.9 million appraisal reduction amount (ARA) in effect against the asset. The loan was transferred to special servicing on May 2, 2011 because of imminent monetary default, and the property became REO on Dec. 30, 2011. According to LNR, Jones Lang LaSalle has been engaged as the property manager and leasing agent. S&P expects a significant loss upon the asset's eventual resolution. -- The Park Central REO asset ($27.9 million; 18.3%), the third-largest asset in the pool, consists of a 343,419-sq.-ft. office property in Phoenix, Ariz. The reported exposure is $29.6 million and a $12.7 million ARA in effect against the asset. The loan was transferred to special servicing on July 18, 2011, because of monetary default, and the property became REO on May 2, 2012. According to LNR, they have effectuated several short-term lease extensions that include landlord termination clauses to allow for future redevelopment. The reported occupancy is currently 71.0%, and reported DSC was 0.48x for year-end 2012. S&P expects a moderate loss upon the asset's eventual resolution. -- The River Bay Plaza loan ($3.9 million; 2.6%) is secured by a 79,298-sq.-ft. retail property in Riverview, Fla. The reported exposure is $4.0 million. The loan was transferred to special servicing on June 30, 2011, because of a maturity default. The loan matured on June 11, 2011. According to LNR, it filed for foreclosure on July 19, 2012, and is also negotiating with the borrower on resolution. Reported DSC and occupancy were 0.95x and 87.2%, respectively, as of Dec. 31, 2012. S&P expects a minimal loss, if any, upon the loan's eventual resolution. -- The CVS Plaza loan ($3.2 million; 2.1%) is secured by a 24,131-sq.-ft retail property in West Orange, N.J. The total reported exposure is $3.4 million. The loan was transferred to special servicing on May 21, 2012, because of a monetary default. According to LNR, the property is under contract for sale, and S&P anticipates that the loan will be repaid in full. S&P expects a minimal loss, if any, upon the loan's eventual resolution. -- The 6341 Thompson Rd loan ($970,973; 0.6%) is secured by an 87,968-sq.-ft. industrial property in Syracuse, N.Y. The total reported exposure is $1.2 million. The master servicer has deemed this loan nonrecoverable. The loan was transferred to special servicing on Jan. 24, 2011, because of a monetary default. According to LNR, the foreclosure sale occurred on June 20, 2013, and the lender was the prevailing bidder. Once the deed is recorded, the property will become REO. S&P expects a significant loss upon the loan's eventual resolution. S&P considered minimal loss, as it relates to the above asset resolutions, to be less than 25%; moderate loss to be between 26% and 59%; and significant loss to be 60% or greater. 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 Lowered LB-UBS Commercial Mortgage Trust 2001-C3 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) E BBB- (sf) A- (sf) 59.87 F B- (sf) BBB (sf) 48.02 G CCC- (sf) BBB- (sf) 40.06 H CCC- (sf) B+ (sf) 29.84 J D (sf) CCC+ (sf) 16.20 K D (sf) CCC- (sf) 11.66 Ratings Affirmed LB-UBS Commercial Mortgage Trust 2001-C3 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) C AA (sf) 82.25 D A+ (sf) 71.71 X AAA (sf) N/A N/A-Not applicable. LEGG MASON I: Moody's Affirms Caa3 Rating on Class G Notes ---------------------------------------------------------- Moody's Investors Service has affirmed the ratings of nine classes of notes issued by Legg Mason Real Estate CDO I, Ltd. 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. A1-T, Affirmed Aaa (sf); previously on Apr 21, 2009 Confirmed at Aaa (sf) Cl. A1-R, Affirmed Aaa (sf); previously on Apr 21, 2009 Confirmed at Aaa (sf) Cl. A2, Affirmed A1 (sf); previously on Nov 3, 2010 Downgraded to A1 (sf) Cl. B, Affirmed Baa3 (sf); previously on Nov 3, 2010 Downgraded to Baa3 (sf) Cl. C, Affirmed Ba2 (sf); previously on Nov 3, 2010 Downgraded to Ba2 (sf) Cl. D, Affirmed B1 (sf); previously on Nov 3, 2010 Downgraded to B1 (sf) Cl. E, Affirmed B2 (sf); previously on Nov 3, 2010 Downgraded to B2 (sf) Cl. F-1, Affirmed Caa1 (sf); previously on Nov 3, 2010 Downgraded to Caa1 (sf) Cl. G, Affirmed Caa3 (sf); previously on Nov 3, 2010 Downgraded to Caa3 (sf) Ratings Rationale: Legg Mason Real Estate CDO I, Ltd. is a static cash transaction backed by a portfolio whole loans and senior participations (90.9% of the pool balance), B-note debt (4.7%), commercial mortgage backed securities (CMBS) (2.5%), and mezzanine debt (1.9%). As of the July 25, 2013 payment date, the aggregate note balance of the transaction, including income notes, has decreased to $397.8 million from $532.0 million at issuance, as a result of the combination of junior notes cancellation to class D, class F-2, and class G notes and of the paydown directed to the Class A1-R and A1-T Notes from principal repayment of collateral and sales of defaulted collateral. In general, holding all key parameters static, the junior note cancellations results in slightly higher expected losses and longer weighted average lives on the senior Notes, while producing slightly lower expected losses on the mezzanine and junior Notes. However, this does not cause, in and of itself, a downgrade or upgrade of any outstanding classes of notes. 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 8,106 compared to 7,578 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (2.1% compared to 0.0% at last review), A1-A3 (0.1% compared to 4.0% at last review), Baa1-Baa3 (0.3% compared to 1.8% at last review), Ba1-Ba3 (0.0% compared to 3.4% at last review), B1-B3 (10.3% compared to 2.3% at last review), and Caa1-Ca/C (87.2% compared to 88.5% at last review). Moody's modeled to a WAL of 2.9 years compared to 3.4 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 52.8% compared to 53.8% at last review. Moody's modeled a MAC of 100.0%, the same as that 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 52.8% to 42.8% or up to 62.8% would result in rating movements on the rated tranches of 0 to 8 notches downward or 0 to 13 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. MAPS CLO II: Moody's Corrects and Withdraws B2 and Baa3 Ratings --------------------------------------------------------------- Moody's Investors Service is correcting the rating history and withdrawing the rating for the $3,000,000 Composite Notes due 2022 issued by MAPS CLO Fund II, Ltd. Components of the composite notes were unwound in whole on June 3rd, 2010. However, Moody's was not informed about the unwinding of the transaction at the time, and the trustee continued to furnish Moody's with statements indicating that the transaction remained outstanding. Based on the information provided by the trustee, on October 12, 2011 Moody's upgraded the rating to Baa3 (sf) from B2 (sf) on watch for possible upgrade. Moody's has now removed the October 12, 2011 Upgrade to Baa3 (sf), June 22, 2011 B2 (sf) On Watch for Possible Upgrade, and withdrawn the B2 (sf) rating on watch for possible upgrade as of June 3, 2010 because the obligation is not outstanding. ML-CFC COMMERCIAL 2006-2: Moody's Keeps C Ratings on 6 Securities ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 17 classes of ML-CFC Commercial Mortgage Trust 2006-2 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. AJ, Affirmed Baa3 (sf); previously on Aug 30, 2012 Downgraded to Baa3 (sf) Cl. AM, Affirmed Aa2 (sf); previously on Dec 17, 2010 Downgraded to Aa2 (sf) Cl. B, Affirmed Ba2 (sf); previously on Aug 30, 2012 Downgraded to Ba2 (sf) Cl. C, Affirmed B2 (sf); previously on Aug 30, 2012 Downgraded to B2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Aug 30, 2012 Downgraded to Caa3 (sf) Cl. E, Affirmed Ca (sf); previously on Aug 30, 2012 Downgraded to Ca (sf) Cl. F, Affirmed C (sf); previously on Aug 30, 2012 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Dec 17, 2010 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. K, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. X, 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. The ratings of the IO Class, Class X, is consistent with the expected credit performance of its referenced classes and thus 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. Moody's rating action reflects a base expected loss of 9.7% of the current balance. At last full review, Moody's base expected loss was 10.4%. Realized losses plus Moody's realized and base expected loss is now 10.7% of the original securitized balance compared to 11.2% 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. 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 37 compared to 41 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. Deal Performance: As of the July 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 14% to $1.59 billion from $1.84 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 36% of the pool. Six loans, representing 3% of the pool, have defeased and are collateralized with U.S. Government securities. One loan, representing 11% of the pool, has an investment grade credit assessment. Forty-five loans, representing 15% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Sixteen loans have been liquidated from the pool since securitization, resulting in an aggregate $41.6 million loss (54% loss severity on average). Currently 12 loans, representing 12% of the pool, are in special servicing. The largest specially serviced loan is the Penn Mutual Towers and Washington Square Garage Loan ($99.9 million -- 6.3% of the pool), which is secured by an 854,000 square foot (SF) mixed use complex located in Center City Philadelphia, Pennsylvania. The loan was transferred to special servicing in February 2011 due to imminent default and is in the process of tracking towards a potential modification and or assumption of the debt. The remaining 11 specially serviced loans are secured by a mix of property types. The master servicer has recognized an aggregate $91.1 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $106.8 million (57% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for 30 poorly performing loans representing 11% of the pool and has estimated a $30.6 million loss (18% expected loss based on a 51% probability default) from these troubled loans. Moody's was provided with full year 2011 and 2012 operating results for 98% and 97% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 91% compared to 97% at last full 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 9.8 %. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.53X and 1.28X, respectively, compared to 1.42X and 1.14X 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 100 Summer Street Loan ($180 million -- 10.9% of the pool), which is secured by a 1.1 million SF Class A office building located in Boston, Massachusetts. The property was 94% leased as of December 2012, but dropped to 77% as of March 2013 after Cambridge Associates (158,851 SF) vacated at its lease expiration in January. The loan is sponsored by Blackstone and is interest only for the full term. Moody's analysis reflects a stabilized value for this asset. Moody's current credit assessment and stressed DSCR are A2 and 1.59X, respectively, compared to A2 and 1.80X at the last full review. The top three performing conduit loans represent 9% of the pool balance. The largest loan is the 200 Paul Avenue Loan ($71.5 million -- 4.5% of the pool), which is secured by a 527,680 SF telecommunications building located in close proximity to the main fiber optic line that serves San Francisco. The property also includes roughly 18,200 SF of Class B office space. The property was 92% leased as of March 2013 compared to 96% at last full review. Property performance has been stable and rental rates have increased by over 56% since origination. The improvements and build out of the space, have also helped attract higher rates. Moody's LTV and stressed DSCR are 42% and 3.0X, respectively. The second largest loan is the CNL-Cirrus MOB Portfolio III Loan ($45.9 million -- 2.9% of the pool), which is secured by five medical office properties located in Texas and Oklahoma and totaling 269,707 SF. The properties were 90% leased as of March 2013, compared to 93% at last full review. Property performance declined slightly due to lower rental revenue coupled with increased expenses. Moody's LTV and stressed DSCR are 94% and 1.12X, respectively, compared to 85% and 1.24X at last review. The third largest loan is the BTR Capital Portfolio Loan ($29.4 million -- 1.8% of the pool), which is secured by seven mixed-use properties (five industrial, one retail strip center and one trailer storage land parcel) located in Baltimore, Maryland. The loan transferred into special servicing in November 2010 but was modified and transferred back to the master servicer in February 2012. The properties were 88% leased as of March 2013 compared to 83% at last review. Property performance has improved slightly due to increases in base rent and recoveries, along with decreased expenses. Moody's LTV and stressed DSCR are 115% and 0.94X, respectively, compared to 131% and 0.83X at last full review. MORGAN STANLEY 1999-WF1: Moody's Hikes Rating on Cl. N Certs to B2 ------------------------------------------------------------------ Moody's Investors Service upgraded the ratings of three classes and affirmed three classes of Morgan Stanley Capital I Inc., Commercial Mortgage Pass-Through Certificates, Series 1999-WF1 as follows: Cl. J, Affirmed Aaa (sf); previously on Sep 29, 2011 Upgraded to Aaa (sf) Cl. K, Affirmed Aaa (sf); previously on Aug 9, 2012 Upgraded to Aaa (sf) Cl. L, Upgraded to Aa3 (sf); previously on Aug 9, 2012 Upgraded to Baa2 (sf) Cl. M, Upgraded to Ba1 (sf); previously on Feb 24, 1999 Assigned B3 (sf) Cl. N, Upgraded to B2 (sf); previously on Feb 24, 1999 Assigned Caa2 (sf) Cl. X, Affirmed B2 (sf); previously on Feb 22, 2012 Downgraded to B2 (sf) Ratings Rationale: The upgrades are due to increased credit support from paydowns and amortization, anticipated paydowns from defeased and lowly leveraged loans approaching maturity and overall stable pool performance. The pool has paid down 32% since last review. The affirmations of the 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. 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 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 thus is affirmed. Moody's rating action reflects a base expected loss of 2.9% of the current balance compared to 6.2% at last review. Moody's realized loss plus expected loss is now 0.4% of the original securitized balance compared to 0.7% 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. 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 11 compared to 15 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 8.4 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the July 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $35.5 million from $968.5 million at securitization. The Certificates are collateralized by 23 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans representing 83% of the pool. Three loans, representing 2% of the pool, have defeased and are secured by U.S. Government securities. Seven loans, representing 26% 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 a realized loss of $3.4 million (31% loss severity on average). Currently one loan, the Spring Hill Market Place Loan ($4.2 million -- 12% of the pool), is in special servicing. This loan was secured by a four building retail property totaling 108,416 square feet (SF) and is located in Carpentersville, Illinois. The loan was transferred to special servicing on June 16, 2010 due to payment default. The property was recently sold by the Chapter 11 Trustee under bankruptcy court order. Net proceeds to the lender were $5.5 million and will be applied in partial satisfaction of the borrower's obligations per the bankruptcy court order. Moody's expects a minimal loss on this loan. Moody's has identified one loan, representing 1% of the pool that has a high probability of default due to poor performance. Moody's analysis incorporates a 20% expected loss for this loan. Moody's was provided with full year 2012 and partial year 2013 financials for 100% and 58% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 36%, the same as at last review. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.0%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.80X and 3.77X, respectively, compared to 1.80X and 3.57X 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 loans represent 41% of the pool. The largest loan is the Ward Office / Retail Portfolio ($6.1 million -- 17% of the pool), which is secured by five properties located in Bel Air, Maryland (3 suburban office, 2 unanchored retail). The largest tenants include Gucci (20% of the NRA; lease expiration November 2027), Chanel (20% of the NRA; lease expiration October 2027) and Tiffany & Co. (12% of the NRA; lease expiration October 2027). The properties were 93% leased overall as of March 2013, compared to 92% as of December 2011. This loan fully amortizes during its loan term. Moody's LTV and stressed DSCR are 30% and 3.54X, respectively, compared to 35% and 3.01X at last review. The second largest loan is the Silver Creek Shopping Center Loan ($4.4 million -- 12% of the pool), which is secured by 63,365 SF retail property located in San Jose, California. The property was 100% leased as of March 2013 compared to 74% at last review. Moody's LTV and stressed DSCR are 45% and 2.70X, respectively, compared to 49% and 2.50X at last review. The third largest loan is the Vista Oaks Apartment Loan ($4.1 million -- 11%), which is secured by a 108-unit multifamily property located in Martinez, California. The property was 98% leased as of March 2013 compared to 94% at last review. Moody's LTV and stressed DSCR are 41% and 2.50X, respectively, compared to 44% and 2.34X at last review. MORGAN STANLEY 2005-6AR: Moody's Hikes Rating on 8 RMBS Tranches ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one tranche and upgraded the ratings of eight tranches from two transactions backed by Alt-A loans, issued by Morgan Stanley Mortgage Loan Trust 2007-3XS and 2005-6AR, respectively. Complete rating actions are as follows: Issuer: Morgan Stanley Mortgage Loan Trust 2005-6AR Cl. 1-A-1, Upgraded to Baa2 (sf); previously on Sep 4, 2012 Upgraded to Ba2 (sf) Cl. 1-A-2, Upgraded to A2 (sf); previously on Sep 4, 2012 Upgraded to Baa2 (sf) Cl. 1-A-4, Upgraded to Ba1 (sf); previously on Sep 4, 2012 Upgraded to B1 (sf) Cl. 1-M-1, Upgraded to Ba3 (sf); previously on Sep 4, 2012 Upgraded to B3 (sf) Cl. 1-M-2, Upgraded to B2 (sf); previously on Sep 4, 2012 Upgraded to Caa2 (sf) Cl. 1-M-3, Upgraded to Caa2 (sf); previously on Sep 4, 2012 Upgraded to Ca (sf) Cl. 1-M-4, Upgraded to Caa3 (sf); previously on Apr 26, 2010 Downgraded to C (sf) Cl. 1-M-5, Upgraded to Ca (sf); previously on Apr 26, 2010 Downgraded to C (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2007-3XS Cl. 2-A-1-A, Downgraded to Baa1 (sf); previously on Sep 4, 2012 Upgraded to A1 (sf) Ratings Rationale: The actions are primarily 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 build-up in credit enhancement on the bonds and stable performance of the underlying pool. 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 July 2012 to 7.4% in July 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. MORGAN STANLEY 2013-C11: Fitch Rates $20.3MM Class G Certs 'B' -------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to Morgan Stanley Bank of America Merrill Lynch Trust, series 2013-C11 commercial mortgage pass-through certificates. -- $53,000,000 class A-1 'AAAsf'; Outlook Stable; -- $142,000,000 class A-2 'AAAsf'; Outlook Stable; -- $72,980,000 class A-AB 'AAAsf'; Outlook Stable; -- $125,000,000 class A-3 'AAAsf'; Outlook Stable; -- $206,448,000 class A-4 'AAAsf'; Outlook Stable; -- $599,428,000* class X-A 'AAAsf'; Outlook Stable; -- $49,239,000b class A-S 'AAAsf'; Outlook Stable; -- $61,013,000b class B 'AA-sf'; Outlook Stable; -- $144,505,000b class PST 'A-sf'; Outlook Stable; -- $34,253,000b class C 'A-sf'; Outlook Stable; -- $38,535,000a class D 'BBB-sf'; Outlook Stable; -- $9,634,000a class E 'BBB-sf'; Outlook Stable; -- $8,563,000a class F 'BB+sf'; Outlook Stable; -- $20,338,000a class G 'Bsf'; Outlook Stable. * Notional amount and interest only. a Privately placed pursuant to Rule 144A. b Classes A-S, B and C certificates may be exchanged for class PST Certificates, and class PST Certificates may be exchanged for class A-S, B and C certificates. Fitch does not rate the $10,747,000 class H, the $24,576,746 class J or the notional class X-B. The class X-A balance has been reduced to $599,428,000 from $648,667,000 since Fitch issued its expected ratings on July 29, 2013. The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership in the trust, primary assets of which are 38 loans secured by 72 commercial properties having an aggregate principal balance of approximately $856.3 million as of the cutoff date. The loans were contributed to the trust by Bank of America, National Association; Morgan Stanley Mortgage Capital Holdings LLC; and CIBC Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 79.3% of the properties by balance, cash flow analysis of 87.5%, and asset summary reviews on 89.9% of the pool. Key Rating Drivers Fitch Leverage: The Fitch debt service coverage ratio (DSCR) of 1.25x is slightly better than the 2012 DSCR of 1.24x, but worse than the first-half 2013 DSCR of 1.36x. The Fitch loan-to-value (LTV) of 101.8% is higher than the 2012 and first-half 2013 average LTVs of 97.2% and 99.8%, respectively. Loan and Sponsor Concentration: The top 10 loans represent 67.0% of the total balance, which is the highest of any Fitch-rated deal since 2011. The average top 10 concentration of Fitch-rated transactions in the first half of 2013 was 54.3%. Additionally, Simon Property Group, L.P. is the sponsor of loans representing 17.5% of the pool. Hotel Concentration: Hotel properties represent 24.6% of the pool, which exceeds the 2012 and first-half 2013 average concentration of 13.5% and 13.8%, respectively. Three loans in the top 10, Marriott Chicago River North, Hilton Waterfront Beach Resort, and the Beverly Garland Hotel, are secured by hotel properties. Amortization and No Interest-Only Loans: The pool is scheduled to amortize 15.4% prior to maturity. There are no interest-only loans. Nine loans (46.5% of the pool) are partial interest-only loans and 29 loans (53.5% of the pool) are balloon loans. Approximately 82.5% of the pool consists of 10-year loans and 17.5% consists of five-year loans. Rating Sensitivities For this transaction, Fitch's net cash flow (NCF) was 18.4% below the most recent reported net operating income (NOI) (for properties for which NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severity on defaulted loans and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to MSBAM 2013-C11 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities. The master servicer will be Wells Fargo Bank, National Association, rated 'CMS1-' by Fitch. The special servicer will be Midland Loan Services, a Division of PNC Bank, National Association, rated 'CSS1' by Fitch. MT WILSON: S&P Raises Rating on Class E Notes to 'B+' ----------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C, D, and E notes from MT Wilson CLO Ltd., a cash flow collateralized loan obligation transaction managed by Western Asset Management Co. Ltd. At the same time, S&P removed the class B, C, and D notes from CreditWatch with positive implications and affirmed its rating on the class A note. Since S&P's December 2012 rating actions, the transaction further paid down the class A noteholders by $146 million, to 18% of its initial issuance amount. As a result of the paydowns, the class A/B overcollateralization (O/C) ratio has increased to 158%, from 131% in November 2012. S&P did note that the transaction continues to hold long-dated assets and that the portfolio has a smaller number of unique obligors. However, the paydowns have provided a significant increase in credit support for these notes to offset any potential market value risk associated with the sale of the long-dated securities, as well as the concentration risks that arise from a smaller portfolio. Due to the portfolio's decreasing par balance resulting from the transaction's amortization phase, the top obligor test constrains the rating on the class E note to the 'B' rating category. 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 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 MT Wilson CLO Ltd. Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AA+ (sf) A+ (sf)/Watch Pos D BBB- (sf) BB+ (sf)/Watch Pos E B+ (sf) CCC+ (sf) RATING AFFIRMED MT Wilson CLO Ltd. Class Rating A AAA (sf) NATIONSTAR HOME 2006-B: Moody's Hikes Cl. AV-4 Debt Rating to Caa1 ------------------------------------------------------------------ Moody's Investors Service has confirmed the ratings of five tranches and upgraded the ratings of two tranches from four transactions issued by Nationstar, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: Nationstar Home Equity Loan Asset-Backed Certificates, Series 2007-C Cl. 1-AV-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. 2-AV-2, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Issuer: Nationstar Home Equity Loan Trust 2006-B Cl. AV-3, Upgraded to Ba3 (sf); previously on May 14, 2013 B3 (sf) Placed Under Review Direction Uncertain Cl. AV-4, Upgraded to Caa1 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: Nationstar Home Equity Loan Trust 2007-A Cl. AV-3, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Issuer: Nationstar Home Equity Loan Trust 2007-B Cl. 1-AV-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. 2-AV-2, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Ratings Rationale: The rating actions reflect the recent performance of the underlying pools and Moody's updated expected losses on the pools. The rating actions also reflect 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 these transactions 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. Due to the discovery of these errors, these tranches were placed on review on May 14, 2013. The errors have now been corrected, and 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 July 2012 to 7.4% in July 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. NORTH END CLO: S&P Assigns 'BB' Rating on Class E Notes ------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to North End CLO Ltd./North End CLO LLC's $381.0 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings 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 (excluding excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which primarily comprises broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.28%-13.84%. -- The transaction's overcollateralization and interest coverage tests, a failure of which would lead to the diversion of interest and principal proceeds to reduce the rated notes' outstanding balance. -- The transaction's interest diversion test, a failure of which would lead to the reclassification of up to 50% of excess interest proceeds that are available (before paying subordinated and incentive collateral management fees, uncapped administrative expenses and hedge amounts, and subordinated note payments) to principal proceeds for the purchase of additional collateral assets during the reinvestment period or to pay the notes sequentially, after the reinvestment period ends. 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/1733.pdf RATINGS ASSIGNED North End CLO Ltd./North End CLO LLC Class Rating Amount (mil. $) A AAA (sf) 246.50 B AA (sf) 56.00 C (deferrable) A (sf) 29.50 D (deferrable) BBB (sf) 21.00 E (deferrable) BB (sf) 18.00 F (deferrable) B (sf) 10.00 Subordinated notes NR 32.50 NR-Not rated. NORTHSTAR 2013-1: Moody's Assigns 'P)B3' Rating to Class C Notes ---------------------------------------------------------------- Moody's Investors Service has assigned the following provisional ratings to notes to be issued by Northstar 2013-1, Ltd.: Class A Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Baa3 (sf) Class C Notes, Assigned (P)B3 (sf) Ratings Rationale: Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating (if any) may differ from a provisional rating. Moody's provisional ratings of the Class A Notes, Class B Notes, and Class C Notes address the expected loss posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. NStar 2013-1 is a static cash flow CRE CLO. The issued notes will be collateralized initially by a pool of 10 commercial real estate loans in the form of whole loans and senior participations ("A- notes"). Approximately 80% of the assets are expected to be ramped as of the closing date with a par amount of $425,228,536 and a weighted average spread of 5.0%. The remaining par balance of $106,083,964 may consist of additional whole loans and senior participations; subject to certain eligibility criteria and collateral quality tests. The ramp-up period is six (6) months with a transaction effective date of February 2014. NS Income Administration Agent, LLC is an affiliate of Northstar and will provide administration services to the asset pool during the ramp-up period and static period. Wells Fargo Bank, NA will act as primary servicer of the underlying collateral. Moody's has identified the following parameters as key indicators of the expected loss within CRE CLO 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 CLO pool. Moody's has completed credit assessments for all of the collateral. Moody's modeled a WARF of 3600. Moody's modeled to a WAL of 6.0 years as of the effective date. Moody's modeled a fixed WARR of 52.1%. Moody's modeled a MAC of 29.5% corresponding to a pair-wise correlation of 35%. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on March 25, 2013. The cash flow model, CDOEdge(R) 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. The performance of the notes is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The servicing decisions of the master and special servicer and surveillance by the Advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes. 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 and rating factor assumptions of the underlying collateral. Holding all other key parameters static, stressing the recovery rate downward from 52% to 47% would result in an average modeled rating movement on the rated notes of 1 notches downward. Holding all other key parameters static, stressing the WARF from 3600 to 3958 would result in an average modeled rating movement on the rated notes of 1 notch downward. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery 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 V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V Score assigned for the US CRE Derivatives sector, as described in the special report titled, "V Scores and Parameter Sensitivities in the U.S. CMBS Sector" dated March 27, 2009. 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. 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. OCP CLO 2012-2: S&P Affirms 'BB' Rating on Class E Notes -------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on OCP CLO 2012-2 Ltd./OCP CLO 2012-2 Corp.'s $471.875 million floating-rate notes following the transaction's effective date as of Feb. 12, 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 S&P's criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect S&P's assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. "In 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 OCP CLO 2012-2 Ltd./OCP CLO 2012-2 Corp. Class Rating Amount (mil. $) X-2 AAA (sf) 3.26 A1 AAA (sf) 162.50 A2 AAA (sf) 158.75 B AA (sf) 65.63 C (deferrable) A (sf) 35.00 D (deferrable) BBB (sf) 22.50 E (deferrable) BB (sf) 20.00 Combination notes (deferrable)(i) A (sf) 213.40 (i) Combination notes consist of an aggregate amount of up to $213,399,805, with the components consisting of up to $162,500,000 of the class A1 notes, $33,195,525 of the class B notes, and $17,704,280 of the class C notes. On the closing date, the issuer expects to have a total of $174,500,000 of combination notes outstanding, consisting of $132,878,519 of class A1 notes, $27,144,444 of class B notes, and $14,477,037 of class C notes. The individual components of the combination notes are included in the outstanding amount of the related components and will earn interest in the same manner as the related components. The component amounts outstanding can vary, subject to conditions as described in the indenture. OCTAGON INVESTMENT V: Moody's Hikes Ratings on 4 CLO Note Classes ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Octagon Investment Partners V, Ltd: $21,000,000 Class B Senior Secured Deferrable Interest Notes due November 28, 2018, Upgraded to Aaa (sf); previously on July 15, 2013 Upgraded to A1 (sf) and Placed Under Review for Possible Upgrade $12,000,000 Class C-1 Senior Secured Deferrable Interest Notes due November 28, 2018, Upgraded to A3 (sf); previously on July 15, 2013 Ba1 (sf) Placed Under Review for Possible Upgrade $3,000,000 Class C-2 Senior Secured Deferrable Interest Notes due November 28, 2018, Upgraded to A3 (sf); previously on July 15, 2013 Ba1 (sf) Placed Under Review for Possible Upgrade $4,500,000 Class D Subordinated Secured Deferrable Interest Notes due November 28, 2018, Upgraded to Baa3 (sf); previously on July 15, 2013 Ba3 (sf) Placed Under Review for Possible Upgrade Moody's also affirmed the ratings of the following notes: $229,000,000 Class A-1 Senior Secured Notes due November 28, 2018, (current outstanding balance of $92,239,843.33), Affirmed Aaa (sf); previously on September 15, 2011 Upgraded to Aaa (sf) $7,250,000 Class A-2 Senior Secured Notes (current outstanding balance of $2,920,257.05), Affirmed Aaa (sf); previously on September 15, 2011 Upgraded to Aaa (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since December 2012. Moody's notes that the Class A-1 and A-2 notes have been paid down by approximately 60% or $141.1 million since the end of the deal's reinvestment period in February 2012, including $88.3 million since December 2012. Based on the latest trustee report dated July 22, 2013, the Class A, Class B, Class C and Class D overcollateralization ratios are reported at 160.7%, 131.7%,116.6% and 112.8%, respectively, versus December 2012 levels of 131.3%, 117.8%, 109.8%,107.6% respectively. The rating actions taken on the notes also reflect a correction to Moody's modeling of the priority of principal payments for the Class D notes. Due to an input error at the time of the rating action in September 2011, the Class D notes were incorrectly modeled to receive principal pro-rata with the Class A-1 and A-2 notes, rather than receiving principal after the Class C notes. This error has now been corrected, and these rating actions reflect this change. In taking the foregoing actions, Moody's also announced that it had concluded its review of the rating on the issuer's Class B, C- 1, C-2 and D 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 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 $152.96 million, no defaulted par, a weighted average default probability of 16.09% (implying a WARF of 2525), a weighted average recovery rate upon default of 48.46%, and a diversity score of 42. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Octagon Investment Partners V, Ltd, issued in January 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's 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% (2020) Class A-1: 0 Class A-2: 0 Class B: 0 Class C-1: +3 Class C-2: +3 Class D: +2 Moody's Adjusted WARF + 20% (3030) Class A-1: 0 Class A-2: 0 Class B: -1 Class C-1: -2 Class C-2: -2 Class D: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 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 bond/loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. PREFERRED TERM: Moody's Raises Rating on $88MM Notes From 'Ca' -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Preferred Term Securities, Ltd. $90,000,000 Fixed Rate Mezzanine Notes (current balance $88,184,210.66), Upgraded to Caa3 (sf); previously on October 22, 2010 Downgraded to Ca (sf). 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 as well as the improvement in the credit quality of the underlying portfolio since the last rating action in March 2012. Moody's notes that the Senior notes have been paid down by approximately $90 million since the last rating action, due to diversion of excess interest proceeds and disbursement of principal proceeds from redemptions of underlying assets. As a result of this deleveraging, the Mezzanine Principal Coverage Test improved to 87.80% from 79.75% as calculated by Moody's. Going forward, the Mezzanine 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 when the Senior Notes have been redeemed the Mezzanine Notes will become senior and any missed current interest payment on the notes may trigger an Event of Default. 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 843 compared to 1142 as of the last rating action date. 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 $77.5 million , defaulted/deferring par of $59 million, a weighted average default probability of 15.91% (implying a WARF of 843), Moody's Asset Correlation of 33%, 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. Preferred Term Securities, Ltd., issued on September 2000, 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 to 1700 points from the base case of 843 the model-implied rating of the Mezzanine Notes is one notch worse than the base case result. Similarly, if the WARF is decreased to 750 points, the model-implied rating of the Mezzanine Notes is one notch better than the base case result. In addition, Moody's also performed a sensitivity analysis as described in the Special Comment "Sensitivity Analyses on Deferral Cures and Default Timing for Monitoring TruPS CDOs" published in August 2012. Moody's 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: Mezzanine Notes: +1 Moody's notes that this transaction is still subject to a high level of macroeconomic uncertainty although its 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. PREFERRED TERM IX: Moody's Lifts Ratings on 3 Note Classes to Caa1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by be Preferred Term Securities IX, Ltd.: $245,000,000 Floating Rate Class A-1 Senior Notes Due April 3, 2033 (current balance of $78,564,218.82), Upgraded to Aaa (sf); previously on August 5, 2013 Aa2 (sf) Placed Under Review for Possible Upgrade; $42,000,000 Floating Rate Class A-2 Senior Notes Due April 3, 2033, Upgraded to Aa2 (sf); previously on August 5, 2013 A2 (sf) Placed Under Review for Possible Upgrade; $33,000,000 Fixed/Floating Rate Class A-3 Senior Notes Due April 3, 2033, Upgraded to Aa2 (sf); previously on August 5, 2013 A2 (sf) Placed Under Review for Possible Upgrade; $86,000,000 Floating Rate Class B-1 Mezzanine Notes Due April 3, 2033, Upgraded to Caa1 (sf); previously on March 27, 2009 Downgraded to Ca (sf); $16,250,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due April 3, 2033, Upgraded to Caa1 (sf); previously on March 27, 2009 Downgraded to Ca (sf); $66,250,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due April 3, 2033, Upgraded to Caa1 (sf); previously on March 27, 2009 Downgraded to Ca (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, and an improvement in the credit quality of the underlying portfolio since September 2012. Moody's notes that the Class A-1 Notes have been paid down by approximately 44% or $61.7 million since September 2012, due to disbursement of principal proceeds from redemptions of underlying assets and diversion of excess interest proceeds. As a result of this deleveraging, the Class A-1 notes' par coverage improved to 348% based on Moody's calculation. According to the latest trustee report dated June 28, 2013, the Senior Principal Coverage Test is reported at 177.95% (covenant 120%), versus September 2012 levels of 147.73%. 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 797 compared to 879 in March 2012. Since September 2012, two previously deferring banks with a total par of $30 million have resumed interest payments while four assets with a total par of $52.8 million have redeemed at par. In taking the foregoing actions, Moody's also announced that it had concluded its review of its ratings on the issuer's Class A-1, A-2 and A-3 Notes announced on August 5, 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, increases in the overcollateralization (OC) ratios, and improvements in the credit quality of the underlying portfolios. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, 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 $273.27 million, defaulted/deferring par of $101.28 million, a weighted average default probability of 17.22% (implying a WARF of 797), Moody's Asset Correlation of 20.94%, 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. Preferred Term Securities IX, Ltd., issued on March 26, 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. The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs" published in May 2011. 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 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 363 points from the base case of 797, the model-implied rating of the A-1 notes is one notch worse 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 $23.5 million of bank TruPS. In the second sensitivity analysis, Moody's 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 A-1: 0 Class A-2: 0 Class A-3: 0 Class B-1: +3 Class B-2: +3 Class B-3: +3 Sensitivity Analysis 2: Class A-1: 0 Class A-2: 0 Class A-3: 0 Class B-1: +1 Class B-2: +1 Class B-3: +1 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 four years, and some of the previously deferring banks have resumed interest payment on their trust preferred securities. REVE SPC XVII: Moody's Raises Rating on $30MM Notes to 'Ba3' ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by REVE SPC Dryden XVII: $25,000,000 UBS AG, London Branch CDS Reference Number 37585711 (DRYDEN XVII) (current balance 30,000,000) due September 20, 2014, Upgraded to Ba3 (sf); previously on June 4, 2013 Reinstated to B1 (sf) REVE SPC Dryden XVII, a corporate synthetic collateralized debt obligation transaction. The CSO references a portfolio of corporate senior unsecured and subordinated bonds. Ratings Rationale: Moody's upgrade rating action is the result of the shortened time to maturity of the CSO, the level of credit enhancement remaining in the transaction, and the improving credit quality of the reference portfolio. Since March 2011, the ten year weighted average rating factor (WARF) of the portfolio has declined from 953 to 779, excluding settled credit events. The credit quality of the portfolio continues to improve with 9.3% of the portfolio rated B1 or below, compared to 11.6% in March 2011. The portfolio has experienced seven credit events on Federal Home Loan Mortgage Corporation, Federal National Mortgage Association, Lehman Brothers Holding Inc., Syncora Guarantee Inc., CIT Group Inc., Ambac Assurance Corporation and Residential Capital LLC, equivalent to 8.5% of the portfolio based on the portfolio notional value at closing. Based on the June 2013 trustee report, the subordination of the rated tranche has been reduced by 3.1%. There are 1.1 years remaining until maturity. 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 v2.8-9. 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 higher than in the base case. -- Market Implied Ratings ("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 that of the base case. -- Moody's performs a stress analysis consisting of defaulting all entities rated Caa1 and below. The result of this run is one notch lower than in the base case. -- Moody's conducts a sensitivity analysis consisting of notching down by one the ratings of reference entities in the Banking, Finance, and Real Estate sectors. The result from this run is two notches below the one modeled under the base case. -- This transaction has a 4.25% 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 key model inputs used in its analysis are based on the 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. RFSMI 2005-S7: Moody's Cuts Ratings on 3 RMBS Tranches ------------------------------------------------------ Moody's Investors Service has downgraded the ratings of three tranches and upgraded the rating of one tranche from two RMBS transactions issued by RFMSI. The actions impact approximately $18.5 million of RMBS issued from 2005. Complete rating actions are as follows: Issuer: RFMSI Series 2005-S4 Trust Cl. A-1, Upgraded to Ba1 (sf); previously on Jul 19, 2011 Confirmed at B1 (sf) Issuer: RFMSI Series 2005-S7 Trust Cl. A-4, Downgraded to Caa1 (sf); previously on Aug 30, 2012 Downgraded to B3 (sf) Cl. A-5, Downgraded to Caa2 (sf); previously on Jul 19, 2011 Downgraded to Caa1 (sf) Cl. A-7, Downgraded to C (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflects Moody's updated loss expectations on the pools. The downgrade rating actions reflect deterioration of collateral performance. The upgrade rating action is a result of faster pay-down of the bond due to high prepayments/fast 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 July 2012 to 7.4% in July 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. RIALTO REAL: Servicing Rights Transfer No Impact on Ratings ----------------------------------------------------------- Moody's Investors Service was informed that Rialto Real Estate Fund, LP, as the Subordinate Class Representative, has elected to terminate Midland Loan Services as the existing Special Servicer (except with respect to the Port Charlotte Town Center Participated Mortgage Loan) and to appoint Rialto Capital Advisors, LLC (Rialto) as the successor Special Servicer (except with respect to the Port Charlotte Town Center Participated Mortgage Loan). The Proposed Special Servicer Transfer and Replacement will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the Proposed Special Servicer Replacement. Moody's has determined that this proposed special servicing replacement 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 WF-RBS Commercial Mortgage Trust 2011-C2, Commercial Mortgage Pass-Through Certificates, Series 2011-C2 (the Certificates). Moody's opinion only addresses the credit impact associated with the proposed designation and transfer of special servicing rights. Moody's is not expressing any opinion as to whether this change has, or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. The last rating action for WF-RBS 2011-C2 was taken on March 7, 2013. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. On March 7, 2013, Moody's affirmed the ratings of 11 classes of WF-RBS Commercial Mortgage Trust 2011-C2, Commercial Mortgage Pass-Through Certificates, Series 2011-C2 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 11, 2011 Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 11, 2011 Assigned Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed Baa3 (sf); previously on Mar 11, 2011 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) SANDELMAN REALTY I: Moody's Lifts Ratings on Four Note Classes -------------------------------------------------------------- Moody's has upgraded the ratings of four classes and affirmed the ratings of four classes of Notes issued by Sandelman Realty CRE CDO I, Ltd. The upgrades are due to rapid redemption of the senior Notes as a result of the sale of assets 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. C, Upgraded to B2 (sf); previously on Aug 27, 2010 Downgraded to Ca (sf) Cl. D, Upgraded to Caa2 (sf); previously on Aug 27, 2010 Downgraded to C (sf) Cl. E, Upgraded to Caa3 (sf); previously on Aug 27, 2010 Downgraded to C (sf) Cl. F, Upgraded to Caa3 (sf); previously on Aug 27, 2010 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Aug 27, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Aug 27, 2010 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Aug 27, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Aug 27, 2010 Downgraded to C (sf) Ratings Rationale: Sandelman Realty CRE CDO I, Ltd. is a currently static (reinvestment period ended in March 2012) cash transaction backed by a portfolio of whole loans (75.1% of the pool balance), mezzanine loans (16.0%), and CRE CDO (8.9%). As of the July 18, 2013 Trustee report, the aggregate Note balance of the transaction, including preferred shares, has decreased to $ 109.7 million from $507.0 million at issuance, with full paydown of the A-1, A-2, and B Notes and partial paydown directed to the C Notes. In addition to the paydown, the Note balance has also decreased as a result of cancellation of junior Notes. In general, holding all key parameters static, the junior note cancellations results in slightly higher expected losses and longer weighted average lives on the senior Notes, while producing slightly lower expected losses on the mezzanine and junior Notes. However, this does not cause, in and of itself, a downgrade or upgrade of any outstanding classes of notes. There is one asset with a par balance of $42.3 million (75.2% of the current pool balance) that is considered defaulted as of the July 18, 2013 Trustee report, compared to three defaulted securities totaling $66.7 million par amount at last review. Moody's does expect moderate losses to occur on the defaulted asset once it is 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 8,360 compared to 5,650 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Ba1-Ba3 (8.9% compared to 13.1% at last review), and Caa1-C (91.1% compared to 60.1% at last review). Moody's modeled a WAL of 3.1 years, the same as at last review. The current WAL is based on the assumption about extensions on the underlying collateral assets. Moody's modeled a fixed WARR of 34.4%, compared to 28.8% at last review. Moody's modeled a MAC of 0%, compared to 9.6% 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. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 34.4% to 24.4% or up to 44.4% would result in a modeled rating movement on the rated tranches 0 to 9 notches downward and 0 to 8 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. SDART 2013-A: S&P Assigns Prelim. 'BB+' Rating on Class E Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Santander Drive Auto Receivables Trust 2013-A's $800.00 million asset-backed notes. The note issuance is an asset-backed securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Aug. 14, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflects S&P's view of: -- The availability of 49.67%, 43.49%, 34.75%, 30.64%, and 26.06% of credit support for the class A, B, C, D, and E notes, respectively, based on stress cash flow scenarios (including excess spread), which provide coverage of more than 3.50x, 3.00x, 2.30x, 1.93x, and 1.60x S&P's 13.50%- 14.50% expected cumulative net loss. -- The timely interest and principal payments made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A, B, and C notes will remain within one rating category of the assigned preliminary ratings during the first year, and its ratings on the class D and E notes will remain within two rating categories of the assigned preliminary ratings, which is within the outer bounds of our credit stability criteria -- The originator/servicer's history in the subprime/specialty auto finance business. -- S&P's analysis of eight years of static pool data on Santander Consumer USA Inc.'s lending programs. -- The transaction's payment/credit enhancement and legal structures. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1737.pdf PRELIMINARY RATINGS ASSIGNED Santander Drive Auto Receivables Trust 2013-A Class Rating Type Interest Amount rate (mil. $)(i) A-1 A-1+ (sf) Senior Fixed 114.00 A-2 AAA (sf) Senior Fixed 227.00 A-3 AAA (sf) Senior Fixed 176.26 B AA (sf) Subordinate Fixed 85.48 C A (sf) Subordinate Fixed 105.21 D BBB+ (sf) Subordinate Fixed 48.22 E BB+ (sf) Subordinate Fixed 43.83 (i) The interest rates and actual sizes of these tranches will be determined on the pricing date. SHASTA CLO I: Moody's Affirms Ba2 Rating on $18MM of CLO Notes -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Shasta CLO I Ltd.: $38,000,000 Class A-2L Floating Rate Notes Due April 2021, Upgraded to Aa1 (sf); previously on July 18, 2011 Upgraded to Aa2 (sf); $26,000,000 Class A-3L Floating Rate Notes Due April 2021, Upgraded to A2 (sf); previously on July 18, 2011 Upgraded to A3 (sf). Moody's also affirmed the ratings of the following notes: $296,000,000 Class A-1L Floating Rate Notes Due April 2021 (current balance of $286,570,908), Affirmed Aaa (sf); previously on July 18, 2011 Upgraded to Aaa (sf); $45,000,000 Class A-1LV Floating Rate Revolving Notes Due April 2021 (current balance of $43,566,523), Affirmed Aaa (sf); previously on July 18, 2011 Upgraded to Aaa (sf); $18,000,000 Class B-1L Floating Rate Notes Due April 2021, Affirmed Baa3 (sf); previously on July 18, 2011 Upgraded to Baa3 (sf); $18,000,000 Class B-2L Floating Rate Notes Due April 2021, Affirmed Ba2 (sf); previously on July 18, 2011 Upgraded to Ba2 (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 October 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 lower weighted average rating factor (WARF) level of 2491 compared to the current covenant of 2950. Additionally, the deal benefited from increases in modeled weighted average spread (WAS) and weighted average recovery rate (WARR). Moody's notes that the transaction's reported collateral quality and overcollateralization ratio are stable since the last rating action. Moody's also 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 $446.9 million, defaulted par of $13.3 million, a weighted average default probability of 16.70% (implying a WARF of 2491), a weighted average recovery rate upon default of 49.17%, and a diversity score of 66. 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. Shasta CLO I Ltd., issued in January 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's 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% (1993) Class A-1L: 0 Class A-1LV: 0 Class A-2L: 0 Class A-3L: +3 Class B-1L: +3 Class B-2L: +1 Moody's Adjusted WARF + 20% (2989) Class A-1L: 0 Class A-1LV: 0 Class A-2L: -2 Class A-3L: -2 Class B-1L: -1 Class B-2L: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. SOLOMON MORTGAGE 2001-CB4: Amendments No Impact on Moody's Ratings ------------------------------------------------------------------ After the analysis of the credit impact of a proposal by Ocwen Loan Servicing, LLC to amend its servicing agreement related to the Solomon Mortgage Loan Trust, Series 2001-CB4, C-Bass Mortgage Loan Asset Backed Notes to allow a servicer advance financing facility to provide funding for Ocwen's advances and accrued but unpaid servicing fees, Moody's Investors Service stated that such amendment, in and of itself and at this time, did not result in the downgrade or withdrawal of Moody's current ratings of the securities issued in the affected transaction. As a servicer for the affected transaction, Ocwen requested that Moody's provide its opinion on whether the ratings of the securities issued by the affected transaction, would be downgraded or withdrawn as a result of its proposal. Moody's believed that the proposal did not have an adverse effect on the credit quality of the securities such that the Moody's ratings were impacted. Moody's did not express an opinion as to whether the proposal could have other, noncredit-related effects. Moody's view is based primarily on its opinion that the amendments do not alter the servicer's advancing obligations. On July 23, 2012, Moody's corrected the watch status of two tranches and downgraded the rating of one of these tranches from C-BASS Mortgage Loan Asset Backed Notes, Series 2001-CB4, backed by closed end second lien loans. Complete rating actions were as follows: Issuer: C-Bass Mortgage Loan Asset Backed Notes, Series 2001-CB4 Cl. IIM-2, Downgraded to Ba1 (sf); previously on Nov 3, 2010 Downgraded to Baa1 (sf) STUDENT LOAN 2007-1: S&P Puts 'B-' Rating on CreditWatch Negative ----------------------------------------------------------------- Standard & Poor's Ratings Services placed its 'B-' ratings on Student Loan ABS Repackaging Trust Series 2007-1's class 6-A-l and 6-A-IO certificates on CreditWatch with negative implications. The ratings on the class 6-A-l and 6-A-IO certificates are dependent on the lower of: (i) the rating on Transferable Custody Receipts relating to NCF Grantor Trust 2005-3, Series 2005-GT3 due 2033 class A-5-1 ('B- (sf)/Watch Neg); and (ii) the rating on Deutsche Bank AG ('A/A-1'). The rating actions follows S&P's July 30, 2013, placement of its 'B- (sf)' rating on the underlying security on CreditWatch with negative implications. S&P could take subsequent rating actions on the custody receipts due to changes in its rating on 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 TABERNA PREFERRED III: Ratings Unchanged Following Trustee Switch ----------------------------------------------------------------- Moody's Investors Service has determined that appointment of Deutsche Bank Trust Company Americas ("DBTCA") as Successor Trustee pursuant to an Appointment and Assumption Agreement (the "Agreement), dated as of August 8, 2013 by and among Taberna Preferred Funding III, Ltd., as Issuer, Taberna Preferred Funding III, Inc., as Co-Issuer and collectively, with the Issuer, the "Co-Issuers", The Bank of New York Mellon Trust Company, National Association (successor to JPMorgan Chase Bank, National Association) as Retiring Trustee, DBTCA, as Successor Trustee and TP Management LLC, as collateral manager, will not at this time result in the withdrawal, reduction, or other adverse action of Moody's current ratings of any class of notes issued by the Issuer. Moody's does not express an opinion as to whether the appointment of the Successor Trustee could have non-credit related effects. Moody's has been informed that the appointment of DBTCA as Successor Trustee received the consent of the majority of the Controlling Class. In conjunction with its removal as Trustee, the Retiring Trustee resigns as Calculation Agent, Collateral Administrator, Custodian, Note Registrar, Preferred Share Paying Agent and all other capacities under the indenture and the other Transaction Documents. Moody's carries these ratings for Taberna Preferred III: Class A-1a; Caa2 Class A-1b; Caa2 Class A-1c; Caa2 Class A-2a; Caa3 TRAPEZA CDO VII: Moody's Affirms Ca Ratings on 2 Debt Classes ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Trapeza CDO VII, Ltd.: $194,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2035 (current balance of $105,957,416.97), Upgraded to Aa2 (sf); previously on August 5, 2013 Upgraded to A2 (sf) and Placed Under Review for Possible Upgrade; $32,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2035, Upgraded to A2 (sf); previously on August 5, 2013 Upgraded to Baa2 (sf) and Placed Under Review for Possible Upgrade. Moody's also affirmed the ratings of the following notes: $56,600,000 Class B-1 Third Priority Secured Floating Rate Notes Due 2035 (current balance of $61,579,248.60 including interest shortfall), Affirmed Ca (sf); previously on March 27, 2009 Downgraded to Ca (sf); $37,500,000 Class B-2 Third Priority Secured Fixed/Floating Rate Notes Due 2035 (current balance of $41,754,926.46 including interest shortfall), Affirmed Ca (sf); previously on March 27, 2009 Downgraded to Ca (sf). Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of Class A-1 Notes, increase in the transaction's overcollateralization ratios and improvement in the credit quality of the underlying portfolio since the last review in 2012. In taking the foregoing actions, Moody's also announced that it had concluded its review of its ratings on the issuer's Class A-1 Notes and Class A-2 Notes announced on August 05, 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, increases in the overcollateralization (OC) ratios, and improvements in the credit quality of the underlying portfolios. Moody's notes that the Class A-1 Notes have been paid down by approximately 16.5% or $20.9 million since August 2012, due to diversion of excess interest proceeds and disbursement of unscheduled principal proceeds from redemptions of underlying assets. As a result of this deleveraging, the Class A-1 Notes' par coverage improved to 176.1% from 129.3%, as calculated by Moody's. Based on the latest trustee report dated July 19, 2013, the Class A Overcollateralization Test is 135.1% (limit 138.1%), versus the August 2012 level of 120.9%. 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 801 compared to 885 as of the last rating action date. The total par amount that Moody's treated as defaulted or deferring declined to $80.9 million compared to $90.9 million as of August 2012. The decline is due to improvement in the credit quality and the financial ratios of the banks that issued the two assets that were assumed to be defaulted in the last review. Moody's observed that the Class B notes continue to defer interest due to Class A Overcollateralization test failure which results in diversion of excess interest to pay the senior notes until the coverage test is cured. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, 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 $186.7 million, defaulted/deferring par of $80.9 million, a weighted average default probability of 18.58% (implying a WARF of 801), Moody's Asset Correlation of 22.78%, 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 VII, Ltd., issued on October 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. The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs" published in May 2011. 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 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 79 points from the base case of 801, 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 191 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, 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 $15 million of bank TruPS. In the second sensitivity analysis, it 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 A-1: 0 Class A-2: +1 Class B-1: +2 Class B-2: +2 Sensitivity Analysis 2: Class A-1: 0 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. TROPIC CDO II: Moody's Upgrades Rating on $35MM Cl. C Notes to B2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Tropic CDO II, Ltd: $145,000,000 Class A-1L Floating Rate Notes due April 2034 (current balance of $89,494,406.78), Upgraded to A1 (sf); previously on August 5, 2013 Upgraded to A2 (sf) and Placed Under Review for Possible Upgrade $50,000,000 Class A-2L Floating Rate Notes due April 2034, Upgraded to Baa2 (sf); previously on August 5, 2013 Upgraded to Baa3 (sf) and Placed Under Review for Possible Upgrade $35,000,000 Class A-3L Floating Rate Notes due April 2034, Upgraded to B2 (sf); previously on August 5, 2013 Upgraded to Caa1 (sf) and Placed Under Review for Possible Upgrade Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the Class A-1L Notes, an increase in the transaction's overcollateralization ratios. The deleveraging is due to the redemption of underlying assets and diversion of excess interest after paying interest on the Class A- 1L, A-2L, and A-3L Notes. Moody's notes that the Class A-4L, A-4 and B-1L notes continue to defer interest due to the failure of the Senior overcollateralization (OC) test. Moody's notes that the Class A-1L Notes have been paid down by approximately 16.2% or $17.3 million since October 2012, due to the diversion of excess interest proceeds and disbursement of principal proceeds from redemptions of underlying assets. Since October 2012, two previously deferring banks with a total par of $20 million have resumed interest payments while three assets with a total par of $13.9 million have redeemed at par. As a result, the Class A-1L notes' par coverage improved to 212% based on Moody's calculation. According to the latest trustee report dated July 8, 2013, the Senior, and Subordinate OC ratios are reported at 109.02% (limit 120%) and 74.09% (limit 104.00%) respectively, versus September 2012 levels of 95.74%, and 67.10%, respectively. Going forward, the Class A-1L notes will continue to benefit from the diversion of excess interest and the proceeds from future redemptions of any assets in the collateral pool. In taking the foregoing actions, Moody's also announced that it had concluded its review of its ratings on the issuer's Class A- 1L, A-2L and A-3L Notes announced on August 5, 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, increases in the OC ratios, and improvements in the credit quality of the underlying portfolios. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, 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 $189.7million, defaulted/deferring par of $109.6million, a weighted average default probability of 20.63% (implying a WARF of 1351), Moody's Asset Correlation of 18.43%, 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. Tropic CDO II, Ltd, issued on October 15, 2003, is a collateralized debt obligation backed by a portfolio of bank and REIT 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. For REIT TruPS without public ratings by Moody's, their credit quality is assessed by Moody's REIT group using the REIT firms annual financial reporting. The methodologies used in this rating were "Moody's Approach to Rating TRUP CDOs" published in May 2011, and "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009. 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 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 79 points from the base case of 1351, the model-implied rating of the A-1L notes is one notch worse than the base case result. Similarly, if the WARF is decreased by 211 points, the model-implied rating of the A-1L 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 $23.5 million of bank TruPS. In the second sensitivity analysis, Moody's 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 A-1L: +1 Class A-2L: +2 Class A-3L: +3 Class A-4L: +0 Class A-4: +0 Class B-1L: +0 Sensitivity Analysis 2: Class A-1L: +0 Class A-2L: +1 Class A-3L: +1 Class A-4L: +0 Class A-4: +0 Class B-1L: +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 four years, and some of the previously deferring banks have resumed interest payment on their trust preferred securities. UBS-CITIGROUP 2011-C1: Rights Transfer No Impact on Ratings ----------------------------------------------------------- Moody's Investors Service was informed that Rialto Real Estate Fund, LP, as the Lead Directing Holder, and RREF CMBS AIV, LP, as the Non-Lead Directing Holder, have elected to terminate Midland Loan Services (Midland) as both the existing Special Servicer and Pari Passu Loan Combination Special Servicer and to appoint Rialto Capital Advisors, LLC, (Rialto) as the successor Special Servicer and Pari Passu Loan Combination Special Servicer. The Proposed Special Servicer Transfer and Replacement will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the Proposed Special Servicer Replacement. Moody's has determined that this proposed special servicing replacement 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 UBS-Citigroup Commercial Mortgage Trust 2011-C1, Commercial Mortgage Pass-Through Certificates, Series 2011-C1 (the Certificates). Moody's opinion only addresses the credit impact associated with the proposed designation and transfer of special servicing rights. Moody's is not expressing any opinion as to whether this change has, or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. The last rating action for UBSC 2011-C1 was taken on November 20, 2012. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. On January 4, 2012, Moody's assigned ratings to thirteen classes of CMBS securities, issued by UBS-Citigroup Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates 2011-C1. 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-AB, Definitive Rating Assigned Aaa (sf) Cl. X-A, Definitive Rating Assigned Aaa (sf) Cl. X-B, Definitive Rating Assigned Aaa (sf) Cl. A-S, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa2 (sf) Cl. C, Definitive Rating Assigned A2 (sf) Cl. D, Definitive Rating Assigned Baa1 (sf) Cl. E, Definitive Rating Assigned Baa3 (sf) Cl. F, Definitive Rating Assigned Ba2 (sf) Cl. G, Definitive Rating Assigned B2 (sf) UBS-CITIGROUP 2012-C1: Rights Transfer No Impact on Ratings ----------------------------------------------------------- Moody's Investors Service was informed that RREF CMBS AIV, LP, as the Directing Holder, has elected to terminate Midland Loan Services (Midland) as both the existing Special Servicer and Pari Passu Loan Combination Special Servicer and to appoint Rialto Capital Advisors, LLC, (Rialto) as the successor Special Servicer and Pari Passu Loan Combination Special Servicer. The Proposed Special Servicer Transfer and Replacement will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the Proposed Special Servicer Replacement. Moody's has determined that this proposed special servicing replacement 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 UBS-Citigroup Commercial Mortgage Trust 2012-C1, Commercial Mortgage Pass-Through Certificates, Series 2012-C1 (the Certificates). Moody's opinion only addresses the credit impact associated with the proposed designation and transfer of special servicing rights. Moody's is not expressing any opinion as to whether this change has, or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. The last rating action for UBSC 2012-C1 was taken on April 11, 2013. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. On April 11, 2013, Moody's affirmed the ratings of 12 classes of UBS Commercial Mortgage Trust 2012-C1, Commercial Mortgage Pass- Through Certificates, Series 2012-C1 as follows: Cl. A-1, Affirmed Aaa (sf); previously on May 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on May 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on May 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on May 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on May 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on May 9, 2012 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on May 9, 2012 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed Baa3 (sf); previously on May 9, 2012 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on May 9, 2012 Definitive Rating Assigned Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on May 9, 2012 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on May 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on May 9, 2012 Definitive Rating Assigned Ba3 (sf) VIBRANT CLO II: S&P Assigns Preliminary B Rating on Class E Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Vibrant CLO II Ltd./Vibrant CLO II LLC's $335.40 million floating- and fixed-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Aug. 12, 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 asset manager's experienced management team. -- The timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.2654%-12.5332%. -- 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 rated notes' outstanding balance. -- The transaction's interest reinvestment test, a failure of which during the reinvestment period will lead to the reclassification of excess interest proceeds that are available prior to paying incentive management fees, uncapped administrative expenses, and subordinated note payments into principal proceeds for collateral asset purchases. 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/1729.pdf PRELIMINARY RATINGS ASSIGNED Vibrant CLO II Ltd./Vibrant CLO II LLC Class Rating Amount (mil. $) A-1 AAA (sf) 214.80 A-2A AA (sf) 35.10 A-2B AA (sf) 10.00 B (deferrable) A (sf) 28.90 C (deferrable) BBB (sf) 18.80 D (deferrable) BB (sf) 16.40 E (deferrable) B (sf) 11.40 Subordinated notes NR 31.50 M (deferrable) NR 1.00 NR-Not rated. WACHOVIA BANK 2003-C7: Moody's Cuts Rating on X-C Debt to B1 ------------------------------------------------------------ Moody's Investors Service downgraded the ratings of one class and affirmed 14 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2003-C7 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Nov 6, 2003 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Dec 21, 2006 Upgraded to Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Dec 21, 2006 Upgraded to Aaa (sf) Cl. D, Affirmed Aa2 (sf); previously on Aug 21, 2008 Upgraded to Aa2 (sf) Cl. E, Affirmed A3 (sf); previously on Aug 16, 2012 Downgraded to A3 (sf) Cl. F, Affirmed Ba1 (sf); previously on Aug 16, 2012 Downgraded to Ba1 (sf) Cl. G, Affirmed B1 (sf); previously on Aug 16, 2012 Downgraded to B1 (sf) Cl. H, Affirmed B3 (sf); previously on Aug 16, 2012 Downgraded to B3 (sf) Cl. J, Affirmed Caa2 (sf); previously on Aug 16, 2012 Downgraded to Caa2 (sf) Cl. K, Affirmed C (sf); previously on Aug 16, 2012 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Aug 16, 2012 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Aug 16, 2012 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. O, Affirmed C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. X-C, Downgraded to B1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations for the five investment grade classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for these classes are sufficient to maintain their current ratings. The ratings of the nine below investment grade classes are consistent with Moody's expected loss and thus are affirmed. 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 downgrade of the IO Class, Class X-C, is a result of the decline in the WARF of its referenced classes, caused by the paydowns of the highly rated classes. Moody's rating action reflects a base expected loss of 21.5% ($63.0 million) of the current pooled balance compared to 9.7% ($63.7 million) at last review. Moody's base expected loss plus cumulative realized losses is now 7.0% of the original pool balance compared to 6.9% at the 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. 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 19 compared to 34 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the July 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 70% to $299.9 million from $1.0 billion at securitization. The Certificates are collateralized by 60 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 50% of the pool. Eight loans, representing 9% of the pool, have defeased and are secured by U.S. Government securities. Nineteen 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. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $6.4 million (29% loss severity on average). Two loans, representing 22% of the pool, are currently in special servicing. The largest specially serviced loan is the Regency Square Mall Loan ($41.3 million -- 13.8% of the pool), which represents a 50% participation interest in an $82.6 million senior mortgage loan secured by a regional mall located in Jacksonville, Florida. The mall totals 1.4 million total square feet (SF), of which approximately 938,031 SF serves as loan collateral. The mall anchors include Dillard's, Sears, JC Penney and Belk. The loan was transferred to special servicing in April 2012 for imminent default. Total mall occupancy was 77% at year- end 2012, down from 81% at year-end 2011. As of March 2013, the mall's inline occupancy was just 25%. Several national retailers vacated the mall following recent lease expirations, including apparel retailers Express and Forever 21. Belk extended its lease for one year past its original March 2013 expiration. The second loan in the special servicing is the Columbia Place Mall Loan ($25.7 million -- 8.6% of the pool), which is secured by a regional mall located in Columbia, South Carolina. The mall totals 970,000 SF, of which approximately 391,611 SF serves as loan collateral. The loan was transferred to special servicing in January 2012 for imminent default. The properly was 86% leased as of June 2013. Moody's has estimated an aggregate $57 million loss (85% expected loss on average) for these two specially serviced loans. Moody's has also assumed a high default probability for five poorly performing loans representing 4% of the pool and has estimated an aggregate $2.5 million loss (21% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2012 and partial year 2013 operating results for 86% and 30% of the pool's non-specially serviced loans, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 80% 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 8.9%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.34X and 1.26X, respectively, compared to 1.78X and 1.30X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 16% of the pool balance. The largest loan is the Hollywest at Western, LLP Loan ($22.7 million -- 7.6% of the pool), which is secured by a 120,000 SF grocery anchored retail center (Hollywest Promenade) located in Los Angeles, California and a 30,000 SF single tenant retail center (99 Cents Only Store) located in Las Vegas, Nevada. Performance has improved due to higher revenues. The loan also benefits from amortization. Moody's LTV and stressed DSCR are 80% and 1.15X, respectively, compared to 91% and 1.01X at last review. The second largest loan is the Yorba Linda Pines Apartments Loan ($13.7 million -- 4.6% of the pool), which is secured by a 120 unit multifamily property located in Yorba Linda, California. As of December 2012 the property was 95% occupied compared to 96% as of December 2011 and 97% at securitization. Performance has been very stable. Moody's LTV and stressed DSCR are 82% and 1.08X, respectively, compared to 85% and 1.05X at last review. The third largest loan is the Golden Mall Building Loan ($11.2 million -- 3.7% of the pool), which is secured by a 139 unit multifamily property located in Burbank, California. As of December 2012 the property was 92% occupied compared to 99% as of December 2011. Performance has improved due to higher revenues. Moody's LTV and stressed DSCR are 77% and 1.26X, respectively, compared to 86% and 1.13X at last review. WACHOVIA BANK 2006-C24: Moody's Affirms Ratings on 14 Cert Classes ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 14 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2006-C24 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Apr 5, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Apr 5, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed Ba3 (sf); previously on Aug 30, 2012 Downgraded to Ba3 (sf) Cl. A-M, Affirmed A2 (sf); previously on Sep 29, 2011 Downgraded to A2 (sf) Cl. A-PB, Affirmed Aaa (sf); previously on Apr 5, 2006 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed B2 (sf); previously on Aug 30, 2012 Downgraded to B2 (sf) Cl. C, Affirmed B3 (sf); previously on Aug 30, 2012 Downgraded to B3 (sf) Cl. D, Affirmed Caa2 (sf); previously on Aug 30, 2012 Downgraded to Caa2 (sf) Cl. E, Affirmed Caa3 (sf); previously on Aug 30, 2012 Downgraded to Caa3 (sf) Cl. F, Affirmed Ca (sf); previously on Aug 30, 2012 Downgraded to Ca (sf) Cl. G, Affirmed C (sf); previously on Aug 30, 2012 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Aug 30, 2012 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Aug 30, 2012 Downgraded to C (sf) Cl. X-C, 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. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The ratings of the below-investment P&I classes are consistent with Moody's expected loss and thus are affirmed. The rating of the IO Class, Class X-C, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 9.4% of the current balance. At last review, Moody's base expected loss was 10.2%. Realized losses have increased from 4.5% of the original balance to 4.9% since the prior review. Realized losses plus Moody's expected loss is 11.5% of the original securitized balance compared to 11.8% 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. 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 25 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. Deal Performance: As of the July 17, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 30% to $1.4 billion from $2.0 billion at securitization. The Certificates are collateralized by 96 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 53% of the pool. No loans have defeased and there are no loans with an investment grade credit assessment. Twenty-one loans, representing 22% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seventeen loans have been liquidated from the pool, resulting in an aggregate realized loss of $99.1 million (72% loss severity on average). Five loans, representing 9% of the pool, are currently in special servicing. The largest specially serviced loan is the Woodbridge Hilton Pool (2),(3) Loan ($34.3 million -- 2.5% of the pool), which is secured by a mixed use 198-key Hilton Hotel and 124,126 square foot (SF) office building located in Iselin, New Jersey. The loan transferred to special servicing in December 2010 due to imminent default. The borrower submitted a loan modification proposal that was later rejected by the special servicer. Foreclosure proceedings took place, and the borrower subsequently filed for bankruptcy in December 2012 just prior to the receivership hearing. No plan has been filed by the borrower in the bankruptcy case. The remaining four specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $80.1 million loss for the specially serviced loans (64% expected loss on average). Moody's has assumed a high default probability for six poorly performing loans representing 6% of the pool and has estimated an aggregate $17.9 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2012 operating results for 92% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 100% compared to 104% 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 9.1%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.34X and 1.03X, respectively, compared to 1.22X 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 top three conduit loans represent 26% of the pool. The largest loan is the Regency Portfolio Loan ($164.6 million -- 11.8%), which is secured by ten retail properties (originally 13) totaling 1.4 million SF. The remaining properties are located in seven states, with the largest concentrations in California and Illinois. The portfolio was 97% leased as of December 2012 compared to 94% at last full review. Moody's LTV and stressed DSCR are 94% and 1.01X, respectively, compared to 111% and 0.86X at last full review. The second largest loan is the 1818 Market Street Loan ($118.6 million -- 8.5%), which is secured by a 983,160 SF office building located in Philadelphia, Pennsylvania. The property was 79% leased as of December 2012 versus 80% at last review. Overall performance is in line with last review. Moody's LTV and stressed DSCR are 114% and 0.85X, respectively, compared to 116% and 0.84X at last full review. The third largest loan is the Forum at Peachtree Parkway Loan ($84.0 million -- 6.0% of the pool), which is secured by a 389,159 SF retail center located in Norcross, Georgia. The center's major tenants include Belk, Homegoods, Inc. and Barnes & Noble. The center was 98% leased as of June 2013 compared to 90% leased as of January 2011. The loan is interest-only for its entire ten-year term maturing in March 2016. Moody's LTV and stressed DSCR are 126% and 0.73X, respectively, compared to 132% and 0.70X at last full review. WF-RBS COMMERCIAL 2011-C2: Moody's Keeps B2 Rating on Cl. F Certs ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 11 classes of WF-RBS Commercial Mortgage Trust 2011-C2, Commercial Mortgage Pass-Through Certificates, Series 2011-C2 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 11, 2011 Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 11, 2011 Assigned Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed Baa3 (sf); previously on Mar 11, 2011 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of the principal classes are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on our current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Classes, Class X-A and X-B, are consistent with the credit quality of their referenced classes. Moody's rating action reflects a base expected loss of $22.4 million or 1.8% of the current balance. At last review, Moody's base expected loss was $21.8 million or 1.7%. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario calls for US GDP growth for 2013 that is likely to remain close to 2% as the greater impetus from the US private sector is likely to broadly offset the drag on activity from more restrictive fiscal policy. Thereafter, we expect 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 our forecasts remain skewed to the downside despite recent positive developments. Moody's believes that the three most immediate risks are: i) the risk of a deeper than currently expected recession in the euro area accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the ratings of Class X-A and X-B. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in our analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22, the 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 two sets of quantitative tools -- MOST (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Deal Performance: As of the February 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 2% to $1.27 billion from $1.30 billion at securitization. The Certificates are collateralized by 50 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 57% of the pool. The pool contains five loans with investment grade credit assessments, representing 15% of the pool. Two 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 our ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. No loans have been liquidated or are in special servicing. Moody's did not identify any additional loans as being troubled. Moody's was provided with full year 2011 and partial year 2012 operating results for 100% and 96% of the pool, respectively. Moody's weighted average LTV for the conduit component is 83% compared to 89% at last review. Moody's net cash flow reflects a weighted average haircut of 8.8% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed DSCR for the conduit component are 1.63X and 1.25X, respectively, compared to 1.51X and 1.14X 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 Borgata Ground Leases Loan ($60.0 million -- 4.7% of the pool), which is secured by five parcels of land underlying portions of the Borgata Hotel Casino & Spa Complex in Atlantic City, New Jersey. The property is leased pursuant to four separate ground leases, all of which expire in December 2070. Performance has remained stable. Moody's credit assessment and stressed DSCR are Baa1 and 1.03X, respectively, the same as at last review. The second largest loan with a credit assessment is the Westfield Westland Mall Loan ($55.3 million -- 4.3% of the pool), which is secured by 225,000 square feet (SF) of net rentable area (NRA) contained within a 829,000 SF super-regional mall located in Hialeah, Florida. The mall is anchored by Macy's, Sears and JC Penney, all of which are owned by the respective tenants and not included in the collateral. Occupancy as of September 2012 was 97%, the same as at last review. Performance has remained stable. Moody's credit assessment and stressed DSCR are Baa2 and 1.44X, respectively, compared to Baa2 and 1.47X at last review. The third largest loan with a credit assessment is the Port Charlotte Town Center Loan ($38.8 million -- 3.1% of the pool), which is secured by 490,000 SF of NRA contained within a 774,000 SF super-regional mall in Port Charlotte, Florida. The mall contains five anchors and a movie theater. The property is located along Tamiami Trail (US 141). Occupancy as of September 2012 was 88% compared to 92% at last review and securitization. Moody's credit assessment and stressed DSCR are Baa3 and 1.42X, respectively, compared to Baa3 and 1.51X at last review. The fourth largest loan with a credit assessment is the Showcase Mall Phase II Loan ($22.5 million -- 1.8% of the pool), which is secured by 42,000 SF of the Showcase Mall, a 332,000 SF retail project fronting Las Vegas Boulevard and adjacent to the MGM. The property is leased to two tenants (Grand Canyon Shops and Adidas) as well as a kiosk leased to Vegas.com. Performance has remained stable. Moody's credit assessment and stressed DSCR are Baa1 and 1.65X, respectively, compared to Baa3 and 1.58X at last review. The fifth largest loan with a credit assessment is the Hilton Garden Inn -- Mountain View Loan ($10.3 million -- 0.8% of the pool), which is secured by a 160-room, full service hotel located off of Camino Real, the main commercial thoroughfare connecting San Jose and the San Francisco peninsula. The borrower developed the property in 1999 for $14.2 million, excluding the value of the land which the family has owned since 1952. Moody's credit assessment and stressed DSCR are A2 and 2.62X, respectively, compared to A2 and 2.24X at last review. The top three performing conduit loans represent 26% of the pool. The largest conduit loan is the Hollywood & Highland Loan ($163.7 million -- 12.9% of the pool), which is secured by three five- story multi-tenant retail buildings and one six-story theater located on Hollywood Blvd in Los Angeles, California. Tenants include 50 retail shops, 25 restaurants/eateries, two nightclubs, one multi-screen cinema, a grand ballroom, a bowling alley, and a large event theater. Cirque du Soleil signed an agreement for 10 years that began in July 2011 and will produce 368 annual shows. As of September 2012, the property was 89% leased as compared to 92% at last review. Moody's LTV and stressed DSCR are 62% and 1.48X, respectively, compared to 78% and 1.18X at last review. The second largest loan is The Arboretum Loan ($88.7 million -- 7.0% of the pool), which is secured by a Wal-Mart anchored retail center totaling 563,000 SF located in Charlotte, North Carolina. The property consists of 12 single-story buildings, five pad sites, and a 16-screen movie theater. As of September 2012, the property was 99% leased compared to 100% at last review. Moody's LTV and stressed DSCR are 103% and 0.95X, respectively, compared to 98% and 0.99X at last review. The third largest loan is the 1412 Broadway Loan ($82.4 million -- 6.5% of the pool), which is secured by a 24-story, Class B office building located at the northeast corner of 39th Street and Broadway in the Garment District of Manhattan in New York City. The property was purchased by the borrower, Harbor Group International, in December 2010 for $150 million. Of 412,000 SF of leasable area, 24,000 SF (6%) is retail and 388,000 SF (94%) is office with total occupancy of 95% as of September 2012, compared to 92% at last review. Moody's LTV and stressed DSCR are 111% and 0.86X, respectively, compared to 102% and 0.93x at last review. WHITEHORSE III: S&P Raises Rating on Class B-2L Notes to BB+ ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1L, A-2L, A-3L, B-1L, and B-2L notes from WhiteHorse III Ltd. At the same time S&P removed the class A-1L, A-2L, and A-3L notes from CreditWatch with positive implications where they were placed on July 9, 2013. WhiteHorse III Ltd. is a collateralized loan obligation (CLO) transaction managed by WhiteHorse Capital Partners L.P. that closed in March 2006. The transaction's reinvestment period ended in March 2012. Since then, the class A-1L notes have paid down more than $175 million, including more than $40 million on the most recent August 2013 payment date, to reduce the remaining balance to $78.7 million. The upgrades reflect the paydowns to the class A-1L notes, which have helped create additional support to the subordinate notes. The improvements are also evident in the class A, B-1, and B-2 overcollateralization ratios, which have increased since S&P's July 2012 rating actions. As of the July 23, 2013, trustee report, the transaction has roughly $12.3 million of loans maturing after the legal final maturity of the transaction in May 2018. Exposure to these long- dated assets subjects the transaction to potential market value risk, as the manager may have to liquidate these securities when the transaction matures in order to pay down the notes on their final maturity date. The rating actions reflect this potentially negative exposure. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS WhiteHorse III Ltd. Rating Class To From A-1L AAA (sf) AA+ (sf)/Watch Pos A-2L AAA (sf) A+ (sf)/Watch Pos A-3L AA+ (sf) BBB+ (sf)/Watch Pos B-1L A- (sf) BB- (sf) B-2L BB+ (sf) CCC+ (sf) WHITEHORSE VII: S&P Assigns Prelim. BB- Rating on Class B-2L Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to WhiteHorse VII Ltd./WhiteHorse VII LLC's $372.0 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Aug. 14, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread) and cash flow structure, which can withstand the default rate projected by Standard & Poor's Ratings Services' CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The portfolio manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the 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 0.2654%-12.8655%. -- The transaction's overcollateralization and interest coverage tests--a failure of which would lead to the diversion of interest and principal proceeds to reduce the rated notes' outstanding balance. -- The transaction's reinvestment overcollateralization test--a failure of which would lead to the reclassification of a certain amount of excess interest proceeds that are available before paying uncapped administrative expenses and fees, subordinated hedge termination payments, portfolio manager incentive fees, and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period, and to reduce the rated notes' outstanding balance, sequentially, after the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1738.pdf PRELIMINARY RATINGS ASSIGNED WhiteHorse VII Ltd./WhiteHorse VII LLC Class Rating Amount (mil. $) A-1L AAA (sf) 238.80 A-2L AA (sf) 52.40 A-3L (deferrable) A (sf) 31.20 B-1L (deferrable) BBB (sf) 20.00 B-2L (deferrable) BB- (sf) 20.80 B-3L (deferrable) B (sf) 8.80 Subordinated notes NR 38.82 NR-Not rated. * Fitch Takes Various Actions on 20 Trust Preferred CDOs -------------------------------------------------------- Fitch Ratings has taken the following rating actions on tranches from 20 Collateralized Debt Obligations (CDOs) backed primarily by Trust Preferred (TruPS) securities issued by banks: -- Affirmed 79 tranches; -- Upgraded 25 tranches; -- Downgraded two tranches; -- Marked two classes as paid-in-full; -- Withdrew the rating on one note; -- Assigned various Rating Outlooks. The rating action report, titled 'Fitch Takes Various Rating Actions on 20 TruPS CDOs', dated Aug. 9, 2013, details the individual rating actions and portfolio characteristics for each rated CDO. Key Rating Drivers: Credit Quality of Collateral: For most of the transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and ratings, remained stable or improved. As reported in the rating action report, in 19 CDOs average credit quality has improved since last review. Nine transactions experienced new deferrals and defaults, with most of new defaults deferring at last review. Collateral Redemptions: Since last rating action, Fitch has continued to observe a meaningful level of redemptions used to pay down the senior-most notes in TruPS CDOs contributing to increased credit enhancement (CE) levels for rated liabilities. The magnitude of redemptions for each CDO is reported in the rating action report. Redemptions averaged three issuers per deal or 8.3% of collateral balances since the last rating action. The impact of redemptions varies across TruPS CDOs. In more seasoned transactions with a relatively small senior note balance, prepayments provided a significant deleveraging effect. However, potential upgrades were weighed against the risk of adverse selection in the remaining portfolios and the likelihood of the remaining balance to be outstanding for an extended period of time. Excess Spread and CDO Structure: Excess spread continued to contribute to deleveraging most of the CDOs. Given the steady trends of declining new defaults and deferrals and increasing numbers of cures, Fitch updated its criteria to estimate and credit the future levels of excess spread over a five-year horizon in its rating analysis. The details of the analytical framework are explained in the criteria 'Surveillance Criteria for TruPS CDOs,' dated July 10, 2013. Future levels of excess spread will be affected by the state of the coverage tests. As reported in the rating action report, 11 of the 20 CDOs are currently failing the most senior overcollateralization test and nine are currently failing the second-tier overcollateralization test. Fitch estimated time to cure for the most senior overcollateralization coverage test using its base prepayment assumptions, as described in Fitch criteria. This estimate assumes no new defaults, deferrals or cures and a flat interest rate environment. Across the 20 deals, this additional credit enhancement did not provide a meaningful uplift to the passing ratings given the haircuts applied to the base line of excess spread levels for various rating stresses. Resolution and Recovery of Defaults and Deferrals: The number of cures continues to trend upward, as Fitch reports in its quarterly Fitch Bank TruPS CDO index. Fitch assesses the likelihood of a cure for a current deferral based on the score history of a deferring issuer since deferral as described in its criteria. Currently deferring issuers defined as 'strong' are assigned a higher likelihood of curing than 'weak' deferrals. Rating Sensitivities Changes in the rating drivers described above could lead to rating changes in the TruPS CDO notes. To account for uncertainty around the pace of early redemptions, and consequently, magnitude of future excess spread, Fitch's rating analysis capped the levels of excess spread to the amounts projected only over the near-term future. In addition, to address potential risks of adverse selection and increased portfolio concentration after likely redemptions by the issuers with asset size of $15 billion or more, Fitch applied a sensitivity scenario, as described in the criteria. * Fitch Says Delinquencies and Foreclosures Decreasing ------------------------------------------------------ Fitch Ratings has taken various rating actions on 172 U.S. RMBS transactions. The transactions reviewed consisted of 124 Manufactured Housing (MH), 30 Small Balance Commercial (SBC), and 18 securities sponsored by BV Legacy L.P., fka Bayview Financial, L.P. (Bayview). Fitch reviewed 789 classes; 736 classes were affirmed, 43 were upgraded, 8 classes were downgraded, and 2 classes were withdrawn. A spreadsheet detailing the actions can be found on Fitch's website by performing a title search for 'U.S. RMBS Rating Actions for Aug. 15, 2013' or by clicking the link. In addition, a summary of the mortgage pool and bond analysis can be found by performing a title search for 'RMBS Loss Metrics.' Key Rating Drivers Performance has generally remained stable for transactions in this review and has resulted in little change in Fitch's expected loss assumptions. A detailed list of Fitch's updated Probability of Default (PD), Loss Severity (LS), and Expected Loss (XL) can be found by performing a title search for 'RMBS Loss Metrics' at www.fitchratings.com. All but one of the downgrades were limited to one rating category below their prior rating. One class, which held a non-investment grade rating prior to the review, was downgraded two rating categories due to interest shortfalls. The majority of the downgrades affected distressed classes previously rated below 'Bsf' which now appear more certain to default. Upgrades were limited to one rating category above their prior rating due to historical cash flow volatility within the sectors reviewed. The upgrades were driven by stable-to-improving collateral performance and, in some cases, sequential-pay cashflow features which are expected to pay off the upgraded classes within a relatively short timeframe. Rating Sensitivities: Fitch uses pool level collateral data to analyze the MH, SBC, and Bayview transactions. To determine the PD Fitch will use subprime or Alt-A vintage average assumptions while the LS will typically be determined by observed severities over the prior 12 months. Specific assumptions used in the analysis are described in more detailed below. For MH transactions Fitch determines the PD using the subprime vintage average derived from Fitch's non-prime loss model and adjusted for pool specific performance. The LS assumption for each transaction is determined by each issuer's 12 month historical average. The cash flow analysis assumes Fitch's benchmark 10 year CDR curve, a 10% CPR, zero advancing on delinquent loans and a haircut to the WAC in the 'Asf-AAAsf' rating stresses. The PD for SBC transactions is based on the Alt-A vintage average derived from Fitch's non-prime loss model. The LS is determined by each issuer's 12 month historical average and typically ranges from 65%-80% in the base case. Fitch's cashflow analysis assumes prepayment, loss-timing and servicer advancing behavior consistent with Alt-A sector vintage averages. When it is not possible to run cash flow analysis on SBC transactions, Fitch will add one year of excess spread to the credit enhancement (CE) and then compare CE to the expected loss in each rating stress. In order for a class to be affirmed, its CE must exceed the expected loss in its current rating stress. Fitch uses pool level collateral data to analyze the Bayview transactions. If the underlying collateral is small balance commercial/mixed assets the default assumptions are based off of the Alt-A vintage default assumptions from Fitch's non-prime loss model and are adjusted for pool specific product composition and performance. For the remaining asset types, Fitch uses the subprime vintage default assumptions from Fitch's non-prime loss model adjusted for pool specific product composition and performance. Fitch assumes a 75% base case loss severity for the loans in the 12 BFAT transactions. For the Bayview Revolvers and BFAT resecuritizations an 80% severity is used if the collateral is small balance commercial, a 90% severity is used if the assets are first liens and a 100% severity is used for second liens. The Bayview cash flow analysis assumes Fitch's benchmark CDR and CPR curves, zero servicer advance rate for all second liens while the advance rates for first liens reflected Alt-A or subprime advance rates, and a haircut to the WAC in the 'Asf-AAAsf' rating stresses. 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. The spreadsheet 'U.S. RMBS Rating Actions for Aug. 15, 2013' provides the contact information for the performance analyst. * Fitch Says U.S. CMBS Market Metrics Mostly Stable in 2Q --------------------------------------------------------- In a report released on Aug. 14, 2013, Fitch Ratings sees stabilization of trends in outstanding and newly issued U.S. CMBS versus first quarter 2013. The majority of outstanding Fitch-rated investment grade classes maintained Stable Rating Outlooks, while second-quarter downgrades declined over first quarter. 'CMBS downgrades will continue to decline due to fewer loans transferring to special servicing and fewer delinquencies,' said Managing Director Mary MacNeill. Most second-quarter downgrades affected classes already rated speculative grade or distressed. New issuance metrics were stable quarter-over-quarter but have worsened since last year. This was due to higher Fitch stressed LTVs, more interest-only (IO) loans, and more loans having or allowing additional debt. 'The increase in IO loans from a year ago makes average debt service coverage ratios look better,' said Managing Director Huxley Somerville. 'However, the loans are poorer in quality and the Fitch LTV, which is up from a year ago, should also be considered.' Fitch has increased its 'AAA' credit enhancement requirements as additional debt and IO loans have become more commonplace. Mortgage rates in new issue CMBS remained stable quarter-over- quarter. However, Fitch expects the early summer uptick in rates to appear in third-quarter new issuance. Fitch will continue to closely watch rate increases as the 2015-2017 maturity wave nears. The U.S. Commercial Mortgage Market Metrics report is part of Fitch's series of structured finance index reports. The report is released quarterly and compares metrics quarter over quarter and to the same quarter from a year ago. * Fitch Downgrades Various Distressed U.S. RMBS Bonds to 'Dsf' -------------------------------------------------------------- Fitch Ratings has downgraded 297 distressed bonds in 164 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', 290 classes were previously rated 'Csf' and 7 classes were rated 'CCsf'. All ratings below 'CCCsf' indicate a default is expected. As part of this review, the Recovery Estimates (REs) of the defaulted bonds were not revised. In addition, the review focused only on the bonds which defaulted and did not include any other bonds in the affected transactions. Of the 297 classes affected by these downgrades, 167 are Prime, 75 are Alt-A, and 47 are Subprime. The remaining transaction types are other sectors. Approximately, 64% of the bonds have an RE of 50%-100%, which indicates that the bonds will recover 50%-100% of the current outstanding balance, while 24% have an RE of 0%. A spreadsheet detailing Fitch's rating actions can be found at 'www.fitchratings.com' by performing a title search for 'Fitch Downgrades 297 Distressed Bonds to 'Dsf' in 164 U.S. RMBS Transactions'. These actions were reviewed by a committee of Fitch analysts. The spreadsheet provides the contact information for the performance analyst. The spreadsheet also details Fitch's assignment of REs to the transactions. The Recovery Estimate scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, REs are designed to estimate recoveries on a forward-looking basis. * Fitch: Largest Post-Recession Drop for U.S. CMBS Delinquencies ---------------------------------------------------------------- A spate of dispositions from a single CMBS transaction resulted in the largest drop in U.S. CMBS delinquencies since the end of the recession, according to the latest monthly index results from Fitch Ratings. CMBS late-pays fell 40 basis points (bps) last month to 6.78% (from 7.18% in June). Leading the fall were ORIX asset sales from the LB-UBS 2007-C2 transaction, which alone accounted for $759 million (in stated loan balance) of dispositions. Following these sales, the delinquency rate is now 2.23 percentage points below its July 2011 peak of 9.01%. The ORIX sales helped drive delinquency rates for all major property types down last month. Delinquencies on office loans, a recent underperformer, stood out by falling nearly 60 bps month- over-month. CMBS loans becoming delinquent also continued to diminish in size. The average loan size of new entrants in July was just $8.5 million, with only four loans over $25 million entering the index. Current and previous delinquency rates are: -- Industrial: 9.56% (from 9.77% in June); -- Hotel: 8.04% (from 8.35%); -- Office: 7.59% (from 8.18%); -- Multifamily: 7.41% (from 7.59%); -- Retail: 6.37% (from 6.74%). * Moody's Lowers Ratings on 63 Alt-A, Option ARM RMBS Tranches -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 63 tranches from 15 transactions backed by Alt-A and Option ARM RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Bear Stearns Alt-A Trust 2006-8 Cl. III-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Cendant Mortgage Corporation Pass-Through Certificates, Series 2001-A Cl. M, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-1 Cl. I-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. II-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: MASTR Alternative Loan Trust 2003-5 Cl. 1-A-1, 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 A1 (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. 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 Ba1 (sf); previously on Apr 26, 2012 Downgraded to Baa2 (sf) Cl. 6-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 7-A-1, Downgraded to Ba1 (sf); previously on Apr 26, 2012 Downgraded to Baa2 (sf) Cl. 8-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (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 Cl. 30-B-1, Downgraded to B2 (sf); previously on Apr 26, 2012 Downgraded to Ba3 (sf) Cl. 15-PO, Downgraded to Ba1 (sf); previously on Apr 26, 2012 Downgraded to Baa2 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2003-A2 Cl. M1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2001-QS13 Trust A-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2002-QS14 Trust A-10, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade A-11, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade A-12, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade A-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: RALI Series 2003-QS1 Trust A-8, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Underlying Rating: Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3, Outlook Positive on May 21, 2013) A-13, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade A-14, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade A-P, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: RFSC Series 2001-RM2 Trust Cl. A-I, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. AP-I, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2002-5A Cl. 1-A1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 1-A2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 1-A3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 1-A4, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A2, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 3-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 4-A, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 5-A, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 6-A, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Structured Asset Securities Corp 2003-20 CL. 1-A1, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade CL. 1-AP, Downgraded to Baa3 (sf); previously on Jul 5, 2012 Downgraded to Baa1 (sf) Cl. 2-A3, Downgraded to Ba1 (sf); previously on Jul 5, 2012 Downgraded to Baa2 (sf) Cl. 2-A4, Downgraded to Ba1 (sf); previously on Jul 5, 2012 Downgraded to Baa2 (sf) Cl. 3-A1, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 3-AP, Downgraded to Baa3 (sf); previously on Jul 5, 2012 Downgraded to Baa1 (sf) Issuer: Structured Asset Securities Corp Trust 2003-22A Cl. 1-A, Downgraded to Ba1 (sf); previously on Jul 5, 2012 Downgraded to Baa1 (sf) Cl. 2-A1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 3-A, Downgraded to Baa3 (sf); previously on Jul 5, 2012 Downgraded to Baa1 (sf) Cl. 4-A, Downgraded to Baa3 (sf); previously on Jul 5, 2012 Downgraded to Baa1 (sf) Issuer: Structured Asset Securities Corp Trust 2003-34A Cl. 5-A4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 5-A5, Downgraded to Ba3 (sf); previously on Jul 5, 2012 Downgraded to Ba1 (sf) Issuer: Structured Asset Securities Corporation, Series 2005-10 Cl. 3-A1, Downgraded to Caa1 (sf); previously on Aug 11, 2010 Downgraded to B2 (sf) Cl. 3-A4, Downgraded to Caa1 (sf); previously on Aug 11, 2010 Downgraded to B2 (sf) Cl. 4-A1, Downgraded to Caa1 (sf); previously on Aug 11, 2010 Downgraded to B2 (sf) Cl. 4-A8, Downgraded to Caa1 (sf); previously on Aug 11, 2010 Downgraded to B2 (sf) Cl. 4-A9, Downgraded to Caa1 (sf); previously on Aug 11, 2010 Downgraded to B2 (sf) Cl. 4-A10, Downgraded to Caa1 (sf); previously on Aug 11, 2010 Downgraded to B2 (sf) Cl. 5-A1, Downgraded to Caa1 (sf); previously on Aug 11, 2010 Downgraded to B2 (sf) Cl. 5-A2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 5-A3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 5-A6, Downgraded to Caa1 (sf); previously on Aug 11, 2010 Downgraded to B2 (sf) Cl. 5-A9, Downgraded to Caa1 (sf); previously on Aug 11, 2010 Downgraded to B2 (sf) Cl. 5-A10, Downgraded to Caa1 (sf); previously on Feb 22, 2012 Downgraded to B2 (sf) Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust Cl. A-1A, 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 principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. Subject to the results of a stress scenario analysis, Moody's caps the ratings of bonds exposed to tail-end risk to A3 (sf) or below, unless the bonds are expected to pay off within a year or are expected to pay off well before the underlying pool is expected to be small pool (100 loans). The primary source of assumption uncertainty is the uncertainty in our central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in July 2012 to 7.4% in July 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 $544MM of RMBS From Various Issuers ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 67 tranches and confirmed the ratings of 12 tranches backed by Prime Jumbo RMBS loans, issued by miscellaneous issuers. Complete rating actions are as follows: Issuer: ABN AMRO Mortgage Corporation, Multi-Class Pass-Through Certificates, Series 2003-12 Cl. 1A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 2A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 3A1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 3A2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Mortgage 2003-H Trust Cl. 1-A-1, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Mortgage 2003-I Trust Cl. 3-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Mortgage 2004-I Trust Cl. 3-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 3-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2003-3 Cl. IV-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2003-6 Cl. II-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Bear Stearns ARM Trust 2003-9 Cl. I-A-1, Downgraded to Baa2 (sf); previously on Mar 13, 2012 Confirmed at Baa1 (sf) Cl. I-A-2, Downgraded to Baa2 (sf); previously on Mar 13, 2012 Confirmed at Baa1 (sf) Cl. I-A-3, Downgraded to Baa2 (sf); previously on Mar 13, 2012 Confirmed at Baa1 (sf) Cl. II-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. II-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. II-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. III-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. III-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. III-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. IV-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. IV-X-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. B-1, Downgraded to Caa1 (sf); previously on Mar 13, 2012 Downgraded to B1 (sf) Issuer: Bella Vista Mortgage Trust 2004-1 Cl. I-A, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. I-A-IO, Downgraded to B3 (sf); previously on Feb 22, 2012 Downgraded to B2 (sf) Cl. I-M, Downgraded to B3 (sf); previously on Apr 22, 2011 Downgraded to Ba3 (sf) Cl. I-B-1, Downgraded to Ca (sf); previously on Apr 22, 2011 Downgraded to Caa2 (sf) Issuer: Chase Mortgage Finance Trust, Series 2003-S11 Cl. IIA-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust, Series 2004-S2 Cl. IA-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. IA-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. IIA-3, Downgraded to Baa3 (sf); previously on Nov 8, 2012 Downgraded to Baa2 (sf) Cl. IIA-4, Downgraded to Baa3 (sf); previously on Nov 8, 2012 Downgraded to Baa2 (sf) Cl. IIA-6, Downgraded to Baa3 (sf); previously on Nov 8, 2012 Downgraded to Baa2 (sf) Cl. A-P, Downgraded to Baa3 (sf); previously on Nov 8, 2012 Downgraded to Baa1 (sf) Issuer: CHL Mortgage Pass-Through Trust 2003-18 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 Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-12, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-24 Cl. A-9, Confirmed at A2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. A-11, Confirmed at A2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-28 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-11, Confirmed at A1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-12, Confirmed at A1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-34 Cl. A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-8, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-12, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-14, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-4 Cl. 1-A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-13, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-14, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-15, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-41 Cl. A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-6, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-46 Cl. 1-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 1-A-2, Downgraded to Baa1 (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 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. 4-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 4-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 6-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 7-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-54 Cl. A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. M, Downgraded to B3 (sf); previously on Apr 21, 2011 Downgraded to B1 (sf) Issuer: CHL Mortgage Pass-Through Trust 2003-56 Cl. 3-A-7B, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust 2003-57 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-10, Downgraded to Baa3 (sf); previously on Apr 21, 2011 Downgraded to Baa1 (sf) Cl. A-11, Downgraded to Baa3 (sf); previously on Apr 21, 2011 Downgraded to Baa1 (sf) Cl. PO, Downgraded to Baa3 (sf); previously on Apr 21, 2011 Downgraded to Baa1 (sf) Issuer: CHL Mortgage Pass-Through Trust 2003-7 Cl. A-8, Downgraded to Baa3 (sf); previously on Apr 13, 2012 Downgraded to Baa2 (sf) Cl. A-9, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-10, Downgraded to Ba2 (sf); previously on Apr 13, 2012 Downgraded to Baa2 (sf) Issuer: CHL Mortgage Pass-Through Trust 2004-4 Cl. A-24, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-25, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: CHL Mortgage Pass-Through Trust, Series 2002-J5 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 Baa1 (sf); previously on Jun 19, 2013 A2 (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 transactions. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. As detailed in the methodology noted, subject to the results of a stress scenario analysis, Moody's caps the ratings of bonds exposed to tail-end risk to A3 (sf) or below, unless the bonds are expected to pay off within a year or are expected to pay off well before the underlying pool is expected to be small pool (100 loans). 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 July 2012 to 7.4% in July 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 Withdraws Ratings on 79 Classes From 32 CDOs After Paydowns ----------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on 79 classes of notes from 26 collateralized loan obligation (CLO) transactions, three collateralized debt obligation (CDO) transactions backed by commercial mortgage backed securities (CMBS), one CDO transaction backed by mezzanine structured finance assets, one CDO transaction backed by a pool of trust preferred securities, and one CDO retranche transaction. The withdrawals follow the complete paydown of the notes on their most recent payment dates. The following transactions redeemed their classes in full after providing notice to S&P that the equity holders directed optional redemptions: -- AMMC CLO III Limited; -- Halcyon Structured Asset Management Long Secured/Short Unsecured CLO 2006-1 Ltd.; -- LCM VIII L.P./LCM VIII Corp.; -- Market Square CLO Ltd.; -- Wind River CLO II-Tate Investors Ltd. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS WITHDRAWN AMMC CLO III, Limited Rating Class To From A NR AAA (sf) B NR A+ (sf) C NR A+ (sf) D NR BBB+ (sf) Ares XVIII CLO Ltd. Rating Class To From A-2 Notes NR AAA (sf) Canyon Capital CLO 2004-1 Ltd. Rating Class To From A-1-A Notes NR AAA (sf) A-1-B Notes NR AAA (sf) A-2-A Notes NR AAA (sf) A-2-B Notes NR AAA (sf) B Notes NR AAA (sf) C Notes NR BBB+ (sf) D Notes NR BB+ (sf) Carlyle Global Market Strategies CLO 2013-2 Ltd. Rating Class To From X NR AAA (sf) CoLTS 2005-2 Ltd. Rating Class To From D Notes NR BBB+ (sf) Crest 2003-2 Ltd. Rating Class To From A-1 NR A- (sf) A-2 NR A- (sf) A-3 NR BBB+ (sf) Crest Clarendon Street 2002-1 Ltd. Rating Class To From B-1 Notes NR BBB+ (sf) B-2 Notes NR BBB+ (sf) CSAM Funding II Rating Class To From A Notes NR AAA (sf) Diversified Asset Securitization Holdings III L.P. Rating Class To From A-1L Notes NR BB+ (sf) A-2 Notes NR BB+ (sf) Dryden XXVI Senior Loan Fund XXVI Rating Class To From X Notes NR AAA (sf) Essex Park CDO Ltd. Rating Class To From B-1 Notes NR AAA (sf) B-2 Notes NR AAA (sf) C-1 Notes NR AA+ (sf) C-2 Notes NR AA+ (sf) Forest Creek CLO Ltd. Rating Class To From B-2L Notes NR CCC- (sf) Galaxy IV CLO Ltd. Rating Class To From B Notes NR AAA (sf) C Notes NR AA+ (sf) D Fixed Notes NR BBB- (sf) D Floating Notes NR BBB- (sf) GSC Partners Gemini Fund Limited Rating Class To From C NR AAA (sf) Halcyon Structured Asset Management Long Secured/Short Unsecured CLO 2006-1 Ltd. Rating Class To From A NR AAA (sf) B NR AAA (sf) C NR AA+ (sf) D NR A- (sf) E NR BB+ (sf) Landmark III CDO Ltd. Rating Class To From A-3L NR AA+ (sf) B-1L NR CCC+ (sf) LCM VIII L.P./LCM VIII Corp. Rating Class To From A Notes NR AAA (sf) B Notes NR AA+ (sf) C Notes NR A+ (sf) D Notes NR BBB+ (sf) Longhorn CDO III Ltd. Rating Class To From D-1 NR CCC+ (sf) D-2 NR CCC+ (sf) Market Square CLO Ltd. Rating Class To From B NR AA+ (sf) C NR A- (sf) D NR B+ (sf) Metropolis II LLC 2010-02 Rating Class To From A Notes NR AAA (sf) Monument Park CDO Ltd. Rating Class To From B NR A+ (sf) Navigator CDO 2004 Ltd. Rating Class To From B-1 Notes NR AAA (sf) B-2 Notes NR AAA (sf) Newcastle CDO IV Limited Rating Class To From I NR BB+ (sf) II-FL Def NR B+ (sf) II-FX Def NR B+ (sf) III-FL Def NR CCC+ (sf) III-FX Def NR CCC+ (sf) IV-FL Def NR CCC- (sf) IV-FX Def NR CCC- (sf) V Def NR CC (sf) Northwoods Capital IX, Limited Rating Class To From X Notes NR AAA (sf) OWS CLO I Ltd. Rating Class To From A-2 Notes NR AAA (sf) X-1 Notes NR AAA (sf) X-2 Notes NR AAA (sf) Sagamore CLO Ltd. Rating Class To From B Notes NR BBB- (sf) Sheridan Square CLO Ltd. Rating Class To From X Notes NR AAA (sf) Southport CLO, Limited Rating Class To From B Notes NR AAA (sf) Trapeza CDO III LLC Rating Class To From A1A NR A+ (sf) Venture II CDO 2002, Limited Rating Class To From B Notes NR A+ (sf) Venture III CDO Ltd. Rating Class To From A-2 NR AAA (sf) Wind River CLO II-Tate Investors Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B-1 NR AA+ (sf) B-2 NR AA+ (sf) C NR BB+ (sf) D-1 NR CCC- (sf) D-2 NR CCC- (sf) Type 1 Composite NR CCC- (sf) NR-Not Rated ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, 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 ***