/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/131110.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, November 10, 2013, Vol. 17, No. 312 Headlines ABACUS 2005-4: Moody's Affirms 'B1' Ratings on 4 Note Classes AIRLIE CLO 2006-II: Moody's Affirms 'Ba1' Rating on Class C Notes AMERICREDIT AUTOMOBILE 2013-5: Moody's Rates Class E Notes 'Ba1' ASTORIA POWER: Fitch Affirms BB Rating on $210MM Series B Certs AVERY POINT II: S&P Affirms 'BB(sf)' Rating on Class E Notes BARCLAYS PLC: Fitch Rates Contingent Convertible Notes 'BB+(Exp)' BAYVIEW FINANCIAL 2004-B: Moody's Cuts Ratings on 2 Note Classes BIRCH CDO I: Fitch Hikes Rating on 2 Note Classes to 'Bsf' BRISTOL BAY: Moody's Affirms 'B1' Rating on $40MM Cl. B Sub. Notes C-BASS CBO VIII: Fitch Hikes Rating on Class C Notes to 'CCCsf' CARLYLE GLOBAL 2013-4: S&P Assigns Prelim BB Rating on Cl. E Notes CENT CLO 18: S&P Affirms 'BB-' Rating on Class E Notes CITIGROUP MORTGAGE 2013-J1: S&P Assigns BB Rating on Cl. B-4 Notes CLEAR LAKE: Moody's Affirms 'Ba2' Rating on $15MM Class D Notes COMM 2013-FL3: S&P Assigns Prelim. BB- Rating to Class RGC2 Notes DUANE STREET: S&P Raises Rating on Class E Notes to 'BB+' FLATIRON CLO 2013-1: Moody's Rates $18MM Class D Notes 'Ba3' FOUNDERS GROVE: S&P Affirms 'CCC+' Rating on Class D Notes FRANKLIN CLO V: S&P Affirms 'BB+' Rating on Class D Notes FRASER SULLIVAN: S&P Raises Rating on Class D-1 Notes to 'BB-' GALAXY XVI: S&P Assigns 'BB' Rating to Class E Notes GALLATIN CLO II: Moody's Hikes Rating on Cl. B-2l Notes From 'Ba2' GE COMMERCIAL 2003-1: Moody's Affirms C Ratings on 2 Note Classes GMAC COMMERCIAL 2004-C3: S&P Affirms B- Rating on Class B Notes GREENWICH CAPITAL 2003-C1: S&P Cuts Rating on 2 Note Classes to D HARTFORD MEZZANINE 2007-1: Fitch Hikes Class G Notes Rating to BB HARTFORD MEZZANINE 2007-1: S&P Withdraws Rating on 5 Note Classes ING IM 2013-2: S&P Affirms 'BB' Rating on Class D Notes JP MORGAN 2001-CIB1: S&P Cuts Rating on Cl. G Certificates to CCC JP MORGAN 2013-C16: Fitch Rates $21.29MM Class E Notes 'BBsf' MERRILL LYNCH 2005-LC1: Moody's Cuts Rating on 2 Notes to C(sf) MERRILL LYNCH 2006-C1: Fitch Cuts Rating on 4 Cert. Classes MORGAN STANLEY 2002-IQ2: S&P Affirms 'BB' Rating on Class K Notes MRU STUDENT LOAN 2007-A: S&P Affirms 'CC' Ratings on 2 Notes NCF GRANTOR 2005-3: S&P Raises Rating on Class A-4 Notes to CCC OPTION ARM: Moody's Ups Ratings on 9 Tranches from 4 Transactions PREFERRED TERM XIX: Moody's Ups Rating on $87.6MM Notes to Caa2 SECURITY NATIONAL 2005-2: Moody's Cuts Rating on A-3 Notes to Caa1 SEQUOIA MORTGAGE 2013-12: Fitch Rates $3.4MM Certificate 'BB' SHACKLETON 2013-IV: S&P Assigns Prelim BB Rating on Class E Notes SILVERADO CLO 2006-I: Moody's Affirms 'Ba3' Rating on $9MM Notes STUDENT LOAN 2007-1: S&P Affirms 'B-' Rating on 2 Cert. Classes WACHOVIA BANK 2006-C25: Moody's Cuts Rating on 2 Certs to 'B1' WELLS FARGO: Moody's Cuts $440MM of RMBS Issued 2004 to 2007 * Fitch: US Bank TruPS CDOs Default & Deferral Rate Still Decline * Moody's Takes Action on $512MM of Subprime RMBS Issued 2000-2007 * Moody's Takes Action on $160MM Subprime RMBS Issued 2003-2004 * Moody's Takes Action on $11MM of Subprime RMBS Issued 2002-2004 * S&P Lowers Rating on 23 Classes of Notes to 'D' * S&P Withdraws Ratings on 48 Classes from 21 CDO Transactions ********* ABACUS 2005-4: Moody's Affirms 'B1' Ratings on 4 Note Classes ------------------------------------------------------------- Moody's has affirmed the rating of six classes of notes issued by Abacus 2005-4, Ltd. The affirmation is 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 Synthetic) transactions. Moody's rating action is as follows: Cl. A-1, Affirmed Baa2 (sf); previously on Jan 18, 2013 Downgraded to Baa2 (sf) Cl. A-2, Affirmed Ba2 (sf); previously on Jan 18, 2013 Downgraded to Ba2 (sf) Cl. C, Affirmed B1 (sf); previously on Jan 18, 2013 Downgraded to B1 (sf) Cl. E-1, Affirmed B1 (sf); previously on Jan 18, 2013 Downgraded to B1 (sf) Cl. E-2, Affirmed B1 (sf); previously on Jan 18, 2013 Downgraded to B1 (sf) Cl. E-3, Affirmed B1 (sf); previously on Jan 18, 2013 Downgraded to B1 (sf) Ratings Rationale: Abacus 2005-4, Ltd. is a static synthetic transaction backed by a portfolio of credit default swaps on commercial mortgage backed securities (CMBS) (100% of the reference obligation balance). As of the September 30, 2013 Trustee report, the aggregate issued note balance of the transaction has decreased to $175.8 million from $600 million at issuance. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated reference obligations. Moody's modeled a bottom-dollar WARF of 85 compared to 69 at last review. The current distribution of Moody's rated reference obligations and assessments for non- Moody's rated reference obligations is as follows: Aaa-Aa3 (72.7% compared to 73.0% at last review), A1-A3 (13.7% compared to 16.9% at last review), Baa1-Baa3 (10.3% compared to 10.1% at last review), Ba1-Ba3 (3.4% compared to 0.0% at last review). Moody's modeled a WAL of 1.8 years, compared to 2.6 years at last review. The current WAL is based on assumptions about extensions on the underlying reference obligations. Moody's modeled a fixed WARR of 61.7% compared to 62.0% at last review. Moody's modeled a MAC of 38.0%, compared to 47.9% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on March 25, 2013. Moody's analysis encompasses the assessment of stress scenarios. 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 operating advisor with respect to the collateral interests and oversight of the transaction will also affect the notes' performance. 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 are particularly sensitive to changes in current ratings and credit assessments of the reference obligations. Holding all other key parameters static, changing the current ratings and credit assessments of the reference obligations one notch downward or one notch upward would result in average rating movement on the rated tranche of 0 to 2 notches downward and 1 to 2 notches upward and 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. AIRLIE CLO 2006-II: Moody's Affirms 'Ba1' Rating on Class C Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of the following notes issued by Airlie CLO 2006-II Ltd.: U.S.$24,750,000 Class A-2 Senior Secured Floating Rate Notes, due December 20, 2020, Upgraded to Aa2 (sf); previously on Aug 23, 2011 Upgraded to Aa3 (sf); U.S.$25,000,000 Class B Senior Secured Deferrable Floating Rate Notes, due December 20, 2020, Upgraded to A2 (sf); previously on Aug 23, 2011 Upgraded to A3 (sf). Moody's also affirmed the ratings of the following notes: U.S. $320,500,000 Class A-1 Senior Secured Floating Rate Notes due December 20, 2020 (current outstanding balance of $307,440,394), Affirmed Aaa (sf); previously on Aug 23, 2011 Upgraded to Aaa (sf); U.S. $20,250,000 Class C Senior Secured Deferrable Floating Rate Notes due December 20, 2020, Affirmed Ba1 (sf); previously on Aug 23, 2011 Upgraded to Ba1 (sf); U.S. $19,000,000 Class D Secured Deferrable Floating Rate Notes due December 20, 2020, Affirmed B1 (sf); previously on Aug 23, 2011 Upgraded to B1 (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in January 2014. 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, Moody's modeled a spread of 3.26% compared to the covenant of 2.65%. Moody's also notes that the transaction's reported overcollateralization ratio are stable over the last twelve months. 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 $409.3 million, defaulted par of $5.0 million, a weighted average default probability of 19.56% (implying a WARF of 2866), a weighted average recovery rate upon default of 48.91%, and a diversity score of 49. 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. Airlie CLO 2006-II Ltd., issued in December 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans with some exposure to bonds and CLO tranches. 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 described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2293) Class A-1: 0 Class A-2: +1 Class B: +2 Class C: +2 Class D: +2 Moody's Adjusted WARF + 20% (3439) Class A-1: -1 Class A-2: -3 Class B: -2 Class C: -1 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 are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. AMERICREDIT AUTOMOBILE 2013-5: Moody's Rates Class E Notes 'Ba1' ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by AmeriCredit Automobile Receivables Trust 2013-5 (AMCAR 2013-5). This is the fifth public subprime transaction of the year for AmeriCredit Financial Services, Inc. (AmeriCredit). The complete rating actions are as follows: Issuer: AmeriCredit Automobile Receivables Trust 2013-5 Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2-A Notes, Assigned (P)Aaa (sf) Class A-2-B Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa1 (sf) Class C Notes, Assigned (P)Aa3 (sf) Class D Notes, Assigned (P)Baa1 (sf) Class E Notes, Assigned (P)Ba1 (sf) Ratings Rationale: Moody's said the ratings are based on the quality of the underlying auto loans and their expected performance, the strength of the structure, the availability of excess spread over the life of the transaction, and the experience and expertise of AmeriCredit as servicer. Moody's median cumulative net loss expectation for the AMCAR 2013- 5 pool is 9.00% and total credit enhancement required to achieve Aaa rating is 37.00%. The loss expectation was based on an analysis of AmeriCredit's portfolio vintage performance as well as performance of past securitizations, and current expectations for future economic conditions. The Assumption Volatility Score for this transaction is Medium versus a Medium for the sector. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If the net loss used in determining the initial rating were changed to 20%, 25% or 35%, the initial model output for the Class A notes might change from Aaa to Aa1, Aa3, and Baa1, respectively; Class B notes might change from Aa1 to Baa2, Ba2, and below B3, respectively; Class C notes might change from Aa3 to B1, below B3, and below B3, respectively; Class D notes might change from Baa1 to below B3 in all three scenarios; and Class E notes might change from Ba1 to below B3 in all three scenarios. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time, rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. ASTORIA POWER: Fitch Affirms BB Rating on $210MM Series B Certs --------------------------------------------------------------- Fitch Ratings has affirmed the ratings for Astoria Power Project Pass-Through Trust's series A, B, and C certificates as follows: -- $515 million series A certificates due 2016 at 'BBB-'; -- $210 million series B certificates due 2021 at 'BB'; -- $69.5 million series C certificates due 2021 at 'BB-'. The Rating Outlook is Stable for each series. Astoria Power Project Pass-through Trust was formed to issue the certificates. The proceeds were used to purchase the rights, titles, and interests of Astoria's lender in Astoria Energy LLC's (the project) first and second lien loans and corresponding collateral. Each of the certificates represents a fractional interest in the trust. Key Rating Drivers: Contracted Price Floor: The power purchase agreement (PPA) with an investment-grade off-taker provides for a capacity and energy price floor that supports the payment of scheduled debt service through 2016. Fitch recognizes that the price floor reduces revenue risk, but cash flow remains subject to the risk of operational shortfalls or increased costs, potentially exacerbated by an unfunded operating reserve. Astoria's strong competitive position in the NYISO Zone J, historically among the most capacity constrained markets in the U.S., helps mitigate dispatch risk and enhances capacity and energy price prospects during the merchant period. Revenue Risk: Midrange Manageable Refinance Risk: All debt is fixed rate with refinance exposure given the first lien target amortization profile and second lien payment-in-kind (PIK) feature. Fitch understands that the debt structure provides financial flexibility and believes that it reduces the probability of default in a low market price environment. Fitch views the estimated leverage of approximately 2.5x cash flow available for debt service at the first lien maturity date as a refinance risk mitigant. The provisions that limit additional debt ensure manageable leverage levels, while restrictive equity distribution tests require cash flows be used to replenish liquidity and pay for any missed first lien target amortization and second lien PIK interest. Debt Structure: Midrange/Weaker/Weaker Solid Operating Profile: The project utilizes conventional and proven combined cycle technology, and is operated by a sponsor- affiliate and serviced under a long-term agreement with the turbine supplier. Operating performance has been relatively stable, since a major forced outage in early 2008. Management has effectively managed costs and realized nearly 25% cost-savings, resulting in an operating cost profile of $45 per kW, subject to escalations, consistent with the lower end of the range for comparable projects. Fitch notes that the PPA does not pass through operating or emissions costs, and energy purchases are subject to an implied heat rate factor, increasing the importance of operational stability and efficiency. Operating Risk: Midrange Minimal Supply Risk: Natural gas requirements are procured under a long-term contract with an investment-grade counterparty. The project bears natural gas costs beyond the PPA energy payments received and under merchant operations. Fitch believes that supply risk is mitigated by the competitive and highly liquid nature of the natural gas fuel market and Astoria's dual-fuel capability and on-site oil reserves. Supply Risk: Midrange Adequate Coverage Ratios: The Fitch rating case suggests scheduled series A debt service coverage ratios (DSCRs) above 1.2x and series B and C DSCRs near breakeven levels throughout the PPA period. Fitch recognizes that the project's probability of default is buoyed by the PPA floor pricing structure and favorable merchant prospects, in conjunction with the structural features of the debt. Fitch expects more robust coverage during the merchant period due to a recovery in market capacity prices and spark spreads, an assumed long-term refinancing of first lien balloon payment that reduces annual debt service requirements, and manageable leverage levels 10 years into the project's estimated 30 year useful life. Rating Sensitivities: Operational Challenges: Decreased project availability, persistent heat rate excursions, or an inability to effectively manage operating costs that results in lower DSCRs may lead to a downgrade. Structural Shift in Market Prices: Sustained weakness or recovery in market capacity prices and energy margins could change the refinance and revenue outlooks resulting in a rating action. Security: Astoria Depositor Corp. deposited with the trust a first and second lien loan executed by Astoria Energy LLC. The loans are secured by a first or second priority mortgage lien on the real estate, security interest in all of Astoria's personal property, including the PPA and other contracts, and a pledge of all accounts and the membership interests of Astoria Project Partners LLC in the project. Fitch views the credit quality of the series A certificates and series B certificates to be closely aligned to the credit quality of the first and second lien loans, respectively. Fitch considers the series C certificates to be structurally subordinated to the series A and B certificates given their position in the waterfall and lower priority in the event of foreclosure. Additionally, Fitch notes that the lien priorities will remain intact until full cash payment of the first lien principal and interest. This includes the commencement of a new first lien credit agreement. Credit Summary: Fitch has revised down its average rating case DSCR profile during the PPA period by up to 0.25x due to weaker than previously estimated energy margins and a slightly higher cost profile. Fitch recognizes that the updated DSCR profile is below the indicative rating case DSCRs per the Thermal Power Project criteria during the PPA term. However, Fitch notes that a 'floor scenario' was contemplated in the original rating and continues to believe that the PPA and debt structure mitigate default risk. In addition, the revisions result in an increase in the Fitch base case estimated first lien balloon payment to about $85 million, or nearly $10 million greater than the December 2012 review. Manageable leverage levels post-PPA, an anticipated market price recovery, and the estimated 20 years of remaining useful life reduce the first lien refinance risk. Fitch expects the project to receive energy prices generally consistent with the contracted price floor for the next two to three years due to continued market pricing weakness. However, Fitch views the FERC ruling on the NYISO application of the market mitigation rules and increased location capacity requirement as favorable to market capacity prices. The outlook for capacity prices is moderated by the historical variability in NYISO capacity prices with limited historical precedence for stability. Fitch believes that the existing ratings adequately reflect each respective tranche's probability of default given the PPA floor pricing structure and anticipated market price recovery, in conjunction with the structural features of the debt. Near-term cash flow constraints are supported by the fully funded first lien debt service reserve (DSR) and partially funded second lien DSR and working capital facility. Astoria is an approximate 550MW gas- and ULSD-fired power plant in the Astoria section of Queens, New York. The facility provides electric generating capacity for NYISO's Zone J, which consists of the New York City market. Astoria sells the majority of its capacity and energy to Consolidated Edison (ConEd; Fitch rated 'BBB+' with a Stable Outlook) under a PPA for an initial term of 10-years, expiring May 2016. Fitch notes that ConEd decided not to extend the PPA for an additional five-year period through May 2021. The rate structure for the capacity and energy components is priced at a 5% discount from the then-current market price, which is subject to a floor capacity and energy price, and a capacity ceiling price. AVERY POINT II: S&P Affirms 'BB(sf)' Rating on Class E Notes ------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on Avery Point II CLO Ltd./Avery Point II CLO Corp.'s $474.50 million floating- and fixed-rate notes following the transaction's effective date as of Sept. 9, 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. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P added. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Avery Point II CLO Ltd./Avery Point II CLO Corp. Class Rating Amount (mil. $) A AAA (sf) 304.00 B-1 AA (sf) 46.00 B-2 AA (sf) 25.00 C A (sf) 36.00 D BBB (sf) 26.00 E BB (sf) 24.00 F B (sf) 13.50 BARCLAYS PLC: Fitch Rates Contingent Convertible Notes 'BB+(Exp)' ----------------------------------------------------------------- Fitch Ratings has assigned Barclays plc's (A/Stable/F1/a) potential issue of perpetual subordinated contingent convertible securities (CCS) an expected rating of 'BB+(EXP)'. The final rating is contingent on receipt of final documentation conforming to information already received. Key Rating Drivers: The CCS are additional Tier 1 (AT1) instruments with fully discretionary interest payments and are subject to conversion into Barclays plc ordinary shares on breach of a consolidated 7% CRD IV common equity Tier 1 (CET1) ratio, which is calculated on a 'fully loaded' basis. The securities are rated five notches below Barclays plc's 'a' Viability Rating (VR), in accordance with Fitch's criteria for "Assessing and Rating Bank Subordinated and Hybrid Securities" (dated 5 December 2012). The CCS are notched twice for loss severity to reflect the conversion into ordinary shares on breach of the trigger, and three times for non-performance risk. The notching for non-performance risk reflects the instruments' fully discretionary interest payment, which Fitch considers the most easily activated form of loss absorption. The issuer shall not make an interest payment if it has insufficient distributable items or if it is insolvent. The issuer will also be subject to restrictions on interest payments if it fails to meet the combined buffer capital requirements that will be phased in from 2016. Barclays' end-September 2013 fully loaded Basel III CET1 ratio stood at 9.6% (including the GBP5.8bn capital increase completed in October 2013), which provided a sizeable GBP11.8bn buffer for the 7% CET1 ratio trigger. However, Fitch expects that non- performance due to non-payment of interest would likely be triggered before reaching the 7% CET1 ratio trigger, most likely if the combined buffer requirement was breached. Based on the current estimated minimum combined buffer requirement of 9% for Barclays, the headroom above this ratio at end-September 2013 was lower at about GBP3bn. Barclays plans to strengthen its fully loaded CET1 ratio to at least 10.5% by early 2015, which would significantly increase this headroom. The combined buffer requirements for Barclays could change over time, and additional buffers, for instance in the form of countercyclical buffers, could be introduced. The UK regulator has also consulted on whether part of banks' Pillar 2 requirements should be covered by CET1 capital rather than by total regulatory capital, as is currently the case. Fitch expects Barclays to be able to meet its capital requirements, including its leverage ratio requirements and regulatory expectations, and the bank has stated that it plans to operate with a CET1 ratio that is about 1.5 percentage points above current total regulatory requirements. Fitch has assigned 100% equity credit to the securities. This reflects their full coupon flexibility, the ability to be converted into common equity well before the bank would become non-viable, the permanent nature and the subordination to all senior creditors. Rating Sensitivities: As the securities are notched from Barclays plc's VR, their rating is sensitive to any change in this rating, which itself is currently in line with Barclays Bank plc's VR, as analysed under our 'Rating FI Subsidiaries and Holding Companies' criteria (10 August 2012). The securities' ratings are also sensitive to any change in their notching, which could arise if Fitch changed its assessment of the probability of their non-performance relative to the risk captured in Barclays plc's VR. This could reflect a change in capital management or flexibility or an unexpected shift in regulatory buffers, for example. BAYVIEW FINANCIAL 2004-B: Moody's Cuts Ratings on 2 Note Classes ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of class A-1 and class A-2 issued by Bayview Financial Revolving Asset Trust 2004-B. Complete rating actions are as follows: Cl. A-1, Downgraded to Caa1 (sf); previously on Nov 12, 2012 Downgraded to B3 (sf) Cl. A-2, Downgraded to Ca (sf); previously on Nov 12, 2012 Downgraded to Caa2 (sf) Ratings Rationale: The rating action reflects the recent performance of bonds backed by pools of various types of residential mortgage loans and the updated loss expectations on underlying pools and underlying resecuritization bonds. The resecuritized structure has a senior class and subordinate classes and principal is paid pro-rata. Some subordinate classes have been written off due to losses. Class A-1 has credit support from class A-2 and classes M-1 and M-2. Losses are allocated in reverse sequential order. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 7.8% in September 2012 to 7.2% in September 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the year 2014. Moody's expects house prices to continue to rise in 2014. 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. As part of the sensitivity analysis, Moody's stressed the updated loss on the underlying bonds backing the resecuritization by an additional 10% and found that the implied ratings of the resecuritization bonds remain unchanged. BIRCH CDO I: Fitch Hikes Rating on 2 Note Classes to 'Bsf' ---------------------------------------------------------- Fitch Ratings has upgraded two classes and affirmed two classes of notes issued by Birch Real Estate CDO I, Ltd. (Birch I) as follows: -- $7,155,937 class A-2L notes upgraded to 'Bsf' from 'CCCsf'; assigned Outlook Stable; -- $1,376,142 class A-2 notes upgraded to 'Bsf' from 'CCCsf'; assigned Outlook Stable; -- $10,000,000 class A-3L notes affirmed at 'CCsf'; -- $15,308,181 class B-1 notes affirmed at 'Csf'. Key Rating Drivers: The upgrades for the class A-2L and A-2 (collectively, class A-2) notes are attributed to increased credit enhancement (CE) levels resulting from significant deleveraging of the capital structure. Since Fitch's last rating action in November 2012, the class A-2 notes have received approximately $6.3 million, or 42.5% of their previous outstanding balances. Credit enhancement available to these two classes has subsequently increased, offsetting concentration and modest deterioration in the underlying portfolio. The A-2 notes are currently supported by $37.4 million of total collateral, which includes $22.8 million of performing assets and $0.7 million in principal collections. Fitch's Structured Finance Portfolio Credit Model (SF PCM) indicates that the class A-2 notes are currently able to withstand losses at the 'Bsf' category rating stress. The credit enhancement of the class A-3L notes has also increased since Fitch's last review and now exceeds the 'CCCsf' rating loss rate (RLR) projected by the SF PCM. However, with only 20 issuers remaining, portfolio concentration risk is heightened for this class as the senior, A-2 notes are paid down. The affirmation at 'CCsf' reflects that continued concentration is expected to increase the likelihood of default for the A-3L notes. Based upon the projected losses from distressed and defaulted collateral, the class B-1 notes are not expected to receive the full payment of principal and interest at or prior to maturity. Despite partial interest distributions, the class' deferred interest, currently $4.3 million, has increased over the last year. As a result, the ratings of the class B-1L notes are affirmed at 'Csf'. This review was conducted under the framework described in the report titled 'Global Rating Criteria for Structured Finance CDOs' using the SF PCM for projecting future loss levels for the underlying portfolio. A cash flow model framework was not used to review this transaction, as the impact of structural features and excess spread available to amortize the notes were determined to be minimal. Instead, Fitch compared the CE level of each class to the expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). For the class A-2 and A-3L notes, the rating was informed by the comparison of losses projected by SF PCM to the notes' CE levels, since the latter exceeds the expected losses from distressed assets alone. Rating Sensitivities: Further negative migration and defaults beyond those projected by SF PCM as well as increasing concentration in assets of a weaker credit quality could lead to downgrades. Birch I is a static, structured finance collateralized debt obligation that closed on Dec. 20, 2002. The initial portfolio was selected by Bear, Stearns & Co., Inc. As of the latest trustee report from October 2013, the portfolio is comprised of residential mortgage-backed securities (78.2%), and commercial mortgage-backed securities (21.8%) from the 1997 through 2002 vintages. BRISTOL BAY: Moody's Affirms 'B1' Rating on $40MM Cl. B Sub. Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has confirmed the rating of the following notes issued by Bristol Bay Funding Ltd.: U.S. $24,000,000 Class A-2 Floating Rate Senior Notes Due 2016 (current outstanding balance of $19,334,945), Upgraded to A2 (sf); previously on January 24, 2012 Downgraded to Baa1 (sf). Moody's also affirmed the ratings of the following notes: U.S. $40,000,000 Class B Floating Rate Deferrable Senior Subordinate Notes Due 2016 (current outstanding balance of $37,096,571), Affirmed B1 (sf); previously on January 24, 2012 Downgraded to B1 (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of the amortization of the reference portfolio since October 2012. Moody's notes that the Retained Calculation Amount has been reduced to zero. The Class A-1 Notes have been fully paid down, and the Class A-2 Notes, which are currently the most senior class of notes, have been paid down by approximately 19.4% or $5 million since October 2012. Notwithstanding the benefits of the deleveraging, Moody's notes that the credit quality of the reference portfolio has deteriorated since October 2012. Based on the September 2013 trustee report, the weighted average rating factor is currently 3120 compared to 2743 in October 2012. Moody's also notes that the reference portfolio includes a number of investments in securities that mature after the maturity date of the notes ("long-dated assets"). Based on Moody's calculations, long-dated assets currently make up approximately 55.54% of the reference portfolio par. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. In addition, the deal references investments in a material amount of thinly or untraded loans whose lack of liquidity may pose additional risks relating to the issuer's ultimate ability or inclination to pursue a liquidation of such assets, especially if the sales can be transacted only at heavily discounted price levels. Moody's affirmed the rating of the Class B Notes due in part to the market risk posed by the exposure to these assets. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $79 million, defaulted par of $27 million, a weighted average default probability of 18.63% (implying a WARF of 3785), a weighted average recovery rate upon default of 48.46%, and a diversity score of 14. 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. Bristol Bay Funding Ltd., issued in March 2004, is a synthetic collateralized loan obligations referencing a pool of primarily senior secured loans. C-BASS CBO VIII: Fitch Hikes Rating on Class C Notes to 'CCCsf' --------------------------------------------------------------- Fitch Ratings has upgraded two classes and affirmed two classes of notes issued by C-BASS CBO VIII, Ltd. (C-BASS VIII) as follows: -- $15,352,434 class B notes upgraded to 'BBBsf' from 'BBsf'; Outlook Stable; -- $20,700,000 class C notes upgraded to 'CCCsf' from 'Csf'; -- $5,874,338 class D-1 notes affirmed at 'Csf'; -- $2,423,164 class D-2 notes affirmed at 'Csf'. Key Rating Drivers: The upgrades are attributed to the increased credit enhancement available to all rated notes as a result of significant deleveraging of the capital structure since Fitch's last rating action in November 2012. Portfolio concentration and modest deterioration in the underlying portfolio are effectively offset by this amortization. Following the full principal repayment of the class A-2 notes in August 2013, the class B notes became the senior most class in the capital structure and have since received approximately $3 million, or 16.3% of its previous outstanding balance. Subsequently, the class's credit enhancement level has increased and the notes are currently passing at the 'Asf'/'BBBsf' categories in Fitch's cash flow model. According to the October 2013 trustee report, the class B notes are currently supported by $64.7 million of underlying collateral, with an additional $3.7 million in the transaction's principal collection account. The credit enhancement of the class C notes has also increased since last review. As a result, they are now passing at ratings consistent with the 'CCCsf' category. The class D-1 and class D-2 notes continue to defer interest due to insufficient interest proceeds on the last four distribution dates. These classes will not receive any principal paydowns until the class C deferred interest balance of $.5 million is fully repaid. Due to the subordinated position of the class D notes in the capital structure and the potential for further negative migration in the portfolio, these notes have been affirmed at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using SF PCM for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Rating Criteria for Structured Finance CDOs' for the class B and class C notes. Fitch also considered additional qualitative factors in its analysis, as described below, to conclude the rating affirmations for the rated notes. Rating Sensitivities: Further negative migration and defaults beyond those projected by SF PCM as well as increasing concentration in assets of a weaker credit quality could lead to downgrades. C-BASS VIII is a cash structured finance collateralized debt obligation (SF CDO) that closed on Nov. 10, 2003 and is monitored by NIC Management LLC. As of the Oct. 10, 2013 trustee report, the portfolio is composed of residential mortgage-backed securities (72.1%), consumer and commercial asset-backed securities (21.8%), and SF CDOs (6.1%). CARLYLE GLOBAL 2013-4: S&P Assigns Prelim BB Rating on Cl. E Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Carlyle Global Market Strategies CLO 2013-4 Ltd./Carlyle Global Market Strategies CLO 2013-4 LLC's $377.7 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 Nov. 6, 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 to the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the 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 0.24%-11.72%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1979.pdf PRELIMINARY RATINGS ASSIGNED Carlyle Global Market Strategies CLO 2013-4 Ltd./Carlyle Global Market Strategies CLO 2013-4 LLC Class Rating Amount (mil $) X AAA (sf) 1.2000 A-1 AAA (sf) 122.000 A-2 AAA (sf) 130.000 B-1 AA (sf) 24.000 B-2 AA (sf) 20.000 C (deferrable) A (sf) 31.750 D (deferrable) BBB (sf) 21.750 E (deferrable) BB (sf) 18.500 F (deferrable) B (sf) 8.500 Subordinated notes NR 37.505 NR-Not rated. CENT CLO 18: S&P Affirms 'BB-' Rating on Class E Notes ------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on Cent CLO 18 Ltd./Cent CLO 18 Corp.'s $473.75 million floating-rate notes following the transaction's effective date as of July 26, 2013. Most U.S. cash flow collateralized debt obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an "effective date rating affirmation"). An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to S&P by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that S&P assigned on the transaction's closing date. The effective date reports provide a summary of certain information that S&P used in its analysis and the results of its review based on the information presented to 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 its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P added. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Cent CLO 18 Ltd./Cent CLO 18 Corp. Class Rating Amount (mil. $) X AAA (sf) 3.75 A AAA (sf) 315.00 B-1 AA (sf) 55.50 B-2 AA (sf) 10.00 C-1 (deferrable) A (sf) 31.25 C-2 (deferrable) A (sf) 2.00 D (deferrable) BBB (sf) 25.00 E (deferrable) BB- (sf) 26.25 P(i) AA+ (sf)NRi(ii) 5.00 (i) The class P notes are secured by a U.S. Treasury STRIP, with a face value of $5 million. (ii) 'NRi' indicates that the interest is not rated. STRIP - Separate trading of registered interest and principal security. CITIGROUP MORTGAGE 2013-J1: S&P Assigns BB Rating on Cl. B-4 Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its ratings to Citigroup Mortgage Loan Trust 2013-J1's $206.593 million mortgage pass-through certificates series 2013-J1. The issuance is a residential mortgage-backed securities transaction backed by first-lien, fixed-rated residential mortgage loans. The ratings reflect S&P's view of: -- The high-quality collateral included in the pool; -- The pool's geographic diversity compared to similar transactions; and -- The credit enhancement provided, as well as the associated structural deal mechanics. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Citigroup Mortgage Loan Trust 2013-J1 Class Rating Amount (mil. $) A-1 AAA (sf) 189.482 A-2 AAA (sf) 6.824 A-IO AAA (sf) Notional B-1 AA (sf) 2.204 B-2 A (sf) 2.100 B-3 BBB (sf) 0.735 B-4 BB (sf) 5.248 B-5 NR 3.360 NR-Not rated. CLEAR LAKE: Moody's Affirms 'Ba2' Rating on $15MM Class D Notes --------------------------------------------------------------- Moody's Investors Service announced that it has affirmed the ratings of the following notes issued by Clear Lake CLO, Ltd.: U.S. $343,000,000 Class A-1 Floating Rate Senior Notes Due 2020 (current outstanding balance of $341,730,185), Affirmed Aaa (sf); previously on August 29, 2011 Upgraded to Aaa (sf) U.S. $21,500,000 Class A-2 Floating Rate Senior Notes Due 2020, Affirmed Aa1 (sf); previously on August 29, 2011 Upgraded to Aa1 (sf) U.S. $27,000,000 Class B Floating Rate Deferrable Senior Subordinate Notes Due 2020, Affirmed A2 (sf); previously on August 29, 2011 Upgraded to A2 (sf) U.S. $20,000,000 Class C Floating Rate Deferrable Senior Subordinate Notes Due 2020, Affirmed Ba1 (sf); previously on August 29, 2011 Upgraded to Ba1 (sf) U.S. $15,500,000 Class D Floating Rate Deferrable Subordinate Notes Due 2020 (current outstanding balance of $14,747,398), Affirmed Ba2 (sf); previously on August 29, 2011 Upgraded to Ba2 (sf) Ratings Rationale: Moody's notes that affirmations reflect general stability in all the collateral quality metrics and coverage tests over the past year. Moody's notes that the weighted average rating factor has improved somewhat, offsetting the slight deterioration in over- collateralization ratios since October 2012. Furthermore, the deal will end its reinvestment period in December 2013 and start to amortize its liabilities. 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 actual collateral pool characteristics as of October 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 $436.0 million, defaulted par of $4.3 million, a weighted average default probability of 17.68% (implying a WARF of 2579), a weighted average recovery rate upon default of 49.23%, 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. Clear Lake CLO, Ltd., issued in January 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. COMM 2013-FL3: S&P Assigns Prelim. BB- Rating to Class RGC2 Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to COMM 2013-FL3 Mortgage Trust's $465.0 million commercial mortgage pass-through certificates. The note issuance is a commercial mortgage-backed securities transaction backed by five floating-rate loans secured by the leasehold interest in three Manhattan hotels known as the Magna Manhattan Hotel Portfolio, the leasehold interest in the Ritz- Carlton hotel in the Cayman Islands, the fee and leasehold interest in 31 Red Roof Inn limited-service hotels, the fee interest in the Hilton Fort Lauderdale hotel, and the fee interest in the Beekman Tower, a former hotel that is currently being converted into a corporate housing property.. The preliminary ratings are based on information as of Nov. 5, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1975.pdf PRELIMINARY RATINGS ASSIGNED COMM 2013-FL3 Mortgage Trust Class Rating(i) Amount ($) A AAA (sf) 222,947,000 X-CP A- (sf) 353,000,000(ii) X-EXT A- (sf) 353,000,000(ii) B AA- (sf) 78,247,000 C A- (sf) 51,806,000 MMHP(iii) BBB- (sf) 30,500,000 RGC1(iii) BBB- (sf) 13,000,000 RGC2(iii) BB- (sf) 25,500,000 RGC3(iii) B+ (sf) 8,000,000 RRI1(iii) BBB- (sf) 13,750,000 RRI2(iii) BB (sf) 9,250,000 HFL(iii) BB+ (sf) 12,000,000 (i) The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii) Notional balance. (iii) Loan-specific class. DUANE STREET: S&P Raises Rating on Class E Notes to 'BB+' --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C, D, and E notes from Duane Street CLO 1 Ltd. and the class A1, A2, B, C, D, and E notes from Duane Street CLO II Ltd. In addition, S&P removed these ratings from CreditWatch where it had placed them with positive implications on Sept. 5, 2013. Duane Street CLO 1 Ltd. and Duane Street CLO II Ltd. are collateralized loan obligation (CLO) transactions now managed by Napier Park Global Capital LLC. The Duane Street CLO 1 Ltd. reinvestment period ended in October 2011. The class A and A-2 notes paid off their remaining balance in the most recent August 2013 payment date. Since S&P's January 2013 rating action, more than $122 million has been paid down to the class A, A-2, and B notes. The upgrades of the class B, C, D and E notes reflect the paydowns, which have helped create additional support for the subordinate notes. The improvements are also evident in the increased senior, mezzanine, and junior overcollateralization ratios since our January 2013 rating actions. As of the Sept. 10, 2013 trustee report, Duane Street CLO 1 Ltd. has roughly $10.8 million of loans maturing after the transaction's legal final maturity in November 2017. 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 ratings of the class D and E notes from Duane Street CLO 1 Ltd. reflect this potentially negative risk. These ratings were also affected by the application of S&P's largest obligor test for corporate collateralized debt obligations. The Duane Street CLO II Ltd. reinvestment period ended in August 2012. Since then, the class A1 notes paid down nearly $150 million of its balance, and the class A2 notes paid down over $47 million. The upgrades of the class A1, A2, B, C, D, and E notes reflect the paydowns to the class A1 and A2 notes, which have helped create additional support for the subordinate notes. The improvements are also evident in the increased senior, mezzanine, and junior overcollateralization ratios since S&P's July 2011 rating actions. 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 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 Duane Street CLO 1 Ltd. Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AAA (sf) A+ (sf)/Watch Pos D A+ (sf) BB+ (sf)/Watch Pos E BB+ (sf) B+ (sf)/Watch Pos Duane Street CLO II Ltd. Rating Class To From A1 Term AAA (sf) AA+ (sf)/Watch Pos A2 Revolv AAA (sf) AA+ (sf)/Watch Pos B AAA (sf) A+ (sf)/Watch Pos C AA- (sf) BBB (sf)/Watch Pos D BBB- (sf) B+ (sf)/Watch Pos E B+ (sf) CCC- (sf)/Watch Pos FLATIRON CLO 2013-1: Moody's Rates $18MM Class D Notes 'Ba3' ------------------------------------------------------------ Moody's Investors Service announced that it has assigned the following provisional ratings to notes to be issued by Flatiron CLO 2013-1 Ltd. U.S. $250,750,000 Class A-1 Senior Secured Floating Rate Notes due 2026 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) U.S. $55,750,000 Class A-2 Senior Secured Floating Rate Notes due 2026 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) U.S. $17,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class B Notes"), Assigned (P)A2 (sf) U.S. $25,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class C Notes"), Assigned (P)Baa3 (sf) U.S. $18,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class D Notes"), Assigned (P)Ba3 (sf) U.S. $12,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class E Notes"), Assigned (P)B2 (sf) Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinion. 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. Ratings Rationale: Moody's provisional ratings of the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, and Class E Notes (collectively, the "Notes") address the expected losses posed to the 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. Flatiron CLO is a managed cash flow CLO. The secured notes will be collateralized primarily by broadly syndicated first-lien senior secured corporate loans. At least 90.0% of the portfolio must be invested in senior secured loans, cash and eligible investments representing principal proceeds, and up to10.0% of the portfolio may consist of second lien loans, senior secured bonds, senior unsecured bonds, senior secured floating rate notes, and unsecured loans. The portfolio is expected to be approximately 75% ramped at closing and 100% ramped within three months thereafter. New York Life Investment Management LLC (the "Manager"), will direct the selection, acquisition and disposition of collateral on behalf of the Issuer. The Manager may engage in trading activity, including discretionary trading, during the transaction's four- year reinvestment period. Thereafter, the Manager may reinvest principal proceeds that were received with respect to unscheduled principal payments and with respect to sales of credit risk and credit improved obligations in additional collateral obligations, subject to certain conditions. In addition to the Notes rated by Moody's, the Issuer will issue subordinated notes. The transaction incorporates coverage tests, both par and interest, which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. 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. For modeling purposes, Moody's used the following base-case assumptions: Target Par Amount of $400,000,000; Diversity of 55; WARF of 2450; Weighted Average Spread of 3.55%; Weighted Average Coupon of 7.0%; Weighted Average Recovery Rate of 43.00%; and Weighted Average Life of 8.25 years. 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 Manager's investment decisions and management of the transaction will also affect the Notes' performance. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was an important component in determining the rating assigned to the Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), holding all other factors equal: Percentage Change in Moody's WARF -- Moody's WARF + 15% (from 2450 to 2818) Impact in Rating Notches -- Class A-1 Notes: 0 Impact in Rating Notches -- Class A-2 Notes: -2 Impact in Rating Notches -- Class B Notes: -2 Impact in Rating Notches -- Class C Notes: -1 Impact in Rating Notches -- Class D Notes: 0 Impact in Rating Notches -- Class E Notes: -2 Percentage Change in Moody's WARF -- Moody's WARF +30% (from 2450 to 3185) Impact in Rating Notches -- Class A-1 Notes: -1 Impact in Rating Notches -- Class A-2 Notes: -3 Impact in Rating Notches -- Class B Notes: -4 Impact in Rating Notches -- Class C Notes: -2 Impact in Rating Notches -- Class D Notes: -1 Impact in Rating Notches -- Class E Notes: -4. The V Score for this transaction is Medium/High. Moody's assigned this V Score in a manner similar to the Medium/High V Score assigned for the global cash flow CLO sector. 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. FOUNDERS GROVE: S&P Affirms 'CCC+' Rating on Class D Notes ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B and C notes from Founders Grove CLO Ltd., a U.S. collateralized loan obligation (CLO) managed by Tall Tree Investment Management LLC. At the same time, S&P removed these two ratings from CreditWatch, where it placed them with positive implications on Sept. 5, 2013. In addition, S&P affirmed its ratings on the class A-1, A-2, and D notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the trustee report dated Sept. 20, 2013. The upgrades are driven primarily by substantial paydowns to the class A-1 and A-2 notes since S&P's February 2013 rating actions. The affirmed ratings reflect S&P's belief that the credit support available is commensurate with the current rating levels. Post-reinvestment period principal amortization has resulted in $79.25 million in paydowns to the class A-1 and A-2 notes since February 2013, for which S&P referenced the December 2012 trustee report. This has resulted in improvement in all coverage tests in the transaction and has left the class A-1 and A-2 notes at 14.00% of their original outstanding balance. In addition, the amount of 'CCC' rated collateral held in the transaction's asset portfolio declined since S&P's previous rating action. According to the September 2013 trustee report, the transaction held $6.95 million in 'CCC' rated collateral, down from $12.40 million noted in the December 2012 trustee report. As of September 2013, the transaction had a 5.05% exposure to an obligor that could potentially file for bankruptcy in the near future. S&P factored the possibility of the obligor's bankruptcy into its analysis for the rating actions. According to the September 2013 trustee report, the transaction held $2.81 million in underlying collateral obligations by an issuer that is considered in default. This issuer accounts for 3.29% of the entire portfolio. This was a slight increase from $2.71 million in defaulted obligations noted in the December 2012 trustee report. The transaction has significant exposure to long-dated assets (assets maturing after the stated maturity of the CLO). According to the September 2013 trustee report, the balance of collateral with a maturity date after the stated maturity of the transaction totaled $3.95 million (4.45% of the portfolio). S&P's analysis took into account the potential market value and/or settlement related risk arising from the potential liquidation of the remaining securities on the legal final maturity date of the transaction. The ratings on the class D notes are driven by the application of the largest obligor default test, a supplemental stress test S&P introduced as part of its 2009 corporate criteria update. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward- looking assumptions on the defaults' expected timing and pattern and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. CAPITAL STRUCTURE AND KEY MODEL ASSUMPTIONS COMPARISON Class Dec. 2012 Sept. 2013 Notional balance (Mil. $) A-1 24.97 7.00 A-2 85.15 23.87 B 20.10 20.10 C 6.60 6.60 D 25.12 25.12 Weighted average spread (%) 3.63 3.55 Coverage tests (%) A/B O/C 128.91 170.88 C O/C 122.69 151.29 D O/C 103.66 105.33 A/B I/C 811.60 1,027.57 C I/C 743.08 839.33 O/C-Overcollateralization test. I/C-Interest coverage test. 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 Founders Grove CLO Ltd. Rating Class To From A-1 AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) B AAA (sf) AA+ (sf)/Watch Pos C AA+ (sf) A+ (sf)/Watch Pos D CCC+ (sf) CCC+ (sf) FRANKLIN CLO V: S&P Affirms 'BB+' Rating on Class D Notes --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, and B notes from Franklin CLO V Ltd., a U.S. cash-flow collateralized loan obligation transaction managed by Franklin Advisers Inc. At the same time, S&P lowered the rating on the class E note. S&P also affirmed its ratings on the class C and D notes and removed the ratings on the class A-1, A-2, B, and C notes from CreditWatch, where S&P placed them with positive implications on Sept. 5, 2013. S&P's last rating action on this transaction was on Oct. 11, 2011, when it raised the class C, D and E ratings. Since then, the transaction ended its reinvestment period in June 2012 and commenced paying down its class A notes. Following the most recent payment date (Sept. 16, 2013), the class A-1 and A-2 notes balances are 52.26% of their original balance, down from 97.39% in September 2011, which S&P used for its October 2011 rating actions. (The class A-1 and A-2 notes had received some paydowns prior to September 2011 due to past coverage test failures. Subsequent paydowns to the notes commenced after the end of the reinvestment period in June 2012.) The paydowns increased the credit support, as the improvement in the transaction's overcollateralization (O/C) ratios demonstrates: As per the October 2013 monthly trustee report, the senior O/C ratio (measured at the class A level) was 132.55%, up from 119.51% in September 2011. The mezzanine O/C ratio (measured at the class D level) increased to 111.13% from 107.22% over the same period. In addition, the defaults in the transaction have decreased during this period. The October 2013 monthly trustee report indicates that the transaction has $4.4 million par in defaults, down from $8.8 million in September 2011. The upgrades reflect improvement in the credit support at the prior ratings. The affirmations of the class C and D note ratings reflect the availability of adequate credit support at their current rating levels. Although the credit support to some of the tranches has improved, the October 2013 monthly trustee report indicates that 24.70% of the underlying collateral is scheduled to mature after the stated maturity of the notes. The presence of these long-dated securities in the portfolio introduces a market value risk. The class most vulnerable to the market value risk is the class E notes; S&P lowered the rating on this class to account for such risks. "Our review of this transaction included a cash flow analysis based on the portfolio and transaction, as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward- looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and ultimate principal to each of the rated tranches. In our view, the results of the cash flow analysis demonstrated that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action," S&P said. S&P will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Franklin CLO V Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf)/Watch Pos A-2 AAA (sf) AA+ (sf)/Watch Pos B AA- (sf) A+ (sf)/Watch Pos C BBB+ (sf) BBB+ (sf)/Watch Pos D BB+ (sf) BB+ (sf) E B- (sf) B+ (sf) FRASER SULLIVAN: S&P Raises Rating on Class D-1 Notes to 'BB-' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C, D-1, D-2, E-1, and E-2 notes from Fraser Sullivan CLO I Ltd., a cash flow collateralized loan obligation (CLO) transaction managed by 3i Debt Management U.S. LLC, and S&P removed these ratings from CreditWatch with positive implications. At the same time, S&P affirmed its 'AAA (sf)' ratings on the class A-1 and A-2 notes. The affirmations and upgrades reflect the increase in credit support for the notes. Since S&P's January 2013 rating actions, the class A notes have paid down an additional $21 million, and are now at 31% of their initial issuance amounts. As a result of the paydowns, the class A/B overcollateralization (O/C) ratio increased to 173% in October 2013 from 133% in December 2012. The paydowns have provided a significant increase in credit support for the upgraded notes. The transaction is currently exposed to 'CCC' rated assets with negative outlooks. As of the October 2013 trustee report, the transaction had exposure of more than $21 million to 'CCC' rated and defaulted assets. S&P considered these issues when it added stresses for various market value and recovery assumptions. S&P will continue to review whether, in its view, its ratings on 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 Fraser Sullivan CLO I Ltd. Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AA- (sf) BBB+ (sf)/Watch Pos D-1 BB- (sf) B+ (sf)/Watch Pos D-2 BB- (sf) B+ (sf)/Watch Pos E-1 CCC+ (sf) CCC- (sf)/Watch Pos E-2 CCC+ (sf) CCC- (sf)/Watch Pos RATINGS AFFIRMED Fraser Sullivan CLO I Ltd. Class Rating A-1 AAA (sf) A-2 AAA (sf) GALAXY XVI: S&P Assigns 'BB' Rating to Class E Notes ---------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Galaxy XVI CLO Ltd./Galaxy XVI CLO LLC's $370.0 million floating- and fixed-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.26%-12.07%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which will lead to the reclassification of excess interest proceeds that are available before paying uncapped administrative expenses and hedge payments, subordinated and incentive management fees, and subordinated note payments into principal proceeds to purchase additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1895.pdf RATINGS ASSIGNED Galaxy XVI CLO Ltd./Galaxy XVI CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 113.00 A-2 AAA (sf) 139.00 B-1 AA (sf) 30.00 B-2 AA (sf) 15.00 C (deferrable) A (sf) 35.00 D (deferrable) BBB (sf) 20.40 E (deferrable) BB (sf) 17.60 Subordinated notes NR 44.25 NR-Not rated. GALLATIN CLO II: Moody's Hikes Rating on Cl. B-2l Notes From 'Ba2' ------------------------------------------------------------------ Moody's Investors Service announced that it has upgraded the ratings of the following notes issued by Gallatin CLO II 2005-1, Limited: U.S. $26,000,000 Class B-1L Floating Rate Notes Due August 15, 2017, Upgraded to Aa1 (sf); previously on June 19, 2013 Upgraded to A2 (sf) U.S. $14,000,000 Class B-2L Floating Rate Notes Due August 15, 2017 (current outstanding balance of $13,756,049), Upgraded to Baa3 (sf); previously on June 19, 2013 Affirmed Ba2 (sf) Moody's also affirmed the ratings of the following notes: U.S. $365,000,000 Class A-1L Floating Rate Notes Due August 15, 2017 (current outstanding balance of $10,739,032), Affirmed Aaa (sf); previously on June 19, 2013 Affirmed Aaa (sf) U.S. $36,000,000 Class A-2L Floating Rate Notes Due August 15, 2017, Affirmed Aaa (sf); previously on June 19, 2013 Affirmed Aaa (sf) U.S. $26,000,000 Class A-3L Floating Rate Notes Due August 15, 2017, Affirmed Aaa (sf); previously on June 19, 2013 Upgraded to Aaa (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the last rating action in June 2013. Moody's notes that the Class A-1L Notes have been paid down by approximately 77% or $36.6 million since June 2013. Based on the latest trustee report dated October 2, 2013, the Senior Class A, Class A, Class B-1L and Class B-2L overcollateralization ratios are reported at 290.9%, 186.9%, 137.7% and 120.3%, respectively, versus May 2013 levels of 160.6%, 136.7%, 119.0% and 111.3%, respectively. Notwithstanding benefits of the deleveraging, Moody's notes that the credit quality of the underlying portfolio has deteriorated since June 2013. Based on the October 2013 trustee report, the weighted average rating factor is currently 2736 compared to 2581 in May 2013. Further, a material proportion of the collateral pool includes debt obligations that are rated Caa1 or lower. According to the October 2013 trustee report, obligations rated Caa1 or lower make up approximately 10.8% of the performing par. Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the October 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 14.77% of the underlying portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $130.3 million, defaulted par of $5.6 million, a weighted average default probability of 16.35% (implying a WARF of 2800), a weighted average recovery rate upon default of 51.86%, and a diversity score of 18. 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. Gallatin CLO II 2005-1, Limited, issued in September 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. GE COMMERCIAL 2003-1: Moody's Affirms C Ratings on 2 Note Classes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of eight classes of GE Commercial Mortgage Corporation 2003-C1 as follows: Cl. H, Affirmed Aaa (sf); previously on May 30, 2013 Upgraded to Aaa (sf) Cl. J, Affirmed Ba1 (sf); previously on May 30, 2013 Affirmed Ba1 (sf) Cl. K, Affirmed Ba2 (sf); previously on May 30, 2013 Affirmed Ba2 (sf) Cl. L, Affirmed Caa1 (sf); previously on May 30, 2013 Affirmed Caa1 (sf) Cl. M, Affirmed Caa2 (sf); previously on May 30, 2013 Affirmed Caa2 (sf) Cl. N, Affirmed C (sf); previously on May 30, 2013 Affirmed C (sf) Cl. O, Affirmed C (sf); previously on May 30, 2013 Affirmed C (sf) Cl. X-1, Affirmed Caa1 (sf); previously on May 30, 2013 Downgraded to Caa1 (sf) Ratings Rationale: The rating of the investment grade P&I bond is affirmed based on increased credit support and increased defeasance since last review. The ratings of the below investment grade P&I bonds are consistent with Moody's expected loss and thus are affirmed. The rating of the IO Class, Class X, is consistent with the credit performance of its referenced classes and thus is affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit 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 34% of the current pooled balance compared to 32% at last review. Moody's base expected loss plus realized losses is 4.0% of the original pooled balance, the same as at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. 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. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 2 compared to 3 at the prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from Conduit and Large Loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated May 30, 2013. Deal Performance: As of the October 10, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $74.7 million from $1.19 billion at securitization. The Certificates are collateralized by six mortgage loans ranging in size from less than 3% to 49% of the pool, with the top three loans representing 84% of the pool. One loan, representing 24% of the pool, has defeased and is secured by US Government securities. Currently, there are no loans on the master servicer's watchlist. Seventeen loans have been liquidated from the pool, resulting in a realized loss of $22.3 million (23% loss severity). Currently four loans, representing 65% of the pool, are in special servicing. The largest specially serviced loan is the 801 Market Street Loan ($36.9 million -- 49% of the pool), which is secured by a 370,000 square foot (SF) office condominium situated within a 1.0 million SF office building located in Philadelphia, Pennsylvania. The condominium includes part of the basement, ground floor and all of floors seven through 13. The office building was built in 1928 and renovated in 2002. The building is located in the Market Street East office market of Center City Philadelphia. This loan transferred to Special Servicing due to the borrower being unable to pay off the loan at the February 1, 2013 maturity date. U.S. GSA, occupying 41% of the NRA will be vacating the property at lease expiration on December 15, 2014. Citizens Bank of Pennsylvania, occupying 23% of the NRA has an upcoming lease expiration in December 2013. Moody's has estimated an aggregate $24.9 million loss (51% expected loss) for the four specially serviced loans. The Shiloh Apartments Loan ($8.5MM - 11.4% of the pool) is currently the only loan in the conduit. The loan is secured by a 240 unit multifamily property located in Fayettville, Arkansas. Moody's was provided with full year 2012 operating results for this loan. The property was 90% leased as of June 2013. Performance has improved significantly over the past three years due to an increase in occupancy. Moody's LTV and stressed DSCR are 96% and 0.98X, respectively, compared to 98% and 0.97X at last review. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. GMAC COMMERCIAL 2004-C3: S&P Affirms B- Rating on Class B Notes --------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class A-J commercial mortgage pass-through certificate from GMAC Commercial Mortgage Securities Inc.'s series 2004-C3, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'A-(sf)' from 'BBB-(sf)'. Concurrently, S&P affirmed its ratings on seven other classes from the same transaction, including the 'AAA(sf)' class X-1 interest-only (IO) certificate. S&P's rating actions follow its analysis of the transaction using primarily its criteria for rating U.S. and Canadian CMBS. S&P's analysis included a review of the credit characteristics of all the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. The raised rating reflects S&P's current and expected available credit enhancement for the tranche, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating level for this tranche. The upgrade also reflects S&P's view of the current and future performance of the transaction's collateral and the deleveraging of the trust balance, as the transaction has paid down 49.0% since issuance. 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 estimate of the necessary credit enhancement required for the current ratings outstanding. S&P affirmed its ratings on these classes also to reflect the credit characteristics and performance of the remaining assets and the transaction-level changes. Although available credit enhancement levels may suggest further upgrades, S&P's rating actions were tempered by the interest shortfalls affecting the trust, the liquidity support available to the remaining classes, and its concerns regarding the volume of non-specially, non-defeased assets scheduled to mature in 2014 (44 loans, $389.6 million, 65.1% of the pool). As of the Oct. 10, 2013, trustee remittance report, the trust had net monthly interest shortfalls totaling $219,449. The net monthly interest shortfalls were related primarily to non- recoverable interest of $161,589, net appraisal subordinate entitlement reduction (ASER) of $35,618 (this net ASER amount includes $44,365 of ASER recovery), and special servicing and workout fees totaling $22,221. The net monthly interest shortfalls affected all classes subordinate to and including class D. The affirmation of S&P's 'AAA (sf)' rating on the class X-1 IO certificate reflects its current criteria for rating IO securities. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING RAISED GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2004-C3 Rating Class To From Credit enhancement (%) A-J A- (sf) BBB- (sf) 21.21 RATINGS AFFIRMED GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2004-C3 Class Rating Credit enhancement (%) A-1A AAA (sf) 35.07 A-4 AAA (sf) 35.07 A-AB AAA (sf) 35.07 A-5 AAA (sf) 35.07 B B- (sf) 15.98 C CCC- (sf) 13.63 X-1 AAA (sf) N/A N/A-Not applicable. GREENWICH CAPITAL 2003-C1: S&P Cuts Rating on 2 Note Classes to D ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class M and N commercial mortgage pass-through certificates from Greenwich Capital Commercial Funding Corp.'s series 2003-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction to 'D (sf)' from 'CCC+ (sf)' and 'CCC- (sf)', respectively. In addition, S&P affirmed its ratings on classes K and L from the same transaction and withdrew its 'BBB- (sf)' rating on the class J certificates. "We lowered our ratings on class M and N to 'D (sf)' because we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future. As of the Oct. 7, 2013, trustee remittance report, the pool trust experienced monthly interest shortfalls totaling $125,496. The interest shortfalls were primarily related to deferred interest of $18,622 on the specially serviced Gateway Plaza Shopping Center loan ($11.4 million, 33.4%), interest not advanced of $11,163 on the Park 2000-Building M, N, and P real estate owned (REO) asset ($2.1 million, 6.2%), special servicing fees of $7,113, legal fees of $1,000, an appraisal subordinate entitlement reduction (ASER) amount of $411, and the recouping of the prior servicer's advances on the Park 2000-Building M, N, and P REO asset. The shortfalls this period were offset by ASER recoveries of $26,439. The current interest shortfalls affected all classes subordinate to and including class L. Classes M and N have consecutive accumulated interest shortfalls outstanding for six and eight months, respectively," S&P said. S&P affirmed its ratings on classes K and L based on its analysis of the pool's remaining assets--all of which are with the special servicer--the transaction structure, and the trust's available liquidity. In addition, S&P considered the historical interest shortfalls experienced by classes K and L. Classes K and L had experienced interest shortfalls four and seven times, respectively. In addition, S&P withdrew its 'BBB- (sf)' rating on class J following the class' full principal repayment, as the Oct. 7, 2013, trustee remittance report reflected. As of the Oct. 7, 2013, trustee remittance report, the collateral pool had an aggregate pooled trust balance of $34.1 million, down from $1.215 billion at issuance. The pool includes four loans and one REO asset, down from 72 loans at issuance. The pool's remaining five assets are with the special servicer, CWCapital Asset Management LLC (CWCapital). To date, the trust has incurred losses totaling $37.2 million or 3.1% of the original pool trust balance. Details on the pool's five remaining assets, which are specially serviced are as follows: The Gateway Plaza Shopping Center loan ($11.4 million, 33.4%), the largest asset with CWCapital, is secured by a 143,520-sq.-ft. unanchored retail building in Overland Park, Kan. The loan has a total reported exposure of $11.5 million. The payment status of the loan is reported late but less than one month delinquent. The loan was transferred to the special servicer on Aug. 4, 2011, due to imminent default. According to CWCapital, the loan was modified in July 2013. The modification terms include splitting the loan into an $8.4 million senior A note and a $3.0 million subordinate hope note, accruing interest at the original note rate of 7.45% and extending the loan's maturity to Aug. 1, 2014. CWCapital also stated that a $300,000 letter of credit was provided by the borrower and may be drawn and applied toward paying down the hope note at maturity. CWCapital indicated that the loan will be returned to the master servicer in November 2013. An appraisal reduction amount (ARA) of $2.1 million is in effect against the loan. S&P expects a moderate loss upon the loan's eventual resolution. The Four Hills Village Shopping Center loan ($9.1 million, 26.7%), the second-largest asset with CWCapital, is secured by a 171,513- sq.-ft. anchored retail property in Albuquerque, N.M. The loan has a total reported exposure of $9.8 million and the payment status is reported as foreclosure in process. The loan was transferred to CWCapital on Jan. 4, 2013, for imminent maturity default. The loan matured on March 1, 2013. CWCapital reported an occupancy of 87.1% for the property as of Sept. 30, 2013; however, S&P expects occupancy to decline because the special servicer indicated that the tenant, United Artist Theatre Regal Cinemas (43,253-sq.-ft, 25.2%), plans to vacate the premises upon its Dec. 31, 2013, lease expiration due to a competing cinema opening in close proximity. In addition, CWCapital stated that the grocery anchor tenant, Albertson's (51,486-sq.-ft., 30.0%), has been struggling due to competition from a neighboring center and may go dark. CWCapital indicated that it plans to market the property for sale immediately after foreclosure. An ARA of $83,113 is in effect against this loan. S&P expects a moderate loss upon this loan's eventual resolution. The 495 South High Street loan ($7.9 million, 23.2%), the third- largest asset with CWCapital, is secured by a 78,848-sq.-ft. office building in Columbus, Ohio. The loan has a total reported exposure of $8.1 million and the payment status is a nonperforming matured balloon loan. The loan was transferred to the special servicer on May 20, 2013, due to imminent maturity default. The loan matured on June 1, 2013. Reported occupancy was 82.0% for the nine months ending Sept. 1, 2013, and debt service coverage (DSC) was 0.82x for the year ending Dec. 31, 2012. CWCapital indicated that it is currently working with the borrower on a loan modification. An ARA of $1.1 million is in effect against this loan. S&P expects a minimal loss upon this loan's eventual resolution. The Greystone Centre loan ($3.6 million, 10.5%), the second- smallest asset with the special servicer, is secured by a 53,507-sq.-ft. mixed used building in Birmingham, Ala. The loan has a total reported exposure of $3.7 million and the payment status is foreclosure in process. The loan was transferred to the special servicer on Nov. 2, 2011, due to imminent maturity default. The loan matured on Dec. 5, 2011. CWCapital reported a 59.0% occupancy as of Oct. 1, 2013, for the property. CWCapital stated that payoff negotiations with the borrower will begin upon the resolution of environmental issues related to a dry cleaner at the property. S&P expects a minimal loss upon this loan's eventual resolution. The Park 200-Buildings M, N, and P REO asset ($2.1 million, 6.2%), the smallest asset with the special servicer, consists of a 27,051-sq.-ft. mixed use building in Las Vegas, Nev. The asset has a total reported exposure of $2.6 million. The loan was transferred to the special servicer on May 13, 2011, due to monetary default and the property became REO on March 23, 2012. CWCapital reported a 31.0% occupancy as of Oct. 1, 2013, for the property. The master servicer has deemed this asset nonrecoverable. CWCapital stated that the asset is currently under contract for sale. S&P expects a significant loss upon this asset's eventual resolution. As it relates to the above asset resolutions, S&P considered minimal loss to be less than 25%, moderate loss to be 26%-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 Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2003-C1 Rating Rating Credit Class To From enhancement (%) M D (sf) CCC+ (sf) 24.47 N D (sf) CCC- (sf) 6.65 RATINGS AFFIRMED Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2003-C1 Credit Class Rating enhancement (%) K BB- (sf) 91.29 L B- (sf) 46.74 RATING WITHDRAWN Greenwich Capital Commercial Funding Corp. Commercial mortgage pass-through certificates series 2003-C1 Rating Rating Class To From J NR BBB- (sf) NR-Not rated. HARTFORD MEZZANINE 2007-1: Fitch Hikes Class G Notes Rating to BB ----------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed three classes of Hartford Mezzanine Investors I CRE CDO 2007-1 (HMI I 2007-1) reflecting Fitch's base case loss expectation of 21.3%. Fitch also withdraws all ratings due to a lack of investor interest. A detailed list of rating actions follows at the end of this release. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. The upgrade to class G reflects significantly improved credit enhancement to the class. Since Fitch's last rating action, the CDO liabilities have been paid down by an additional $112 million from scheduled amortization, the full payoff of three loans and the discounted sale or payoff of five other assets. Classes A-3 through F have paid in full while class G has been paid down to its current balance of $5.8 million. Realized losses over the same period are approximately $17 million. The CDO is highly concentrated with only five assets remaining in the portfolio. As of the October trustee report, the CDO is invested as follows: whole loans (32.8%); mezzanine debt (44.4%); B-notes (12%), and CMBS (10.8%). The CDO is undercollateralized by $58 million. Fitch loans of concern total 83.5% of the pool. Under Fitch's methodology, approximately 89.2% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 11.8% from, generally, trailing 12-month first or second quarter 2013. Modeled recoveries are above average at 76.1%. The largest component of Fitch's base case loss expectation is related to a B-note (12% of the pool) secured by five office properties located in Kansas City, MO and Overland Park, KS. Portfolio performance has been below expectations due to the portfolio's declining occupancy, which was 67%, as of March 2013. Fitch modeled a term default with a full loss in the 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 tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Rating Criteria for Structured Finance CDOs'. The breakeven rates for class G are generally consistent with the rating listed below. The Stable Outlooks on class G reflects the class's cushion in the modeling. The ratings for classes H through K are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each classes credit enhancement. HMI I 2007-1 is co-managed by Hartford Investment Management Company (HIMCO) and KeyBank Real Estate Equity Capital Inc. In October 2013, Fitch was notified that an affiliate of the asset managers is the beneficial holder of all the outstanding notes. The ratings are withdrawn as they are no longer considered to be relevant to Fitch's coverage due to a lack of investor interest. Fitch upgrades the following class as indicated: -- $5.8 million class G to 'BBsf' from 'Bsf'; Outlook Stable. Fitch affirms the following classes as indicated: -- $21.3 million class H at 'CCCsf'; RE 100%; -- $23.8 million class J at 'CCCsf'; RE 100% -- $38.8 million class K at 'CCsf'; RE 40%. Classes A-1 through F have paid in full. HARTFORD MEZZANINE 2007-1: S&P Withdraws Rating on 5 Note Classes ----------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on five classes from Hartford Mezzanine Investors I - CRE CDO 2007-1 Ltd., a U.S. commercial real estate collateralized debt obligation (CRE CDO). Subsequently, S&P withdrew its ratings on the same classes following a request from the issuer. The affirmations reflect our analysis of the transaction's liability structure and the underlying collateral's credit characteristics using S&P's global collateralized debt obligations (CDOs) of pooled structured finance assets criteria, as well as S&P's rating methodology and assumptions for U.S. and Canadian commercial mortgage-backed securities (CMBS) and CMBS global property evaluation methodology. According to the Sept. 23, 2013, trustee report, the transaction's collateral totaled $124.7 million, and its liabilities (including capitalized interest) totaled $178.6 million (down from liabilities of $500 million at issuance). The transaction's current asset pool includes the following: -- Two whole loans ($59.2 million; 47.4%); -- Four subordinate-interest loans ($55.6 million; 44.6%); and -- One commercial mortgage-backed securities tranche ($10.0 million; 8.0%). 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 AND SUBSEQUENTLY WITHDRAWN Hartford Mezzanine Investors I - CRE CDO 2007-1 Ltd. Rating Class To Interim From F NR B+ (sf) B+ (sf) G NR B- (sf) B- (sf) H NR CCC+ (sf) CCC+ (sf) J NR CCC- (sf) CCC- (sf) K NR CCC- (sf) CCC- (sf) NR-Not rated. ING IM 2013-2: S&P Affirms 'BB' Rating on Class D Notes ------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on ING IM CLO 2013-2 Ltd./ING IM CLO 2013-2 LLC's $427.45 million in fixed- and floating-rate notes following the transaction's effective date as of July 31, 2013. Most U.S. cash flow collateralized loan obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an "effective date rating affirmation"). An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to S&P by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that S&P assigned on the transaction's closing date. The effective date reports provide a summary of certain information that S&P used in its analysis and the results of its review based on the information presented to S&P. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. In S&P's published effective date report, it discusses its analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, S&P intends to publish an effective date report each time it issues an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED ING IM CLO 2013-2 Ltd./ING IM CLO 2013-2 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 297.00 A-2a AA (sf) 25.00 A-2b AA (sf) 20.00 B (deferrable) A (sf) 34.85 C (deferrable BBB (sf) 21.40 D (deferrable) BB (sf) 19.10 E (deferrable) B (sf) 10.10 JP MORGAN 2001-CIB1: S&P Cuts Rating on Cl. G Certificates to CCC ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class G commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2001-CIBC1, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'CCC (sf)' from 'B- (sf)'. The downgrade follows our analysis of the transaction, primarily using S&P's criteria for rating U.S. and Canadian CMBS transactions. S&P lowered its rating on the class G certificates to 'CCC (sf)' from 'B- (sf)' to reflect the reduced liquidity support available to this class. The lowered rating also reflects the class' susceptibility to future interest shortfalls from the sole remaining specially serviced asset ($3.0 million, 10.3%) in the trust, as well as the two loans that we deemed to be credit- impaired ($5.8 million, 20.0%). As of the Oct. 15, 2013, trustee remittance report, the collateral pool consisted of nine loans with an aggregate principal balance of $29.2 million, down from 165 loans with an aggregate balance of $1.01 billion at issuance. One of the remaining loans ($470,688, 1.6%) has been defeased. In addition, one loan ($3.0 million, 10.3%) is with the special servicer, CWCapital Asset Management LLC (CWCapital), and two loans ($5.8 million, 20.0%) are on the master servicer's (Berkadia Commercial Mortgage LLC [Berkadia]) watchlist. Using servicer-provided financial information, S&P calculated an adjusted Standard & Poor's debt service coverage (DSC) ratio of 1.26x and a loan-to-value (LTV) ratio of 53.0% for five of the zine remaining loans in the pool. The DSC and LTV figures exclude the defeased, specially serviced, and credit-impaired loans. To date, the transaction has experienced losses totaling $58.3 million, or 5.8% of the transaction's original pool balance. Details of the specially serviced and credit-impaired loans are as follows: The Dick's Sporting Goods loan ($3.0 million, 10.3%) is the sixth- largest remaining loan in the pool and the sole loan with CWCapital. The loan has a reported exposure of $3.0 million and is secured by a 45,000-sq.-ft. retail property in Akron, Ohio. The loan was transferred to the special servicer on Feb. 22, 2013, for imminent monetary default. According to CWCapital, the loan is current but the sole tenant, Dick's Sporting Goods, did not renew its lease on the October 2013 lease expiration date. CWCapital indicated that it will dual-track this loan as a potential modification and foreclosure. S&P expects a moderate loss upon this loan's final resolution. The Food Lion Portfolio loan ($4.3 million, 15.0%) is the fourth- largest loan in the pool and is on the master servicer's watchlist. S&P also deemed this loan to be credit-impaired, primarily because of its 60-days-delinquent payment status. The loan is secured by three grocery-anchored retail centers totaling 128,270 sq. ft. in Monroe, Newton, and Taylorsville, North Carolina. The loan appears on Berkadia's watchlist because of its delinquent status. Berkadia stated that the borrower is uncooperative and has not responded to inquiries. No recent financial information is available for this loan. This loan was previously with the special servicer and returned to the master servicer in April 2012. S&P expects a minimal loss upon the final resolution of this loan. The Spencer Shopping Center loan ($1.4 million, 5.0%) is the seventh-largest loan in the pool and is on the master servicer's watchlist. S&P deemed this loan to be credit-impaired because it is at an increased risk of default. The loan is secured by a 49,040-sq.-ft. retail property in Spencer, North Carolina and appears on Berkadia's watchlist because it is being monitored for increased default risk. The loan was recently returned from the special servicer and no current financial information is available. S&P expects a minimal loss upon this loan's final resolution. With respect to the specially serviced and credit-impaired loans noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 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 JP MORGAN 2013-C16: Fitch Rates $21.29MM Class E Notes 'BBsf' ------------------------------------------------------------- Fitch Ratings has issued a presale report on the J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-C16 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Outlooks as follows: -- $56,761,000 class A-1 'AAAsf'; Outlook Stable; -- $236,641,000 class A-2 'AAAsf'; Outlook Stable; -- $145,000,000 class A-3 'AAAsf'; Outlook Stable; -- $276,236,000 class A-4 'AAAsf'; Outlook Stable; -- $80,504,000 class A-SB 'AAAsf'; Outlook Stable; -- $878,916,000a class X-A 'AAAsf'; Outlook Stable; -- $73,835,000a class X-B 'AA-sf'; Outlook Stable; -- $83,774,000 class A-S 'AAAsf'; Outlook Stable; -- $73,835,000 class B 'AA-sf'; Outlook Stable; -- $41,177,000 class C 'A-sf'; Outlook Stable; -- $198,786,000b class EC 'A-sf'; Outlook Stable; -- $56,795,000 class D 'BBB-sf'; Outlook Stable; -- $21,299,000 class E 'BBsf'; Outlook Stable; -- $11,359,000 class F 'Bsf'; Outlook Stable. (a) Notional amount and interest only. (b) Class A-S, class B and class C certificates may be exchanged for a related amount of class EC certificates, and class EC certificates may be exchanged for class A-S, class B and class C certificates. The expected ratings are based on information provided by the issuer as of Oct. 31, 2013. Fitch does not expect to rate the $52,536,247 class NR or the $85,194,247 interest only class X-C. The certificates represent the beneficial ownership in the trust, primary assets of which are 60 loans secured by 113 commercial properties having an aggregate principal balance of approximately $1.136 billion as of the cutoff date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association; General Electric Capital Corporation; Ladder Capital Finance LLC; and Redwood Commercial Mortgage Corporation. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 74.4% of the properties by balance, cash flow analysis of 85.1%, and asset summary reviews on 85.1%. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.10x, a Fitch stressed loan-to-value (LTV) of 106.6%, and a Fitch debt yield of 8.52%. Fitch's aggregate net cash flow represents a variance of 8.73% to issuer cash flows. Key Rating Drivers: Fitch Leverage: This transaction has higher leverage than other recent Fitch-rated fixed-rate deals. The pool's Fitch LTV of 106.6% is higher than the 2012 and first-half 2013 averages of 97.2% and 99.8%, respectively. However, excluding the two largest loans which are secured by multifamily properties in New York City and San Francisco, the pool's Fitch LTV is 103%. Multifamily Concentration: The pool has a multifamily concentration of 29.6%, which is significantly higher than the first-half 2013 average concentration of 8.9%. The two largest loans in the pool, The Aire (11.9%) and Veritas Multifamily Portfolio (8.1%) are collateralized by multifamily properties located in CBDs of primary markets. Subordinate Debt: Seven loans, representing 33.7% of the pool balance, have subordinate debt in place, including the four of the five largest loans in the pool (30.1%). The Aire has a $25 million B-note and unsecured debt in place. The transaction has a Fitch total debt stack LTV and DSCR of 118.9% and 1.01x, respectively. Property Quality: Fitch assigned property quality grades of 'A' or 'A-' to three of the 15 largest loans in the pool, which represent 17.9% of the pool balance. Furthermore, property quality grades of 'B+' or better were assigned to 65.7% of the pool. Rating Sensitivities: Fitch performed two model-based break-even analyses to determine the level of cash flow and value deterioration the pool could withstand prior to $1 of loss being experienced by the 'BBB-sf' and 'AAAsf' rated classes. Fitch found that the JPMCC 2013-C16 pool could withstand a 45.4% decline in value (based on appraised values at issuance) and an approximately 13.3% decrease to the most recent actual cash flow prior to experiencing a $1 of loss to the 'BBB-sf' rated class. Additionally, Fitch found that the pool could withstand a 54.3% decline in value and an approximately 27.5% decrease in the most recent actual cash flow prior to experiencing $1 of loss to any 'AAAsf' rated class. Key Rating Drivers and Rating Sensitivities are further described in the accompanying pre-sale report. 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. MERRILL LYNCH 2005-LC1: Moody's Cuts Rating on 2 Notes to C(sf) --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of four classes and affirmed 12 classes of Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-LC1 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-4FC, Affirmed Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. AJ, Affirmed Aa2 (sf); previously on May 5, 2010 Downgraded to Aa2 (sf) Cl. AM, Affirmed Aaa (sf); previously on Jan 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed A3 (sf); previously on Dec 15, 2011 Downgraded to A3 (sf) Cl. C, Affirmed Baa1 (sf); previously on Dec 15, 2011 Downgraded to Baa1 (sf) Cl. D, Affirmed Baa3 (sf); previously on Dec 15, 2011 Downgraded to Baa3 (sf) Cl. E, Affirmed Ba1 (sf); previously on Dec 15, 2011 Downgraded to Ba1 (sf) Cl. F, Affirmed B1 (sf); previously on Dec 15, 2011 Downgraded to B1 (sf) Cl. G, Downgraded to Caa1 (sf); previously on Dec 15, 2011 Downgraded to B3 (sf) Cl. H, Downgraded to Caa3 (sf); previously on Dec 15, 2011 Downgraded to Caa2 (sf) Cl. J, Downgraded to C (sf); previously on Dec 15, 2011 Downgraded to Caa3 (sf) Cl. K, Downgraded to C (sf); previously on Dec 15, 2011 Downgraded to Ca (sf) Cl. L, Affirmed C (sf); previously on Dec 15, 2011 Downgraded to C (sf) Cl. X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The downgrades of four P&I bonds are due to the timing of expected losses from specially serviced and troubled loans. The affirmations of the investment grade principal classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The ratings of the below investment grade P&I bonds are consistent with Moody's expected loss and thus are affirmed. The rating of the IO Class, Class X, is consistent with the credit performance of its referenced classes and thus is affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit 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 4.9% of the current pooled balance, the same as at last review. Moody's base expected loss plus realized losses is 5.5% of the original pooled balance. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. 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 Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.64 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 31 compared to 37 at the prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated December 13, 2013. Deal Performance: As of the October 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 32% to $1.04 billion from $1.55 billion at securitization. The Certificates are collateralized by 116 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 39% of the pool. There are 11 defeased loans representing 11% of the pool balance. Nineteen loans, representing 8% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fourteen loans have been liquidated from the pool, resulting in a realized loss of $34.6 million (62.0% loss severity). Currently seven loans, representing 6% of the pool, are in special servicing. Moody's has estimated an aggregate loss of $28.6 million (48% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for ten poorly performing loans representing 3% of the pool and has estimated a $5.3 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2012 operating results for 98% of the pool balance. Moody's weighted average conduit LTV is 96%. Moody's conduit component excludes loans that are defeased, specially serviced and troubled loans. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9%. Excluding defeased, specially serviced, and troubled loans, Moody's actual and stressed conduit DSCRs are 1.34X and 1.09X, respectively. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three loans represent 20% of the pool. The largest loan is the Colonial Mall Bel Air Loan ($113.7 million -- 11% of the pool), which is secured by the borrower's interest in a 1.3 million square foot (SF) regional mall located in Mobile, Alabama. The mall is anchored by Sears, Dillard's, JC Penny, Belk and Target. The property has maintained a high and stable occupancy as the entire mall was 96% leased as of June 2013, the same as last review. Despite the stable occupancy, property performance has declined since last review due to a decrease in rental income. Moody's current LTV and stressed DSCR are 105% and 0.93X, respectively, compared to 96% and 1.01X at last review. The second largest loan is the CNL-Cirrus MOB Portfolio Loan ($55.4 million -- 5.3% of the pool), which is secured by seven medical office buildings and one surgical center. Six of the properties are located in Dallas, Texas and two are located in Oklahoma City, Oklahoma. The portfolio totals 338,000 SF and was 86% leased as of December 2012 compared to 79% at last review. Moody's LTV and stressed DSCR are 119% and 0.90X, respectively, compared to 118% and 0.91X at last review. The third largest loan is the Colonial Mall Greenville Loan ($41.5 million -- 4.0% of the pool), which is secured by the borrower's interest in a 450,000 SF regional mall located in Greenville, North Carolina. As of June 2013, the total mall occupancy was 83%, the same as at last review. The mall is anchored by Belk, Belk Ladies and JC Penny. Property performance has improved due to higher rents. Moody's LTV and stressed DSCR are 122% and 0.82X, respectively, compared to 125% and 0.80X at last review. MERRILL LYNCH 2006-C1: Fitch Cuts Rating on 4 Cert. Classes ----------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed 16 classes of Merrill Lynch Mortgage Trust (MLMT) commercial mortgage pass- through certificates series 2006-C1. Key Rating Drivers: The affirmations reflect sufficient credit enhancement in light of increasing Fitch expected losses. The downgrades are a result of higher expected losses primarily associated with loans in special servicing. Fitch modeled losses of 13.8% of the remaining pool; expected losses on the original pool balance total 12.1%, including $41.1 million (1.7% of the original pool balance) in realized losses to date. Fitch has designated 66 loans (28.9%) as Fitch Loans of Concern, which includes 29 specially serviced assets (18.6%). As of the October 2013 distribution date, the pool's aggregate principal balance has been reduced by 26.6% to $1.83 billion from $2.49 billion at issuance. Per the servicer reporting, five loans (2.2% of the pool) are defeased. Interest shortfalls are currently affecting classes D through Q. The largest contributor to expected losses (3% of pool balance) is a 298,865 square foot (sf) REO asset consisting of two three-story office buildings located in Scottsdale, AZ. The asset transferred to special servicing in October 2009 when the largest tenant (50% of the total net rentable area [NRA]) exercised its early termination option and vacated. As of October 2013, occupancy for the property was 29%. Leasing momentum has improved with the recent execution of a lease for approximately 148,000 sf commencing in December 2013. The special servicer continues to work to renew existing tenants and stabilize the asset. The next largest contributor to expected losses (5%) is a 326,535 sf office property located in Cerritos, CA. The loan transferred to special servicing in June 2013 for imminent default. The servicer is in joint discussions with the borrower and tenant on renewal of the largest tenant. A modification is being considered by the borrower while the servicer continues to pursue foreclosure. The third largest contributor to expected losses (1.2%) is a 356,061 sf office building located in downtown Cincinnati; OH. The loan transferred to special servicing in June 2008 for imminent default and became real estate owned in March 2010. As of September 2013, occupancy for the building was 70%. The servicer continues leasing efforts to improve occupancy despite limited market activity. Rating Sensitivity: Rating Outlooks on classes A-3 through A-1A remain Stable due to increasing credit enhancement and continued paydown. The Negative Outlook on class A-M reflects the high concentration of assets in special servicing with the potential for further value declines. Should cash flows deteriorate further on the performing loans, or if realized losses exceed current expectations on the specially serviced loans, downgrade to this class is possible. Losses on many of the REO assets may be realized in the near future due to the pending bulk asset sale by CWCapital, the special servicer. Fitch downgrades the following classes and assigns Recovery Estimates (REs) as indicated: -- $217.9 million class A-J to 'CCCsf' from 'BBsf'; RE 95%; -- $56 million class B to 'CCsf' from 'CCCsf'; RE 0%; -- $28 million class C to 'Csf' from 'CCsf'; RE 0%; -- $2.1 million class M to 'Dsf' from 'Csf'; RE 0%. Fitch affirms the following class and revises the Rating Outlook: -- $249 million class A-M at 'AAAsf'; Outlook to Negative from Stable. Fitch affirms the following classes: -- $97 million class A-3 at 'AAAsf'; Outlook Stable; -- $25 million class A-3B at 'AAAsf'; Outlook Stable; -- $58.2 million class A-SB at 'AAAsf'; Outlook Stable; -- $753.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $193.6 million class A-1A at 'AAAsf'; Outlook Stable; -- $31.1 million class D at 'Csf'; RE 0%; -- $18.7 million class E at 'Csf'; RE 0%; -- $28 million class F at 'Csf'; RE 0%; -- $21.8 million class G at 'Csf'; RE 0%; -- $24.9 million class H at 'Csf'; RE 0%; -- $6.2 million class J at 'Csf'; RE 0%; -- $9.3 million class K at 'Csf'; RE 0%; -- $6.2 million class L at 'Csf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the rating on the interest-only class X certificates. MORGAN STANLEY 2002-IQ2: S&P Affirms 'BB' Rating on Class K Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on four classes of commercial mortgage pass-through certificates from Morgan Stanley Dean Witter Capital I Trust 2002-IQ2, a U.S. commercial mortgage-backed securities (CMBS) transaction. Concurrently, S&P affirmed its ratings on four other classes from the same transaction. The rating actions follow S&P's analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions. The upgrades on classes F, G, H and J reflect S&P's expected credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also reflect S&P's views regarding the current and future performance of the transaction's collateral as well as the devleveraging of the trust. The affirmations reflect S&P's analysis of the credit characteristics of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. While the available credit enhancement levels may suggest positive rating movement on classes K, L, M and N, S&P's affirmations reflect the reduced liquidity levels for these classes. As of the Oct. 15, 2013, trustee remittance report, the collateral pool consisted of 16 loans with an aggregate principal balance of $40.5 million, down from 105 loans with an aggregate balance of $778.6 million at issuance. Using servicer-provided financial information, S&P calculated an adjusted Standard & Poor's debt service coverage (DSC) ratio of 1.39x and a loan-to-value (LTV) ratio of 30.8% for the remaining loans in the pool. To date, the transaction has experienced losses totaling $4.6 million, or 0.6% of the transaction's original pool balance. There is currently one loan on the master servicer's (KeyBank N.A.'s) watchlist ($1.5 million, 3.7%). Details of the one loan on the master servicer's watchlist are as follows: The Kenmore Rite Aid Store loan ($1.5 million, 3.7%) is the sixth- largest remaining loan in the pool, secured by a 16,768-sq.-ft. retail property in Kenmore, Wash. The loan appears on the master servicer's watchlist because of a low DSC ratio. The DSC and occupancy rate as of Dec. 31, 2012 were 1.09x and 100.0%, respectively. The largest loan in the pool, The Centre at Deane Hill loan represents 50.7% of the pool, with an unpaid principal balance of $20.6 million. The loan is secured by a 389,172-sq.-ft. retail property in Knoxville, Tenn. The DSC and occupancy rate as of Dec. 31, 2012 were 1.25x and 94.0%, respectively. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS RAISED Morgan Stanley Dean Witter Capital I Trust 2002-IQ2 Commercial mortgage pass-through certificates series 2002-IQ2 Class Rating Rating Credit To From enhancement (%) F AAA (sf) A (sf) 94.45 G AAA (sf) BBB+ (sf) 80.03 H A (sf) BBB (sf) 56.01 J BBB (sf) BB+ (sf) 41.60 RATINGS AFFIRMED Morgan Stanley Dean Witter Capital I Trust 2002-IQ2 Commercial mortgage pass-through certificates series 2002-IQ2 Credit Class Rating enhancement (%) K BB (sf) 31.99 L B+ (sf) 22.38 M B (sf) 15.17 N B- (sf) 7.96 MRU STUDENT LOAN 2007-A: S&P Affirms 'CC' Ratings on 2 Notes ------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on two classes of notes from MRU Student Loan Trust 2007-A (MRU 2007-A) and four ratings from MRU Student Loan Trust 2008-A (MRU 2008-A), both of which are asset-backed securities (ABS) transactions backed by private student loans. The affirmations reflect S&P's view of the collateral's continued poor performance and the notes' high cost of funds, which together are negatively affecting available credit enhancement. Gross defaults and net losses continue to increase at an accelerated pace, and the trusts continue to have a large share of their respective collateral pools in non-paying status (specifically deferment, forbearance, and delinquency). Based on the aforementioned performance attributes of the trusts, S&P believes that its current speculative-grade ratings are still warranted. POOL PERFORMANCE The collateral performance of the underlying pools of private student loans continue to deteriorate quickly. As of the September 2013 distribution report, cumulative defaults for MRU 2007-A have increased to 28.41% from 24.42% last year. Over that same time period, the MRU 2008-A cumulative defaults have increased to 29.20% from 23.78%. Because the collateral pool factors for each of the trusts are 60.7% and 66.3%, respectively, S&P believes that both trusts have yet to pass their peak default periods. S&P expects cumulative gross defaults to exceed 40% within the next three to five years. In addition, cash flow from the assets is also constrained due to the large percentage (approximately 25% and 30%, respectively) of loans that are not in active repayment. TRANSACTION STRUCTURE Each of the transactions has a high cost of funds. MRU 2007-A, which predominantly contains auction-rate securities, is currently paying the auction rate notes at the net loan rate, which is calculated on the entire collateral pool (paying and non-paying loans), while the MRU 2007-A class C subordinate note pays LIBOR plus 2.25%. The MRU 2008-A class A-1 fixed interest rate is 7.40%, while the remaining notes pay three-month LIBOR plus a margin of 3.00% to 10.0%. Because a large share of loans are not in active repayment and because the trust is under-collateralized, S&P believes the transactions are using principal payments to bridge the gap between the interest payments received from the assets and the interest being paid on the notes, which is contributing to declining credit enhancement levels. The transactions also employ interest subordination triggers. If any class's parity is below 100%, then the principal payment to restore parity to that class will be made before the interest payment due to the next lower-rated class. The funds that would otherwise be available to pay subordinate note interest would be allocated to pay principal to the most senior paying class of notes. MRU 2007-A class B and MRU 2008-A class D each breeched their respective interest reprioritization triggers in September 2011 and June 2011, respectively, thus the 'D' ratings. S&P expects the class C notes from MRU 2008-A to breech its interest reprioritization trigger over the course of the next three to four quarters. S&P will be monitoring MRU 2008-A class A to see if the increase in principal paydown from the trigger breech helps to minimize the decreasing trend of credit enhancement. CREDIT ENHANCEMENT Collateralization as measured by parity calculations continues to deteriorate rapidly for both the MRU 2007-A and MRU 2008-A trusts (see Tables 1 and 2 below). MRU 2007-A has a reserve account that is at the floor of $854,000. The reserve account in MRU 2008-A has been depleted. Table 1 -- MRU 2007-A Class Parity Levels Class Sept. 2013(1) Sept. 2012(1) Change A 90.83% 95.71% (4.88%) B 76.51% 81.53% (5.02%) (1) Generally defined as the pool balance including accrued interest to be calculated over the balance of the specified class balance and the classes senior to the specified class. Table 2 -- MRU 2008-A Class Parity Levels Class Sept. 2013(1) Sept 2012(1) Change A 114.35% 121.09% (6.74%) B 103.26% 110.08% (6.82%) C 92.43% 99.18% (6.75%) D 84.77% 91.38% (6.61%) (1) Generally defined as the pool balance including accrued interest to be calculated over the balance of the specified class balance and the classes senior to the specified class 'CC' RATINGS S&P's criteria for assigning 'CCC'/'CC' ratings state that it will assign 'CC' ratings when it views a default to be a virtual certainty based on the expectation of default even under the most optimistic collateral performance scenario. The 'CC (sf)' ratings assigned to MRU 2007-A's senior notes reflect S&P's view that note holders will not receive their full principal payment at the legal final maturity date given the current senior parity level of 90.83%. In addition, the 'CC (sf)' rating on MRU class 2008-A class C A reflects S&P's view that note holders will likely experience an interest shortfall in the next three to four quarters due to a class C interest re-prioritization trigger. Further, note holders are also not likely to receive their full principal payment at their legal final maturity date given its current parity level of 92.43%. 'CCC' RATINGS For the MRU 2008-A Class B notes, consistent with S&P's criteria for 'CCC (sf)' ratings, the rating reflects that its obligation is currently vulnerable to nonpayment (parity level of 103.26%, declining rapidly) and is dependent on favorable business or economic conditions for full repayment of principal by maturity. In addition, this class is at risk of an interest reprioritization within the next three years if the senior parity decline continues at its current pace. 'B' RATINGS While credit enhancement available to the MRU 2008-A class A notes is declining, the senior notes are expected to benefit incrementally from additional cash flow once the 20.9% of the collateral that is in deferment enters repayment status. Further, as previously mentioned, these notes can also benefit from interest re-prioritization if and when the class C and class B triggers were to breach. S&P believes these notes will benefit from the subordinate class interest reprioritization but are not sure this will mitigate the expected high levels of defaults. S&P do not rate the MRU 2007-A class C notes or the MRU 2008-A class E notes. S&P will continue to monitor the ongoing performance of these trusts. In particular, S&P will continue to review available credit enhancement, which is primarily a function of the pace of defaults, the performance of loans entering repayment status, principal amortization, and excess spread. 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 AFFIRMED MRU Student Loan Trust 2007-A Class Rating A-1 CC (sf) A-2 CC (sf) MRU Student Loan Trust 2008-A Class Rating A-1A B (sf) A-1B B (sf) B CCC (sf) C CC (sf) RELATED RATINGS MRU Student Loan Trust 2007-A Class Rating B D (sf) MRU Student Loan Trust 2008-A Class Rating D D (sf) NCF GRANTOR 2005-3: S&P Raises Rating on Class A-4 Notes to CCC --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'B-' rating on Bank of New York (SPE)'s class A-5-1 transferable custody receipts related to NCF Grantor Trust 2005-3 certificates due 2033. At the same time, Standard & Poor's lowered to 'CCC' from 'B-' its rating on Bank of New York (SPE)'s Custody Receipts Related To $169,520,000 Of National Collegiate Student Loan Trust 2006-2's class A-4 floating-rate student loan asset-backed notes due Sept. 25, 2031. In addition, Standard & Poor's removed both ratings from CreditWatch with negative implications, where they were placed on July 30, 2013. S&P's rating on the class A-5-1 custody receipts reflects the higher of its 'B- (sf)' rating on the underlying security, NCF Grantor Trust 2005-3's class A-5-1 certificates due Oct. 25, 2033 and S&P's rating on the insurance provider. However, in this case, Ambac Assurance Corp., the insurance provider, is not rated. S&P's rating on the class A-4 custody receipts reflects the higher of its 'CCC (sf)' rating on the underlying security, National Collegiate Student Loan Trust 2006-2's class A-4 floating-rate student loan asset-backed notes due Sept. 25, 2031 and S&P's rating on insurance provider, though as stated previously, Ambac is unrated. The rating actions follow the Oct. 16, 2013, affirmation of its 'B- (sf)' rating on NCF Grantor Trust 2005-3 Class A-5-1 (the underlying security related to the class A-5-1 custody receipts), the lowering of our rating on National Collegiate Student Loan Trust 2006-2 Class A-4 (the underlying security related to the class A-4 custody receipts) to 'CCC (sf)' from 'B- (sf)', and subsequent removal of the transactions from CreditWatch with negative implications where they were placed on July 30, 2013. S&P may take subsequent rating actions on the certificates due to changes in its ratings on the underlying securities or swap counterparty. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE Bank of New York (SPE) Rating Class To From US$290.948 mil transferable custody receipts relating to NCF Grantor Trust 2005-3, series 2005-GT3 certificates due 2033 A-5-1 B- (sf) B- (sf)/Watch Neg RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE Bank of New York (SPE) Rating Class To From US$169.52 mil national collegiate student loan trust 2006-2 floating rate A-4 CCC (sf) B- (sf)/Watch Neg OPTION ARM: Moody's Ups Ratings on 9 Tranches from 4 Transactions ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of nine tranches from four transactions backed by Option ARM loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Bear Stearns Mortgage Funding Trust 2007-AR5 Cl. II-A-1, Upgraded to B1 (sf); previously on Dec 7, 2010 Downgraded to Caa1 (sf) Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2005-B Cl. A-1, Upgraded to Baa3 (sf); previously on Aug 17, 2012 Upgraded to Ba3 (sf) Underlying Rating: Upgraded to Baa3 (sf); previously on Aug 17, 2012 Upgraded to Ba3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-1I, Upgraded to Baa3 (sf); previously on Aug 17, 2012 Upgraded to Ba3 (sf) Underlying Rating: Upgraded to Baa3 (sf); previously on Aug 17, 2012 Upgraded to Ba3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Upgraded to Baa3 (sf); previously on Aug 17, 2012 Upgraded to Ba3 (sf) Cl. A-2I, Upgraded to Baa3 (sf); previously on Aug 17, 2012 Upgraded to Ba3 (sf) Cl. A-NA, Upgraded to Baa3 (sf); previously on Aug 17, 2012 Upgraded to Ba3 (sf) Underlying Rating: Upgraded to Baa3 (sf); previously on Aug 17, 2012 Upgraded to Ba3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Greenpoint MTA Trust 2005-AR1 Cl. A-2, Upgraded to B3 (sf); previously on Dec 9, 2010 Downgraded to Caa1 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-16XS Cl. A-2A, Upgraded to Ba2 (sf); previously on Apr 30, 2013 Upgraded to B1 (sf) Cl. A-2B, Upgraded to Ba2 (sf); previously on Apr 30, 2013 Upgraded to B1 (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 7.8% in September 2012 to 7.2% in September 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Moody's expects house prices to continue to rise in 2014. 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. PREFERRED TERM XIX: Moody's Ups Rating on $87.6MM Notes to Caa2 --------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of the following notes issued by Preferred Term Securities XIX, Ltd., PreTSL Combination Trust 1 and PreTSL Combination Certificates: Preferred Term Securities XIX, Ltd: U.S. $385,300,000 Floating Rate Class A-1 Senior Notes due December 22, 2035 (current balance of $302,298,206), Upgraded to A2 (sf); previously on October 22, 2010 Downgraded to Baa2 (sf) U.S. $98,100,000 Floating Rate Class A-2 Senior Notes due December 22, 2035 (current balance of $ $95,890,802), Upgraded to Baa2 (sf); previously on October 22, 2010 Downgraded to Ba3 (sf) U.S. $87,600,000 Floating Rate Class B Mezzanine Notes due December 22, 2035 (current balance of $89,267,910), Upgraded to Caa2 (sf); previously on October 22, 2010 Downgraded to Ca (sf) PreTSL Combination Trust I: U.S. $15,200,000 Combination Certificates, Series P XIX-1 due December 22, 2035 (current Moody's Ratable Balance of $8,850,694), Upgraded to Aa1 (sf); previously on November 23, 2010 Downgraded to Aa3 (sf) Moody's also affirmed the ratings of the following notes: Preferred Term Securities XIX, Ltd: U.S. $82,800,000 Floating Rate Class C Mezzanine Notes due December 22, 2035 (current balance of $88,706,625), Affirmed C (sf); previously on October 22, 2010 Downgraded to C (sf) PreTSL Combination Certificates: U.S. $9,000,000 Combination, Series P XIX-4 due December 22, 2035 (current Moody's Ratable Balance of $6,514,987), Affirmed Ca (sf); previously on November 23, 2010 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 and an increase in the transaction's overcollateralization ratios since September 2012. Moody's notes that the Class A-1 Notes have paid down by approximately 11.5% or $39.3 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 157.30%, as calculated by Moody's. Based on the latest trustee report dated September 23, 2013, the Senior Coverage Ratio, Class B Mezzanine Coverage Ratio and Class C Mezzanine Coverage Ratio are reported at 119.41% (limit 128.00%), 97.54% (limit 115.00%) and 82.53% (limit 105.40%), respectively, versus September 22, 2012 levels of 106.47%, 88.56% and 75.95%, respectively. Going forward, the Class A-1 Notes will continue to benefit from the diversion of excess interest and the proceeds from potential future redemptions of any assets in the collateral pool. Moody's also notes that the dollar amount of assets that Moody's treats as defaulted in its analysis decreased. The total par amount that Moody's treated as defaulted or deferring declined to $137.7 million compared to $182.2 million in September 2012. Six assets which were deferring in September 2012 resumed interest payments, two of which are no longer in the portfolio. 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 $475.5 million (including $3.3 million accreted value of principal strip that will mature on July 15, 2015), defaulted/deferring par of $137.7 million, a weighted average default probability of 28.40% (implying a WARF of 1501), Moody's Asset Correlation of 13.88%, and a weighted average recovery rate upon default of 8.43%. 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 XIX, Ltd. issued in September 2005, is a collateralized debt obligation backed by a portfolio of bank, insurance and TruPS CDO Tranches. The portfolio of this CDO is mainly comprised of trust preferred securities (TruPS) issued by small to medium sized U.S. community banks and insurance companies 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 Q2-2013. For insurance TruPS without public ratings, Moody's relies on the assessment of Moody's Insurance team based on the credit analysis of the underlying insurance firms' annual statutory financial reports. 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. CDOROM v.2.8-9 is available on moodys.com under Products and Solutions -- Analytical models, upon return of a signed free license agreement. 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 129 points from the base case of 1501, 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 76 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 $22.3 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. Below is a 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: +1 Class A-2: 0 Class B: +1 Class C: 0 Combination Certificates, Series P XIX-1: 0 Combination Certificates, Series P XIX-4: +1 Sensitivity Analysis 2: Class A-1: +1 Class A-2: 0 Class B: +1 Class C: 0 Combination Certificates, Series P XIX-1: +1 Combination Certificates, Series P XIX-4: +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 few years, and some of the previously deferring banks have resumed interest payment on their trust preferred securities. Moody's continues to have a stable outlook on the insurance sector, other than the negative outlook on the U.S. life insurance industry. SECURITY NATIONAL 2005-2: Moody's Cuts Rating on A-3 Notes to Caa1 ------------------------------------------------------------------ Cl. A-3, Downgraded to Caa1 (sf); previously on May 20, 2011 Downgraded to B3 (sf) Moody's Investors Service has downgraded the rating of one tranche, Class A-3 from Security National Mortgage Loan Trust 2005-2. In addition, Moody's placed seven tranches on review for possible downgrade and one tranche on review for possible upgrade from six deals issued by Security National. The transactions are all backed by Scratch and Dent RMBS loans. Complete rating actions are as follows: Issuer: Security National Mortgage Loan Trust 2005-1 Cl. AF-1, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2012 Confirmed at Aa2 (sf) Cl. AF-2, A3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2012 Confirmed at A3 (sf) Cl. AV, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2012 Downgraded to Baa1 (sf) Issuer: Security National Mortgage Loan Trust 2005-2 Cl. A-3, Downgraded to Caa1 (sf); previously on May 20, 2011 Downgraded to B3 (sf) Issuer: Security National Mortgage Loan Trust 2006-1 Cl. 1-A2, A2 (sf) Placed Under Review for Possible Downgrade; previously on May 7, 2009 Downgraded to A2 (sf) Issuer: Security National Mortgage Loan Trust 2006-2 Cl. A-2, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on May 7, 2009 Downgraded to Aa2 (sf) Issuer: Security National Mortgage Loan Trust 2006-3 Cl. A-1, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on May 19, 2013 Upgraded to Baa1 (sf) Issuer: Security National Mortgage Loan Trust 2007-1 Cl. 1-A2, A3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2012 Confirmed at A3 (sf) Cl. 1-A3, B3 (sf) Placed Under Review for Possible Upgrade; previously on May 7, 2009 Downgraded to B3 (sf) Ratings Rationale: The downgrade of Class A-3 from Security National Mortgage Loan Trust 2005-2 is a result of deteriorating performance and structural features resulting in higher expected loss for the bond than previously anticipated. This action reflects Moody's updated loss expectations on the pool. A number of tranches from multiple Security National transactions were placed on review for downgrade due to uncertainty related to the servicer's liquidation of current and delinquent loans. At the direction of SN Servicing Corporation, the Trust sold a large portion of both current and delinquent loans in certain Security National transactions. During the review period Moody's will evaluate SN Servicing Corporation's servicing strategy and its impact on the transactions. Class 1-A3 from Security National Mortgage Loan Trust 2007-1 has been placed on review for upgrade. Although the performance of this tranche has improved it is also impacted by the uncertainty related to the servicer's strategy till date. Moody's plans to take final action once Moody's receives further details from the servicer. SEQUOIA MORTGAGE 2013-12: Fitch Rates $3.4MM Certificate 'BB' ------------------------------------------------------------- Fitch Ratings expects to rate Sequoia Mortgage Trust 2013-12 (SEMT 2013-12) as follows: -- $297,848,000 class A-1 certificate 'AAAsf'; Outlook Stable; -- $297,848,000 class A-IO notional certificate 'AAAsf'; Outlook Stable; -- $9,587,000 class B-1 certificate 'AAsf'; Outlook Stable; -- $6,337,000 class B-2 certificate 'Asf'; Outlook Stable; -- $4,387,000 class B-3 certificate 'BBBsf'; Outlook Stable; -- $3,412,000 non-offered class B-4 certificate 'BBsf'; Outlook Stable. The $3,413,226 non-offered class B-5 certificate will not be rated by Fitch. Key Rating Drivers: Sound Quality with Credit Drift: Sequoia transactions continue to comprise high-quality collateral, but have been moving away from the high end of the credit spectrum. Recent deals exhibit slightly higher loan-to-value (LTV) ratios with increasing concentrations in the higher LTV bands partially due to rising percentages of purchase loans. This transaction also has a slightly lower weighted average credit (WAC) score of 766, roughly six points below the post-crisis Sequoia average. Despite the drift, the pool has strong credit attributes with Fitch's loss expectations taking into account the lower credit score and higher LTV. Increasing Number of Originators: The number of lenders in Sequoia transactions has consistently increased since 2011 from two to 78 for SEMT 2013-12. As with SEMT 2013-12, the majority of the pools were originated by lenders with limited non-agency performance history - partially mitigated by the 100% third-party diligence conducted on these loans with immaterial findings as well as credit enhancement (CE) including an adjustment mitigating the potential originator risk. Geographically Diverse Pool: As with most Sequoia transactions, the collateral pool is geographically diverse partly due to the large number of lenders. Nearly 40% of the pool is concentrated in California, one of the lowest percentages of post-crisis SEMT transactions. The agency did not apply a default penalty to the pool due to the low geographic concentration risk. Transaction Provisions Enhance Deal Framework: The representation, warranty and enforcement mechanism framework is viewed positively, as it is consistent with Fitch criteria. As in other recent Fitch- rated SEMT transactions, all loans that become 120 days or more delinquent will be automatically reviewed for breaches of representations and warranties. Rating Sensitivities: Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis 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 16.8% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Model Usage: Fitch analyzed the credit characteristics of the underlying collateral to determine base case and rating stress loss expectations using its prime residential mortgage loss model, which is fully described in its August 2013 criteria report, 'U.S. RMBS Loan Loss Model Criteria.' In addition, Fitch considered the results relative to the previous version of the mortgage loss model, as described in its August 2012 criteria report, 'U.S. RMBS Loan Loss Model Criteria - Effective August 10, 2012 to August 7, 2013.' Also, Fitch simulated transaction cash flow scenarios using various cash flow modeling assumptions, as described in its April 2013 criteria report, 'U.S. RMBS Cash Flow Analysis Criteria.' SHACKLETON 2013-IV: S&P Assigns Prelim BB Rating on Class E Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Shackleton 2013-IV CLO Ltd./Shackleton 2013-IV CLO LLC's $378.00 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 Nov. 4, 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 including excess spread). -- The cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections of the timely interest and ultimate principal payments on the 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 0.24%-13.84%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which during the reinvestment period will lead to the reclassification of up to 50% of available excess interest proceeds (before paying uncapped administrative expenses, subordinate and incentive management fees, expenses for refinancing and additional securities issued, expense reserve account top-up, hedge amounts, and subordinated note payments) to principal proceeds to purchase additional collateral assets or to pay principal on the notes sequentially, at the option of the collateral manager. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1967.pdf PRELIMINARY RATINGS ASSIGNED Shackleton 2013-IV CLO Ltd./Shackleton 2013-IV CLO LLC Class Rating Amount (mil. $) A AAA (sf) 250.10 B AA (sf) 46.40 C (deferrable) A (sf) 33.40 D (deferrable) BBB (sf) 20.30 E (deferrable) BB (sf) 17.10 F (deferrable) B (sf) 10.70 Subordinated notes NR 35.85 NR-Not rated. SILVERADO CLO 2006-I: Moody's Affirms 'Ba3' Rating on $9MM Notes ---------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of the following notes issued by Silverado CLO 2006-I Limited: U.S.$15,000,000 Class A-2 Senior Secured Floating Rate Notes Due April 11, 2020, Upgraded to Aaa (sf); previously on January 30, 2013 Upgraded to Aa1 (sf); U.S.$16,500,000 Class B Senior Secured Deferrable Floating Rate Notes Due April 11, 2020, Upgraded to Aa2 (sf); previously on January 30, 2013 Upgraded to A1 (sf); U.S.$15,000,000 Class C Senior Secured Deferrable Floating Rate Notes Due April 11, 2020, Upgraded to Baa2 (sf); previously on January 30, 2013 Upgraded to Baa3 (sf). Moody's also affirmed the ratings of the following notes: U.S. $144,000,000 Class A-1 Senior Secured Floating Rate Notes Due April 11, 2020 (current outstanding balance of $74,413,661), Affirmed Aaa (sf); previously on January 30, 2013 Affirmed Aaa (sf); U.S. $67,500,000 Class A-1-S Senior Secured Floating Rate Notes Due April 11, 2020 (current outstanding balance of $31,257,115), Affirmed Aaa (sf); previously on January 30, 2013 Affirmed Aaa (sf); U.S.$7,500,000 Class A-1-J Senior Secured Floating Rate Notes Due April 11, 2020, Affirmed Aaa (sf); previously on January 30, 2013 Upgraded to Aaa (sf); U.S. $9,000,000 Class D Secured Deferrable Floating Rate Notes Due April 11, 2020, Affirmed Ba3 (sf); previously on January 30, 2013 Affirmed Ba3 (sf); U.S. $6,375,000 Type I Composite Notes Due April 11, 2020 (current rated balance of $3,321,942), Affirmed Aaa (sf); previously on January 30, 2013 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the last rating action in January 2013. Moody's notes that the Class A-1 and A-1-S Notes have been paid down by approximately 48% or $69.6 million and 54% or $36.2 million, respectively, since the rating action in January 2013. Based on the latest trustee report dated October 7, 2013, the Class A, Class B, Class C and Class D overcollateralization ratios are reported at 133.1%, 120.8%, 111.5% and 106.5%, respectively, versus December 2012 levels of 123.9%, 115.7%, 109.2% and 105.6%, respectively. 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 October 2013 trustee report, the weighted average rating factor is currently 2745 compared to 2494 in December 2012. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $178.3 million, defaulted par of $3.7 million, a weighted average default probability of 14.61% (implying a WARF of 2519), a weighted average recovery rate upon default of 50.44%, a weighted average spread of 2.96% and a diversity score of 29. 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. Silverado CLO 2006-I Limited, issued in April 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2016) Class A-1: 0 Class A-1-S: 0 Class A-1-J: 0 Class A-2: 0 Class B: +1 Class C: +2 Class D: +1 Type I Composite: 0 Moody's Adjusted WARF + 20% (3023) Class A-1: 0 Class A-1-S: 0 Class A-1-J: 0 Class A-2: 0 Class B: -2 Class C: -1 Class D: -1 Type I Composite: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/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. STUDENT LOAN 2007-1: S&P Affirms 'B-' Rating on 2 Cert. Classes --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'B-' ratings on Student Loan ABS Repackaging Trust Series 2007-1's class 5-A-1 and 5-A-IO certificates and removed them from CreditWatch with negative implications where they were placed on July 30, 2013. The ratings on the class 5-A-1 and 5-A-IO certificates depend on the lower of S&P's ratings on Deutsche Bank AG ('A/A-1'), the interest rate swap counterparty; the higher of its ratings on the underlying securities (NCF Grantor Trust 2005-1's class A-5-1 and A-5-2 certificates due March 26, 2035 ['B- (sf)']); and the rating on Ambac Assurance Corp. (not rated), the financial guarantee insurer. The rating actions follow the Oct. 16, 2013, affirmation of its 'B- (sf)' rating on the underlying securities and their subsequent removal from CreditWatch with negative implications. S&P may take subsequent rating actions on the certificates due to changes in its rating on the underlying securities or swap counterparty. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com WACHOVIA BANK 2006-C25: Moody's Cuts Rating on 2 Certs to 'B1' -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of six classes and affirmed 14 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006- C25 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Jul 26, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 26, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Jul 26, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-PB2, Affirmed Aaa (sf); previously on Jul 26, 2006 Assigned Aaa (sf) Cl. A-M, Affirmed Aa2 (sf); previously on Nov 9, 2012 Downgraded to Aa2 (sf) Cl. A-J, Affirmed Baa3 (sf); previously on Nov 9, 2012 Downgraded to Baa3 (sf) Cl. B, Affirmed Ba1 (sf); previously on Nov 9, 2012 Downgraded to Ba1 (sf) Cl. C, Affirmed Ba2 (sf); previously on Nov 9, 2012 Downgraded to Ba2 (sf) Cl. D, Downgraded to B1 (sf); previously on Nov 9, 2012 Downgraded to Ba3 (sf) Cl. E, Downgraded to B2 (sf); previously on Nov 9, 2012 Downgraded to B1 (sf) Cl. F, Downgraded to Caa1 (sf); previously on Nov 9, 2012 Downgraded to B3 (sf) Cl. G, Downgraded to Caa3 (sf); previously on Nov 9, 2012 Downgraded to Caa2 (sf) Cl. H, Downgraded to C (sf); previously on Nov 9, 2012 Downgraded to Caa3 (sf) Cl. J, Downgraded to C (sf); previously on Nov 9, 2012 Downgraded to Ca (sf) Cl. K, Affirmed C (sf); previously on Nov 9, 2012 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Nov 9, 2012 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. O, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C (sf) Cl. IO, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The downgrades are due to higher than expected losses from specially serviced and trouble loans. The affirmations of the P&I classes A-PB2 through C are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The ratings of Classes K through O 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 8.6% of the current balance. At last review, Moody's base expected loss was 9.0%. Realized losses have increased from 1.1% of the original balance to 2.2% since the prior review. Moody's base expected loss plus realized losses is now 9.2% of the original pooled balance compared to 8.9% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. 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. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.64 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 26 compared to 29 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated November 9, 2012. Deal Performance: As of the October 18, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 19% to $2.33 billion from $2.86 billion at securitization. The Certificates are collateralized by 120 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 47% of the pool. Two loans, representing 2% of the pool, have defeased and are secured by U.S. Government securities. The pool does not contain any loans with investment grade credit assessments. Twenty-eight loans, representing 27% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fourteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $61.9 million (56% loss severity on average). Twelve loans, representing 13% of the pool, are currently in special servicing. The largest specially serviced loan is the Central Park Pool Loan ($81.0 million - 3.5% of the pool). The loan is secured by a portfolio of 11 properties totaling 810,600 square feet (SF). The properties are a mix of office, retail and research and development space, all located in Cincinnati, Ohio. The loan transferred to special servicing in July 2011 as the result of imminent monetary default. A deed in lieu transaction closed in June 2012 and the property is currently 71% occupied, compared to 82% at last review. The second largest specially serviced loan is the Independent Square -- A Note Loan ($58.0 million -- 2.5% of the pool and $27.0 million B-note), which is secured by a 651,600 SF office building located in Jacksonville, Florida. The loan, which had previously been in special servicing and was modified in May 2011, is current but was transferred to special servicing because the borrower requested a modification of certain loan terms. As of March 2013, the property was 87% leased. The remaining ten specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $133.6 million loss for the specially serviced loans (65% expected loss on average). Moody's has assumed a high default probability for five poorly performing loans representing 9% of the pool and has estimated an aggregate $34.5 million loss (17% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2012 operating results for 95% of the pool's non-specially serviced loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 88% compared to 100% at Moody's prior 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 9.2%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.50X and 1.18X, respectively, compared to 1.34X and 1.03X 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 Prime Outlets Pool Loan ($289.0 million -- 12.4% of the pool), which is a 50% participation interest in a $578.2 million loan secured by ten retail centers located in eight states, including Texas, Pennsylvania, Florida, and Ohio. The total gross leasable area is 3.5 million SF. Property performance has improved due to the effect of a substitution of collateral that was finalized in June 2011. The loan had a 24-month interest- only period and is now amortizing on a 360-month schedule maturing in January 2016. Moody's LTV and stressed DSCR are 65% and 1.55X, respectively, compared to 80% and 1.21X at last full review. The second largest loan is the Marriott-Chicago Loan ($185.0 million -- 7.9% of the pool), which is secured by a 1,192-room full service hotel located in Chicago, Illinois. The loan has a non-pooled junior component of $23.9 million. Property performance has continued to improve since last review. The loan had a 42- month interest-only period and is now amortizing on a 360-month schedule maturing in April 2016. Moody's LTV and stressed DSCR are 88% and 1.29X, respectively, compared to 94% and 1.20X at last full review. The third largest loan is the 530 Fifth Avenue Loan ($167.1 million -- 7.2% of the pool), which is secured by a 500,000 SF office building located in New York City. The property is also encumbered by a $24.0 million non-trust junior component and $25 million of mezzanine financing. One of the largest tenants, JP Morgan (12% of the NRA), vacated after its lease expiration in May 2013. As of June 2013, the property was 63% leased compared to 89% at last review. The loan had a 48-month interest-only period and is now amortizing on a 360-month schedule maturing in May 2016. Moody's LTV and stressed DSCR are 103% and 0.89X, respectively, compared to 109% and 0.84X at last review. WELLS FARGO: Moody's Cuts $440MM of RMBS Issued 2004 to 2007 ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 25 tranches backed by Prime Jumbo RMBS loans, issued by Wells Fargo. Complete rating actions are as follows: Issuer: Wells Fargo Mortgage Backed Securities 2004-B Trust Cl. A-1, Downgraded to Ba3 (sf); previously on Apr 10, 2012 Downgraded to Ba1 (sf) Cl. B-1, Downgraded to B3 (sf); previously on Apr 10, 2012 Confirmed at B1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2004-C Trust Cl. A-1, Downgraded to Ba1 (sf); previously on Apr 10, 2012 Downgraded to Baa2 (sf) Cl. B-1, Downgraded to B2 (sf); previously on Apr 10, 2012 Downgraded to Ba3 (sf) Cl. B-3, Downgraded to C (sf); previously on Apr 10, 2012 Downgraded to Ca (sf) Issuer: Wells Fargo Mortgage Backed Securities 2004-D Trust Cl. A-1, Downgraded to Ba2 (sf); previously on Dec 26, 2012 Downgraded to Baa3 (sf) Cl. A-2, Downgraded to Ba2 (sf); previously on Dec 26, 2012 Downgraded to Baa3 (sf) Cl. A-IO, Downgraded to Ba2 (sf); previously on Dec 26, 2012 Downgraded to Baa3 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2004-E Trust Cl. A-1, Downgraded to Ba3 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Cl. A-2, Downgraded to Ba3 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Cl. A-3, Downgraded to Ba3 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Cl. A-10, Downgraded to Ba3 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2007-1 Trust Cl. A-1, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. A-2, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. A-3, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-4, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. A-8, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Confirmed at B3 (sf) Cl. A-10, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-PO, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2007-17 Trust Cl. A-1, Downgraded to Caa3 (sf); previously on Apr 27, 2010 Confirmed at B3 (sf) Cl. A-2, Downgraded to Caa2 (sf); previously on Apr 27, 2010 Downgraded to B3 (sf) Cl. A-3, Downgraded to C (sf); previously on Apr 27, 2010 Downgraded to Ca (sf) Cl. A-PO, Downgraded to Caa2 (sf); previously on Apr 27, 2010 Downgraded to Caa1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2007-AR9 Trust Cl. A-1, Downgraded to B3 (sf); previously on Apr 5, 2010 Downgraded to B1 (sf) Cl. A-IO, Downgraded to B3 (sf); previously on Apr 5, 2010 Downgraded to B1 (sf) Ratings Rationale: The downgrades are a result of deteriorating performance and/or structural features resulting in higher expected losses for the bonds than previously anticipated. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 7.8% in September 2012 to 7.2% in September 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Moody's expects house prices to continue to rise in 2014. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. * Fitch: US Bank TruPS CDOs Default & Deferral Rate Still Decline ----------------------------------------------------------------- According to the latest index results published by Fitch Ratings, the number of combined defaults and deferrals for U.S. bank TruPS CDOs has declined to 27.4% at the end of September from 27.7% at the end of the previous month. While there was only one new default in September, TruPS CDOs had a large exposure to the First National Bank Group that added up to $116 million across 10 CDOs. A defaulted bank representing $10 million of notional was liquidated and removed from the portfolio in one CDO, bringing the total notional of defaulted collateral to $6,511 million at the end of September. Nine issuers across 17 CDOs, with the total notional of $116.3 million, cured in September. That outweighed the $55 million of notional from one issuer that had previously cured and re-deferred in September. Two of the previously cured issuers, with the total notional of $12 million, redeemed their TruPS from two CDOs. Year- to-date, there have been 12 new deferrals and defaults compared to 43 over a comparable period last year. Cures continue to trend higher, with 53 cures year-to-date compared to 36 last year. The total number of bank issuers outstanding across Fitch rated U.S. TruPS CDOs stood at 1,428 at the end of the third quarter of 2013 (3Q'13) compared with 1,434 at the end of 2Q'13. Of this total, 222 bank issuers are in default and 282 in deferral. * Moody's Takes Action on $512MM of Subprime RMBS Issued 2000-2007 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 18 tranches and downgraded the ratings of three tranches from eight transactions backed by Subprime mortgage loans issued by various trusts. Complete rating actions are as follows: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2005-HE3 Cl. M4, Upgraded to B2 (sf); previously on Mar 14, 2013 Affirmed Caa2 (sf) Cl. M5, Upgraded to Caa2 (sf); previously on Mar 14, 2013 Affirmed C (sf) Issuer: Asset Backed Securities Corporation, Long Beach Home Equity Loan Trust 2000-LB1 Cl. AF5, Downgraded to Ba3 (sf); previously on Mar 18, 2013 Upgraded to Ba1 (sf) Cl. AF6, Downgraded to Ba1 (sf); previously on Mar 18, 2013 Upgraded to Baa2 (sf) Cl. M1F, Downgraded to Caa3 (sf); previously on Mar 18, 2013 Upgraded to Caa1 (sf) Issuer: GSAMP Trust 2007-HSBC1 Cl. M-1, Upgraded to Ba3 (sf); previously on Jul 20, 2012 Upgraded to Caa1 (sf) Cl. M-2, Upgraded to B3 (sf); previously on Jul 20, 2012 Upgraded to Ca (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Jul 20, 2012 Confirmed at C (sf) Cl. M-4, Upgraded to Ca (sf); previously on Jun 21, 2010 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH4, Asset- Backed Pass-Through Certificates, Series 2007-CH4 Cl. A1, Upgraded to B2 (sf); previously on Dec 28, 2010 Upgraded to Caa1 (sf) Cl. A2, Upgraded to Baa3 (sf); previously on Dec 28, 2010 Upgraded to Ba2 (sf) Cl. A3, Upgraded to B2 (sf); previously on Dec 28, 2010 Upgraded to Caa1 (sf) Cl. A4, Upgraded to Caa1 (sf); previously on Dec 28, 2010 Upgraded to Caa3 (sf) Cl. A5, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC4 Cl. M-4, Upgraded to Baa3 (sf); previously on Mar 12, 2013 Affirmed Ba1 (sf) Cl. M-5, Upgraded to B1 (sf); previously on Mar 12, 2013 Upgraded to B3 (sf) Issuer: Soundview Home Loan Trust 2005-2 Cl. M-5, Upgraded to B3 (sf); previously on Mar 6, 2013 Upgraded to Caa3 (sf) Cl. M-6, Upgraded to Caa3 (sf); previously on Mar 6, 2013 Confirmed at C (sf) Issuer: Soundview Home Loan Trust 2005-3 Cl. M-3, Upgraded to B3 (sf); previously on Feb 28, 2013 Confirmed at Caa3 (sf) Issuer: Structured Asset Investment Loan Trust 2003-BC3 Cl. M5, Upgraded to B3 (sf); previously on May 7, 2012 Upgraded to Caa3 (sf) Cl. B, Upgraded to B3 (sf); previously on May 7, 2012 Upgraded to Caa3 (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds due to high prepayments/faster liquidations. The downgrades are a result of deteriorating performance or structural features resulting in higher expected losses for the bonds than previously anticipated. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 7.8% in September 2012 to 7.2% in September 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Moody's expects house prices to continue to rise in 2014. 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 $160MM Subprime RMBS Issued 2003-2004 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of six tranches and downgraded the ratings of three tranches backed by Subprime RMBS loans, issued by various trusts. Complete rating actions are as follows: Issuer: Argent Securities Inc., Series 2003-W4 Cl. M-1, Downgraded to Baa2 (sf); previously on Mar 18, 2011 Downgraded to A3 (sf) Cl. M-2, Downgraded to B1 (sf); previously on Apr 13, 2012 Confirmed at Ba1 (sf) Cl. M-3, Downgraded to Caa3 (sf); previously on Apr 13, 2012 Upgraded to Caa1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-10 Cl. AF-5A, Upgraded to Ba2 (sf); previously on Feb 28, 2013 Affirmed B1 (sf) Cl. AF-5B, Upgraded to Ba2 (sf); previously on Feb 28, 2013 Affirmed B1 (sf) Underlying Rating: Upgraded to Ba2 (sf); previously on Feb 28, 2013 Affirmed B1 (sf) Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3, Outlook Positive on May 21, 2013) Cl. AF-6, Upgraded to Ba1 (sf); previously on Feb 28, 2013 Affirmed Ba3 (sf) Cl. MF-1, Upgraded to Caa3 (sf); previously on Feb 28, 2013 Affirmed C (sf) Issuer: Meritage Mortgage Loan Trust 2004-2 Cl. M-3, Upgraded to B2 (sf); previously on Mar 18, 2013 Affirmed Caa2 (sf) Cl. M-4, Upgraded to Ca (sf); previously on Mar 18, 2013 Affirmed C (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The downgrades are a result of deteriorating performance and/or structural features resulting in higher expected losses for the bonds than previously anticipated. The upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds due to high prepayments/faster liquidations. The 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 8.1% in August 2012 to 7.3% in August 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. * Moody's Takes Action on $11MM of Subprime RMBS Issued 2002-2004 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of six tranches, backed by Subprime mortgage loans issued by various trusts. Complete rating actions are as follows: Issuer: Amortizing Residential Collateral Trust, Series 2002-BC4 Cl. M2, Upgraded to B2 (sf); previously on May 4, 2012 Downgraded to Caa1 (sf) Issuer: Citigroup Home Equity Loan Trust, Series 2003-HE1 Cl. M-1, Upgraded to Ba1 (sf); previously on Apr 9, 2012 Downgraded to Ba3 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Downgraded to Ca (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Apr 9, 2012 Downgraded to C (sf) Issuer: Fremont Home Loan Trust 2004-1 Cl. M-3, Upgraded to B2 (sf); previously on Mar 18, 2013 Affirmed Caa1 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 18, 2013 Affirmed Ca (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds due to high prepayments/faster liquidations. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 7.8% in September 2012 to 7.2% in September 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Moody's expects house prices to continue to rise in 2014. 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 Lowers Rating on 23 Classes of Notes to 'D' ------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings to 'D(sf)' on 23 classes from 18 U.S. residential mortgage-backed securities (RMBS) transactions. In addition, Standard & Poor's placed its ratings on five classes from five additional U.S. RMBS transactions on CreditWatch with negative implications. The complete ratings list is available in "U.S. RMBS Classes Affected By The Nov. 6, 2013, Rating Actions," published on RatingsDirect. The list is also available on Standard & Poor's Web site. The downgrades reflect S&P's assessment of the interest shortfalls on the affected classes during recent remittance periods. Additionally, S&P believes it is unlikely that certificateholders will be reimbursed. The CreditWatch placements reflect S&P's assessment of potential interest shortfalls on those classes in recent remittance periods reported by the trustee, which S&P believes would likely negatively affect those ratings. S&P is in the process of verifying these possible interest shortfalls and, upon confirmation of the reported data, will adjust the ratings as it considers appropriate, according to its criteria. The transactions reviewed are supported by mixed collateral of fixed- and adjustable-rate mortgage loans. A combination of subordination, excess spread, and overcollateralization (where applicable) provide credit enhancement for all of the transactions in this review. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com * S&P Withdraws Ratings on 48 Classes from 21 CDO Transactions -------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on 48 classes of notes from 14 collateralized loan obligation transactions, two collateralized debt obligation (CDO) transactions backed by mezzanine structured finance assets, two CDO transactions backed by other CDOs, one CDO transaction backed by commercial mortgage-backed securities, one CDO transaction backed by trust preferred securities, and one CDO retranche transaction. The withdrawals follow the complete paydowns of the notes, as reflected on the note payment reports issued by the trustee. The following transactions redeemed their classes in full after providing notice to S&P that the equity holders had directed optional redemptions: -- Apidos CLO VIII -- Ares Enhanced Loan Investment Strategy III Ltd. -- Ares XVIII CLO Ltd. -- G-Star 2002-2 Ltd. -- Magnetite V CLO Ltd. -- Navigator CDO 2004 Ltd -- Neptune Finance CCS Ltd. -- Stone Tower CDO Ltd. -- Venture III CDO 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 Apidos CLO VIII Rating Class To From A-1 NR AAA (sf) A-2 NR AA (sf) B-1 NR A+ (sf) B-2 NR A (sf) C NR BBB (sf) D NR BB (sf) Ares Enhanced Loan Investment Strategy III Ltd. Rating Class To From A NR AAA (sf) Ares XVIII CLO Ltd. Rating Class To From B-1 NR AA+ (sf)/ Watch pos B-2 NR AA+ (sf)/ Watch pos C-1 NR BBB+ (sf)/ Watch pos C-2 NR BBB+ (sf)/ Watch pos D NR CCC- (sf) Bristol CDO I Ltd. Rating Class To From A-1 NR BBB+ (sf) A-2 NR BBB+ (sf) CIT CLO 2012-1 Ltd. Rating Class To From A NR AAA (sf) Coast Investment Grade 2001-1 Ltd. Rating Class To From B-1 NR BBB+ (sf) B-2 NR BBB+ (sf) Dekania CDO I Ltd. Rating Class To From A-1 NR AA (sf) Emporia Preferred Funding I Ltd. Rating Class To From B-1 NR AAA (sf) B-2 NR AAA (sf) G-Star 2002-2 Ltd. Rating Class To From BFL NR CCC+ (sf) BFX NR CCC+ (sf) C NR CCC- (sf) Landmark III CDO Ltd. Rating Class To From B-2L NR CCC- (sf) Magnetite V CLO Ltd. Rating Class To From B NR AAA (sf) C NR A- (sf)/ Watch pos D NR B+ (sf) Navigator CDO 2004 Ltd. Rating Class To From C-1 NR AAA (sf) C-2 NR AAA (sf) D-1 NR A+ (sf) D-2 NR A+ (sf) Navigator CDO 2005 Ltd. Rating Class To From B-1 NR AAA (sf) B-2 NR AAA (sf) Neptune Finance CCS Ltd. Rating Class To From A NR AAA (sf) B NR AA+ (sf) OHA Credit Partners VII Ltd. Rating Class To From X NR AAA (sf) OWS CLO I Ltd. Rating Class To From B NR A (sf) Pacifica CDO II Ltd. Rating Class To From B-1 NR BBB+ (sf) B-2 NR BBB+ (sf) C-1 NR CCC+ (sf) C-2 NR CCC+ (sf) D NR CC (sf) Restructured Asset Backed Securities Series 2003-2 Trust Rating Class To From A-1-B NR BB+ (sf) RFC CDO I Ltd. Rating Class To From A NR BBB+ (sf) Stone Tower CDO Ltd. Rating Class To From A-3L NR AA- (sf) B-1L NR CCC- (sf) Venture III CDO Ltd. Rating Class To From C NR AAA (sf) Deferrable B NR AAA (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 ***