/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/140525.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, May 25, 2014, Vol. 18, No. 143 Headlines ACIS CLO 2014-3: S&P Affirms 'B+' Rating on Class F Notes ADVANTA BUSINESS 2006-D2: S&P Cuts Rating on Class D Notes to 'D' AMAC CDO FUNDING I: Fitch Affirms CC Ratings on 3 Note Classes AMERICAN HOME 2005-2: Moody's Cuts Cl. V-A-1 Debt Rating to 'B3' ARBOR REALTY 2005-1: S&P Affirms 'CCC+' Rating on 3 Note Classes ARBOR REALTY 2006-1: S&P Affirms 'CCC-' Ratings on 3 Note Classes BANC OF AMERICA 2006-4: Moody's Lowers Rating on Cl. F Notes to C BEAR STEARNS 2004-PWR5: Moody's Hikes Cl. K Certs Rating to 'B2' BENEFIT STREET III: S&P Affirms 'BB' Rating on $23MM Class D Notes BLACKROCK SENIOR IV: S&P Affirms 'BB+' Rating on Class D Notes BUSINESS LOAN 2001-2: Moody's Cuts Cl. A Securities Rating to Ba3 CAPITAL MORTGAGE 2007-1: S&P Cuts Rating on Class B Notes to BBsf CARLYLE GLOBAL: S&P Assigns Prelim. 'Bsf' Rating on Cl. F Notes CEDAR FUNDING III: S&P Rates Class E Notes 'BBsf' CIFC FUNDING 2007-III: Moody's Hikes Rating on Cl. D Notes to Ba3 COMSTOCK FUNDING: S&P Raises Rating on Class D Notes From BB+ CONNECTICUT VALLEY: S&P Raises Rating on 2 Note Classes to 'BB' CORNERSTONE CLO: Moody's Affirms B1 Rating on Class D Notes CREDIT SUISSE 2001-CK3: Moody's Affirms Ratings on 2 Cert Classes CREDIT SUISSE 2003-CK2: Moody's Hikes Cl. K Certs Rating to Caa1 CREDIT SUISSE 2005-C3: Moody's Cuts Rating on Class E Certs to C CREDIT SUISSE 2006-C2: Moody's Cuts Rating on Class B Certs to C CREDIT SUISSE 2007-TFL1: Moody's Cuts A-X-1 Secs. Rating to Caa2 CREST LTD 2004-1: S&P Raises Rating on 8 Note Classes to 'D' CW CAPITAL: Moody's Affirms 'C' Rating on 8 Note Classes DLJ MORTGAGE 2000-CKP1: Moody's Affirms Ratings on 2 CMBS Classes EMERSON PLACE: S&P Affirms 'B+' Rating on Class D Notes EXETER AUTOMOBILE 2014-2: S&P Gives Prelim. 'BB' Rating on D Notes FANNIE MAE 2014-CO2: S&P Assigns Prelim 'BB' Rating on 2M-1 Notes FMC REAL 2005-1: Moody's Affirms 'Caa3' Rating on Class F Notes FOUR CORNERS II: Moody's Puts Ba3 Rating on Cl. E Notes on Review FOUR CORNERS III: S&P Raises Rating on Class E Notes to 'B-' GE CAPITAL 2001-3: Fitch Affirms 'D' Ratings on 4 Note Classes GOLUB CAPITAL 2007-1: Moody's Affirms Ba2 Rating on Class E Notes GOLUB CAPITAL 2007-1: S&P Affirms 'BB' Rating on Class E Notes GRACE 2014-GRCE: Fitch Assigns 'BB-' Rating on Class F Notes GREENPOINT MORTGAGE: Moody's Reinstates C Rating on 2 Notes I-PREFERRED TERM IV: Moody's Hikes Rating on Cl. D Notes to Caa1 JP MORGAN 2002-C2: Moody's Affirms 'C' Rating on Class G Notes JP MORGAN 2005-LDP1: Moody's Affirms C Rating on 4 Cert. Classes JP MORGAN 2006-CIBC15: Moody's Rates Cl. A-J Certificate 'Ca' JP MORGAN 2007-FL1: Fitch Affirms 'B' Rating on Class E Notes JP MORGAN 2009-3: S&P Lowers Rating on Class 2-A-2 Notes to 'D' JP MORGAN 2012-CIBX: Moody's Affirms B2 Rating on Class G Certs JP MORGAN 2014-C19: Fitch Assigns 'BB' Rating on Class E Notes KATONAH X: S&P Raises Rating on Class E Notes to 'B+' KINGSLAND III: Moody's Hikes Rating on Class D-1 Notes to 'Ba2' LATITUDE CLO II: S&P Affirms 'BB' Rating on Class C Notes LEHMAN ABS 2001-B: S&P Lowers Rating on Cl. A-3 Certs to 'D' MADISON PARK: S&P Raises Rating on Class D Notes to 'BB+' MARLBOROUGH STREET: Moody's Affirms Ba3 Rating on Class E Notes MORGAN STANLEY 2001-IQ: Moody's Cuts Cl. X-1 Certs Rating to Caa3 MORGAN STANLEY 2007-XLF: Fitch Cuts Rating on 2 Note Classes to BB N-STAR REAL III: S&P Lowers Rating on 9 Note Classes to 'D' NYLIM FLATIRON 2006-1: S&P Affirms 'BB' Rating on Class D Notes OHA PARK: S&P Affirms 'BBsf' Rating on Class D Notes PALISADES CDO: Moody's Hikes Rating on Class A-1A Notes to B1 PREFERRED CPO: Moody's Hikes Rating on $74MM Class B Notes to Ba1 RAMP TRUST 2005-SL1: Moody's Cuts Cl. A-IO Secs Rating to Caa1 RAMPART CLO 2006-I: S&P Affirms 'B+' Rating on Class D Notes RFC CDO 2006-1: S&P Raises Rating on Class A-2 Notes to 'BB-' REGATTA FUNDING: S&P Affirms 'BB+' Rating on Class B-2L Notes RFC CDO 2006-1: Moody's Affirms 'C' Rating on 5 Note Classes ROCKWALL CDO: S&P Raises Rating on Class B-1L Notes From BB+ SANDERS RE 2014-1: S&P Assigns 'BB+' Rating to Class B Notes SAYBROOK POINT: Moody's Confirms Caa2 Rating on $18MM Cl. B Notes SILVERMORE CLO: Moody's Rates $26MM Class D Senior Notes '(P)Ba3' SPIRIT MASTER: S&P Withdraws 'BB+' Ratings on Notes of 3 Series SHASTA CLO I: Moody's Affirms Ba2 Rating on Class B-2L Notes TRAPEZA EDGE: Moody's Hikes Rating on Class B-2 Notes to 'B3' TREF FUNDING III: S&P Hikes Rating on Cl. A-2 Notes From 'BB+' US CAPITAL: Moody's Hikes Rating on 2 Note Classes to 'B3' VENTURE XVII: Moody's Assigns 'Ba2' Rating on Class E Notes WACHOVIA BANK 2005-C16: Moody's Hikes Rating on Cl. J Certs to B1 WAMU COMMERCIAL 2006-SL1: Fitch Affirms BB Rating on Class B Notes WELLS FARGO 2011-C4: Fitch Affirms 'BB' Rating on Class F Notes * Moody's Takes Action on $1.5-Bil. of RMBS by Various Trusts ********* ACIS CLO 2014-3: S&P Affirms 'B+' Rating on Class F Notes --------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on ACIS CLO 2014-3 Ltd./ACIS CLO 2014-3 LLC's $377.00 million fixed- and floating-rate notes following the transaction's effective date as of April 21, 2014. 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 our opinion that the portfolio collateral purchased by the issuer, as reported to us by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that we assigned on the transaction's closing date. The effective date reports provide a summary of certain information that we used in our analysis and the results of S&P's review based on the information presented to us," said 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," said S&P. "For a CLO that has not purchased its full target level of portfolio collateral by the closing date, our ratings on the closing date and prior to our effective date review are generally based on the application of our criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to us by the collateral manager, and may also reflect our assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased," S&P said. "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 related. "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 said. "On an ongoing basis after we issue an effective date rating affirmation, we will periodically review whether, in our 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 we deem necessary," said S&P. RATINGS LIST ACIS CLO 2014-3 Ltd. Rating Class Identifier To From A-X 00100FAJ4 AAA (sf) AAA (sf) A-1A 00100FAA3 AAA (sf) AAA (sf) A-1F 00100FAC9 AAA (sf) AAA (sf) A-2a 00100FAE5 AAA (sf) AAA (sf) A-2b 00100FAG0 AAA (sf) AAA (sf) B 00100FAL9 AA (sf) AA (sf) C (deferrable) 00100FAN5 A (sf) A (sf) D (deferrable) 00100FAQ8 BBB (sf) BBB (sf) E (deferrable) 00100GAA1 BB (sf) BB (sf) F (deferrable) 00100GAC7 B+ (sf) B+ (sf) ADVANTA BUSINESS 2006-D2: S&P Cuts Rating on Class D Notes to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class D(2006-D2) notes from Advanta Business Card Master Trust to 'D(sf)' from 'CC(sf)'. The lowered rating reflects the nonpayment of full principal to the notes' investors on the May 20, 2014, legal final maturity date. As of the May 20, 2014, distribution date, the transaction hadn't repaid the invested amount of the notes, leaving the full initial principal amount of $25,000,000 outstanding or unpaid on the legal final maturity date. AMAC CDO FUNDING I: Fitch Affirms CC Ratings on 3 Note Classes -------------------------------------------------------------- Fitch Ratings has affirmed all rated classes of AMAC CDO Funding I (AMAC CDO). Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release. Key Rating Drivers Fitch's rating actions reflect a base case loss expectation of 9.7%. Since the last rating action, the class A-1 notes have received further pay down totaling $32.2 million from three full loan payoffs, scheduled amortization, and interest diversion from the failure of the class D/E overcollateralization (OC) test. There have been no realized losses since the last rating action. The CDO remains undercollateralized by approximately $28.2 million. As of the April 2014 trustee report, and per Fitch categorization, the CDO is substantially invested as follows: whole loans/A-notes (96.1%), B-notes (2%), and mezzanine debt (1.9%). The CDO collateral continues to become more concentrated. There are interests in approximately 27 different assets contributed to the CDO. The current percentage of Loans of Concern is 11.7%. There are no defaulted loans. Under Fitch's methodology, approximately 50.8% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. Modeled recoveries are well above average at 80.8% due to the, generally, stabilized nature of the collateral and the senior position of the majority of the debt. The largest component of Fitch's base case loss is a whole loan (7.5%) secured by a 203,300 square foot (sf) office property located in Bethpage, NY. Although cash flow has improved due to the sponsor re-leasing a large component of the space vacated in 2012, the loan remains over leveraged. The next largest component of Fitch's base case loss expectation is a mezzanine loan (1.2%). The loan is secured by an interest in a 257,945 sf retail community center located in Middlesex County, NJ. Major tenants include: Home Depot, Bob's Furniture, Dollar Tree and Stop & Shop. As of December 2013, the property was 97.3% occupied, however, approximately 40% of leases are scheduled to roll between 2014 and 2015. Fitch modeled a full loss on this subordinate 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 defaults timing and interest rate stress scenarios as described in the report 'Global Rating Criteria for Structured Finance'. The breakeven rates for classes A-1 through B are consistent with the ratings listed below. RATING SENSITIVITY The Stable Outlooks on class A-1 and A-2 generally reflect their senior positions in the liabilities structures and/or positive cushion in the modeling. Since the class B notes are junior to the class A notes, they will not receive principal amortization until after the class A notes are fully redeemed. The class B notes are exposed to concentration risk to a greater extent than the class A notes. As such, Fitch has assigned a Negative Outlook to the class B notes. The ratings for classes C through F are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of Fitch Loans of Concern factoring in anticipated recoveries relative to each classes credit enhancement. As of the April 2014 trustee report, the class F notes continue to capitalize missed interest due to the failure of the class D/E OC test. There is a substantial hedge obligation in place that is senior in priority to the timely classes, A through B. Upgrades to those classes are expected to be limited due to the risk of insufficient interest and principal proceeds to pay the timely interest due as the portfolio continues to become more concentrated. While Fitch has modeled conservative loss expectations on the pool, unanticipated increases in defaulted loans and/or loss severity could result in downgrades. Fitch affirms the following classes and revises Outlooks as indicated: -- $140,263,794 class A-1 notes at 'BBBsf'; Outlook to Stable; -- $50,000,000 class A-2 notes at 'BBsf'; Outlook Stable; -- $20,000,000 class B notes at 'Bsf'; Outlook Negative; -- $15,000,000 class C notes at 'CCCsf'; RE: 90%; -- $12,000,000 class D-1 notes at 'CCsf'; RE: 0%; -- $5,000,000 class D-2 notes at 'CCsf'; RE: 0%; -- $6,500,733 class E notes at 'CCsf'; RE: 0%; -- $19,275,567 class F notes at 'Csf'; RE: 0%. AMERICAN HOME 2005-2: Moody's Cuts Cl. V-A-1 Debt Rating to 'B3' ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of Class V-A-1 issued by American Home Mortgage Investment Trust 2005-2. The tranche is backed by Alt-A RMBS loans issued in 2005. Issuer: American Home Mortgage Investment Trust 2005-2 Cl. V-A-1, Downgraded to B3 (sf); previously on Jun 25, 2010 Downgraded to B1 (sf) Ratings Rationale The rating action is a result of performance on the underlying pools and reflects Moody's updated loss expectations on the pools. The rating downgrade reflects the weak performance of the underlying collateral and increased risk of interest shortfalls from undercollateralization on the Group 5 senior bonds. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the rating: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 6.3% in April 2014 from 7.5% in April 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2014. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, 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. ARBOR REALTY 2005-1: S&P Affirms 'CCC+' Rating on 3 Note Classes ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A and A-2 floating-rate notes from Arbor Realty Mortgage Securities Series 2005-1 Ltd., a U.S. commercial real estate collateralized debt obligations (CRE CDO) transaction. Concurrently, S&P affirmed its ratings on seven other classes from the same transaction. The rating actions reflect the current available credit enhancement and S&P's analysis of the transaction's liability structure and the collateral's underlying credit characteristics, using S&P's criteria for global CDOs of pooled structured finance assets. The analysis also reflects S&P's rating methodology and assumptions for U.S. and Canadian commercial mortgage-backed securities (CMBS) and its CMBS global property evaluation methodology criteria. The upgrades on class A and A-2 also reflect the transaction's amortization. Class A had $7.7 million outstanding as of the April 21, 2014, note valuation report, down from $161.5 million at issuance. According to the April 30, 2014, trustee monthly report, the transaction's collateral totaled $305.4 million, while the transaction's liabilities totaled $310.1 million, down from $475.0 million in liabilities at issuance. The transaction's current asset pool includes the following: -- 14 A-notes, senior participation interests, or whole loans ($128.1 million, 42.0%); -- 11 B-notes or junior participation interests ($124.3 million, 40.7%); -- Three mezzanine loans ($33.7 million, 11.0%); and -- One preferred equity participation interest ($19.3 million, 6.3%). The trustee report noted two defaulted loans totaling $31.0 million (10.2%). The defaulted loans are as follows: -- The Bethany Core Portfolio B-note ($16.0 million, 5.2%); and -- Longhouse - Mezz 4 Mezzanine loan ($15.0 million, 4.9%). Standard & Poor's estimated no recoveries for the defaulted loans based on information from the collateral manager, special servicer, and third party providers. Using loan performance information the collateral manager provided, S&P applied asset-specific recovery rates in its analysis of the performing loans ($274.4 million, 89.8%) using its criteria for U.S. and Canadian CMBS and our CMBS global property evaluation methodology. S&P did not apply an asset-specific recovery rate to the Golden Boy A-note ($2.5 million, 0.8%) because the loan is secured by land in Dallas, Texas and has no financial reporting. S&P also considered qualitative factors such as the near-term maturities of the loans, refinancing prospects, and loan modifications. According to the April 30, 2014, trustee report, the deal passed all of its overcollateralization and interest coverage tests. RATINGS LIST Arbor Realty Mortgage Securities Series 2005-1 Ltd. Rating Class Identifier To From A 038927AA7 AA (sf) A+ (sf) A-2 038927AJ8 A- (sf) BBB- (sf) B 038927AB5 B (sf) B (sf) C 038927AC3 B (sf) B (sf) D 038927AD1 B- (sf) B- (sf) E 038927AE9 B- (sf) B- (sf) F 038927AF6 CCC+ (sf) CCC+ (sf) G 038927AG4 CCC+ (sf) CCC+ (sf) H 038927AH2 CCC+ (sf) CCC+ (sf) ARBOR REALTY 2006-1: S&P Affirms 'CCC-' Ratings on 3 Note Classes ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1A and A-1AR floating-rate notes from Arbor Realty Mortgage Securities Series 2006-1 Ltd., a U.S. commercial real estate collateralized debt obligations (CRE CDO) transaction. Concurrently, S&P affirmed its ratings on six other classes from the same transaction. The rating actions reflect the current available credit enhancement and S&P's analysis of the transaction's liability structure and the collateral's underlying credit characteristics using S&P's criteria for global CDOs of pooled structured finance assets. The analysis also reflects S&P's rating methodology and assumptions for U.S. and Canadian commercial mortgage-backed securities (CMBS) and its CMBS global property evaluation methodology criteria. The upgrades on class A-1A and A-1AR notes also reflect the transaction's amortization. Class A-1A had $40.3 million outstanding and class A-1AR had $17.5 million outstanding as of the April 28, 2014, note valuation report, down from $230.0 million and $100.0 million, respectively, at issuance. According to the April 30, 2014, trustee monthly report, the transaction's collateral totaled $330.2 million, while the transaction's liabilities totaled $327.9 million, down from $600.0 million in liabilities at issuance. The transaction's current asset pool includes the following: -- 21 A-notes, senior participation interests, or whole loans ($281.3 million, 85.2%); -- Three B-notes or junior participation interests ($26.8 million, 8.1%); and -- Five mezzanine loans ($22.0 million, 6.7%). The trustee report noted two defaulted loans totaling $40.0 million (12.1%). The defaulted loans are as follows: -- St. Johns River whole Loan ($25.0 million, 7.6%); and -- Longhouse Mezz 3 mezzanine loan ($15.0 million, 4.5%). Standard & Poor's estimated no recovery for the Longhouse Mezz 3 loan and a 16.0% recovery rate for the St. Johns River Loan. S&P based the recovery rates on information from the collateral manager, special servicer, and third-party data providers. Using loan performance information the collateral manager provided, S&P applied asset-specific recovery rates in its analysis of the performing loans ($290.2 million, 87.9%) using S&P's criteria for U.S. and Canadian CMBS and its CMBS global property evaluation methodology. S&P did not apply an asset- specific recovery rate to the Homewood Village Resorts LLC whole Loan ($37.6 million, 11.4%) because the loan is secured by land in Homewood, Calif. and has no financial reporting. S&P also considered qualitative factors such as the near-term maturities of the loans, refinancing prospects, and loan modifications. According to the April 30, 2014, trustee report, the deal has passed all of its overcollateralization and interest coverage tests. RATINGS LIST Arbor Realty Mortgage Securities Series 2006-1 Ltd. Rating Class Identifier To From A-1A 03878CAA4 BBB+ (sf) BBB- (sf) A-1AR 03878CAB2 BBB+ (sf) BBB- (sf) A-2 03878CAC0 B+ (sf) B+ (sf) B 03878CAD8 B (sf) B (sf) C 03878CAE6 CCC+ (sf) CCC+ (sf) D 03878CAF3 CCC- (sf) CCC- (sf) E 03878CAG1 CCC- (sf) CCC- (sf) F 03878CAH9 CCC- (sf) CCC- (sf) BANC OF AMERICA 2006-4: Moody's Lowers Rating on Cl. F Notes to C ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of nine classes and downgraded two classes in Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2006-4 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Aug 1, 2013 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Aug 1, 2013 Affirmed Aaa (sf) Cl. A-M, Affirmed Aa1 (sf); previously on Aug 1, 2013 Affirmed Aa1 (sf) Cl. A-J, Affirmed Ba1 (sf); previously on Aug 1, 2013 Affirmed Ba1 (sf) Cl. B, Affirmed Ba3 (sf); previously on Aug 1, 2013 Affirmed Ba3 (sf) Cl. C, Affirmed B3 (sf); previously on Aug 1, 2013 Affirmed B3 (sf) Cl. D, Affirmed Caa1 (sf); previously on Aug 1, 2013 Affirmed Caa1 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Aug 1, 2013 Affirmed Caa2 (sf) Cl. F, Downgraded to C (sf); previously on Aug 1, 2013 Affirmed Caa3 (sf) Cl. G, Affirmed C (sf); previously on Aug 1, 2013 Affirmed C (sf) Cl. XC, Affirmed Ba3 (sf); previously on Aug 1, 2013 Affirmed Ba3 (sf) Ratings Rationale The ratings on three investment grade P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to- value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on five below investment grade P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The ratings on two below investment grade P&I classes were downgraded due to realized and anticipated losses from specially serviced and troubled loans. The rating on the IO class was affirmed based on the credit performance of the referenced classes. Moody's rating action reflects a base expected loss of 5.6% of the current balance compared to 8.5% at Moody's prior review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. Description Of Models Used Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses 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 Moody's uses to estimate Moody's value). Conduit model results at the B2 (sf) level are based on a paydown analysis using the individual loan- level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on 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, Moody's merges the credit enhancement for loans with investment-grade structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured credit assessments in the same transaction. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 40 compared to 39 at Moody's last review. Deal Performance As of the May 12, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 34% to $1.81 billion from $2.73 billion at securitization. The Certificates are collateralized by 115 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans (excluding defeasance) representing 36% of the pool. The pool contains two loans, representing 1% of the pool, that have investment grade structured credit assessments. Four loans, representing 12% of the pool, have defeased and are secured by US Government securities. Twenty-two loans, representing 19% 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. Thirty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $213.1 million (46% loss severity on average). Seven loans, representing 10% of the pool, are in special servicing. The largest specially serviced loan is the BlueLinx Portfolio Loan ($93.0 million -- 5.1% of the pool), which represents a 50% interest in a pari passu note. The loan is secured by 57 industrial properties and one office property in 33 states. The properties are master leased to BlueLinx, a North American residential and commercial building products distributor. As of December 2013, the properties were 100% occupied. The remaining six specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $39.6 million loss for the specially serviced loans (45.7% expected loss on average). Moody's has assumed a high default probability for eight poorly- performing loans representing 7% of the pool and has estimated an aggregate $26.6 million loss (20% expected loss based on a 50% probability of default) from these troubled loans. Moody's received full-year 2012 operating results for 98% of the pool and full or partial year 2013 operating results for 95% of the pool. Moody's weighted average conduit LTV is 94% compared to 98% at Moody's last review. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12.8% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.39X and 1.11X, respectively, compared to 1.34X and 1.07X at the last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a structured credit assessment is the Glen Oaks Shopping Center Loan ($19.1 million -- 1.1% of the pool), which is secured by a 244,000 square foot (SF) retail center located in Nassau County, New York. Moody's structured credit assessment and stressed DSCR are aa2 (sca.pd) and 1.95X, respectively, compared to aa2 (sca.pd) and 1.93X at the last review. The second loan with a structured credit assessment is the 345 East 86th Street Apartments Loan ($5.2 million -- 0.3% of the pool), which is secured by a 114-unit residential co-op building located in New York, New York. Moody's structured credit assessment is aaa (sca.pd), the same as at the last review. The top three conduit loans represent 14.2% of the pool balance. The largest loan is the Marriott Indianapolis Loan ($98.3 million -- 5.4% of the pool), which is secured by a 615 room full service hotel located in the central business district of Indianapolis, Indiana. Moody's LTV and stressed DSCR are 91.1% and 1.28X, respectively, compared to 89.6% and 1.30X at the last review. The second largest loan is the Mesa Mall Loan ($87.3 million -- 4.8% of the pool), which is secured by 560,000 SF of the only enclosed regional mall between Denver, Colorado and Salt Lake City, Utah. Of the six anchors in the mall, only the following three are part of the collateral: Herberger's, Sears, and JC Penney. Moody's LTV and stressed DSCR are 116.5% and 0.86X, respectively. The third largest loan is the Glendale Fashion Center Loan ($72 million -- 4% of the pool), which is secured by a neighborhood retail center in Glendale, California. The property was nearly 100% leased as of March 2014. Moody's LTV and stressed DSCR are 106.2% and 0.84X. BEAR STEARNS 2004-PWR5: Moody's Hikes Cl. K Certs Rating to 'B2' ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seven classes and upgraded the ratings on eight classes in Bear Stearns Commercial Mortgage Securities Trust, Commercial Mortgage Pass- Through Certificates, Series 2004-PWR5 as follows: Cl. A-5, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Jun 6, 2013 Upgraded to Aaa (sf) Cl. C, Upgraded to Aaa (sf); previously on Jun 6, 2013 Upgraded to Aa1 (sf) Cl. D, Upgraded to Aa2 (sf); previously on Jun 6, 2013 Upgraded to A1 (sf) Cl. E, Upgraded to Aa3 (sf); previously on Jun 6, 2013 Upgraded to A2 (sf) Cl. F, Upgraded to Baa1 (sf); previously on Jun 6, 2013 Affirmed Baa3 (sf) Cl. G, Upgraded to Baa2 (sf); previously on Jun 6, 2013 Affirmed Ba1 (sf) Cl. H, Upgraded to Ba1 (sf); previously on Jun 6, 2013 Affirmed Ba3 (sf) Cl. J, Upgraded to B1 (sf); previously on Jun 6, 2013 Affirmed B2 (sf) Cl. K, Upgraded to B2 (sf); previously on Jun 6, 2013 Affirmed B3 (sf) Cl. L, Affirmed Caa1 (sf); previously on Jun 6, 2013 Affirmed Caa1 (sf) Cl. M, Affirmed Caa2 (sf); previously on Jun 6, 2013 Affirmed Caa2 (sf) Cl. N, Affirmed Caa3 (sf); previously on Jun 6, 2013 Affirmed Caa3 (sf) Cl. P, Affirmed C (sf); previously on Jun 6, 2013 Downgraded to C (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Jun 6, 2013 Affirmed Ba3 (sf) Ratings Rationale The ratings on two P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on four P&I classes were affirmed based on Moody's expected loss. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. The ratings on the P&I classes were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as Moody's expectation of additional increases in credit support resulting from the payoff of loans approaching maturity that are well positioned for refinance. The pool has paid down by 30% since Moody's last review. In addition, loans constituting 68% of the pool that have debt yields exceeding 12.0% are scheduled to mature within the next five months. Moody's rating action reflects a base expected loss of 2.5% of the current balance, compared to 2.8% at Moody's last review. Moody's base expected loss plus realized losses is now 2.2% of the original pooled balance, compared to 2.7% at the last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. Description of Models Used Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses 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 Moody's uses to estimate Moody's value). Conduit model results at the B2 (sf) level are based on a paydown analysis using the individual loan- level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on 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, Moody's merges the credit enhancement for loans with investment-grade structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured credit assessments in the same transaction. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22, compared to 34 at Moody's last review. DEAL PERFORMANCE As of the April 11, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 57% to $535 million from $1.23 billion at securitization. The certificates are collateralized by 73 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans constituting 38% of the pool. One loan, constituting 1.4% of the pool, has an investment-grade structured credit assessment. Seven loans, constituting 24% of the pool, have defeased and are secured by US government securities. Twenty-two loans, constituting 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans that 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, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $13.5 million (for an average loss severity of 48%). One loan, constituting 1% of the pool, is currently in special servicing. The only loan in special servicing is the North Orchard Plaza loan (for $3.3 million 0.6% of the pool), which is secured by two retail buildings located 25 miles northwest of Detroit. There have been no advances to date and the current resolution strategy will be dual tracked with receiver sale or foreclosure. Moody's estimates an aggregate $0.4 million loss for the specially serviced loans (12% expected loss on average). Moody's has assumed a high default probability for nine poorly performing loans, constituting 8% of the pool, and has estimated an aggregate loss of $6.5 million (a 15% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2012 operating results for 100% of the pool, and full or partial year 2013 operating results for 89%. Moody's weighted average conduit LTV is 76%, compared to 78% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 13% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.3%. Moody's actual and stressed conduit DSCRs are 1.46X and 1.53X, respectively, compared to 1.44X and 1.46X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the New Castle Marketplace Loan ($7.4 million -- 1.4% of the pool), which is secured by 11 retail and restaurant buildings on one property. The property is fully leased as of June 2013, same as prior five reviews. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and > 4.00X, respectively, the same as at the last review. The top three conduit loans represent 20% of the pool balance. The largest loan is the 2941 Fairview Park Drive Loan ($65 million -- 12% of the pool), which is secured by a 15-story, 350,000 SF Class A suburban office tower located in the Washington, DC suburbs. The building is part of the larger Fairview Office Park, a master- planned business park which spans over 200 acres. The current occupancy is 84% but in place leases are 23% higher than the market average. Moody's LTV and stressed DSCR are 78% and 1.17X, respectively, compared to 92% and 1X at the last review. The second largest loan is the Scitor Corporation Loan ($22.5 million -- 4.2% of the pool), which is secured by a 159,000 SF office property in Northern Virginia, near Washington-Dulles Airport. The building is 100% occupied by Scitor Corporation, a defense and aerospace firm. The loan is sponsored by Duke Realty Corporation. Moody's LTV and stressed DSCR are 108% and 0.95X, respectively, compared to 105% and 0.98X at the last review. The third largest loan is the West Bloomfield Medical Building Loan ($21 million -- 4% of the pool), which is secured by a 135,000 SF medical office property in the northern suburbs of Detroit. The property was 96% leased at year end 2013, unchanged from the prior review. The loan benefits from amortization and stable performance. Moody's LTV and stressed DSCR are 75% and 1.37X, respectively, compared to 82% and 1.25X at the last review. BENEFIT STREET III: S&P Affirms 'BB' Rating on $23MM Class D Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on Benefit Street Partners CLO III Ltd./Benefit Street Partners CLO III LLC's $462.5 million fixed- and floating-rate notes following the transaction's effective date as of March 10, 2014. 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 targeted 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 targeted 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 our opinion that the portfolio collateral purchased by the issuer, as reported to us by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that we assigned on the transaction's closing date. The effective date reports provide a summary of certain information that we used in our analysis and the results of our review based on the information presented to us," S&P said. "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," said S&P. "For a CLO that has not purchased its full targeted level of portfolio collateral by the closing date, our ratings on the closing date and prior to our effective date review are generally based on the application of our criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to us by the collateral manager, and may also reflect our 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. "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. "On an ongoing basis, after we issue an effective date rating affirmation, we will periodically review whether, in our 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 we will take rating actions as we deem necessary," said S&P. RATINGS AFFIRMED Benefit Street Partners CLO III Ltd./ Benefit Street Partners CLO III LLC Class Rating Amount (mil. $) A-1A AAA (sf) 245.20 A-1B AAA (sf) 60.00 A-2 AA (sf) 70.00 B (deferrable) A (sf) 35.30 C (deferrable) BBB (sf) 29.00 D (deferrable) BB (sf) 23.00 BLACKROCK SENIOR IV: S&P Affirms 'BB+' Rating on Class D Notes -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, B, and C notes from Blackrock Senior Income Series IV, a U.S. collateralized loan obligation (CLO) managed by Blackrock Financial Management Inc., and removed them from CreditWatch with positive implications. In addition, S&P affirmed its rating on the class D notes. The rating actions follow S&P's review of the transaction's performance using data from the trustee report dated April 11, 2014. The upgrades reflect a $152.54 million paydown to the class A notes, as well as the underlying collateral's improved credit quality since S&P's January 2012 rating actions. The affirmation reflects S&P's belief that the credit support available is commensurate with the current rating level. "Post-reinvestment period principal amortization has resulted in $152.54 million in paydowns to the class A notes since our last rating action. Consequently, the transaction's class A/B and C/D overcollateralization ratio tests have improved. The class A notes have a remaining balance representing 60.01% of their original par balance at issuance," said S&P. According to the April 2014, trustee report, the transaction held $0.08 million in underlying collateral obligations considered defaulted by the issuer, down from $0.32 million in defaulted obligations noted in the November 2011 trustee report, which S&P used for its January 2012 rating actions. The amount of 'CCC' rated collateral held in the transaction's asset portfolio also dropped since the time of S&P's last rating action. According to the April 2014 trustee report, the transaction held $8.18 million in assets rated in 'CCC' range compared with the $9.42 million noted in the November 2011 trustee report. "We noted that the transaction has significant exposure to long- dated assets, (i.e. assets maturing after the stated maturity of the CLO). According to the April 2014 trustee report, these long- dated assets represent 10.13% of the portfolio. Our analysis accounted for the potential market value and/or settlement-related risk arising from the potential liquidation of the remaining securities on the transaction's legal final maturity date, said S&P. S&P said the rating actions are not constrained by the application of the largest obligor default test or largest industry default tests, supplemental stress tests we introduced as part of its 2009 corporate criteria update. "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/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action," said S&P. 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 take rating actions as it deems necessary. CAPITAL STRUCTURE AND KEY METRICS COMPARISON Class November 2011 April 2014 Notional balance (mil. $) A 383.58 231.04 B 14.50 14.50 C 35.00 35.00 D 25.50 25.50 Coverage tests, WAS (%) A/B O/C 121.29 129.33 C/D O/C 105.28 107.31 A/B I/C 753.42 1109.12 C/D I/C 567.09 726.18 WAS 3.38 3.23 WAS-Weighted average spread. O/C-Overcollateralization test. I/C-Interest coverage test. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Blackrock Senior Income Series IV Cash flow Cash flow Previous implied cushion Final Class rating rating (i) rating A AA+(sf)/Watch Pos AAA (sf) 5.60% AAA (sf) B AA(sf)/Watch Pos AA+ (sf) 14.48% AA+ (sf) C A (sf)/Watch Pos A+ (sf) 3.03% A+ (sf) D BB+ (sf) BB+ (sf) 6.55% BB+ (sf) (i) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY "In addition to our base-case analysis, we generated additional scenarios in which we made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. We also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below," said S&P. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Corr. Corr. Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf) C A+ (sf) A- (sf) A (sf) AA- (sf) A+ (sf) D BB+ (sf) BB+ (sf) BB+ (sf) BBB- (sf) BB+ (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A AAA (sf) AAA (sf) AA+ (sf) AAA (sf) B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) C A+ (sf) A+ (sf) BBB- (sf) A+ (sf) D BB+ (sf) BB+ (sf) B- (sf) BB+ (sf) RATINGS LIST Blackrock Senior Income Series IV Rating Rating Class Identifier To From A 09254DAA3 AAA (sf) AA+ (sf)/Watch Pos B 09254DAB1 AA+ (sf) AA (sf)/Watch Pos C 09254DAC9 A+ (sf) A (sf)/Watch Pos D 09254DAD7 BB+ (sf) BB+ (sf) BUSINESS LOAN 2001-2: Moody's Cuts Cl. A Securities Rating to Ba3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on five tranches, and downgraded the ratings on two tranches from five securitizations of small business loans originated by BLX Capital LLC. Small balance commercial real estate primarily secures the loans. Complete rating actions as follow: Issuer: Business Loan Express Business Loan Trust 2005-A Class C, Upgraded to B3 (sf); previously on Oct 1, 2013 Upgraded to Caa2 (sf) Issuer: Business Loan Express Business Loan Trust 2006-A Class B, Upgraded to B3 (sf); previously on Oct 1, 2013 Upgraded to Caa1 (sf) Class C, Upgraded to Caa1 (sf); previously on Oct 1, 2013 Upgraded to Caa3 (sf) Issuer: Business Loan Express SBA Loan Trust 2001-2 Class A, Downgraded to Ba3 (sf); previously on Jan 26, 2011 Downgraded to Ba1 (sf) Issuer: Business Loan Express SBA Loan Trust 2002-1 Class A, Downgraded to A2 (sf); previously on Mar 30, 2010 Downgraded to Aa2 (sf) Issuer: Business Loan Express SBA Loan Trust 2005-1 Class A, Upgraded to A3 (sf); previously on Apr 19, 2012 Downgraded to Baa1 (sf) Class M, Upgraded to Baa3 (sf); previously on Oct 1, 2013 Upgraded to Ba2 (sf) Ratings Rationale The rating upgrades in the 2005-1, 2005-A, and 2000-6-A securitizations are due to the correction of an input error in the model used in the prior rating action to project the remaining expected losses for these transactions. For the 2005-1, 2005-A, and 2006-A securitizations, Moody's determined the expected losses using representative delinquency roll rates. Due to an input error, the roll rate model used in the prior rating action did not take into account the pre-funding amount that is part of the original pool balance for the 2005-1, 2005-A, and 2006-A securitizations. As a result, the expected losses used in Moody's prior ratings for these transactions were overstated. This has been corrected, and the ratings take into account the pre-funding amount from the securitizations. The downgrade action in the 2001-2 securitization was prompted by the zero balance in the reserve account, amortized subordinate tranches, and the under-collateralization. The downgrade action in the 2002-1 securitization was due to the increase in the 60+ delinquency including foreclosure and REO to 34.8% in April 2014 from 12.7% since Moody's last review in October 2013. Additionally, the top five largest loans constitute approximately 27% and 34% of the outstanding pool balance, respectively, for the 2001-2 and 2002-1 securitizations, which can cause potential volatility in the collateral performance. CAPITAL MORTGAGE 2007-1: S&P Cuts Rating on Class B Notes to BBsf ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered to 'BB(sf)' from 'A (sf)' its credit rating on Capital Mortgage S.r.l.'s series 2007-1 class B notes. At the same time, S&P has affirmed its ratings on the class A1, A2, and C notes. The rating actions follow S&P's performance review of the transaction's underlying asset pool, its payment structure, and its cash flows. The transaction's level of new defaults remained high over the past year, increasing at an average rate of 88 basis points (bps) of the transaction's performing balance per quarter. The transaction has a structural mechanism that traps excess spread to cover the entire balance of the defaulted mortgages. Since the new defaults have continued to exceed the available excess spread, the amount of uncured defaults recorded in the principal deficiency ledger (PDL) increased to EUR49.89 million on the March 2014 payment date from EUR24.039 million in January 2013. The transaction has recorded unpaid amounts in the PDL since the April 2010 payment date. The transaction documents classify mortgage loans in arrears for 180 days or more as being defaulted. This definition is more stringent than the servicer's and other comparable transactions in the market. This may partly explain the transaction's higher level of reported defaults compared with S&P's Italian residential mortgage-backed securities (RMBS) index. Once the loan is classified as defaulted under the transaction documents, it remains classified as such, even if reverts to performing. The servicer reports that some of the transaction's defaults are actually former delinquencies that either reverted to performing, or are under an agreed repayment plan; the servicer's systems would not classify them as defaulted. While the amount of these loans varies over time, S&P estimated it to be about a quarter of the transaction's defaulted balance as of March 2014. Regardless of the transaction's absolute defaulted amounts, S&P noted that the transaction's performance has deteriorated over the past year: The increasing new defaults and the subsequently increasing gap with the available excess spread have rapidly increased the PDL's uncured balance. The cumulative default ratios have some structural implications for the transaction, as they may alter the priority of payments. Firstly, the cumulative default triggers are based on these ratios. The triggers may allow the issuer to defer interest on the class B and/or C notes. If the cumulative default ratio exceeds 15% then the issuer can no longer use principal collections to mitigate interest shortfalls on the class B and C notes, whose interest payments may be deferred.The same mechanism only applies to the class C notes when the cumulative default ratio exceeds 7%. The second impact is on the PDL. The PDL has three subledgers, each for the class A, B, and class C notes. They record defaults and interest shortfalls on previous payment dates. These deficiencies are first allocated to the class C notes' PDL up to their outstanding principal amount. The deficiencies are then debited in reverse sequential order as long as the debit balance on each subledger is lower than the relevant tranche's outstanding principal amount. However, if the overall level of cumulative defaults exceeds 15%, the entire principal deficiency amount is allocated exclusively to the class A notes' PDL, and the issuer prioritises curing the principal deficiency above paying the class B and C notes' interest. As of the March 2014 payment date, the cumulative default ratio increased to 10.65% from 8.57% in January 2013. According to our projections, the trigger is likely to be hit within the next three years, given the fast pace of new defaults. Once hit, the class B notes' interest payments would likely stop, in light of the aforementioned mechanism and the large debit on the PDL. The cash reserve, which is meant to be available to mitigate defaults, has a EUR37.2 million target amount. However, it has been fully depleted since the April 2010 payment date. If S&P only considers the transaction's performing balance, the available credit enhancement has decreased for all classes of notes; the class B notes now have negative credit enhancement. Recoveries on the defaulted balance are expected to flow into the transaction. However, in S&P's opinion, the timing is expected to be uncertain and S&P assumes that it may take up to several years to materialize the recoveries. "In our cash flow analysis, we ran a number of scenarios to test the structure's ability to meet timely payment of interest and ultimate repayment of principal on the rated notes. We also considered the likelihood of the class B notes' interest being deferred as a result of the transaction's structural features. In our opinion, this is likely to happen within the next three years. We have therefore lowered to 'BB (sf)' from 'A (sf)' our rating on the notes. Taking into account the results of our credit and cash flow analysis, we consider the available credit enhancement for the class A1 and A2 notes to be commensurate with our currently assigned ratings. We have therefore affirmed our ratings on these notes. The breach of the cumulative default triggers is expected to protect payments on the class A notes," S&P said. "The class C notes' interest is already being deferred, as the trigger was hit when the cumulative default ratio reached 7%. As the class C notes continue to default on their interest payments, we have affirmed our 'D (sf)' rating on these notes," S&P said. Capital Mortgage's series 2007-1 securitizes a pool of performing mortgage loans, which Banca di Roma originated, that are secured on Italian residential properties. RATINGS LIST Capital Mortgage S.r.l. EUR2.479 bil mortgage-backed floating-rate notes series 2007-1 Rating Class Identifier To From A1 IT0004222532 AA (sf) AA (sf) A2 IT0004222540 AA (sf) AA (sf) B IT0004222557 BB (sf) A (sf) C IT0004222565 D (sf) D (sf) CARLYLE GLOBAL: S&P Assigns Prelim. 'Bsf' Rating on Cl. F Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Carlyle Global Market Strategies CLO 2014-2 Ltd./Carlyle Global Market Strategies CLO 2014-2 LLC's $566.50 million floating-rate notes. The note issuance is a CLO transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of May 20, 2014. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- The transaction's 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 0.2228%-13.8385%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment interest diversion test, a failure of which will lead to the reclassification of up to 50% of available excess interest proceeds as principal proceeds, which will be available before paying uncapped administrative expenses and fees, collateral manager subordinate and incentive fees, and subordinate note payments to principal proceeds to purchase additional collateral obligations during the reinvestment period. The weighted average spread of the identified portfolio collateral is 3.56%, which is less than the 3.80% minimum covenanted by the transaction documents. At this time, the transaction benefits from LIBOR floors in the underlying portfolio collateral, which increases the weighted average spread of the identified portfolio collateral to 4.57%. If LIBOR floors are no longer applicable, this transaction may not generate sufficient interest to make its payment obligations. PRELIMINARY RATINGS ASSIGNED Carlyle Global Market Strategies CLO 2014-2 Ltd./ Carlyle Global Market Strategies CLO 2014-2 LLC Class Rating Amount (mil. $) A AAA (sf) 377.00 B AA (sf) 80.00 C (deferrable) A (sf) 40.00 D (deferrable) BBB (sf) 31.50 E (deferrable) BB (sf) 26.40 F (deferrable) B (sf) 11.60 Subordinated notes NR 51.00 NR-Not rated. CEDAR FUNDING III: S&P Rates Class E Notes 'BBsf' ------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Cedar Funding III CLO Ltd./Cedar Funding III CLO LLC's $347.50 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect: -- 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 . -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.2654%-12.8655%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of up to 50.00% of excess interest proceeds that are available before paying uncapped administrative expenses and fees, collateral manager subordinated and incentive management fees, and subordinated note payments to principal proceeds to purchase additional collateral assets during the reinvestment period. RATINGS ASSIGNED Cedar Funding III CLO Ltd./Cedar Funding III CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 184.00 A-F AAA (sf) 50.00 B-1 AA (sf) 38.50 B-F AA (sf) 14.00 C (deferrable) A (sf) 24.00 D (deferrable) BBB (sf) 19.50 E (deferrable) BB (sf) 17.50 Subordinated notes NR 41.50 NR-Not rated. CIFC FUNDING 2007-III: Moody's Hikes Rating on Cl. D Notes to Ba3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by CIFC Funding 2007-III, Ltd.: $64,750,000 Class A-1-J Senior Secured Floating Rate Notes due July 2021, Upgraded to Aaa (sf); previously on October 14, 2011 Confirmed at Aa1 (sf) $22,000,000 Class A-2 Senior Secured Floating Rate Notes due July 2021, Upgraded to Aaa (sf); previously on October 14, 2011 Upgraded to Aa3 (sf) $35,000,000 Class B Senior Secured Deferrable Floating Rate Notes due July 2021, Upgraded to A1 (sf); previously on October 14, 2011 Upgraded to Baa1 (sf) $18,250,000 Class C Senior Secured Deferrable Floating Rate Notes due July 2021, Upgraded to Baa3 (sf); previously on October 14, 2011 Upgraded to Ba1 (sf) $17,750,000 Class D Secured Deferrable Floating Rate Notes due July 2021, Upgraded to Ba3 (sf); previously on October 14, 2011 Upgraded to B1 (sf) Moody's also affirmed the ratings on the following notes: $205,500,000 Class A-1-S Senior Secured Floating Rate Notes due July 2021, Affirmed Aaa (sf); previously on August 29, 2007 Assigned Aaa (sf) $50,000,000 Class A-1-R Senior Secured Variable Funding Notes due July 2021, Affirmed Aaa (sf); previously on August 29, 2007 Assigned Aaa (sf) CIFC Funding 2007-III, Ltd., issued in July 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in July 2014. Ratings Rationale These rating actions reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in July 2014. In light of the reinvestment restrictions during the amortization period, and therefore the limited ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will maintain a positive buffer relative to certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF), higher weighted average spread (WAS) and higher diversity score compared to their covenant levels. Moody's modeled WARF, WAS and diversity of 2632, 3.48% and 80 compared to the covenant levels of 2950, 2.73% and 67. Moody's also notes that the transaction's reported overcollateralization ratios are stable. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. 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. Realization of higher than assumed recoveries would positively impact the CLO. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2106) Class A-1-S: 0 Class A-1-R: 0 Class A-1-J: 0 Class A-2: 0 Class B: +3 Class C: +3 Class D: +1 Moody's Adjusted WARF + 20% (3158) Class A-1-S: 0 Class A-1-R: 0 Class A-1-J: 0 Class A-2: -1 Class B: -2 Class C: -1 Class D: -1 Loss and Cash Flow Analysis: 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," published in February 2014. The key model inputs Moody's used in its analysis, such as par, WARF, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $433.7 million, defaulted par of $2.9 million, a weighted average default probability of 19.00% (implying a WARF of 2632), a weighted average recovery rate upon default of 49.6%, a diversity score of 80 and a WAS of 3.48%. Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. COMSTOCK FUNDING: S&P Raises Rating on Class D Notes From BB+ ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, A-3, B, C, and D notes from Comstock Funding Ltd., a U.S. collateralized loan obligation transaction managed by Silvermine Capital Management LLC, and removed them from CreditWatch, where S&P placed them with positive implications on Feb. 21, 2014. At the same time, S&P affirmed its 'AAA (sf)' ratings on the class A- 1A and A-1B notes from the same transaction. The transaction's reinvestment period ended in May 2013 and it has begun paying down the class A-1A and A-1B notes, which are pari passu. Their current balances are about 53% of their original balances, down from 86% in May 2012. The notes received pay downs before our May 2012 rating actions because some of the coverage tests had failed in the past. The upgrades mainly reflect the continued paydowns and the subsequent increase in the overcollateralization (O/C) available to support the notes. According to the April 15, 2014, monthly trustee report, the O/C ratios were as follows: -- The class A O/C ratio was 146.46%, up from a reported 129.91% in the April 2012 report, which S&P used for its May 2012 rating actions; -- The class B O/C ratio was 131.34%, up from 121.26% in April 2012; -- The class C O/C ratio was 118.80%, up from 113.07% in April 2012; and -- The class D O/C ratio was 113.22%, up from 109.26% in April 2012. Defaults declined to $866,000 in par in April 2014, down from $6.06 million in April 2012. In addition, the portfolio's credit quality improved during this period, which further increased the cushion available to support the ratings at their previous levels. The affirmations on classes A-1A and A-1B reflect the availability of adequate credit support at the current rating levels. S&P's review of this transaction included a cash flow analysis to estimate future performance, based on the portfolio and transaction as reflected in the aforementioned trustee report. In line with S&P's criteria, its cash flow scenarios applied forward- looking assumptions on the expected default timing, pattern, and recoveries 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 rating actions as it deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Comstock Funding Ltd. Cash flow Previous implied Cash flow Final Class rating rating cushion(i) rating A-1A AAA (sf) AAA (sf) 31.05% AAA (sf) A-1B AAA (sf) AAA (sf) 31.05% AAA (sf) A-2 AA+ (sf)/Watch Pos AAA (sf) 21.65% AAA (sf) A-3 AA+ (sf)/Watch Pos AAA (sf) 11.42% AAA (sf) B A+ (sf)/Watch Pos AA+ (sf) 9.19% AA+ (sf) C BBB (sf)/Watch Pos A+ (sf) 2.76% A+ (sf) D BB+ (sf)/Watch Pos BBB+ (sf) 3.07% BBB+ (sf) (i)The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-1B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-3 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) C A+ (sf) A- (sf) A+ (sf) A+ (sf) A+ (sf) D BBB+ (sf) BBB- (sf) BBB+ (sf) BBB+ (sf) BBB+ (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, we biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A-1A AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-1B AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-3 AAA (sf) AAA (sf) AA+ (sf) AAA (sf) B AA+ (sf) AA+ (sf) A+ (sf) AA+ (sf) C A+ (sf) A+ (sf) BB- (sf) A+ (sf) D BBB+ (sf) BBB+ (sf) CCC (sf) BBB+ (sf) RATINGS RAISED AND REMOVED FROM CREDITWATCH Comstock Funding Ltd. Rating Class To From A-2 AAA (sf) AA+ (sf)/Watch Pos A-3 AAA (sf) AA+ (sf)/Watch Pos B AA+ (sf) A+ (sf)/Watch Pos C A+ (sf) BBB (sf)/Watch Pos D BBB+ (sf) BB+ (sf)/Watch Pos RATINGS AFFIRMED Comstock Funding Ltd. Class Rating A-1A AAA (sf) A-1B AAA (sf) CONNECTICUT VALLEY: S&P Raises Rating on 2 Note Classes to 'BB' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, A-3A, A-3B, C-1, and C-2 notes from Connecticut Valley Structured Credit CDO III Ltd. (CVSC III), a U.S. corporate collateralized debt obligation (CDO) of CDO transactions managed by Babson Capital Management LLC, and removed them from CreditWatch, where S&P placed them with positive implications on Jan. 24, 2014. The upgrades primarily reflect paydowns to the senior notes, as well as improvements in the underlying collateral. CVSC III's reinvestment period ended in March 2011, and all of the principal proceeds have been used to pay down the notes. The transaction paid down the class A-1 notes by $34.01 million since our July 2013 rating actions, leaving 20.96% of the notes' original notional balance. As a result, the credit support available to the notes has increased, resulting in higher overcollateralization (O/C) ratios than July 2013; the class A-3B, B-2, and C-2 notes' O/C ratios have improved by 19.47%, 8.97%, and 6.55%, respectively. In addition, CVSC III now holds only one defaulted asset with a par amount of $4.0 million according to the April 25, 2014, trustee report, which S&P used for its rating actions. CVSC III's underlying pool consists of tranches from various collateralized loan obligations (CLOs). The underlying CLO tranches have significantly improved in collateral quality and are delevering, leading to better credit support available across their capital structures. As a result, S&P upgraded about $128.88 million in par since its July 2013 rating actions. This upgraded collateral par is about 93.77% of the current pool. S&P will continue to review whether, in its view, our current 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. RATINGS LIST Connecticut Valley Structured Credit CDO III Ltd. Rating Rating Class Identifier To From A-1 20779MAA6 AA (sf) A- (sf)/Watch Pos A-2 20779MAC2 AA- (sf) BBB+ (sf)/Watch Pos A-3A 20779MAE8 BBB+ (sf) BB+ (sf)/Watch Pos A-3B 20779MAG3 BBB+ (sf) BB+ (sf)/Watch Pos C-1 20779MAN8 BB (sf) B+ (sf)/Watch Pos C-2 20779MAQ1 BB (sf) B+ (sf)/Watch Pos CORNERSTONE CLO: Moody's Affirms B1 Rating on Class D Notes ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Cornerstone CLO Ltd: $51,500,000 Class A-1-J Senior Secured Floating Rate Notes Due 2021, Upgraded to Aaa (sf); previously on August 17, 2011 Confirmed at Aa1 (sf); $34,500,000 Class A-2 Senior Secured Floating Rate Notes Due 2021, Upgraded to Aa2 (sf); previously on August 17, 2011 Upgraded to Aa3 (sf). Moody's also affirmed the ratings on the following notes: $462,500,000 Class A-1-S Senior Secured Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on August 29, 2007 Assigned Aaa (sf); $34,000,000 Class B Senior Secured Deferrable Floating Rate Notes Due 2021, Affirmed Baa1 (sf); previously on August 17, 2011 Upgraded to Baa1 (sf); $24,000,000 Class C Senior Secured Deferrable Floating Rate Notes Due 2021, Affirmed Ba1 (sf); previously on August 17, 2011 Upgraded to Ba1 (sf); $21,500,000 Class D Secured Deferrable Floating Rate Notes Due 2021, Affirmed B1 (sf); previously on August 17, 2011 Upgraded to B1 (sf). Cornerstone CLO Ltd, issued in July 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in July 2014. Ratings Rationale These rating actions reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in July 2014. In light of the reinvestment restrictions during the amortization period, and therefore the limited ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will maintain a positive buffer relative to certain covenant requirements. In particular, Moody's assumed that the deal will benefit from higher spread and coupon levels compared to the covenant levels. Moody's also notes that the transaction's reported OC ratios have been stable since April 2013. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. 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. Realization of higher than assumed recoveries would positively impact the CLO. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2148) Class A-1-S: 0 Class A-1-J: 0 Class A-2: +2 Class B: +3 Class C: +2 Class D: +1 Moody's Adjusted WARF + 20% (3222) Class A-1-S: 0 Class A-1-J: -1 Class A-2: -2 Class B: -2 Class C: -1 Class D: -2 Loss and Cash Flow Analysis: 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," published in February 2014. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor (WARF), diversity score, weighted average spread and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $638.75 million, defaulted par of $8.4 million, a weighted average default probability of 17.2% (implying a WARF of 2685), a weighted average recovery rate upon default of 50.71%, a diversity score of 52 and a weighted average spread of 3.09%. Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. CREDIT SUISSE 2001-CK3: Moody's Affirms Ratings on 2 Cert Classes ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of two CMBS classes of Credit Suisse First Boston Mortgage Securities Corp. Commercial Pass-Through Certificates, Series 2001-CK3 as follows: Cl. J, Affirmed C (sf); previously on Jul 12, 2013 Affirmed C (sf) Cl. A-X, Affirmed Caa3 (sf); previously on Jul 12, 2013 Affirmed Caa3 (sf) Ratings Rationale The rating of the P&I class is consistent with Moody's expected loss and thus is affirmed. The IO class was affirmed based on the credit performance of its referenced classes. Moody's rating action reflects a base expected loss of 7.5% of the current balance compared to 14.3% at Moody's last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan pay downs or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Description of Models Used Moody's used the excel-based Large Loan Model v 8.7 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. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. Deal Performance As of the May 16, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $6.3 million from $1.1 billion at securitization. The Certificates are collateralized by six mortgage loans ranging in size from less than 1% to 42% of the pool. One loan representing 2% of the pool has defeased and is secured by U.S. Government securities. There is one loan on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of our ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirty loans have been liquidated from the pool, resulting in an aggregate realized loss of $66.6 million (35% loss severity). Currently there are no loans in special servicing. Moody's was provided with full year 2012 and 2013 operating results for 100% of the pool's non-defeased loans. Moody's weighted average LTV is 73% compared to 54% 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 9.1%. Moody's actual and stressed DSCRs are 1.15X and 2.13X, respectively, compared to 1.40X and 2.42X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three loans represent 88% of the pool. The largest loan is the Falcon Pointe Apartments Loan ($2.6 million -- 42% of the pool). The loan is secured by a 112-unit multifamily property southwest of Houston in Rosenberg, Texas. The property was 99% leased as of March 2014 compared to 98% at last review. Moody's current LTV and stressed DSCR are 58% and 1.68X, respectively, compared to 59% and 1.66X at last review. The second largest loan is the Vista Pointe Apartments Loan ($1.8 million -- 29% of the pool). The loan is secured by a 44-unit multifamily property located in Reno, Nevada. The property was 98% leased as of December 2013 compared to 93% as of March 2013. This loan is on the watchlist due to low DSCR. Moody's LTV and stressed DSCR are 117% and 0.86X, respectively, compared to 136% and 0.74X at last review. The third largest loan is the Richmond Green Apartments Loan ($1.0 million -- 17% of the pool). The loan is secured by a 60-unit multifamily property located in Richmond, Kentucky. The property was 100% leased as of December 2013 compared to 98% as of December 2012. Moody's current LTV and stressed DSCR are 74% and, 1.32X respectively, compared to 72% and 1.36X at last review. CREDIT SUISSE 2003-CK2: Moody's Hikes Cl. K Certs Rating to Caa1 ---------------------------------------------------------------- Moody's Investors Service has upgraded one class and affirmed the ratings on two classes in Credit Suisse First Boston Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates, Series 2003-CK2 as follows: Cl. K, Upgraded to Caa1 (sf); previously on Jun 13, 2013 Affirmed Caa3 (sf) Cl. L, Affirmed Ca (sf); previously on Jun 13, 2013 Affirmed Ca (sf) Cl. A-X, Affirmed Caa3 (sf); previously on Jun 13, 2013 Downgraded to Caa3 (sf) Ratings Rationale The rating on the P&I class was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 61% since Moody's last review. The rating on the P&I class was affirmed because the rating is consistent with Moody's expected loss. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 54% of the current balance, compared to 52% at Moody's last review. Moody's base expected loss plus realized losses is now 4.4% of the original pooled balance, compared to 4.7% at the last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 74% of the pool is in special servicing and performing conduit loans only represent 26% of the pool. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. Description of Models Used Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of four, the same as at Moody's last review. Moody's review incorporated the use of the excel-based Large Loan Model v 8.7. 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. Deal Performance As of the April 17, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 97.7% to $22.5 million from $988 million at securitization. The certificates are collateralized by five mortgage loans ranging in size from just over 7% to 40% of the pool, with the top ten loans constituting 100% of the pool. Two loans, constituting 26% of the pool, are on the master servicer's watchlist. The watchlist includes loans that 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, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $31 million (for an average loss severity of 41%). Three loans, constituting 74% of the pool, are currently in special servicing. The largest specially serviced loan is the Abbotts Village Shopping Center (for $9 million -- 40% of the pool), which is secured by a 110,000 SF shopping center in Alpharetta, GA. The loan transferred to special servicing in 2012 for maturity default. Current occupancy is 85% and the largest tenant (51%) has a lease expiration in February 2015. The remaining two specially serviced loans are secured by a retail shopping center and an industrial property. Moody's estimates an aggregate $10 million loss for the specially serviced loans (60% expected loss on average). Moody's has assumed a high default probability for two poorly performing loans, constituting 26% of the pool, and has estimated an aggregate loss of $2 million (a 38% expected loss based on a 75% probability default) from these troubled loans. Moody's received full year 2012 operating results for 100% of the pool, and full or partial year 2013 operating results for 50%. CREDIT SUISSE 2005-C3: Moody's Cuts Rating on Class E Certs to C ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on ten classes and downgraded the rating on one class in Credit Suisse First Boston Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2005-C3 as follows: Cl. A-1-A, Affirmed Aaa (sf); previously on Jun 13, 2013 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jun 13, 2013 Affirmed Aaa (sf) Cl. A-J, Affirmed Baa1 (sf); previously on Jun 13, 2013 Affirmed Baa1 (sf) Cl. A-M, Affirmed Aa1 (sf); previously on Jun 13, 2013 Affirmed Aa1 (sf) Cl. B, Affirmed B2 (sf); previously on Jun 13, 2013 Affirmed B2 (sf) Cl. C, Affirmed Caa2 (sf); previously on Jun 13, 2013 Affirmed Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Jun 13, 2013 Affirmed Caa3 (sf) Cl. E, Downgraded to C (sf); previously on Jun 13, 2013 Affirmed Ca (sf) Cl. F, Affirmed C (sf); previously on Jun 13, 2013 Affirmed C (sf) Cl. A-X, Affirmed Ba3 (sf); previously on Jun 13, 2013 Affirmed Ba3 (sf) Cl. A-Y, Affirmed Aaa (sf); previously on Jun 13, 2013 Affirmed Aaa (sf) Ratings Rationale The ratings on P&I classes A-1-A through B were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on P&I classes C, D and F were affirmed because the ratings are consistent with Moody's expected loss. The rating on P&I Class E was downgraded due to realized and anticipated losses from specially serviced and troubled loans that were higher than Moody's had previously expected. The ratings on the IO classes were affirmed based on the credit performance (or the weighted average rating factor or WARF) of their referenced classes. Moody's rating action reflects a base expected loss of 6.0% of the current balance compared to 4.6% at Moody's last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology underlying the rating action The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. Description of Models Used Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses 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 Moody's uses to estimate Moody's value). Conduit model results at the B2 (sf) level are based on a paydown analysis using the individual loan- level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on 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, Moody's merges the credit enhancement for loans with investment-grade structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured credit assessments in the same transaction. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 25 compared to 30 at Moody's last review. Deal Performance As of the May 16, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 37% to $1.03 billion from $1.64 billion at securitization. The certificates are collateralized by 152 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans constituting 41% of the pool. Thirty-seven loans, constituting 8% of the pool, are secured by residential co-ops located primarily in New York City. These co-op loans have aaa (sca.pd) structured credit assessments. Twelve loans, constituting 10% of the pool, have defeased and are secured by US government securities. Twenty-four loans, constituting 10% of the pool, are on the master servicer's watchlist. The watchlist includes loans that 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, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Nineteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $98 million (for an average loss severity of 42%). Eleven loans, constituting 6% of the pool, are currently in special servicing. Moody's estimates an aggregate $28 million loss for specially serviced loans (48% expected loss on average). Moody's has assumed a high default probability for ten poorly performing loans, constituting 4% of the pool, and has estimated an aggregate loss of $7 million (a 17% expected loss based on a 46% probability default) from these troubled loans. Moody's received full year 2012 operating results for 98% of the pool, and full or partial year 2013 operating results for 70% of the pool. Moody's weighted average conduit LTV is 91%, compared to 93% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9%. Moody's actual and stressed conduit DSCRs are 1.35X and 1.12X, respectively, compared to 1.36X and 1.11X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 25% of the pool balance. The largest loan is the San Diego Office Park Loan ($133 million -- 13% of the pool), which is secured by a nine-building, 644,540 square foot (SF) Class A office complex located in San Diego, California. The A-note is split into two components: $113 million is allocated to the office park while $20 million is allocated to developable land. In March of 2012 the loan (including the developable land) was assumed by Beacon Capital Partners from MPG Office Trust for $152.5 million. The loan matures in April 2015 and is interest only during its entire term. The property was 93% leased as of December 2013 compared to 84% as of December 2012. Performance has improved due to higher revenues. Moody's LTV and stressed DSCR are 127% and 0.75X, respectively, compared to 129% and 0.73X at the last review. The second largest loan is the 80-90 Maiden Lane Loan ($83 million -- 8% of the pool), which is secured by two Class B office buildings totaling 545,000 SF located in the Financial District of New York, New York. The property was 92% leased as of March 2014 compared to 95% as of December 2012. Moody's LTV and stressed DSCR are 87% and 1.11X, respectively, compared to 89% and 1.09X at the last review. The third largest loan is the Villages at Montpelier Loan ($39 million -- 4% of the pool), which is secured by a 520-unit multifamily property located in Laurel, Maryland. The property is 95% leased compared to 96% at last review. Moody's LTV and stressed DSCR are 103% and 0.92X, respectively, the same as at the last review. CREDIT SUISSE 2006-C2: Moody's Cuts Rating on Class B Certs to C ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on nine classes and downgraded the rating on one class of Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-through Certificates, Series 2006-C2 as follows: Cl. A-1-A, Affirmed A1 (sf); previously on Jun 13, 2013 Affirmed A1 (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jun 13, 2013 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jun 13, 2013 Affirmed Aaa (sf) Cl. A-M, Affirmed Ba1 (sf); previously on Jun 13, 2013 Affirmed Ba1 (sf) Cl. A-J, Affirmed Caa3 (sf); previously on Jun 13, 2013 Affirmed Caa3 (sf) Cl. B, Downgraded to C (sf); previously on Jun 13, 2013 Affirmed Ca (sf) Cl. C, Affirmed C (sf); previously on Jun 13, 2013 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Jun 13, 2013 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Jun 13, 2013 Affirmed C (sf) Cl. A-X, Affirmed B1 (sf); previously on Jun 13, 2013 Affirmed B1 (sf) Ratings Rationale The affirmations of classes A-1-A through A-M are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. The ratings of Classes A-J, C, D and E are consistent with Moody's base expected loss and thus are affirmed. The rating of Class B was downgraded due to realized and anticipated losses from specially serviced and troubled loans that were higher than Moody's had previously expected. The rating of the IO class, Class A-X, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 11.6% of the current balance, compared to 10.3% at Moody's last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. Description of Models Used Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses 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 Moody's uses to estimate Moody's value). Conduit model results at the B2 (sf) level are based on a paydown analysis using the individual loan- level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on 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, Moody's merges the credit enhancement for loans with investment-grade structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured credit assessments in the same transaction. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 60 compared to 63 at Moody's last review. Deal Performance As of the May 16, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 27% to $1.1 billion from $1.4 billion at securitization. The certificates are collateralized by 166 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans constituting 27% of the pool. Four loans, constituting 9% of the pool, have defeased and are secured by US government securities. Forty-six loans, constituting 21% of the pool, are on the master servicer's watchlist. The watchlist includes loans that 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, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $101.2 million (for an average loss severity of 51%). Eight loans, constituting 11% of the pool, are currently in special servicing. The largest specially serviced loan is the Fortunoff Portfolio Loan ($69.5 million 6.6% of the pool), which is secured by a vacant department store located in Westbury, New York. At securitization the loan was secured by two properties occupied by Fortunoff, a luxury home goods and jewelry retailer. One store was located in Woodbridge, New Jersey and the other in Westbury, New York. The loan was transferred to special servicing in January 2009 after the tenant declared bankruptcy and subsequently vacated the properties. The New Jersey property sold August 2011 and sale proceeds were applied to pay down substantial servicer advances. The master servicer deemed the loan non- recoverable in March 2012. The special servicer is pursuing foreclosure. The remaining seven specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $87.3 million loss for the specially serviced loans (75% expected loss on average). Moody's has assumed a high default probability for 16 poorly performing loans, constituting 6.2% of the pool, and has estimated an aggregate loss of $9.9 million (an 15% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2012 and full or partial year 2013 operating results for 99% of the pool. Moody's weighted average conduit LTV is 93% compared to 95% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.33X and 1.12X, respectively, compared to 1.26X and 1.08X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 9% of the pool balance. The largest loan is the Gettysburg Village Loan ($39.1 million -- 3.7% of the pool), which is secured by a 310,000 square foot (SF) outlet center located in Gettysburg, Pennsylvania. As of April 2014, the property was 97% leased compared to 98% at last review. Property performance improved since last review due to an increase in base rents, percentage rents and other income. Moody's LTV and stressed DSCR are 101% and 0.99X, respectively, compared to 115% and 0.87X at last review. The second largest conduit loan is the 75 Maiden Lane Loan ($28.1 million -- 2.7% of the pool), which is secured by a 172,000 SF Class B office building located in the downtown Manhattan. As of March 2014, the property was 95% leased, the same as at last review. Property performance remains stable. Moody's LTV and stressed DSCR are 98% and 1.05X, respectively, compared to 100% and 1.03X at last review. The third largest loan is the Summit Hill Apartment Loan ($26.0 million -- 2.5% of the pool), which is secured by a 411-unit garden-style apartment complex located in Chapel Hill, North Carolina. As of December 2013, the property was 94% leased compared to 95% at last review. The loan converted from interest- only to amortizing in March 2011. Moody's LTV and stressed DSCR are 103% and 0.86X, respectively, compared to 108% and 0.82X at last review. CREDIT SUISSE 2007-TFL1: Moody's Cuts A-X-1 Secs. Rating to Caa2 ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of three classes, affirmed the ratings of three classes and downgraded the rating of one class of Credit Suisse First Boston Mortgage Securities Corp. Commercial Pass-Through Certificates Series 2007-TFL1 as follows: Cl. F, Upgraded to A1 (sf); previously on Jan 24, 2014 Affirmed Ba1 (sf) Cl. G, Upgraded to Ba2 (sf); previously on Jan 24, 2014 Affirmed B1 (sf) Cl. H, Upgraded to B2 (sf); previously on Jan 24, 2014 Affirmed Caa1 (sf) Cl. J, Affirmed Caa2 (sf); previously on Jan 24, 2014 Affirmed Caa2 (sf) Cl. K, Affirmed C (sf); previously on Jan 24, 2014 Affirmed C (sf) Cl. L, Affirmed C (sf); previously on Jan 24, 2014 Affirmed C (sf) Cl. A-X-1, Downgraded to Caa2 (sf); previously on Jan 24, 2014 Affirmed B2 (sf) Ratings Rationale The upgrades are due to increased credit support resulting from loan pay downs. Since Moody's last review the trust has paid down by 59% due to the pay off of two loans, the Hines Portfolio loan and the Renaissance Aruba Beach Resort & Casino loan. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage (DSCR) remaining within acceptable ranges. The rating of the interest-only (IO) Class, Class A-X-1, was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan pay downs or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Description of Models Used Moody's review incorporated the use of the excel-based Large Loan Model v 8.7. 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. Deal Performance As of the May 15, 2014 Payment Date, the transaction's aggregate certificate balance has decreased by 88% to $149.8 million from $1,266 million at securitization due to the pay off of ten loans originally in the trust and the partial pay down of the one remaining loan, the JW Marriott Las Vegas Resort & Spa loan. The trust has cumulative bond losses of $201,649 affecting pooled Class L. The JW Marriott Las Vegas Resort & Spa loan ($149.8 million) is secured by a 548-guestroom full-service hotel with a 56,750 square foot casino and 44,396 square feet of retail/restaurant space. The hotel is located in Summerlin (Las Vegas), Nevada and was constructed in 1999 and renovated in 2006. The hotel was transferred to special servicing in September 2011 as a result of imminent default. The loan matured on November 9, 2011 and went into default as the borrower failed to pay off the loan at maturity. The $159.8 million whole loan includes a $10.0 million junior participation interest that is not included in the trust. An Appraisal Reduction in the amount of $54.1 million was applied in November 2013 based on a November 2012 appraised value of $109.8 million. The loan is current for debt service payments. The borrower was granted a 15-month forbearance until February 8, 2015. All cash flow is being trapped from both the hotel and casino operations. Revenue per available room (RevPAR) declined 3.3% to $98.20 in the trailing 12-month period (TTM) ending March 31, 2014 from $101.60 in TTM ending March 31, 2013. However, RevPAR of $98.20 represents an 8% increase over RevPAR in TTM ending March 2012. CREST LTD 2004-1: S&P Raises Rating on 8 Note Classes to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services raised its rating on the class A notes from Crest 2004-1 Ltd., a collateralized debt obligation (CDO) of commercial mortgage-backed securities (CMBS) transaction, and removed it from CreditWatch, where it was placed with positive implications on Jan. 24, 2014. Additionally, S&P lowered its ratings on the class D, E-1, E-2, F, G-1, G-2, H-1, and H-2 notes and affirmed its ratings on the class B-1, B-2, C-1, and C-2 notes from the same transaction. The upgrade on the class A notes primarily reflects deleveraging in the transaction. Since S&P's July 2012 rating actions, the class A notes have been paid down more than $108 million to 3.68% of their original balance. As a result, the overcollateralization (O/C) available to support the senior rated notes (classes A, B-1, and B-2) has increased. The trustee reported a 139.68% senior O/C ratio in the April 2014 monthly report, compared with 114.05% noted in the May 2012 report, which S&P used for its July 2012 downgrade. However, all notes except the class A, B-1, and B-2 notes are currently deferring their interest, thereby increasing the total balance due on the notes and causing the other O/C ratios to fail their trigger values significantly. S&P lowered its ratings on the class D, E-1, E-2, F, G-1, G-2, H- 1, and H-2 notes to 'D (sf)' based on its criteria, "Principles For Rating Debt Issues Based On Imputed Promises," published on Oct. 24, 2013, and S&P's belief that there is virtual certainty the note balances and capitalized interest on these classes will not be repaid in full at or before maturity. Additionally, according to the trustee report dated April 23, 2014, the transaction had $99 million in defaulted assets. Most of the remaining assets in the portfolio are mezzanine tranches of their respective CMBS transactions and have not started amortizing. The affirmed ratings on the class B-1, B-2, C-1, and C-2 notes reflect the large note balances that need to get paid from the amortization in the collateral pool and are consistent with the credit support available at their current rating levels. RATINGS LIST Crest 2004-1 Ltd. Rating Rating Class Identifier To From A 22608WAA7 BBB (sf) BB- (sf)/Watch Pos B-1 22608WAJ8 CCC+ (sf) CCC+ (sf) C-1 22608WAL3 CCC- (sf) CCC- (sf) D 22608WAD1 D (sf) CC (sf) E-1 22608WAN9 D (sf) CC (sf) F 22608WAF6 D (sf) CC (sf) G-1 22608WAQ2 D (sf) CC (sf) H-1 22608WAS8 D (sf) CC (sf) B-2 22608WAK5 CCC+ (sf) CCC+ (sf) C-2 22608WAM1 CCC- (sf) CCC- (sf) E-2 22608WAP4 D (sf) CC (sf) G-2 22608WAR0 D (sf) CC (sf) H-2 22608WAT6 D (sf) CC (sf) CW CAPITAL: Moody's Affirms 'C' Rating on 8 Note Classes -------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by CW Capital COBALT II, Ltd. Cl. A-1A, Affirmed Baa2 (sf); previously on Jun 19, 2013 Affirmed Baa2 (sf) Cl. A-1AR, Affirmed Baa2 (sf); previously on Jun 19, 2013 Affirmed Baa2 (sf) Cl. A-1B, Affirmed Caa2 (sf); previously on Jun 19, 2013 Downgraded to Caa2 (sf) Cl. A-2B, Affirmed B1 (sf); previously on Jun 19, 2013 Downgraded to B1 (sf) Cl. B, Affirmed Caa3 (sf); previously on Jun 19, 2013 Affirmed Caa3 (sf) Cl. C, Affirmed C (sf); previously on Jun 19, 2013 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Jun 19, 2013 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Jun 19, 2013 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Jun 19, 2013 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Jun 19, 2013 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Jun 19, 2013 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Jun 19, 2013 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Jun 19, 2013 Affirmed C (sf) Ratings Rationale Moody's has affirmed the ratings of 13 classes because the key transaction metrics are commensurate with existing ratings. The reduction in weighted average recovery rate (WARR) has been offset by the reduction in weighted average rating factor (WARF) and amortization of the pool's collateral assets. The affirmation is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and ReRemic) transactions. CW Capital COBALT II, Ltd is a static cash transaction backed by a portfolio of: i) commercial mortgage backed securities (CMBS) (97.4% of the current pool balance); ii) CRE CDOs (2.5%); and iii) and whole loans (0.1%). As of the April 28, 2014 note valuation report, the aggregate note balance of the transaction, including preferred shares, has decreased to $361.3 million from $600.0 million at issuance as a result of regular amortization of the underlying collateral, recovery from defaulted assets, and failure of certain par value tests. The pool contains 16 assets totaling $110.6 million (37.9% of the collateral pool balance) that are listed as defaulted securities as of the April 21, 2014 trustee report. Fifteen of these assets (99.7% of the defaulted balance) are CMBS, and one asset is a whole loan (0.3%). While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate losses to occur on the defaulted securities. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: WARF, the weighted average life (WAL), WARR, and Moody's asset correlation (MAC). Moody's typically models these 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 updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 4656, compared to 5196 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 (15.7% compared to 18.2% at last review), A1-A3 (0.0% compared to 2.7% at last review), Baa1-Baa3 (24.0% compared to 16.5% at last review), Ba1-Ba3 (3.4% compared to 4.7% at last review), B1-B3 (13.7% compared to 7.4% at last review), and Caa1-C (43.2% compared to 50.5% at last review). Moody's modeled a WAL of 3.4 years, compared to 3.6 years at last review. The WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 6.6%, compared to 23.1% at last review. Moody's modeled a MAC of 18.1%, compared to 11.9% at last review. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in March 2014. Factors that would lead to an upgrade or downgrade of the rating: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to 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 performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. Holding all other key parameters static, reducing the recovery rate by 5% would result in modeled rating movement on the rated notes of 0 to 1 notches downward (e.g. one notch down implies a rating movement from Baa3 to Ba1). Increasing the recovery rate by 10% would result in modeled rating movement on the rated notes of 0 to 2 notches upward (e.g. one notch up implies a rating movement from Ba1 to Baa3). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and commercial real estate property markets. Commercial real estate property values continue to improve modestly, 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, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. DLJ MORTGAGE 2000-CKP1: Moody's Affirms Ratings on 2 CMBS Classes ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes in DLJ Mortgage Corporation, Series 2000-CKP1 as follows: Cl. B-5, Affirmed C (sf); previously on Jul 18, 2013 Affirmed C (sf) Cl. S, Affirmed Caa3 (sf); previously on Jul 18, 2013 Downgraded to Caa3 (sf) Ratings Rationale The rating on the P&I class was affirmed because the rating is consistent with Moody's expected loss. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 36.6% of the current balance compared to 35.7% at Moody's last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 83% of the pool is in special servicing or on the servicer's watchlist and performing conduit loans only represent 17% of the pool. In this approach, Moody's determines a probability of default for each specially serviced or troubled loan that it expects will generate a loss and estimates a loss given default based on a review of information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). Description Of Models Used Moody's used the excel-based Large Loan Model v 8.7 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. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. Deal Performance As of the May 12, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $17 million from $1.3 billion at securitization. The certificates are collateralized by five mortgage loans ranging in size from less than 8% to 42% of the pool. The pool does not contain any loans with a structured credit assessment or any defeased loans. One loan, constituting 42% of the pool, is on the master servicer's watchlist. The watchlist includes loans that 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, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Fifty-three loans have been liquidated at a loss from the pool, resulting in an aggregate realized loss of $71 million (for an average loss severity of 30%). Two loans, constituting 41% of the pool, are currently in special servicing. The largest specially serviced loan is the 100 Demarest Drive Loan ($5 million -- 28.3% of the pool), which is secured by a 117,000 square foot (SF) industrial property located in Wayne Township, New Jersey. The property transferred to special servicing in July 2010 due to imminent maturity default. The property is now fully leased up from 45% leased at last review. The special servicer is proceeding with foreclosure. The second specially serviced loan is the Cambridge Court Retirement Community Loan ($2 million -- 13.1%), which is secured by an assisted living and memory care community located in Great Falls, Montana. The loan has been in special servicing since January 2008. The property was 55% leased as of March 2014. The special servicer intends to market the property for sale in a June 2014 online auction. Moody's estimates an aggregate $5 million loss for the specially serviced loans (68 % expected loss on average). Moody's has assumed a high default probability for one poorly performing loan, the Streetsboro Market Square Loan ($7 million -- 41.5%). The loan is currently on the watchlist, but has been in and out of special servicing since its initial July 2009 maturity default. The collateral is a 139,000 SF grocery-anchored strip center located in Streetsboro, Ohio. Giant Eagle, the anchor tenant, has been dark for several years. Giant Eagle is honoring its lease, which expires in September 2015. The borrower has been unable to refinance the property due to the dark anchor tenant. Moody's expects this loan to transfer back to special servicing due to the borrower's inability to repay or refinance the loan ahead of its July 2014 extended maturity. Moody's received full year 2012 and full or partial year 2013 operating results for 100% of the pool. The performing portion of the pool (excluding specially serviced and troubled loans) consists of two loans representing 17% of the pool balance. The largest performing loan is the Boston Square Shopping Center Loan ($2 million -- 9.4% of the pool), which is secured by 39,000 SF retail property located in Strongsville, Ohio. The loan was previously in special servicing, but was modified in July 2013 and subsequently returned to the master servicer. The loan modification included an interest rate reduction, maturity date extension and amortization schedule acceleration. The loan is current and the collateral is 82% leased as of April 2014. Moody's LTV and stressed DSCR are 97% and 1.42X, respectively. The other conduit loan is the Colony Square Apartments Loan ($1 million -- 7.7% of the pool), which is secured by184 unit apartment complex located in Shreveport, Louisiana. The property was 89% leased as of December 2013 compared to 95% as of December 2012. The loan is fully amortizing and has amortized 46% since securitization. Moody's LTV and stressed DSCR are 29% and 3.31X, respectively, compared to 24% and 4.13X at the last review. EMERSON PLACE: S&P Affirms 'B+' Rating on Class D Notes ------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class A notes from Emerson Place CLO Ltd., a U.S. collateralized loan obligation (CLO) managed by Feingold OKeeffe Capital LLC. In addition, S&P affirmed its ratings on the class B, C, D, and E notes. S&P also removed all of these ratings from CreditWatch, where it placed them with positive implications on Feb. 21, 2014. The rating actions follow S&P's review of the transaction's performance using data from the May 5, 2014, trustee report. The upgrade reflects a $86.05 million paydown to the class A notes, as well as general improvement in the credit quality of the underlying collateral since S&P's May 2012 rating actions. The affirmed ratings reflect S&P's concerns regarding a large concentration in assets that mature after the notes' stated maturity, as well as S&P's belief that the credit support available is commensurate with the current rating levels. Post-reinvestment period principal amortization has resulted in paydowns to the class A notes which have improved the transaction's senior and mezzanine overcollateralization ratio tests. The class A notes' remaining balance is 66.09% of its original par balance at issuance. According to the May 2014 trustee report, the transaction held $3.79 million in underlying collateral obligations that it considers defaulted. This was down from $8.97 million in defaulted obligations noted in the May 2012 trustee report, which S&P used for its May 2012 rating actions. The amount of 'CCC' rated collateral held in the transactions asset portfolio also decreased since S&P's last rating action. According to the May 2014 trustee report, the transaction held $10.05 million in assets rated in the 'CCC' range, compared to the $17.63 million noted in the May 2012 trustee report. 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 expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. Although the cash flow analysis pointed to upgrades on the class B and C notes and a 'AAA' rating on the class A notes, S&P believes that there is an increased risk in the transaction due to its significant exposure to long-dated assets (i.e., assets maturing after the stated maturity of the CLO). According to the May 2014 trustee report, the long-dated assets totaled 33.33% of the portfolio, or $75.39 million, a large increase from the $11.25 million in long-dated assets held by the transaction in May 2012. This is primarily due to "amend and extend" agreements on the underlying assets. S&P's analysis considered the potential market value and/or settlement-related risk resulting from the remaining securities' potential liquidation on the transaction's legal final maturity date. S&P's cash flow analysis demonstrated that, under its current criteria assumptions, the class E notes were impaired by the long- dated bucket at the current rating level. S&P believes the class is not at imminent risk for defaultas the size of this bucket could change over time, due to potential prepayments on the underlying collateral and other factors. Therefore, S&P affirmed its rating based on its criteria for assigning 'CCC' ratings. S&P's current ratings actions are not constrained by the application of the largest obligor default test or largest industry default tests, which are supplemental stress tests S&P introduced as part of its 2009 corporate criteria update. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. CAPITAL STRUCTURE AND KEY METRICS COMPARISON Notional Balance (mil. $) Class May 2012 May 2014 A 253.75 167.70 B 30.00 30.00 C 16.00 16.00 D 13.00 13.00 E 11.00 9.74 Coverage tests, WAS (%) Senior O/C 117.43 123.68 Mezzanine O/C 106.55 107.86 Senior I/C 497.20 573.46 Mezzanine I/C 431.42 470.81 WAS 3.97 4.02 O/C-Overcollateralization Test. I/C-Interest Coverage Test. WAS-Weighted average spread. RATINGS LIST Emerson Place CLO Ltd. Rating Class Identifier To From A 291086AA4 AA+ (sf) AA (sf)/Watch Pos B 291086AB2 A (sf) A (sf)/Watch Pos C 291086AD8 BBB- (sf) BBB- (sf)/Watch Pos D 291086AE6 B+ (sf) B+ (sf)/Watch Pos E 29108PAA2 CCC+ (sf) CCC+ (sf)/Watch Pos EXETER AUTOMOBILE 2014-2: S&P Gives Prelim. 'BB' Rating on D Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Exeter Automobile Receivables Trust 2014-2's $500 million automobile receivables-backed notes series 2014-2. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of May 19, 2014. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 48.8%, 40.2%, 32.8%, and 25.3% credit support for the class A, B, C, and D notes, respectively, based on stressed cash flow scenarios (including excess spread), which provide coverage of more than 2.55x, 2.10x, 1.60x, and 1.30x its 17.25%-18.25% expected cumulative net loss. -- The timely interest and principal payments made to the preliminary rated notes by the assumed legal final maturity dates under stressed cash flow modeling scenarios that S&P believes is appropriate for the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A, B, and C notes would remain within one rating category of its preliminary 'AA (sf)', 'A (sf)', and 'BBB (sf)' ratings, respectively, during the first year; and S&P's ratings on the class D notes would remain within two rating categories of its preliminary 'BB (sf)' rating. These potential rating movements are consistent with our credit stability criteria, which outline the outer bound of credit deterioration as a one-category downgrade within the first year for 'AA' rated securities and a two-category downgrade within the first year for 'A' through 'BB' rated securities under the moderate stress conditions. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's payment, credit enhancement, and legal structures. PRELIMINARY RATINGS ASSIGNED Exeter Automobile Receivables Trust 2014-2 Class Rating Type Interest Amount rate (mil. $)(i) A AA (sf) Senior Fixed 317.70 B A (sf) Subordinate Fixed 72.92 C BBB (sf) Subordinate Fixed 53.39 D BB (sf) Subordinate Fixed 55.99 (i) The interest rates and actual sizes of these tranches will be determined on the pricing date. FANNIE MAE 2014-CO2: S&P Assigns Prelim 'BB' Rating on 2M-1 Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Fannie Mae's senior unsecured Connecticut Avenue Securities Series 2014-C02 class 1M-1 and 2M-1 notes. The note issuance is senior unsecured debt of Fannie Mae linked to fully amortizing, first-lien, fixed-rate residential mortgage loans secured by single-family residences, planned-unit developments, condominiums, cooperatives, and manufactured housing to prime borrowers. The preliminary ratings are based on information as of May 20, 2014. 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 by the subordinated reference tranches in each group, as well as the associated structural deal mechanics; -- The credit quality of the collateral included in the reference pools; -- The notes as unsecured general obligations of Fannie Mae ('AA+/Stable/A-1+'): Fannie Mae will make monthly interest payments and periodic principal payments based on each reference pool's credit performance; -- The issuers' experience and vested interest in the deal's performance, which, in S&P's view, enhances the notes' strength; and -- The enhanced credit risk management processes and sophisticated automated processes Fannie Mae uses in conjunction with a new representations and warranties framework. RATINGS LIST Fannie Mae Connecticut Avenue Securities Series 2014-C02 Class Prelim rating Prelim amount (mil. $) 1A-H NR 45,438.021 1M-1 BBB- (sf) 555.575 1M-1H NR 29.967 1M-2 NR 644.467 1M-2H NR 34.761 1B-H NR 140.530 2A-H NR 13,451.090 2M-1 BB (sf) 174.204 2M-1H NR 14.461 2M-2 NR 225.820 2M-2H NR 18.745 2B-H NR 90.839 NR-Not rated. FMC REAL 2005-1: Moody's Affirms 'Caa3' Rating on Class F Notes --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by FMC Real Estate CDO 2005-1 Ltd.: Cl. C, Affirmed A1 (sf); previously on Jun 5, 2013 Upgraded to A1 (sf) Cl. D, Affirmed Ba1 (sf); previously on Jun 5, 2013 Upgraded to Ba1 (sf) Cl. E, Affirmed Caa2 (sf); previously on Jun 5, 2013 Affirmed Caa2 (sf) Cl. F, Affirmed Caa3 (sf); previously on Jun 5, 2013 Affirmed Caa3 (sf) Ratings Rationale Moody's has affirmed the ratings of four classes of notes because the key transaction metrics are commensurate with the existing ratings. The rating actions are the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. FMC Real Estate CDO 2005-1, Ltd is a static cash transaction (the reinvestment period ended in August, 2010) backed by a portfolio of: i) a-notes and whole loans (71.4% of the pool balance); ii) b- note debt (24.3%); and iii) mezzanine interests (4.3%). As of the April 22, 2014 trustee report, the aggregate note balance of the transaction has decreased to $129.7 million from $439.4 million at issuance, as a result of the combination of regular amortization of the collateral pool and recoveries from the resolution and sale of collateral, with the paydown directed to the senior most outstanding class of notes. There was full cancellation of the Class G and Class H Notes in August 2011. Per Moody's special comment, "Junior CDO Note Cancellations Should Concern Senior Noteholders in Structured Transactions," dated June 14, 2010, there is a concern that the cancellation of junior notes can lead to a diversion of cash flow away from the senior notes. During the current review, holding all key parameters static, the full cancellations of the Class G and H Notes in the subject transaction did not result in higher expected losses and longer weighted average lives on the senior Notes, or have opposite effect on mezzanine and junior Notes in order to cause, in and of itself, a downgrade or upgrade of the current rating of the Notes. There are nine assets with a par balance of $95.4 million (68.7% of the collateral pool balance) that are considered impaired securities as of the April 22, 2014 trustee report. Three of these assets are whole loans (50.3% of the impaired balance) and six assets are b-notes (49.7%). Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these 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 updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 8237, compared to 7795 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Ba1-Ba3 and 0% compared to 9.4% at last review, B1-B3 and 7.8% compared to 5.0% at last review, Caa1-Ca/C and 92.2% compared to 85.6% at last review. Moody's modeled a WAL of 2.8 years, compared to 3.5 years at last review. The WAL is based on assumptions about extensions on the underlying exposures. Moody's modeled a fixed WARR of 39.9%, compared to 31.5% at last review. Moody's modeled a MAC of 0%, compared to 100% at last review. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in March 2014. Factors that would lead to an upgrade or downgrade of the rating: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to 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 performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. Increasing the recovery rates by 10% would result in an average modeled rating movement on the rated notes of zero to fourteen notches (e.g., one notch up implies a ratings movement of Ba1 to Baa3). Decreasing the recovery rates by 10% would result in an average modeled rating movement on the rated notes of zero to twelve notches (e.g., one notch down implies a ratings movement of Baa3 to Ba1). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and commercial real estate property markets. Commercial real estate property values continue to improve modestly, 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, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. FOUR CORNERS II: Moody's Puts Ba3 Rating on Cl. E Notes on Review ----------------------------------------------------------------- Moody's Investors Service has placed on review for possible downgrade the rating on the following notes issued by Four Corners CLO II, Ltd.: $11,000,000 Class E Deferrable Floating Rate Notes Due 2020, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on October 15, 2013 Affirmed Ba3 (sf). Moody's also affirmed the ratings on the following notes: $232,000,000 Class A Floating Rate Notes Due 2020 (current outstanding balance of $96,280,317), Affirmed Aaa (sf); previously on October 15, 2013 Affirmed Aaa (sf); $10,500,000 Class B Floating Rate Notes Due 2020, Affirmed Aaa (sf); previously on October 15, 2013 Affirmed Aaa (sf); $21,500,000 Class C Deferrable Floating Rate Notes Due 2020, Affirmed Aa3 (sf); previously on October 15, 2013 Upgraded to Aa3 (sf); $9,500,000 Class D Deferrable Floating Rate Notes Due 2020, Affirmed Baa2 (sf); previously on October 15, 2013 Affirmed Baa2 (sf). Four Corners CLO II, Ltd., issued in January 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended January 2012. Ratings Rationale Moody's announced that it has placed its rating on the Class E notes under review for possible downgrade as a result of concerns over the issuer's growing exposure to securities maturing after the maturity of the notes. According to Moody's, such investments could expose these notes to market risk in the event of liquidation when the notes mature, and that this risk is borne first with the notes that have the lowest priority in the capital structure. Based on the trustee's April 2014 report, securities that mature after the notes do currently make up approximately 12.81% of the portfolio, up from 8.36% as of October 2013. Moody's affirmed its ratings on the Class A, Class B, and Class C notes primarily as a result of moderate deleveraging of the senior notes and a modest increase in the transaction's over- collateralization ratios since the last rating action date in October 2013. Moody's notes that the issuer retains the ability, and has continued, to reinvest certain proceeds after the end of the reinvestment period in January 2012. Based on the trustee's April 2014 report, the over-collateralization (OC) ratios for the Class A/B, Class C, Class D and Class E notes are reported at 143.90%, 120.23%, 112.08% and 103.93%, respectively, versus October 2013 levels of 139.60%, 118.50%, 111.14% and 103.64%, respectively. Despite the increase in the over-collateralization available for the Class D notes, Moody's affirmed its rating on the Class D notes also owing to market risk stemming from the exposure to long-dated assets. Moody's also notes that the credit quality of the portfolio has deteriorated slightly since the last rating action date. Based on Moody's calculation, the weighted average rating factor is currently 2533 compared to 2476 on October 2013. FOUR CORNERS III: S&P Raises Rating on Class E Notes to 'B-' ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class C and E notes from Four Corners CLO III Ltd. At the same time, S&P removed its ratings on the class C, D, and E notes from CreditWatch, where it had placed them with positive implications on Feb. 21, 2014. Four Corners CLO III Ltd. is a collateralized loan obligation (CLO) transaction, managed by Delaware Asset Advisers, that closed in September 2006. The transaction ended its reinvestment period in October 2012. The upgrades primarily reflect paydowns of almost $38 million to the class A notes since the end of the reinvestment period, which have resulted in increased overcollateralization for each of the rated notes. In addition, the trustee report dated April 25, 2014, indicates that the transaction currently holds no defaulted assets, and 'CCC' rated assets total only 2.03% of the aggregate principal balance. S&P notes that about 12.30% of the assets are scheduled to mature after the transaction's maturity. Because of this, S&P rans an additional cash flow sensitivity test that incorporates a haircut to the long-dated assets, consistent with the application of Standard & Poor's market value criteria. S&P's rating on the class D notes was constrained by the application of its supplemental top obligor test. Although this test marginally constrains the class E notes to the 'CCC' rating level, S&P believes that the class E notes do not conform to its definition of a 'CCC' rated security. 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. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Four Corners CLO III Ltd. Cash flow Previous implied Cash flow Final Class rating rating cushion (i) rating A AAA (sf) AAA (sf) 27.31% AAA (sf) B AAA (sf) AAA (sf) 15.93% AAA (sf) C A+ (sf)/Watch Pos AA+ (sf) 4.07% AA+ (sf) D BBB+ (sf)/Watch Pos A- (sf) 0.59% BBB+ (sf) E CCC+ (sf)/Watch Pos B+ (sf) 4.93% B- (sf) (i) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. CORRELATION Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) C AA+ (sf) AA (sf) AA+ (sf) AA+ (sf) AA+ (sf) D A- (sf) BBB+ (sf) BBB+ (sf) A (sf) BBB+ (sf) E B+ (sf) B- (sf) B+ (sf) B+ (sf) B- (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AAA (sf) AAA (sf) AAA (sf) C AA+ (sf) AA+ (sf) A+ (sf) AA+ (sf) D A- (sf) BBB+ (sf) BB+ (sf) BBB+ (sf) E B+ (sf) B+ (sf) CC (sf) B- (sf) RATING AND CREDITWATCH ACTIONS Four Corners CLO III Ltd. Rating Class To From C AA+ (sf) A+ (sf)/Watch Pos D BBB+ (sf) BBB+ (sf)/Watch Pos E B- (sf) CCC+ (sf)/Watch Pos RATINGS AFFIRMED Four Corners CLO III Ltd. Class Rating A AAA (sf) B AAA (sf) GE CAPITAL 2001-3: Fitch Affirms 'D' Ratings on 4 Note Classes -------------------------------------------------------------- Fitch Ratings has affirmed six classes of GE Capital Commercial Mortgage Corporation (GECCMC) commercial mortgage pass-through certificates series 2001-3 due to stable pool performance. Key Rating Drivers The affirmations of the pool's distressed ratings are due to overall stable loss expectations and continued concerns with the increasing concentrations as well as the four loans (57.7%) in special servicing. Fitch modeled losses of 31.6% of the remaining pool; expected losses of the original pool are at 5.9% including losses already incurred to date (4.9%). Fitch has designated four loans (57.7%) as Fitch Loans of Concern of which all are specially serviced. Of the original 133 loans in the pool, 10 remain. The remaining non-specially serviced loans consist of five fully amortizing loans (45.7%) and one-20 year term loan. As of the April 2014 distribution date, the pool's aggregate principal balance has been reduced by 96.7% to $32.2 million from $963.8 million at issuance. Per the servicer reporting, one loan (4.0% of the pool) is currently defeased. Interest shortfalls are currently affecting classes I through N. The largest contributor to expected losses is the real estate owned (REO) 86,763 square foot retail center, Sanbusco Market Center, located in downtown Santa Fe, NM. The center is in the heart of the railyard district and has experienced leasing challenges for the past few years after Borders vacated the property. The special servicer has worked to stabilize the occupancy at the center while instituting a capital improvement plan to modernize the center's infrastructure. The maintenance is scheduled for completion in early spring and disposition options will be evaluated shortly afterward. The second largest contributor to expected losses, Wintonbury Mall, is a 110,949 sf unanchored retail center located in Bloomfield, CO [check if this is CO or CT]. The mall was transferred to the special servicer in Feb. 2010 for payment default. The mall has struggled in recent years as the occupancy at the property dropped to a low of 57% in 2007. The owner has slowly worked in releasing the vacant space and as of second quarter 2013 the subject's occupancy was 83%. The borrower and special servicer continue to negotiate and work on the resolution that is acceptable to all parties. The third largest contributor to expected losses is the REO asset, 10000 San Pedro Office Building, a 19,931 sf office building located in San Antonio, TX. The building transferred to the special servicer in April 2011. The special servicer has worked to renew tenants and raise the occupancy at the building over past few years. One outstanding issue at the subject is litigation dealing with an adjacent property manager over parking. The special servicer indicates that issue should be resolved shortly and intends to evaluate disposition options upon resolution. RATING SENSITIVITIES Concentration risk for the transaction is a primary concern, with over half the pool in special servicing and the composition of the remaining six loans consisting of 80.7% retail. In addition, given the lengthy loan terms and high percentage of near-term paydown expected from disposition proceeds from the specially serviced loans, future upgrades will be limited. Fitch affirms the following classes as indicated: -- $20.3 million class H at 'CCCsf', RE 100%; -- $8.4 million class I at 'Csf', RE 30%; -- $3.3 million class J at 'Dsf', RE 0%; -- $0 class K at 'Dsf', RE 0%; -- $0 class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%. The class A-1, A-2, B, C, D, E, F, and G certificates have paid in full. Fitch does not rate the class N certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. GOLUB CAPITAL 2007-1: Moody's Affirms Ba2 Rating on Class E Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Golub Capital Management CLO 2007-1, Ltd.: $28,000,000 Class B Senior Notes Due 2021, Upgraded to Aaa(sf); previously on July 25, 2013 Upgraded to Aa2 (sf) $32,000,000 Class C Deferrable Mezzanine Notes Due 2021, Upgraded to A1 (sf); previously on July 25, 2013 Affirmed A3(sf) Moody's also affirmed the ratings on the following notes: $369,000,000 Class A Senior Notes Due 2021 (current outstanding balance of $221,809,470.02), Affirmed Aaa (sf); previously on July 25, 2013 Affirmed Aaa (sf) $19,750,000 Class D Deferrable Mezzanine Notes Due 2021, Affirmed Baa3 (sf); previously on July 25, 2013 Affirmed Baa3(sf) $20,250,000 Class E Deferrable Mezzanine Notes Due 2021, Affirmed Ba2 (sf); previously on July 25, 2013 Affirmed Ba2(sf) Golub Capital Management CLO 2007-1, Ltd., issued in July 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans, with significant exposure to middle market loans. The transaction's reinvestment period ended in July 2013. Ratings Rationale These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over- collateralization ratios since July 2013. The Class A notes have been paid down by approximately 40% or $147.6 million since July 2013. Based on the trustee's April 2014 report, the over- collateralization (OC) ratios for the Class A/B, Class C, Class D and Class E notes are reported at 133.35%, 120.67%, 113.98% and 107.85%, respectively, versus July 2013 levels of 125.57%, 116.20%, 111.09% and 106.29%, respectively. Moody's notes the reported April overcollateralization ratios do not reflect the April 30, 2014 payment of $54.8 million to the Class A notes. GOLUB CAPITAL 2007-1: S&P Affirms 'BB' Rating on Class E Notes -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A and B notes from Golub Capital Management CLO 2007-1 Ltd., a cash flow collateralized loan obligation (CLO) transaction managed by Golub Capital Management LLC. At the same time, S&P affirmed its ratings on of the class C, D, and E notes. S&P also removed its ratings on class A, B, and C notes from CreditWatch, where S&P had placed them with positive implications. The transaction is currently in its amortization phase and is paying down the class A notes. The upgrades mainly reflect paydowns of $147.2 million to the class A notes since S&P's March 2012 affirmations. In April 2014, the class A notes outstanding balance was about 60% of the original balance. As a result of the paydowns, overcollateralization (O/C) available to support the rated notes has increased. The trustee reported the following O/C ratios in the April 2014 monthly report: -- The A/B O/C ratio was 133.35%, up from 125.33% in February 2012. -- The C O/C ratio was 120.67%, up from 115.98% in February 2012. -- The D O/C ratio was 113.98%, up from 110.87% in February 2012. -- The E O/C ratio was 107.85%, up from 106.09% in February 2012. S&P's affirmations on the class C, D, and E notes reflect adequate credit support available to the notes at their current rating levels. S&P will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. RATINGS LIST Golub Capital Management CLO 2007-1 Ltd. Rating Class Identifier To From A 38172NAA9 AAA (sf) AA+ (sf)/Watch Pos B 38172NAC5 AA+ (sf) AA (sf)/Watch Pos C 38172NAE1 A (sf) A (sf)/Watch Pos D 38172NAG6 BBB (sf) BBB (sf) E 38172MAA1 BB (sf) BB (sf) GRACE 2014-GRCE: Fitch Assigns 'BB-' Rating on Class F Notes ------------------------------------------------------------ Fitch Ratings has issued a presale report on GRACE 2014-GRCE Mortgage Trust Commercial Mortgage Pass-Through Certificates. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $520,598,000 class A 'AAAsf'; Outlook Stable; -- $594,676,000* class X-A 'AA-sf'; Outlook Stable; -- $74,078,000 class B 'AA-sf'; Outlook Stable; -- $51,324,000 class C 'A-sf; Outlook Stable; -- $18,000,000 class D 'A-sf'; Outlook Stable; -- $96,000,000 class E 'BBB-sf'; Outlook Stable; -- $115,000,000 class F 'BB-sf'; Outlook Stable; -- $25,000,000 class G 'Bsf'; Outlook Stable. * Interest-only class X-A is equal to the notional balance of class A and class B. The expected ratings are based on information provided by the issuer as of May 13, 2014. The certificates represent the beneficial ownership in the issuing entity, the primary asset of which is one loan having an aggregate principal balance of approximately $900 million as of the cutoff date and secured by the fee interest in the Grace Building, a 1.5 million sf office building located in the Grand Central submarket of Manhattan. As of March 2014 the property was 91.2% leased by 41 tenants, with major tenants including HBO (20.7% of NRA), Cooley LP (6.8%), Bain & Company (6.1%), Interpublic Group (6.1%) and Tahari ASL (3.9%). The loan was originated by German American Capital Corporation, Bank of America, National Association, and JPMorgan Chase Bank, National Association. KEY RATING DRIVERS Trophy Office Collateral in Prime Manhattan Location: The Grace Building is a well-known class A office tower with iconic design located on Bryant Park, an excellent Manhattan location. Credit Tenancy: As of March 2014, the property was 91.2% leased by 41 tenants, with six investment-grade rated tenants accounting for approximately 30.8% of the NRA, including Home Box Office (HBO; guaranteed by Time Warner Inc., rated 'BBB+' by Fitch Ratings) and Interpublic Group of Companies (rated 'BBB' by Fitch). Increased Probability that HBO Will Vacate in 2018: Based on information provided at issuance, Fitch considers there an increased probability that HBO (20.7% of the NRA) will vacate their space when their lease expires in December 2018 as part of Time Warner moving to Hudson Yards. Tenant Concentration and Rollover Risk: During the seven-year loan term 63.4% of the leased NRA rolls. Leasing Momentum: Over the past year, the property manager has leased approximately 176,000 sf of new, expansion and renewal space with an average lease term of 10 years at an average gross rent of over $91 psf. Institutional Sponsorship: The Grace Building is 49.9% owned by an affiliate of Trizec Properties, Inc. (controlled by a partnership of Brookfield Office Properties Inc.) and 50% owned by an affiliate of The Swig Company, LLC, who originally developed the property in 1971. The sponsors recently completed $34.5 million in renovations over the past four years including plaza renovations and modernization of the lobby and entrances. The sponsor expects to be able to continue to drive rents upward upon lease expirations. RATING SENSITIVITIES Fitch found that the property could withstand a 71.1% decline in value and an approximate 50% decrease in the issuer's net cash flow prior to experiencing $1 of loss to any 'AAAsf' rated class. Fitch performed several stress scenarios in which the Fitch NCF was stressed. Fitch determined that a 53.9% reduction in Fitch's NCF would cause the notes to break even at a 1.0x DSCR, based on the actual debt service. Fitch evaluated the sensitivity of the ratings for class A (rated 'AAAsf') and found that a 8% decline in Fitch NCF would result in a one category downgrade, while a 32% decline would result in a downgrade to below investment grade. The Rating Sensitivity section in the presale report includes a detailed explanation of additional stresses and sensitivities. Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report. GREENPOINT MORTGAGE: Moody's Reinstates C Rating on 2 Notes ----------------------------------------------------------- Moody's Investors Service has announced that it is reinstating the ratings of Class M1 and Class M2 issued by Greenpoint Mortgage Funding Trust 2005-HE3. The collateral backing this deal primarily consists of home equity line of credit loans. Complete rating action is as follows: Issuer: Greenpoint Mortgage Funding Trust 2005-HE3 Cl. M1, Reinstated to C (sf); previously on Dec 13, 2011 Withdrawn (sf) Cl. M2, Reinstated to C (sf); previously on Dec 13, 2011 Withdrawn (sf) Ratings Rationale Moody's is reinstating the ratings on Class M1 and Class M2 following the trustee's reinstatement of the principal balance of these tranches. The Greenpoint Mortgage Funding Trust 2005-HE3 deal documents state that realized losses should not be allocated to the Class M1 and Class M2 tranches. In reports issued in 2009, however, the trustee indicated that realized losses were being allocated to these tranches, and that the principal balance of the Class M1 and Class M2 tranches were written down to zero as of October 2009 and May 2009, respectively. As a result, Moody's withdrew the ratings on both Class M1 and Class M2 in accordance with Moody's withdrawal policy. In July 2013, the trustee corrected its reports, reverting back the prior realized losses and reinstating the principal balance of Class M1 and Class M2. The current ratings take into account the recent performance of the pool, which has remained stable from Moody's last review. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the rating: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 6.3% in April 2014 from 7.5% in April 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2014. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, 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. I-PREFERRED TERM IV: Moody's Hikes Rating on Cl. D Notes to Caa1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by I-Preferred Term Securities IV, Ltd.: $37,000,000 Floating Rate Class A-2 Senior Notes Due June 24, 2034, Upgraded to Aaa (sf); previously on August 19, 2013 Upgraded to Aa2 (sf); $13,900,000 Fixed/Floating Rate Class A-3 Senior Notes Due June 24, 2034, Upgraded to Aaa (sf); previously on August 19, 2013 Upgraded to Aa2 (sf); $54,650,000 Floating Rate Class B-1 Mezzanine Notes Due June 24, 2034, Upgraded to Baa3 (sf); previously on August 19, 2013 Affirmed Ba2 (sf); $25,500,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due June 24, 2034, Upgraded to Baa3 (sf); previously on August 19, 2013 Affirmed Ba2 (sf); $12,450,000 Floating Rate Class C Mezzanine Notes Due June 24, 2034, Upgraded to B2 (sf); previously on August 19, 2013 Affirmed Caa1 (sf); $6,200,000 Floating Rate Class D Subordinate Notes Due June 24, 2034, Upgraded to Caa1 (sf); previously on August 19, 2013 Affirmed Caa2 (sf); Moody's also affirmed the ratings on the following notes: $162,500,000 Floating Rate Class A-1 Senior Notes Due June 24, 2034 (current outstanding balance of $7,428,268), Affirmed Aaa (sf); previously on August 19, 2013 Upgraded to Aaa (sf); I-Preferred Term Securities IV, Ltd., issued in May 2004, is a collateralized debt obligation backed by a portfolio of bank and insurance trust preferred securities. Ratings Rationale The rating actions are primarily a result of the deleveraging of the Class A-1 notes, an increase in the transaction's over- collateralization ratios and the improvement in the credit quality of the underlying portfolio since August 2013. The Class A-1 notes have paid down by approximately 83% or $36.9 million since August 2013, using principal proceeds from the redemption of underlying securities and the diversion of excess interest proceeds. From September 2013 through March 2014, $26.9 million of the underlying assets were redeemed. In addition, $9.1 million was recovered from two assets which were assumed defaulted in the previous rating action. The Class A-1 notes' par coverage has thus improved to 2318.8% from 449.0% since August 2013, by Moody's calculations. Based on the trustee's Mach 17, 2014 report, the over-collateralization ratio of the Class A, B and C notes are 247.7%, 121.5% and 112.6%, respectively, compared to June 2013 level of 209.1%, 113.6% and 106.0%, respectively. The March 2014 trustee reported overcollateralization ratios do not take into consideration the $18.8 million of principal proceed used to pay down the Class A-1 notes. After the Class A-1 notes are paid in full, the Class A-2 notes will benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 1201, from 1433 in August 2013. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool has having a performing par of $172.3 million, no defaulted/deferring par, a weighted average default probability of 22.50% (implying a WARF of 1201), a Moody's Asset Correlation of 21.01%, and a weighted average recovery rate upon default of 6.63%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of 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, can influence the final rating decision. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs," published in May 2011. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's has a stable outlook on the US banking sector. Moody's maintains its stable outlook on the US insurance sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Moody's evaluates the sensitivity of the ratings of the notes to the volatility of these credit assessments. Loss and Cash Flow Analysis: Moody's modeled the transaction's portfolio using CDOROM(TM) v.2.12.2 to develop the default distribution from which it derives the Moody's Asset Correlation parameter. Moody's then used the parameter as an input in a cash flow model using CDOEdge. CDOROM(TM) v.2.12.2 is available on www.moodys.com under Products and Solutions -- Analytical models, upon receipt of a signed free license agreement. The portfolio of this CDO contains trust preferred securities issued by small to medium sized U.S. community banks and insurance companies that Moody's does not rate publicly. To evaluate the credit quality of bank TruPS that do not have public ratings, Moody's uses RiskCalc(TM), an econometric model developed by Moody's Analytics, to derive credit scores. Moody's evaluation of the credit risk of most of the bank obligors in the pool relies on FDIC Q4-2013 financial data. For insurance TruPS that do not have public ratings, Moody's relies on the assessment of its Insurance team, based on the credit analysis of the underlying insurance firms' annual statutory financial reports. In addition to the base case, Moody's conducted 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 deterioration in the credit quality of the collateral pool). Increasing the WARF by 249 points from the base case of 1201 lowers the model-implied rating on the Class A-2 notes by one notch from the base case result; decreasing the WARF by 261 points raises the model-implied rating on the Class A-2 notes by one notch from the base case result. Moody's also conducted an additional sensitivity analyses, as described in "Sensitivity Analyses on Deferral Cures and Default Timing for Monitoring TruPS CDOs," published in August 2012. In the 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 of the rated notes (in terms of the difference in the number of notches versus the current model-implied output, in which a positive difference corresponds to a lower expected loss): Sensitivity Analysis: Alternative Default Timing Profile Class A-1: 0 Class A-2: 0 Class A-3: 0 Class B-1: +1 Class B-2: +1 Class C: +2 Class D: +1 JP MORGAN 2002-C2: Moody's Affirms 'C' Rating on Class G Notes -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes and upgraded the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C2 as follows: Cl. E, Upgraded to Aa3 (sf); previously on Jun 28, 2013 Confirmed at A2 (sf) Cl. F, Affirmed Caa2 (sf); previously on Jun 28, 2013 Downgraded to Caa2 (sf) Cl. G, Affirmed C (sf); previously on Jun 28, 2013 Downgraded to C (sf) Cl. X-1, Affirmed Caa3 (sf); previously on Jun 28, 2013 Downgraded to Caa3 (sf) Ratings Rationale The rating on the P&I class E was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 46% since Moody's last review. The ratings on the P&I classes F & G were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class X-1 was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 12.8% of the current balance compared to 14.3% at Moody's last review. Moody's base expected loss plus realized losses is now 8.5% of the original pooled balance compared to 8.8% at the last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Description of Models Used Moody's used the excel-based Large Loan Model v 8.7 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. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. Deal Performance As of the May 12, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $25.6 million from $1.03 billion at securitization. The certificates are collateralized by four mortgage loans ranging in size from 10% to 51% of the pool. Two loans, constituting 61% of the pool, are on the master servicer's watchlist. The watchlist includes loans that 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, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $84 million (for an average loss severity of 52%). There are currently no specially serviced loans in the pool Moody's received full year 2012 operating results and full or partial year 2013 operating results for 100% of the pool. Moody's weighted average LTV for the pool is 87% compared to 97% at last review. Moody's stressed DSCR is 1.31X compared to 1.17X at last review. The largest loan is the Avon Commons Loan ($13million -- 51% of the pool), which is secured by a 173,000 square foot (SF) anchored retail property located in Avon, Indiana. The collateral is 76% leased, essentially the same as at last review. The loan remains on the watchlist due to low DSCR. Moody's LTV and stressed DSCR are 111% and 0.97X, respectively, compared to 115% and 0.94X at last review. The second largest loan is the Plaza on Legacy Loan ($10.0 million -- 39% of the pool), which are two cross-collateralized and cross- defaulted loans secured by two retail properties, totaling 175,000 SF, in Plano, Texas. As of December 2013, the property located at 4140 Legacy Drive was 99% leased, and the property located at 4100 Legacy Drive was leased% occupied. Overall, performance has been stable since the last review Moody's LTV and stressed DSCR are 60% and 1.71X, respectively, compared to 63% and 1.62X at last review. The third largest loan is the Seneca Lake Loan ($2.54 million -- 10.0% of the pool), which is secured by a 151-unit townhouse community located outside of Cleveland in Broadview Heights, Ohio. As of December 2013, the property was 85% leased compared to 78% at the last review. The loan has been on the watch list since 2006 for low DSCR. Overall, performance has improved significantly since 2011, and the net operating income (NOI) in 2013 was 30% higher than in 2011. The loan is a fully amortizating loan. Moody's LTV and stressed DSCR are 69% and 1.49X, respectively, compared to 99% and 1.03X at last full review. JP MORGAN 2005-LDP1: Moody's Affirms C Rating on 4 Cert. Classes ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of six classes and affirmed the ratings of eleven classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass- Through Certificates, Series 2005-LDP1 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Aug 29, 2013 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Aug 29, 2013 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Aug 29, 2013 Affirmed Aaa (sf) Cl. A-J, Upgraded to Aaa (sf); previously on Aug 29, 2013 Affirmed Aa1 (sf) Cl. A-JFL, Upgraded to Aaa (sf); previously on Aug 29, 2013 Affirmed Aa1 (sf) Cl. B, Upgraded to Aa2 (sf); previously on Aug 29, 2013 Affirmed A1 (sf) Cl. C, Upgraded to Aa3 (sf); previously on Aug 29, 2013 Affirmed A2 (sf) Cl. D, Upgraded to Baa1 (sf); previously on Aug 29, 2013 Affirmed Baa2 (sf) Cl. E, Upgraded to Baa2 (sf); previously on Aug 29, 2013 Affirmed Baa3 (sf) Cl. F, Affirmed B2 (sf); previously on Aug 29, 2013 Affirmed B2 (sf) Cl. G, Affirmed Caa2 (sf); previously on Aug 29, 2013 Affirmed Caa2 (sf) Cl. H, Affirmed Caa3 (sf); previously on Aug 29, 2013 Affirmed Caa3 (sf) Cl. J, Affirmed C (sf); previously on Aug 29, 2013 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Aug 29, 2013 Affirmed C (sf) Cl. L, Affirmed C (sf); previously on Aug 29, 2013 Affirmed C (sf) Cl. M, Affirmed C (sf); previously on Aug 29, 2013 Affirmed C (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Aug 29, 2013 Affirmed Ba3 (sf) Ratings Rationale The upgrades of six investment-grade P&I classes were based on increased credit support resulting from loan pay downs and amortization, as well as Moody's expectation of additional credit support from loans approaching maturity that are well positioned to refinance. The deal has paid down 16% since last review. In addition, loans constituting 72% of the pool or $961.3 million have debt yields exceeding 10.0% and are scheduled to mature within the next 10 months. Three investment-grade P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. Seven below investment-grade P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The IO class was affirmed based on the credit performance of its referenced classes. Moody's rating action reflects a base expected loss of 6.7% of the current balance, compared to 5.6% at Moody's last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan pay downs or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. Description Of Models Used Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses 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 Moody's uses to estimate Moody's value). Conduit model results at the B2 (sf) level are based on a pay down analysis using the individual loan- level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on 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, Moody's merges the credit enhancement for loans with investment-grade structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured credit assessments in the same transaction. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22 compared to 20 at last review. Deal Performance As of the May 15, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 54% to $1.3 billion from $2.9 billion at securitization. The Certificates are collateralized by 160 mortgage loans ranging in size from less than 1% to 13% of the pool. Twenty-one loans representing 23% of the pool have defeased and are secured by U.S. Government securities. There are twenty-eight loans 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. Seventeen loans have been liquidated from the pool, resulting in an aggregate realized loss of $59 million (48% loss severity). Currently nine loans, representing 6% of the pool, are in special servicing and represent a mix of property types. Moody's has estimated an aggregate $41.8 million loss (51% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 11 troubled loans representing 8% of the pool and has estimated an aggregate $16.6 million loss (15% estimated loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2012 operating results for 95% of the pool's non-specially serviced and non-defeased loans and 84% of partial year 2013 operating results. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 81% compared to 86% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.78%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.48X and 1.26X, respectively, compared to 1.45X and 1.15X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 23% of the pool balance. The largest conduit loan is the One River Place Apartments Loan ($177.1 million -- 13.3% of the pool), which is secured by a 921- unit Class A multifamily property located in New York City. The property also includes 42,000 square feet (SF) of ground floor retail space that is currently fully leased. The apartment component of the property is 98% leased as of November 2013 compared to 99% at last review. Performance through September 2013 declined over 2012 due to increased operating expenses. The loan has amortized 11% since securitization and matures in ten months. Moody's LTV and stressed DSCR are 65% and 1.33X, respectively, compared to 77% and 1.13X at last review. The second largest conduit loan is the Showcase Mall Loan ($92.0 million -- 6.9% of the pool), which is secured by an 184,814 SF enclosed retail center in Las Vegas, Nevada. Property performance has stabilized with occupancy now 93% as of December 2013 compared to 75% at year-end 2012. The loan is interest-only and matures within ten months. Moody's LTV and stressed DSCR are 128% and 0.7X, respectively, compared to 126% and 0.71X at last review. The third largest conduit loan is the 101 East Erie Street Loan ($29.9 million -- 2.3% of the pool), which is secured by a 224,565 SF office building located in the North Michigan Avenue corridor of Chicago, Illinois. The property is being marketed for sale for a potential hotel or multifamily conversion following the March 2014 lease expiration of Draft FCB, which occupied 92% of the office space. Moody's applied a floor value given the current vacancy and redevelopment potential. This interest-only loan matures in eight months. Moody's LTV and stressed DSCR are 99% and 1.04X, respectively, compared to 77% and 1.34X at last review. JP MORGAN 2006-CIBC15: Moody's Rates Cl. A-J Certificate 'Ca' ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of six classes in J.P. Morgan Chase Commercial Mortgage Corp., Commercial Mortgage Pass-Through Certificates, Series 2006-CIBC15 as follows: Cl. A-SB, Affirmed Aaa (sf); previously on Jul 18, 2013 Affirmed Aaa (sf) Cl. A-1A, Affirmed Aa2 (sf); previously on Jul 18, 2013 Downgraded to Aa2 (sf) Cl. A-4, Affirmed Aa2 (sf); previously on Jul 18, 2013 Downgraded to Aa2 Cl. A-M, Affirmed Ba2 (sf); previously on Jul 18, 2013 Downgraded to Ba2 (sf)(sf) Cl. A-J, Affirmed Ca (sf); previously on Jul 18, 2013 Downgraded to Ca (sf) Cl. X-1, Affirmed B2 (sf); previously on Jul 18, 2013 Downgraded to B2 (sf) Ratings Rationale The ratings on P&I classes A-SB through A-M were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on P&I Class AJ was affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class was affirmed based on the credit performance of the referenced classes. Moody's rating action reflects a base expected loss of 9.3% of the current balance compared to 10.9% at Moody's prior review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Desciption of Models Used Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses 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 Moody's uses to estimate Moody's value). Conduit model results at the B2 (sf) level are based on a paydown analysis using the individual loan- level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on 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, Moody's merges the credit enhancement for loans with investment-grade credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the credit assessment level) for loans with similar credit assessments in the same transaction. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 16 compared to 22 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model v 8.7 and then reconciles and weights the results from the 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. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. Deal Performance As of the May 12, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 30% to $1.49 billion from $2.12 billion at securitization. The Certificates are collateralized by 100 mortgage loans ranging in size from less than 1% to 20% of the pool, with the top ten loans (excluding defeasance) representing 47% of the pool. Eleven loans, representing 7% of the pool, have defeased and are secured by US Government securities. Thirty-five loans, representing 45% 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. Twenty loans have been liquidated from the pool, resulting in an aggregate realized loss of $264 million (60% loss severity on average). Four loans, representing 3.5% of the pool, are in special servicing. The largest specially serviced loan is the 4001 North Pine Island Road Loan ($19.6 million -- 1.3% of the pool), which is secured by a 119 unit extended stay corporate housing condominium project in Sunrise, Florida. A foreclosure sale, which will be reflected in next month's remittance statement, occurred on May 1, 2014 with a third party as the winning bidder on the property. The remaining three specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $31.2 million loss for the specially serviced loans (61% expected loss on average). Moody's has assumed a high default probability for 17 poorly- performing loans representing 14% of the pool and has estimated an aggregate $38.9 million loss (19% expected loss based on a 50% probability of default) from these troubled loans. Moody's received full-year 2012 operating results for 96% of the pool and full or partial year 2013 operating results for 92% of the pool. Moody's weighted average conduit LTV is 103% compared to 105% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average positive adjustment of 23% to the most recently available net operating income (NOI). Excluding the positive adjustment to one of the Warner Building Loan, which represents 19.7% of the pool, Moody's net cash flow (NCF) reflects a weighted average haircut of 8.8%. Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.28X and 1.02X, respectively, compared to 1.25X and 1.00X at the 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 31.2% of the pool balance. The largest loan is the Warner Building Loan ($292.7 million -- 19.7% of the pool), which is secured by a 602,000 square foot (SF) Class A office building located four blocks from the White House in Washington, DC. The property was 70% leased as of January 2014 compared to 72% at last review. The property's low occupancy was caused by the loss of a major tenant in 2011 which leased nearly half the NRA. The property benefits from strong sponsorship, a partnership between Vornado Realty Trust and Canada Pension Plan Investment Board. Moody's analysis reflects a stabilized occupancy level. Moody's LTV and stressed DSCR are 126% and 0.73X, respectively, the same as at the last review. The second largest loan is the Greenway Portfolio Loan ($112.0 million -- 7.5% of the pool which is secured by eight office and flex properties located in Middleton, Wisconsin. The portfolio was 100% leased as of December 2013 compared to 91% at the last review. Moody's LTV and stressed DSCR are 120% and 0.83X, respectively, compared to 119% and 0.84X at the last review. The third largest loan is the Scottsdale Plaza Resort Loan ($58.1 million -- 3.9% of the pool), which is secured by a 404-unit full- service hotel located in Scottsdale, Arizona. The sponsor, John W. Dawson, has owned the property since 1976. The January 2014 trailing twelve month occupancy and revenue per available room (RevPAR) were 56% and $66.54, respectively, compared to 55% and $68.16 in the previous year. Due to high LTV and low DSCR, Moody's has identified this as a troubled loan. JP MORGAN 2007-FL1: Fitch Affirms 'B' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has affirmed all classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. series 2007-FL1. In addition, Fitch has revised the Rating Outlook for classes B, C and D to Stable from Negative. Key Rating Drivers The transaction has experienced significant principal paydown (44.7%) since Fitch's last rating action from the payoff of three loans. Although credit enhancement has increased, upgrades are not warranted due to loan concentration (only two loans remaining in the trust), as well as the loan status of the remaining assets, both of which remain with the special servicer. The ratings of classes B and C are affirmed at 'A' as interest shortfalls continue to affect these classes. Additional information on Fitch's criteria surrounding interest shortfalls and rating caps is available in the criteria report at the end of the press release. The non-pooled junior component certificates have also been affirmed based on Fitch's loss expectation on the Resorts International loan. The PHOV loan (50.8%) is currently secured by a portfolio of eight full-service hotels located in FL, CA, SC and IL, totaling 2,066 rooms (following the previous release of four hotel properties). The loan was restructured in October 2012 and a forbearance agreement is in place until July 9, 2014. The loan is performing under the modification terms and is expected to refinance by the end of the forbearance. Per STR reporting, year-end (YE) 2013 portfolio occupancy, ADR and RevPar were 75.9%, $130.07, and $105.98, compared to the competitive set occupancy, ADR and RevPar of 74.5%, $141.98, and $107.85, respectively. The Resorts International Portfolio (49.2%) currently consists of two hotel/gaming properties in Tunica, MS, totaling 439 rooms (following the previous release of two hotel/gaming properties). The properties became real estate owned (REO) assets in November 2011. Collateral performance remains well below expectations from issuance. The servicer is working to stabilize the properties prior to marketing the assets for sale. Both properties are currently under renovation. RATING SENSIVITIES Fitch analyzed each loan individually based on servicer provided YE 2013 cash flow and ran multiple scenarios which assume the PHOV Portfolio loan pays off, or in another case fails to refinance. The outcomes of these two scenarios and the impact to the trust were then considered in Fitch's rating recommendations. The PHOV Portfolio is serviced by Strategic Asset Services LLC. The Resorts International Portfolio loan is serviced by KeyBank Real Estate Capital. If the PHOV Portfolio loan does not pay off, future downgrades to class E are possible. Fitch affirms the following classes and revises Rating Outlooks as indicated: -- $362,286 class B at 'Asf'; Outlook to Stable from Negative; -- $32.4 million class C at 'Asf'; Outlook to Stable from Negative; -- $30.8 million class D at 'BBBsf'; Outlook to Stable from Negative; -- $37.3 million class E at 'Bsf'; Outlook Negative; -- $26 million class F at 'CCCsf'; RE100%'; -- $26 million class G at 'CCsf'; RE40%; -- $35.7 million class H at 'Csf'; RE0%; -- $32.5 million class J at 'Csf'; RE0%; -- $10.3 million class K at 'Dsf'; RE0%. -- Class L at 'Dsf'; RE0%; -- $11.9 million class RS-1 at 'Csf'; RE0%; -- $12.8 million class RS-2 at 'Csf'; RE0%; -- $15.6 million class RS-3 at 'Csf'; RE0%; -- $11.1 million class RS-4 at 'Csf'; RE0%; -- $15.4 million class RS-5 at 'Csf'; RE0%; -- $13.2 million class RS-6 at 'Csf'; RE0%; -- $7.6 million class RS-7 at 'Csf'; RE0%. Classes A1, A2 and the interest-only class X-1 have paid in full. Fitch withdrew its rating on the interest-only class X-2 at prior review. JP MORGAN 2009-3: S&P Lowers Rating on Class 2-A-2 Notes to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on class 2- A-2 from J.P. Morgan Resecuritization Trust Series 2009-3 to 'D (sf)' from 'CC (sf)'. S&P also affirmed its ratings on classes 1-A-1 and 1-A-2 from the same transaction. Furthermore, S&P placed its ratings on classes A-1, A-2, and A-7 on CreditWatch with negative implications from Bear Stearns Structured Products Inc.'s series prime R1 2004-1. The transactions in this review are U.S. residential mortgage- backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions issued in 2004 and 2009. The underlying certificates are backed by prime jumbo residential mortgage loans. The re-REMIC transactions' underlying securities generally receive credit support from subordination. In addition, J.P. Morgan 2009-3 has subordination within the capital structure of the re-REMIC itself. "Our ratings on the re-REMIC classes consider timely interest and ultimate principal payments. We reviewed the interest and principal amounts due on the underlying securities, which are passed through to the applicable re-REMIC classes. We applied our loss projections to the underlying collateral to identify the magnitude of losses that we believe could affect the applicable re-REMIC classes. In addition, we stressed our loss projections at various rating categories according to our criteria to assess whether the re-REMIC classes could continue to pay the interest and principal due if they were to experience such losses," S&P said. S&P lowered the rating on class 2-A-2 to 'D (sf)' from 'CC (sf)' because of a principal write-down on the class. The affirmations reflect S&P's assessment that the re-REMIC classes will likely receive timely interest and ultimate principal payment under the applicable stressed assumptions. The negative CreditWatch placements were due to $111,028 in interest shortfalls and principal write-downs to these classes during the April distribution period--$13,220 in interest shortfalls and $97,808 in write-downs. According to the trustee, these write-downs and shortfalls were caused by the overpaid funds that the transaction has not received back from the certificateholders of one or more underlying classes. The trustee anticipates that the classes will be reimbursed their principal and missed interest as they receive funds from the certificateholders, perhaps as early as the next distribution date. However, additional shortfalls will occur if the certificateholders fail to repay by the next distribution date because each re-REMIC class will continue to receive interest based on the written-down amounts. In that case, S&P will take any further rating actions that it considers appropriate based on our criteria. However, S&P will affirm and remove its ratings from CreditWatch if the certificateholders pay back the overpaid funds and the transaction repays the principal write-down and shortfall amounts to the re-REMIC classes by the next distribution date. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. Standard & Poor's baseline macroeconomic outlook assumptions for variables that S&P believes could affect residential mortgage performance are as follows: -- The unemployment rate will fall to 6.4% for 2014 from 7.4% in 2013. -- Home prices will increase 6% in 2014, using the 20-city Standard & Poor's/Case-Shiller Home Price Index. -- Real GDP growth will be 2.6% in 2014; while this rate has been revised downward once again, it is still up from 1.9% in 2013. -- The 30-year mortgage rate will average 4.6% for 2014. -- The inflation rate will be 1.9% in 2014--an increase from 1.5% in 2013. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve mildly. However, if the U.S. economy became stressed in line with Standard & Poor's downside forecast, S&P believes that U.S. RMBS credit quality would weaken. S&P's downside scenario incorporates the following key assumptions: -- Home prices once again decline as a result of higher defaults, additional shadow inventory, and less purchase activity. -- Total unemployment rises to 7.0% in 2014, and job growth slows to almost zero. -- Downward pressure causes 1.2% GDP growth in 2014, fueled by increased unemployment levels. -- The 30-year fixed mortgage rate falls back to 4.4% in 2014, but limited access to credit and pressure on home prices largely prevents consumers from capitalizing on such lower rates. RATING ACTIONS Bear Stearns Structured Products Inc. Series prime R1 2004-1 Rating Class CUSIP To From A-1 07383UHH1 AA+ (sf)/Watch Neg AA+ (sf) A-2 07383UHJ7 AA+ (sf)/Watch Neg AA+ (sf) A-7 07383UHP3 AA+ (sf)/Watch Neg AA+ (sf) J.P. Morgan Resecuritization Trust Series 2009-3 Rating Class CUSIP To From 1-A-1 46633HAA8 AAA (sf) AAA (sf) 1-A-2 46633HAB6 BBB- (sf) BBB- (sf) 2-A-2 46633HAD2 D (sf) CC (sf) JP MORGAN 2012-CIBX: Moody's Affirms B2 Rating on Class G Certs --------------------------------------------------------------- Moody's Investors Service affirmed the ratings on 15 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates Series 2012-CIBX as follows: Cl. A-1, Affirmed Aaa (sf); previously on May 23, 2013 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on May 23, 2013 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on May 23, 2013 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 23, 2013 Affirmed Aaa (sf) Cl. A-4FL, Affirmed Aaa (sf); previously on May 23, 2013 Affirmed Aaa (sf) Cl. A-4FX, Affirmed Aaa (sf); previously on May 23, 2013 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on May 23, 2013 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on May 23, 2013 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on May 23, 2013 Affirmed A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on May 23, 2013 Affirmed Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on May 23, 2013 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on May 23, 2013 Affirmed Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on May 23, 2013 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on May 23, 2013 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on May 23, 2013 Affirmed Ba3 (sf) Ratings Rationale The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes, Classes X-A and X-B, were affirmed based on the credit performance (or the weighted average rating factor or WARF) of their referenced classes. Moody's rating action reflects a base expected loss of 2.2% of the current balance compared to 2.4% at Moody's last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. Description of Models Used Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses 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 Moody's uses to estimate Moody's value). Conduit model results at the B2 (sf) level are based on a paydown analysis using the individual loan- level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on 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, Moody's merges the credit enhancement for loans with investment-grade credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the credit assessment level) for loans with similar credit assessments in the same transaction. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22 compared to 23 at Moody's last review. Deal Performance As of the May 16, 2014 payment date, the transaction's aggregate certificate balance has decreased by approximately 2.5% to $1.26 billion from $1.29 billion at securitization. The Certificates are collateralized by 49 mortgage loans ranging in size from less than 1% to 12% of the pool. The pool does not contain any investment grade credit assessments or defeased loans. Five loans, representing 5% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could impact performance. Currently, there are no loans in special servicing. The pool has not experienced any realized losses to date. Moody's received full year 2012 operating results for 100% of the pool, and full or partial year 2013 operating results for 99% of the pool. Moody's weighted average conduit LTV is 94% compared to 97% at Moody's last review. Moody's conduit component excludes defeased, specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.47X and 1.13X, respectively, compared to 1.42X and 1.07X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 25% of the deal. The largest conduit loan is the Palazzo Westwood Village Loan ($155.0 million -- 12.3%), which is secured by a 350 unit multifamily complex, 51,000 square foot (SF) retail space and a 1,299 space underground parking garage located in Los Angeles, California. The property is also encumbered by a $26.5 million B-Note. The property was 93% leased as of September 2013 compared to 97% at last review. Performance has been slowly improving since securitization, but it has not yet achieved the level predicted at securitization. Moody's current LTV and stressed DSCR are 100% and 0.84X, respectively, the same as last review. The second largest loan is the theWit Hotel Loan ($86.4 million -- 6.9%), which is secured by a 310 room full-service hotel located in Chicago, Illinois. As of January 2014 occupancy and revenue per available room (RevPAR) were 79.7% and $176.2, respectively, compared to 79.3% and $168.01 a year before. Overall, performance has been stable. Moody's LTV and stressed DSCR are 93% and 1.31X, compared to 94% and 1.29X at last review. The third largest loan is the 100 West Putnam Loan ($77.8 million -- 6.2%), which is secured by a 156,000 SF class A office building located in Greenwich, Connecticut. The property is also encumbered by a $16 million B-Note. As of September 2013 the property was 97% leased. Most of the building's tenants are hedge fund firms. Moody's LTV and stressed DSCR are 104% and 0.94X, compared to 116% and 0.84X at last review. JP MORGAN 2014-C19: Fitch Assigns 'BB' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to the J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C19 commercial mortgage pass-through certificates. -- $67,211,000 class A1 'AAAsf'; Outlook Stable; -- $468,698,000 class A2 'AAAsf'; Outlook Stable; --$112,365,000 class A3 'AAAsf'; Outlook Stable; -- $276,298,000 class A4 'AAAsf'; Outlook Stable; -- $62,128,000 class A-SB 'AAAsf'; Outlook Stable; -- $1,085,370,000a class X-A 'AAAsf'; Outlook Stable; -- $89,860,000a class X-B 'AA-sf'; Outlook Stable; -- $98,670,000b class A-S 'AAAsf'; Outlook Stable; -- $89,860,000b class B 'AA-sf'; Outlook Stable; -- $63,431,000b class C 'A-sf'; Outlook Stable; -- $251,961,000b class EC 'A-sf'; Outlook Stable; -- $65,193,000c class D 'BBB-sf'; Outlook Stable; -- $31,715,000c class E 'BBsf'; Outlook Stable; -- $17,620,000c class F 'Bsf'; Outlook Stable. (a) Notional amount and interest only. (b) Class A-S, B, and C certificates may be exchanged for a related amount of class EC certificates, and class EC certificates may be exchanged for class A-S, B, and C certificates. (c) Privately placed pursuant to Rule 144A. Fitch does not rate the $56,382,769 class NR, the $105,717,769 interest-only class X-C, and the $21,703,000 class CSQ. Classes A-2FL and A-2FX have been withdrawn from the deal structure since Fitch issued its expected ratings on April 22, 2014. The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership in the trust, primary assets of which are 69 loans secured by 100 commercial properties having an aggregate principal balance of approximately $1.41 billion as of the cutoff date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association; Barclays Bank PLC; KeyBank National Association; and Starwood Mortgage Funding II LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 81.6% of the properties by balance, cash flow analysis on 75.1%, and asset summary reviews on 75.1% of the pool. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.32x, a Fitch stressed loan-to-value (LTV) of 100.9%, and a Fitch debt yield of 10.2%. Fitch's aggregate net cash flow represents a variance of 7.7% to issuer cash flows. KEY RATING DRIVERS Improved Leverage from Recent Transactions: The pool's Fitch DSCR and LTV of 1.32x and 100.9%, respectively, are better than the 2013 and 2014 year-to-date (YTD) averages of 1.29x and 101.6%, and 1.18x and 104.7%, respectively. Above-Average Property Quality: Fitch assigned property quality grades of 'A-' or better to three of the 10 largest loans in the pool, which represent 13.1% of the balance of properties inspected by Fitch. Furthermore, property quality grades of 'B+' or better were assigned to 44.2% of the balance of properties inspected by Fitch. Limited Amortization: The pool is scheduled to amortize by 10.62% of the initial pool balance prior to maturity. The pool's concentration of partial interest loans of 29.4% is lower than the 2013 and 2014 YTD averages of 34% and 37.63%, respectively. However, the pool's concentration of full-term interest-only loans at 36.4% is higher than the 2013 and 2014 YTD averages of 17.1% and 15.8%, respectively. There is one fully amortizing loan, Centerville Square (2.7%), and the Grand Williston Hotel (0.8%) is a five-year loan amortizing on a 10-year schedule. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 10.26% below the most recent reported net operating income (NOI) (for properties for which NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severity on defaulted loans and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to JPMBB 2014- C19 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 10% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'AAsf' could result. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities. Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report. The master servicer will be KeyBank National Association, rated 'CMS1' by Fitch. The special servicer will be Midland Loan Services, Inc. rated 'CSS1' by Fitch. KATONAH X: S&P Raises Rating on Class E Notes to 'B+' ----------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1b, A-2a, A-2b, and B notes from Katonah X CLO Ltd., a collateralized loan obligation transaction that closed in June 2007. S&P also lowered its rating on the class E notes and affirmed its ratings on the class A-1a, C, and D notes. S&P removed the ratings on the class A-1b, A-2a, A-2b, and B notes from CreditWatch, where it placed them with positive implications on Feb. 21, 2014. The transaction's reinvestment period ended in May 2013. Since then, the class A-1a, A-2a, and A-2b notes have received over $87.6 million in combined paydowns. The deal is structured such that although the class A-1, A-2a, and A-2b notes are pari passu, the class A-1a notes receive paydowns before the class A-1b notes and hence can be paid down in full before the class A-1b, A-2a, and A-2b notes. The upgrades reflect paydowns to classes A-1a, A-2a, and A-2b, which has also increased credit support for classes A-1b and B. The improvements are also evident in the class A/B par value ratio, which, as of the April 15, 2014, trustee report, has increased to 128.8% from 122.8% as of the March 15, 2012, trustee report, which S&P used for its April 2012 rating actions. The downgrade on the class E notes reflects the transaction's exposure to long-dated assets in the portfolio and an increase in defaults held in the transaction since April 2012. As of the April 15, 2014, trustee report, $21.8 million of the remaining portfolio balance are assets maturing after the transaction's legal final maturity. Exposure to these long-dated assets subjects the transaction to potential market value risk because the manager may have to liquidate these securities when the transaction matures to pay down the notes on their final maturity date. In addition, the amount of defaults in the transaction has grown to $12.4 million as of the April 15, 2014, trustee report, up from $0.7 million as of the March 15, 2012, trustee report. The affirmations on the class A-1a, C, and D notes reflect the sufficient credit support available to the notes at the current rating levels. 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. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which S&P made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. RATINGS LIST Katonah X CLO Ltd. Rating Class Identifier To From A-1a 48601MAA1 AAA (sf) AAA (sf) A-1b 48601MAB9 AAA (sf) AA+ (sf)/Watch Pos A-2a 48601MAC7 AAA (sf) AA+ (sf)/Watch Pos A-2b 48601MAJ2 AAA (sf) AA+ (sf)/Watch Pos B 48601MAD5 AA+ (sf) AA (sf)/Watch Pos C 48601MAE3 A+ (sf) A+ (sf) D 48601MAF0 BBB (sf) BBB (sf) E 48601RAA0 B+ (sf) BB (sf) KINGSLAND III: Moody's Hikes Rating on Class D-1 Notes to 'Ba2' --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Kingsland III, Ltd.: $75,575,000 Class A-2 Senior Secured Floating Rate Notes due 2021, Upgraded to Aaa (sf); previously on August 25, 2011 Upgraded to Aa1 (sf); $12,750,000 Class A-3 Senior Secured Floating Rate Notes due 2021, Upgraded to Aaa (sf); previously on August 25, 2011 Upgraded to Aa3 (sf); $29,750,000 Class B Senior Secured Deferrable Floating Rate Notes due 2021, Upgraded to Aa3 (sf); previously on August 25, 2011 Upgraded to A3 (sf); $11,550,000 Class C-1 Senior Secured Deferrable Floating Rate Notes due 2021, Upgraded to Baa3 (sf); previously on August 25, 2011 Upgraded to Ba1 (sf); $11,800,000 Class C-2 Senior Secured Deferrable Fixed Rate Notes due 2021, Upgraded to Baa3 (sf); previously on August 25, 2011 Upgraded to Ba1 (sf); $5,450,000 Class D-1 Secured Deferrable Floating Rate Notes due 2021, Upgraded to Ba2 (sf); previously on August 25, 2011 Upgraded to Ba3 (sf); $2,000,000 Class D-2 Secured Deferrable Fixed Rate Notes due 2021, Upgraded to Ba2 (sf); previously on August 25, 2011 Upgraded to Ba3 (sf). Moody's also affirmed the rating on the following note: $240,000,000 Class A-1 Senior Secured Floating Rate Notes due 2021 (current outstanding balance of $191,284,353.69), Affirmed Aaa (sf); previously on August 31, 2006 Assigned Aaa (sf). Kingsland III, Ltd., issued in August 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans, with exposure to corporate bonds and CLO tranches. The transaction's reinvestment period ended in August 2013. Ratings Rationale These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over- collateralization ratios since November 2013. The Class A-1 note has been paid down by approximately 20% or $48.7 million since November 2013. Based on the trustee's April 2014 report, the over- collateralization (OC) ratios for the Class A, Class B, Class C and Class D notes are reported at 133.31%, 120.49%, 112.04% and 109.58%, respectively, versus November 2013 levels of 129.31%, 118.57%, 111.31% and 109.18%, respectively. LATITUDE CLO II: S&P Affirms 'BB' Rating on Class C Notes --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2 and B notes from Latitude CLO II Ltd., a cash flow collateralized loan obligation (CLO) transaction, and affirmed its ratings on the class A-1, C, and D notes. In addition, S&P removed its ratings on the class A-2, B, and C notes from CreditWatch, where it had placed them with positive implications on Jan. 22, 2014. The transaction is currently in its amortization phase and has commenced paying down the notes. The upgrades largely reflect $94.11 million in paydowns to the class A-1 notes since S&P's September 2012 rating actions, which increased the overcollateralization (O/C) ratios for each class of notes since August 2012: -- The class A notes' O/C ratio is 165.84%, up from 132.13%. -- The class B notes' O/C ratio is 126.46%, up from 114.96%. -- The class C notes' O/C ratio is 113.21%, up from 108.04%. -- The class D notes' O/C ratio is 105.75%, up from 103.84%. In addition, the transaction held $37.35 million in long-dated assets that mature after its stated maturity date. S&P's analysis accounted for market value and settlement-related risks arising from the remaining securities' potential liquidation on the transaction's legal final maturity date. In light of the aforementioned overall performance improvement, S&P affirmed its 'CCC- (sf)' rating on the class D notes, which it believes adequately reflects the tranche's risk of exposure to long-dated assets. S&P will continue to review whether the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take further rating actions as S&P deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Latitude CLO II Ltd. Cash flow Previous implied Cash flow Final Class rating rating cushion(i) rating A-1 AAA (sf) AAA (sf) 32.58% AAA (sf) A-2 AA+ (sf)/Watch Pos AAA (sf) 25.36% AAA (sf) B BBB+ (sf)/Watch Pos AA+ (sf) 1.50% A+ (sf) C BB (sf)/Watch Pos BBB- (sf) 0.65% BB (sf) D CCC- (sf) CC (sf) 0.26% CCC- (sf) (i) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AA+ (sf) AA- (sf) AA (sf) AA+ (sf) A+ (sf) C BBB- (sf) BB+ (sf) BB+ (sf) BBB- (sf) BB (sf) D CC (sf) CC (sf) CCC- (sf) CC (sf) CCC- (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AA+ (sf) A (sf) A (sf) A+ (sf) C BBB- (sf) CCC+ (sf) CCC+ (sf) BB (sf) D CC (sf) CC (sf) CC (sf) CCC- (sf) RATING AND CREDITWATCH ACTIONS Latitude CLO II Ltd. Rating Rating Class To From A-1 AAA (sf) AAA (sf) A-2 AAA (sf) AA+ (sf)/Watch Pos B A+ (sf) BBB+ (sf)/Watch Pos C BB (sf) BB (sf)/Watch Pos D CCC- (sf) CCC- (sf) LEHMAN ABS 2001-B: S&P Lowers Rating on Cl. A-3 Certs to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the class A-3 certificates from Lehman ABS Manufactured Housing Contract Trust 2001-B (Lehman MH 2001-B), an asset-backed securities (ABS) transaction backed by fixed-rate manufactured housing loans originated by CIT Group/Sales Financing Inc., to 'D (sf)' from 'CC (sf)', and subsequently withdrew the rating. The downgrade and withdrawal reflect the incomplete principal payment to investors by May 15, 2014, the certificates' stated final maturity date. Because the transaction's cumulative net losses are higher than S&P initially expected, the transaction is not generating enough collections each month to pay the complete principal amount due on the class A certificates according to the transaction documents. As a result, the class A-1 through A-7 certificates have accrued aggregate principal shortfalls of approximately $183.9 million as of the May 15, 2014, distribution date. According to the payment waterfall, any unpaid principal amount is paid pro rata among all of the outstanding class A certificates before the normal sequential principal payment distribution. Accordingly, the class A-3 certificates are receiving their pro rata share of available monthly collections. As of the May 15, 2014, distribution date, the class A-3 certificates had an outstanding balance of approximately $20.87 million. S&P will continue to monitor the performance of all of the remaining rated classes to ensure that their ratings remain appropriate. MADISON PARK: S&P Raises Rating on Class D Notes to 'BB+' --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2b, A-3, B-1, B-2, C-1, C-2, and D notes from Madison Park Funding II Ltd., a U.S. collateralized loan obligation transaction managed by CSFB Alternative Capital Inc., and removed S&P's ratings on the class A-1, A-2b, A-3, B-1, B-2, C-1, and C-2 notes from CreditWatch with positive implications. At the same time S&P affirmed its 'AAA (sf)' rating on the class A-2a notes. The upgrades mainly reflect paydowns to the class A-1 and A-2a notes and the subsequent increased credit support available to support all of the notes since S&P's February 2013 rating actions. Since then, the transaction has paid down the class A-1 and A-2a notes by approximately $193.9 million, leaving them at 67.34% and 63.67% of their original balances, respectively. In addition, the upgrades also reflect the increased overcollateralization (O/C) available to support all of the notes, primarily due to the aforementioned paydowns. The trustee reported the following O/C ratios in the April 2014 monthly report: -- The class A O/C ratio was 138.19%, compared with 126.81% in January 2013; -- The class B O/C ratio was 124.54%, compared with 117.75% in January 2013; -- The class C O/C ratio was 117.57%, compared with 112.91% in January 2013; and -- The class D O/C ratio was 112.84%, compared with 109.54% in January 2013. The upgrades further reflect the underlying collateral pool's improved credit quality. Since February 2013, the outstanding balance of the 'CCC' rated assets held within the collateral pool has declined to $11.1 million, as stated in the April 2014 trustee report, from $51.2 million, as stated in the January 2013 trustee report. S&P's analysis considered that Madison Park Funding II Ltd. has many long-dated assets, or underlying securities that mature after the transaction's stated maturity. Based on the March 2014 trustee report, long-dated assets constituted 8.53% of the performing assets in the underlying portfolio. S&P's analysis factored in the potential market value- or settlement-related risk arising from the potential liquidation of the remaining securities on the transaction's legal final maturity date. This sensitivity analysis was a limited factor in today's rating actions. S&P also affirmed its 'AAA (sf)' rating on the class A-2a notes to reflect the available credit support consistent with the current rating level. RATINGS LIST Madison Park Funding II Ltd. Rating Class Identifier To From A-1 55817RAA5 AAA (sf) AA+ (sf)/Watch Pos A-2a 55817RAB3 AAA (sf) AAA (sf) A-2b 55817RAC1 AAA (sf) AA+ (sf)/Watch Pos A-3 55817RAD9 AA+ (sf) AA (sf)/Watch Pos B-1 55817RAE7 A+ (sf) A (sf)/Watch Pos B-2 55817RAF4 A+ (sf) A (sf)/Watch Pos C-1 55817RAQ0 BBB+ (sf) BBB- (sf)/Watch Pos C-2 55817RAR8 BBB+ (sf) BBB- (sf)/Watch Pos D 55817RAS6 BB+ (sf) BB (sf) MARLBOROUGH STREET: Moody's Affirms Ba3 Rating on Class E Notes --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Marlborough Street CLO, Ltd.: $13,000,000 Class B Senior Secured Floating Rate Notes Due April 18, 2019, Upgraded to Aaa (sf); previously on March 5, 2013 Upgraded to Aa1 (sf) $15,000,000 Class C Secured Deferrable Floating Rate Notes Due April 18, 2019, Upgraded to Aa2 (sf); previously on March 5, 2013 Upgraded to A1 (sf) $15,000,000 Class D Secured Deferrable Floating Rate Notes Due April 18, 2019, Upgraded to Baa2 (sf); previously on March 5, 2013 Upgraded to Baa3 (sf) Moody's also affirmed the ratings on the following notes: $93,000,000 Class A-1 Senior Secured Floating Rate Notes Due April 18, 2019 (current outstanding balance of $43,000,394), Affirmed Aaa (sf); previously on March 5, 2013 Affirmed Aaa (sf) $126,000,000 Class A-2A Senior Secured Floating Rate Notes Due April 18, 2019 (current outstanding balance of $50,731,775), Affirmed Aaa (sf); previously on March 5, 2013 Affirmed Aaa (sf) $14,000,000 Class A-2B Senior Secured Floating Rate Notes Due April 18, 2019, Affirmed Aaa (sf); previously on March 5, 2013 Upgraded to Aaa (sf) $9,000,000 Class E Secured Deferrable Floating Rate Notes Due April 18, 2019, Affirmed Ba3 (sf); previously on March 5, 2013 Upgraded to Ba3 (sf) Marlborough Street CLO, Ltd., issued in April 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in April 2013. Ratings Rationale These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over- collateralization ratios since June 2013. The Class A-1 and A-2A notes have been paid down by approximately 55.9% or $118.9 million since that time. Based on the trustee's April 2014 report, the over-collateralization (OC) ratios for the Class A/B, Class C, Class D and Class E notes are reported at 131.70%, 119.58%, 109.50% and 104.23%, respectively, versus June 2013 levels of 119.70%, 112.65%, 106.38% and 102.95%, respectively. The trustee reported overcollateralization ratios do not include the April 2014 payment distribution when $27.2 million of principal proceeds were used to pay down the Class A-1 and Class A-2A notes. The deal has also benefited from an improvement in the credit quality of the portfolio since June 2013. Based on the trustee's April 2014 report, the weighted average rating factor is currently 2382 compared to 2483 in June 2013. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. 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. Realization of higher than assumed recoveries would positively impact the CLO. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2030) Class A-1: 0 Class A-2A: 0 Class A-2B: 0 Class B: 0 Class C: +2 Class D: +3 Class E: +1 Moody's Adjusted WARF + 20% (3046) Class A-1: 0 Class A-2A: 0 Class A-2B: 0 Class B: 0 Class C: -1 Class D: -1 Class E: -1 Loss and Cash Flow Analysis: 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," published in February 2014. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $165.0 million, defaulted par of $4.1 million, a weighted average default probability of 15.59% (implying a WARF of 2538), a weighted average recovery rate upon default of 52.99%, a diversity score of 47 and a weighted average spread of 3.04%. Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In addition, Moody's assessed alternative recovery prospects for CLO securities. Although these alternative recovery assumptions are generally derived from those presented in Moody's methodology for rating Structured Finance CDO they may vary based on the specifics of the analysis of the transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. MORGAN STANLEY 2001-IQ: Moody's Cuts Cl. X-1 Certs Rating to Caa3 ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class, upgraded the rating on one class and downgraded the rating on one class in Morgan Stanley Dean Witter Capital I Trust Commercial Mortgage Pass-through Certificates, Series 2001-IQ as follows: Cl. M, Upgraded to B1 (sf); previously on Jun 6, 2013 Upgraded to B3 (sf) Cl. N, Affirmed Caa3 (sf); previously on Jun 6, 2013 Affirmed Caa3 (sf) Cl. X-1, Downgraded to Caa3 (sf); previously on Jun 6, 2013 Affirmed Caa1 (sf) Ratings Rationale The rating on the P&I class was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 47% since Moody's last review. The rating on the P&I class was affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class X-1) was downgraded due to a decline in the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 8.4% of the current balance, compared to 4.4% at Moody's last review. Moody's base expected loss plus realized losses is now 0.6% of the original pooled balance, the same as at Moody's last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Description of Models Used Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses 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 Moody's uses to estimate Moody's value). Conduit model results at the B2 (sf) level are based on a paydown analysis using the individual loan- level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on 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, Moody's merges the credit enhancement for loans with investment-grade structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured credit assessments in the same transaction. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of two, compared to five at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model v 8.7 and then reconciles and weights the results from the 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. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. Deal Performance As of the April 18, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $7.4 million from $713 million at securitization. The certificates are collateralized by four mortgage loans ranging in size from less than 4% to 59% of the pool, with the top ten loans constituting 100% of the pool. Two loans, constituting 38% of the pool, are on the master servicer's watchlist. The watchlist includes loans that 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, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $3.7 million (for an average loss severity of 0.5%). No loans are currently in special servicing. Moody's received full year 2012 operating results for 75% of the pool, and full or partial year 2013 operating results for 25%. Moody's weighted average conduit LTV is 70%, compared to 55% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 13% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.04X and 3.34X, respectively, compared to 1.15X and 3.30X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 96% of the pool balance. The largest loan is the Providence Office Building Loan ($4.3 million -- 59% of the pool), which is secured by a three story, multi- tenant 55,000 SF office property in Charlotte, NC. The loan was on the watchlist last year for low occupancy but occupancy is now at 98%. Moody's LTV and stressed DSCR are 106% and 1.02X, respectively, compared to 110% and 0.99X at the last review. The second largest loan is the Arizona Place Loan ($1.5 million -- 20% of the pool), which is secured by a 29,000 SF office property located in Santo Monica, CA. Occupancy fell to 91% at yearend 2013, compared to 100% at yearend 2012. The loan is currently on the watchlist as the servicer waits for leasing updates. Moody's LTV and stressed DSCR are 21% and >4.00X, respectively, compared to 20% and >4.00X at the last review. The third largest loan is the Town Center Shopping Center Loan ($1.4 million -- 18% of the pool), which is secured by a retail strip located in Jacksonville, FL. Yearend 2013 occupancy is down to 90% from 92% at yearend 2012. The loan is on the watchlist for low DSCR as a result of reduced revenues, base rents and an increase in expenses. Moody's LTV and stressed DSCR are 24% and >4.00X, respectively, compared to 27% and 3.8X at the last review. MORGAN STANLEY 2007-XLF: Fitch Cuts Rating on 2 Note Classes to BB ------------------------------------------------------------------ Fitch Ratings has downgraded four classes and affirmed nine classes of Morgan Stanley Capital I Trust series 2007-XLF (MSCI 2007-XLF). KEY RATING DRIVERS The portfolio is extremely concentrated with only three loans remaining. The downgrades to the pooled classes are primarily due to the continuing poor performance of the two specially serviced loans, the HRO Hotel Portfolio loan (43.6% of the pool) and the former Le Meridien Cancun (7%). The HRO Hotel Portfolio loan is secured by five full-service hotels (1,910 keys) located in Stamford, CT; Sonoma, CA; Norfolk, VA; Atlanta, GA; and Southfield, MI. The hotels are currently under the Marriott, Hilton, Sheraton, and Westin flags. However, two of the hotels (the Sheraton Norfolk and the Westin Southfield) have expiring franchise agreements and are at risk of losing their flags. Performance expectations at origination have not been met and the overall valuation of the portfolio has declined. The portfolio matured without repayment at its final extended maturity of October 2013. In January 2014, the loan was further extended through October 2014. The other specially serviced loan is secured by the former Le Meridien Cancun, now known as the Sandos Cancun Luxury Experience Resort, an all-inclusive hotel containing 213 rooms. The property has struggled over the past few years and the servicer-reported YE 2013 normalized net cash flow (NCF) remained negative. Occupancy for 2013 was reported at 50.7%. The loan was recently extended through its final extended maturity date of December 2014. The largest loan in the transaction is the Crowne Plaza Times Square (44.9% of the pool). The New York City-located hotel contains 795-rooms, and approximately 226,000 square feet (sf) of office and retail space. YE 2010 and 2011 performance significantly improved from YE 2009, which had offline rooms. However, cash flow has declined over the last two years primarily due to an increased ground lease payment, the loss of some commercial revenue, and new franchise fee obligations. The September 2013 servicer-reported NCF debt service coverage ratio remained relatively high at 2.37x. The loan was recently extended through December 2014, and is currently with the Master Servicer. RATING SENSITIVITIES The Rating Outlooks for classes B through E are expected to remain Stable. Class F and the distressed classes could be subject to further downgrades should the underlying assets' performance continue to decline and/or should additional losses be realized. Fitch downgrades the following classes as indicated: -- $25.2 million class D to 'BBBsf' from 'Asf'; Outlook Stable; -- $27.4 million class E to 'BBsf' from 'Asf'; Outlook Stable; -- $26.3 million class F to 'BBsf' from 'BBBsf'; Outlook to Negative from Stable; -- $26.6 million class G to 'CCCsf' from 'BBsf'; RE 35%; Fitch affirms the following classes as indicated: -- $74.5 million class A-2 at 'AAAsf'; Outlook Negative; -- $41.2 million class B at 'Asf'; Outlook Stable; -- $41.2 million class C at 'Asf'; Outlook Stable; -- $13.5 million class H at 'CCCsf'; RE 0%; -- $10.4million class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $5.2 million class M-HRO at 'CCCsf'; RE 0%; -- $8 million class N-HRO at 'Dsf'; RE 0%. N-STAR REAL III: S&P Lowers Rating on 9 Note Classes to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class A-1, A-2A, A-2B, B, C-1A, C-1B, C-2A, C-2B, and D notes from N-Star Real Estate CDO III Ltd., a collateralized debt obligation (CDO) transaction backed by commercial mortgage-backed securities (CMBS), to 'D(sf)'. S&P lowered its ratings on the class A-1, A-2A, and A-2B notes because the transaction failed to make timely interest payments on these non-deferrable notes on the May 2014 payment date, which triggered an event of default as per the transaction's documents. The transaction has an interest rate swap in place until 2016, exchanging fixed rate for floating rate. The payments to the hedge counterparty are senior to the interest owed to the senior noteholders. During the May 2014 payment period, there were inadequate interest proceeds available to pay the class A noteholders after paying the hedge counterparty. The class A-1 notes received a partial interest payment, and the class A-2A and A-2B notes received no payments. S&P lowered its ratings on the class B, C-1A, C-1B, C-2A, C-2B, and D notes to 'D (sf)' because it do not expect their deferred interest and principal to be paid back in full, given the low ratings on the portfolio coupled with the low coverage levels. All of these tranches have been deferring their interests. RATINGS LOWERED N-Star Real Estate CDO V Ltd. Rating Class To From A-1 D (sf) BB- (sf) A-2A D (sf) B (sf) A-2B D (sf) B (sf) B D (sf) CCC+ (sf) C-1A D (sf) CCC (sf) C-1B D (sf) CCC (sf) C-2A D (sf) CCC- (sf) C-2B D (sf) CCC- (sf) D D (sf) CCC- (sf) NYLIM FLATIRON 2006-1: S&P Affirms 'BB' Rating on Class D Notes --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2B, A-3, and B notes from NYLIM Flatiron CLO 2006-1 Ltd., a collateralized loan obligation (CLO) transaction managed by New York Life Investment Management LLC that closed in July 2006. In addition, S&P affirmed its ratings on the class A-2A, C, and D notes. Lastly, S&P removed the ratings on the class A-1, A-2B, A- 3, B, and C notes from CreditWatch, where it had placed them with positive implications on Feb. 21, 2014. The upgrades primarily reflect significant paydowns of more than $142 million to the class A-1 and A-2A notes since the transaction's reinvestment period ended in August 2013. This increased overcollateralization to each of the rated notes since our January 2012 rating actions. In addition, the April 30, 2014, trustee report indicated that the deal currently holds no defaulted collateral and that 'CCC' rated assets total only 0.34% of the aggregate principal amount. The affirmations on the class A-2A, C, and D notes reflect S&P's view that the credit support available is commensurate with the current ratings, even though the cash flow runs on the class C and D notes exhibit some sensitivity to the timing of their final payments. 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. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS NYLIM Flatiron CLO 2006-1 Ltd. Cash flow Previous implied Cash flow Final Class rating rating cushion(i) rating A-1 AA+ (sf)/Watch Pos AAA (sf) 3.74% AAA (sf) A-2A AAA (sf) AAA (sf) 42.10% AAA (sf) A-2B AA+ (sf)/Watch Pos AAA (sf) 3.74% AAA (sf) A-3 AA (sf)/Watch Pos AAA (sf) 0.80% AAA (sf) B A+ (sf)/Watch Pos AA+ (sf) 2.69% AA+ (sf) C BBB (sf)/Watch Pos BBB+ (sf) 3.46% BBB (sf) D BB (sf) BB+ (sf) 6.22% BB (sf) (i)The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. CORRELATION Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1 AAA (sf) AAA (sf) AA+ (sf) AAA (sf) AAA (sf) A-2A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2B AAA (sf) AAA (sf) AA+ (sf) AAA (sf) AAA (sf) A-3 AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf) B AA+ (sf) AA- (sf) AA (sf) AA+ (sf) AA+ (sf) C BBB+ (sf) BB+ (sf) BBB+ (sf) A- (sf) BBB (sf) D BB+ (sf) BB (sf) BB+ (sf) BBB- (sf) BB (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A-1 AAA (sf) AAA (sf) AA+ (sf) AAA (sf) A-2A AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2B AAA (sf) AAA (sf) AA+ (sf) AAA (sf) A-3 AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) B AA+ (sf) AA+ (sf) A+ (sf) AA+ (sf) C BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf) D BB+ (sf) BB+ (sf) B+ (sf) BB (sf) RATING AND CREDITWATCH ACTIONS NYLIM Flatiron CLO 2006-1 Ltd. Rating Class To From A-1 AAA (sf) AA+ (sf)/Watch Pos A-2B AAA (sf) AA+ (sf)/Watch Pos A-3 AAA (sf) AA (sf)/Watch Pos B AA+ (sf) A+ (sf)/Watch Pos C BBB (sf) BBB (sf)/Watch Pos RATINGS AFFIRMED NYLIM Flatiron CLO 2006-1 Ltd. Class Rating A-2A AAA (sf) D BB (sf) OHA PARK: S&P Affirms 'BBsf' Rating on Class D Notes ---------------------------------------------------- Standard & Poor's Ratings Services raised and removed its ratings from CreditWatch with positive implications on the class B and C notes from OHA Park Avenue CLO I Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Oak Hill Advisors L.P. In addition, S&P affirmed its ratings on the class A-1a, A-1b, A-2, and D notes. The rating actions follow S&P's review of the transaction's performance using data from the April 1, 2014, trustee report. The upgrades reflect a $132.03 million pro rata paydown to all classes of rated notes, and improvement in the underlying assets' credit quality since S&P's February 2012 rating actions. The affirmed ratings reflect S&P's view that the credit support available is commensurate with the current rating levels. The pro rata paydowns occured because of a transaction feature which diverts available principal to pay down the notes pro rata after the reinvestment period ends. This feature only occurs if the transaction shows passing coverage tests as of the related determination date, the class A-1 notes' overcollateralization (O/C) ratio is above 119.31% (and the transaction has never breached this covenant before), and the transaction maintains a total collateral balance greater than 50% of its effective date target par amount. Once the transaction breaches any of these criteria, available principal proceeds will pay down the remaining rated notes sequentially. Because of the paydown on the rated notes, the transaction's class A, B, C, and D O/C ratios have improved. All rated classes have 74.50% of their original par balances at issuance remaining. According to the April 2014 trustee report, the transaction did not hold any defaulted underlying collateral obligations, down from the $0.65 million noted in the January 2012 trustee report, which we used for our February 2012 rating actions. The amount of 'CCC' rated collateral held in the transaction's asset portfolio also decreased since S&P's last rating action. According to the April 2014 trustee report, the transaction held $7.13 million in assets rated in the 'CCC' range, down from the $32.18 million noted in the January 2012 trustee report. Since January 2012, the transaction has experienced a decrease in the Standard & Poor's 'AAA' recovery rate of approximately 3.90%, and a drop in weighted average spread of approximately 0.60%. Combined, this affected S&P's cash flow analysis on the 'AAA' rated class A-1a and A-1b notes, resulting in a 'AA+' cash flow implied rating for both of these classes. However, S&P believes that the aforementioned improvements in the transaction will continue, and that the notes will eventually switch to being paid sequentially, which will benefit the class A-1a and A-1b notes. Therefore, S&P affirmed its 'AAA' ratings. "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/or ultimate principal to each of the rated tranches," said S&P. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take further rating actions as we deem necessary," related S&P. CAPITAL STRUCTURE AND KEY METRICS COMPARISON Notional balance (mil. $) Class January 2012 April 2014 A-1a 50.00 37.24 A-1b 346.56 258.14 A-2 30.94 23.05 B 36.56 27.23 C 25.31 18.85 D 28.13 20.95 Coverage tests and WAS (%) A O/C 130.34 133.24 B O/C 120.07 122.74 C O/C 113.86 116.40 D O/C 107.67 110.07 A I/C 753.13 937.32 B I/C 667.57 810.82 C I/C 593.46 694.18 D I/C 474.32 511.01 WAS 3.78 3.18 O/C--Overcollateralization test. I/C--Interest coverage test. WAS--Weighted average spread. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Cash flow Cash flow Previous implied cushion Final Class rating rating (i) rating A-1a AAA (sf) AA+ (sf) 9.95% AAA (sf) A-1b AAA (sf) AA+ (sf) 9.95% AAA (sf) A-2 AA+ (sf) AA+ (sf) 1.66% AA+ (sf) B A (sf)/Watch Pos A+ (sf) 2.24% A+ (sf) C BBB (sf)/Watch Pos BBB+ (sf) 2.81% BBB+ (sf) D BB (sf) BB (sf) 1.54% BB (sf) (i) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY "In addition to our base-case analysis, we generated additional scenarios in which we made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. We also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below," said S&P. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Corr. Corr. Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1a AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf) A-1b AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf) A-2 AA+ (sf) AA (sf) AA (sf) AA+ (sf) AA+ (sf) B A+ (sf) A- (sf) A (sf) A+ (sf) A+ (sf) C BBB+ (sf) BBB- (sf) BBB+ (sf) BBB+ (sf) BBB+ (sf) D BB (sf) B+ (sf) BB (sf) BB+ (sf) BB (sf) Corr.-Correlation. DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A-1a AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) A-1b AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) A-2 AA+ (sf) AA+ (sf) A+ (sf) AA+ (sf) B A+ (sf) A+ (sf) BBB+ (sf) A+ (sf) C BBB+ (sf) BBB+ (sf) BB+ (sf) BBB+ (sf) D BB (sf) BB (sf) CCC+ (sf) BB (sf) RATINGS LIST OHA Park Avenue CLO I Ltd. Rating Rating Class Identifier To From A-1a 67085XAA2 AAA (sf) AAA (sf) A-1b 67085XAB0 AAA (sf) AAA (sf) A-2 67085XAC8 AA+ (sf) AA+ (sf) B 67085XAD6 A+ (sf) A (sf)/Watch Pos C 67085XAE4 BBB+ (sf) BBB (sf)/Watch Pos D 67085AAA2 BB (sf) BB (sf) PALISADES CDO: Moody's Hikes Rating on Class A-1A Notes to B1 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on following notes issued by Palisades CDO Ltd.: $366,000,000 CLASS A-1A FLOATING RATE NOTES DUE JULY 2039 (current outstanding balance of $39,189,029), Upgraded to B1 (sf); previously on March 6, 2014 Caa3 (sf) Placed Under Review for Possible Upgrade $6,000,000 CLASS A-1B 4.69% NOTES DUE JULY 2039 (current outstanding balance of $642,443), Upgraded to B1 (sf); previously on March 6, 2014 Caa3 (sf) Placed Under Review for Possible Upgrade $88,500,000 CLASS A-2 FLOATING RATE NOTES DUE JULY 2039 Notes, Upgraded to Caa3 (sf); previously on October 29, 2009 Downgraded to Ca (sf) Palisades CDO Ltd., issued in July 2004, is a collateralized debt obligation backed primarily by a portfolio of RMBS, ABS, and CDOs originated in years 2000-2007. Ratings Rationale These rating actions are primarily due to the deleveraging of the senior notes and an increase in the transaction's over- collateralization ratios since September 2013. The Class A-1 notes have been collectively paid down by approximately 51%, or $40.9 million since September 2013. Based on Moody's calculations, the over-collateralization (OC) ratios for the Class A-1 and A-2 Notes are currently at 280.1% and 86.9%, respectively, versus September 2013 levels of 159.8% and 76.2%, respectively. Additionally, Moody's notes that the Class A-1 notes benefit from diversion of interest proceeds due to the failure of the Class A/B OC test. Approximately $0.5 million of interest proceeds were used to amortize the Class A-1 notes on the April 2014 payment date. The deal also benefits from the updates to Moody's SF CDO methodology described in "Moody's Approach to Rating SF CDOs" published on March 6, 2014. These updates include: (i) lowering the resecuritization stress factors for RMBS (US Prime, Subprime, Manufactured Housing), CDOs exposed to investment grade corporate assets, and ABS backed by franchise loans or by mutual fund fees; (ii) using a common table of recovery rates for all structured finance assets (except for CMBS and SF CDO); and (iii) providing more guidance on the rating caps Moody's apply to deals experiencing event of default. In taking the foregoing actions, Moody's also announced that it had concluded its review of its rating(s) on the issuer's Class A-1A and Class A-1B Notes announced on March 6, 2014. At that time, Moody's said that it had placed the rating(s) on review for upgrade as a result of the aforementioned methodology updates. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in March 2014. Factors That Would Lead To an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macro-economic uncertainty: Primary causes of uncertainty about assumptions are the extent of any slowdown in growth in the current macroeconomic environment and in the residential real estate property markets. The residential real estate property market is subject to uncertainty about housing prices; the pace of residential mortgage foreclosures, loan modifications and refinancing; the unemployment rate; and interest rates. 2) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds, recoveries from defaulted assets, and excess interest proceeds will continue and at what pace. Faster deleveraging than Moody's expects could have a significant impact on the notes' ratings. 3) Recovery of defaulted assets: The amount of recoveries received from defaulted assets reported by the trustee and those that Moody's assumes as having defaulted as well as the timing of these recoveries create additional uncertainty. Moody's analyzed defaulted assets assuming no recoveries, and therefore, realization of any recoveries in the future would positively impact the notes' ratings. Loss and Cash Flow Analysis: Moody's applies a Monte Carlo simulation framework in Moody's CDOROM(TM) to model the loss distribution for SF CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios define the reference pool's loss distribution. Moody's then uses the loss distribution as an input in the CDOEdge(TM) cash flow model. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different sensitivity analyses on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Ba1 and below ratings notched up by two rating notches: Class A-1A: +2 Class A-1B: +2 Class A-2: 0 Ba1 and below ratings notched down by two notches: Class A-1A: -2 Class A-1B: -2 Class A-2: 0 PREFERRED CPO: Moody's Hikes Rating on $74MM Class B Notes to Ba1 ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating of the following notes issued by Preferred CPO Limited: $74,000,000 Class B 10.026% Fixed Rate Senior Subordinated Notes due 2030 (current outstanding balance of $24,206,677.30), Upgraded to Ba1 (sf); previously on April 22, 2009 Downgraded to Ba3 (sf) Preferred CPO Limited, issued in July 2000, is a collateralized debt obligation backed by a portfolio of bank and insurance trust preferred securities. Ratings Rationale The rating action is primarily a result of the deleveraging of the Class B notes and an increase in the Class B overcollateralization ratio, tempered by the low diversity of the underlying collateral. The Class B notes have paid down by approximately 21.62% of their original principal amount or $16.0 million since May 2013, using principal proceeds from the redemption of two underlying assets. Based on the trustee's 30 April 2014 report, the Class B par value test was at 134.55% (limit 107.00%), versus 120.77% in May 2013. The underlying collateral is composed of five assets with a total par of $32.2 million. Three of these assets (representing 66.0% of par) are not publically rated by Moody's and their credit risk is estimated using RiskCal. Because of the concentrated exposure of this transaction to assets whose credit risk is derived from estimates rather than from a Moody's public monitored rating, Moody's evaluated the sensitivity of the results to a jump-to- default of the largest non-publically rated assets. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool has having a performing par of $32.2 million, defaulted and deferring par of $18.5 million, a weighted average default probability of 11.56% (implying a WARF of 602), a Moody's Asset Correlation of 45.26%, and a weighted average recovery rate upon default of 8.44%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of 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, can influence the final rating decision. RAMP TRUST 2005-SL1: Moody's Cuts Cl. A-IO Secs Rating to Caa1 -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of three tranches and affirmed the ratings of six tranches backed by Alt-A RMBS loans, issued by RAMP. Complete rating actions are as follows: Issuer: RAMP Series 2005-SL1 Trust Cl. A-I, Downgraded to Caa1 (sf); previously on Dec 31, 2013 Downgraded to B2 (sf) Cl. A-II, Downgraded to Caa1 (sf); previously on Dec 31, 2013 Downgraded to B3 (sf) Cl. A-III, Affirmed Caa1 (sf); previously on Apr 21, 2010 Downgraded to Caa1 (sf) Cl. A-IV, Affirmed Caa1 (sf); previously on Dec 31, 2013 Downgraded to Caa1 (sf) Cl. A-V, Affirmed Caa1 (sf); previously on Apr 21, 2010 Downgraded to Caa1 (sf) Cl. A-VI, Affirmed Caa1 (sf); previously on Apr 21, 2010 Downgraded to Caa1 (sf) Cl. A-VII, Affirmed Caa2 (sf); previously on Apr 21, 2010 Downgraded to Caa2 (sf) Cl. A-IO, Downgraded to Caa1 (sf); previously on Dec 31, 2013 Downgraded to B2 (sf) Cl. M-1, Affirmed C (sf); previously on Apr 21, 2010 Downgraded to 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 ratings downgraded are a result of deteriorating performance and higher than expected losses on bonds where the credit support is expected to be depleted. On December 31, 2013, Moody's took rating actions on certain tranches from this transaction. The rating actions as well as the December 2013 rating actions reflect updates and corrections to the cash-flow models used by Moody's in rating this transaction. The modeling changes pertain to the calculation of the senior percentage post subordination depletion. RAMPART CLO 2006-I: S&P Affirms 'B+' Rating on Class D Notes ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B, and C notes and affirmed its rating on the class D notes from Rampart CLO 2006-I Ltd., a U.S. collateralized loan obligation (CLO) managed by Apollo ST Debt Advisors LLC. At the same time, S&P removed these ratings from CreditWatch, where they were placed with positive implications on Feb. 21, 2014. The upgrades reflect post-reinvestment period principal amortization paydowns to the class A-1 notes. Since August 2012, when S&P raised its ratings on three classes, the class A-1 notes have paid down $223.8 million, reducing the notes to 52.0% of their original balance and increasing credit support for the subordinate notes. As of the April 2014 trustee report, the transaction had $4.5 million (1.0%) of assets from obligors in the 'CCC' rating category, down from $12.6 million (1.1%) in July 2012. Although S&P's cash flow analysis indicates that it could raise the ratings on the class C notes to 'A (sf)' and the class D notes to 'BBB (sf)', the ratings on these notes are constrained at 'BBB+ (sf)' and 'B+ (sf)' by S&P's application of the top obligor test, which measures concentration risk. "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/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, 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 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. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Rampart CLO 2006-I Ltd. Cash flow Previous implied Cash flow Final Class rating rating cushion(i) rating A-1 AA+(sf)/Watch Pos AAA (sf) 20.63% AAA (sf) A-2 AA (sf)/Watch Pos AAA (sf) 10.09% AAA (sf) B A (sf)/Watch Pos AA+ (sf) 8.06% AA+ (sf) C BB+ (sf)/Watch Pos A (sf) 0.79% BBB+ (sf) D B+ (sf)/Watch Pos BBB (sf) 0.93% B+ (sf) (i) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY "In addition to our base-case analysis, we generated additional scenarios in which we made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. We also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below," S&P said. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf) C A (sf) BBB+ (sf) A- (sf) A+ (sf) BBB+ (sf) D BBB (sf) BB+ (sf) BBB- (sf) BBB+ (sf) B+ (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AA+ (sf) AA+ (sf) AA- (sf) AA+ (sf) C A (sf) A- (sf) BB+ (sf) BBB+ (sf) D BBB (sf) BBB- (sf) BB- (sf) B+ (sf) RATING AND CREDITWATCH ACTIONS Rampart CLO 2006-I 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) BB+ (sf)/Watch Pos D B+ (sf) B+ (sf)/Watch Pos RFC CDO 2006-1: S&P Raises Rating on Class A-2 Notes to 'BB-' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class A-2 notes from RFC CDO 2006-1 Ltd., a U.S. commercial real estate collateralized debt obligation (CRE CDO) transaction. Concurrently, S&P lowered its rating on the class D notes and affirmed its ratings on two other classes from the same transaction. The rating actions reflect the current credit enhancement that is available to support the ratings and our analysis of the transaction's liability structure and the collateral's underlying credit characteristics using S&P's criteria for global CDOs of pooled structured finance assets. The analysis also reflects S&P's rating methodology and assumptions for U.S. and Canadian commercial mortgage-backed securities (CMBS) and its CMBS global property evaluation methodology criteria. The upgrade on class A-2 also reflects the transaction's amortization. Class A-2 had $16.8 million outstanding as of the April 25, 2014, trustee note valuation report, down from $33.0 million at issuance. S&P also considered the expected recoveries from the defaulted assets, specifically, a scenario where a significant loss would be experienced on the defaulted Night Hotel A-note. S&P lowered its rating on class D to 'D (sf)' because it expects that the class is unlikely to be repaid in full. According to the April 25, 2014, trustee report, the transaction's collateral totaled $107.3 million while its liabilities, including capitalized interest, totaled $209.1 million. This is down from $600.0 million in liabilities at issuance. The transaction's current asset pool includes: -- 15 CMBS tranches ($39.9 million, 37.2%); -- Two subordinate hope notes ($27.9 million, 26.0%); -- One mezzanine loan ($20.0 million, 18.6%); and -- Two senior A-notes ($19.5 million, 18.2%). The April 2014 trustee report noted 14 impaired assets totaling $72.4 million (67.5%), consisting of 11 CMBS ($19.6 million), one hope note ($22.8 million),one mezzanine loan ($20.0 million), and one A-note ($10.0 million). The defaulted loans are: -- The Night Hotel hope note ($22.8 million, 21.3%); -- The JW Marriott mezzanine loan ($20.0 million, 18.6%); and -- The Night Hotel A-note ($10.0 million, 9.3%). S&P estimated no recoveries for the defaulted subordinated loans and a 67% recovery on the Night Hotel A-note. S&P also considered in its analysis the scenario where a significant loss is experienced on this asset. S&P based the defaulted assets expected recoveries on information from the collateral manager, special servicer, and third-party data providers. Using loan performance information provided by the collateral manager, S&P applied asset-specific recovery rates in its analysis of the performing loans ($14.6 million, 13.6%) using its criteria for U.S. and Canadian CMBS and S&P's CMBS global property evaluation methodology. S&P also considered in its analysis qualitative factors such as the loan modifications and the amount of impaired assets in the transaction. According to the April 2014, trustee report, the deal has failed all of its overcollateralization tests, passed the class C and D interest coverage tests, and failed the class E, F, and G interest coverage tests. RATINGS LIST RFC CDO 2006-1 Ltd. Rating Class Identifier To From A-2 14986AAL0 BB- (sf) CCC+ (sf) B 14986AAM8 CCC- (sf) CCC- (sf) C 14986AAN6 CCC- (sf) CCC- (sf) D 14986AAP1 D (sf) CCC- (sf) REGATTA FUNDING: S&P Affirms 'BB+' Rating on Class B-2L Notes ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1L, A-1LV, A-2L, A-3L, and B-1L notes from Regatta Funding Ltd., a collateralized loan obligation transaction managed by Napier Park Global Capital LLC that closed in April 2007, and removed them from CreditWatch with positive implications, where S&P placed themon Feb. 21, 2014. At the same time, S&P affirmed its rating on the class B-2L notes. The class A-1L and A-1LV notes have received over $120.7 million in combined paydowns since the transaction's reinvestment period ended in June 2013. The upgrades reflect these paydowns, which have increased credit support for the subordinate notes and all of the transaction's overcollateralization ratios since March 2012. The affirmation on the class B-2L notes reflects the sufficient credit support available to the notes at the current rating level. Despite cash flows that implied an upgrade, S&P affirmed its rating to take into account the increase in defaults since its March 2012 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 S&P will take further rating actions as it deems necessary. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. RATINGS LIST Regatta Funding Ltd. Rating Rating Class Identifier To From A-1LV 75885JAC4 AAA (sf) AA+ (sf)/Watch Pos A-1L 75885JAB6 AAA (sf) AA+ (sf)/Watch Pos A-2L 75885JAD2 AAA (sf) AA (sf)/Watch Pos A-3L 75885JAE0 AA (sf) A (sf)/Watch Pos B-1L 75885JAF7 A- (sf) BBB (sf)/Watch Pos B-2L 75885PAA4 BB+ (sf) BB+ (sf) RFC CDO 2006-1: Moody's Affirms 'C' Rating on 5 Note Classes ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on the following notes issued by RFC CDO 2006-1, Ltd.: Cl. A-2, Affirmed Baa1 (sf); previously on Jul 24, 2013 Upgraded to Baa1 (sf) Cl. B, Affirmed Caa1 (sf); previously on Jul 24, 2013 Affirmed Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on Jul 24, 2013 Affirmed Caa2 (sf) Cl. D, Affirmed Ca (sf); previously on Jul 24, 2013 Affirmed Ca (sf) Cl. E, Affirmed C (sf); previously on Jul 24, 2013 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Jul 24, 2013 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Jul 24, 2013 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Jul 24, 2013 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Jul 24, 2013 Affirmed C (sf) Ratings Rationale Moody's has affirmed the ratings of nine classes because key transaction metrics are commensurate with the existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation and collateralized loan obligation (CRE CDO CLO) transactions. RFC CDO 2006-1, Ltd. is a static cash CRE CDO transaction backed by a portfolio of: i) commercial mortgage backed securities (CMBS) (37.2% of collateral pool balance); ii) B-note debt (26.0%); iii) mezzanine interests (18.6%); and iv) whole loans (18.2%). As of the April 21, 2014 note valuation report, the aggregate note balance of the transaction, including preferred shares, has decreased to $208.8 million from $600.0 million at issuance, with the paydown directed to the senior most outstanding classes of notes. This was the result of the combination of regular amortization, resolution and sales of impaired collateral, and the failing of certain par value tests. Currently, the transaction has implied under-collateralization of $101.5 million (16.9% of original aggregate note balance, compared to 12.9% at last review) primarily due to implied losses from the impaired collateral. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these 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 updated its assessments for the reference obligations it does not rate. The rating agency modeled a bottom-dollar WARF of 7615, compared to 7230 at last review. The current ratings on the Moody's-rated reference obligations and the assessments of the non-Moody's rated reference obligation follow: Aaa-Aa3 and 5.3% compared to 3.1% at last review; Baa1-Baa3 and 9.0% compared to 4.4% at last review; Ba1-Ba3 and 9.3% compared to 16.2% at last review; B1-B3 and 0.2% compared to 6.9% at last review; and Caa1- Ca/C and 76.2% compared to 69.4% at last review. Moody's modeled a WAL of 3.2 years, compared to 2.4 years at last review. The WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 11.1%, compared to 19.6% at last review. Moody's modeled a MAC of 100.0%, the same as at last review. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in March 2014. Factors that would lead to an upgrade or downgrade of the rating: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to 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 performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the recovery rate of the underlying collateral and credit assessments. Holding all other key parameters static, reducing the recovery rate by 10% would result in modeled rating movement on the rated notes of zero to six notches downward (e.g. one notch down implies a rating movement from Baa3 to Ba1). Increasing the recovery rate by 10% would result in modeled rating movement on the rated notes of zero to two notches upward (e.g. one notch up implies a rating movement from Ba1 to Baa3). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and commercial real estate property markets. Commercial real estate property values continue to improve modestly, 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, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. ROCKWALL CDO: S&P Raises Rating on Class B-1L Notes From BB+ ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-1LA, A-1LB, A-2L, A-3L, A-4L, and B-1L notes from Rockwall CDO Ltd., a collateralized loan obligation (CLO) transaction that closed in May 2006, and removed them from CreditWatch with positive implications, where S&P placed them on Feb. 21, 2014. At the same time, S&P raised its rating on the tranche 2 notes and removed it from CreditWatch with positive implications and affirmed its rating on the tranche 1 notes from Claris III Ltd.'s series 16, a retranche of Rockwall CDO Ltd.'s class A-1LA notes. Rockwall CDO Ltd.'s reinvestment period ended in August 2011 and we upgraded all six classes in January 2013. The transaction's underlying collateral is about 62% leveraged loans and 38% structured finance securities, mostly tranches from other CLOs. The upgrades reflect the more than $174 million in paydowns to the class A-1LA notes since S&P's January 2013 rating actions, which have increased credit support for the subordinate notes. The paydowns have also improved the class A and B-1L overcollateralization ratios since S&P's January 2013 rating actions. Claris III Ltd.'s series 16 tranche 1 and 2 notes were retranched off of Rockwall CDO Ltd.'s class A-1LA notes and constitute 53.5% of the class A-LA notes. The paydowns to the class A-1LA notes of the parent deal have also increased credit support to the retranched notes. As a result, S&P raised its rating on the tranche 2 notes and affirmed our 'AAA (sf)' rating on tranche 1. 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. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Rockwall CDO Ltd. Cash flow Previous implied Cash flow Final Class rating rating cushion (i) rating A-1LA AA- (sf)/Watch Pos AAA (sf) 6.85% AAA (sf) A-1LB A+ (sf)/Watch Pos AA+ (sf) 2.84% AA+ (sf) A-2L BBB+ (sf)/Watch Pos A+ (sf) 4.52% A+ (sf) A-3L BBB (sf)/Watch Pos A- (sf) 2.25% A- (sf) A-4L BBB- (sf)/Watch Pos BBB+ (sf) 8.77% BBB+ (sf) B-1L BB+ (sf)/Watch Pos BBB+ (sf) 0.43% BBB (sf) Claris III Ltd. Series 16 Cash flow Previous implied Cash flow Final Class rating rating cushion(i) rating Tranche 1 AAA (sf) AAA (sf) 27.44% AAA (sf) Tranche 2 AA- (sf)/Watch Pos AAA (sf) 6.85% AAA (sf) (i) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Rockwall CDO Ltd. Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1LA AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-1LB AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) A-2L A+ (sf) A+ (sf) A+ (sf) A+ (sf) A+ (sf) A-3L A- (sf) BBB+ (sf) A- (sf) A- (sf) A- (sf) A-4L BBB+ (sf) BBB+ (sf) BBB+ (sf) BBB+ (sf) BBB+ (sf) B-1L BBB+ (sf) BBB- (sf) BBB+ (sf) BBB+ (sf) BBB (sf) Claris III Ltd. Series 16 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating Tranche 1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) Tranche 2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Rockwall CDO Ltd. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A-1LA AAA (sf) AAA (sf) AA+ (sf) AAA (sf) A-1LB AA+ (sf) AA+ (sf) A (sf) AA+ (sf) A-2L A+ (sf) A+ (sf) BBB- (sf) A+ (sf) A-3L A- (sf) BBB+ (sf) BB (sf) A- (sf) A-4L BBB+ (sf) BBB+ (sf) BB- (sf) BBB+ (sf) B-1L BBB+ (sf) BBB- (sf) B (sf) BBB (sf) Claris III Ltd. Series 16 Spread Recovery Cash flow compression compression implied implied implied Final Tranche 1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) Tranche 2 AAA (sf) AAA (sf) AA+ (sf) AAA (sf) RATINGS RAISED AND REMOVED FROM CREDITWATCH Rockwall CDO Ltd. Rating Class To From A-1LA AAA (sf) AA- (sf)/Watch Pos A-1LB AA+ (sf) A+ (sf)/Watch Pos A-2L A+ (sf) BBB+ (sf)/Watch Pos A-3L A- (sf) BBB (sf)/Watch Pos A-4L BBB+ (sf) BBB- (sf)/Watch Pos B-1L BBB (sf) BB+ (sf)/Watch Pos Claris III Ltd. Series 16 Rating Class To From Tranche 2 AAA (sf) AA- (sf)/Watch Pos RATING AFFIRMED Class Rating Tranche 1 AAA (sf) SANDERS RE 2014-1: S&P Assigns 'BB+' Rating to Class B Notes ------------------------------------------------------------ Standard & Poor's Ratings Services said that it assigned its 'BB+(sf)' rating to the Series 2014-1 class B notes and its 'BB(sf)' rating to the Series 2014-1 class C and D notes issued by Sanders Re Ltd. The notes cover losses in the covered area from named storms and earthquakes (including fire following) on a per- occurrence basis. S&P based the ratings on the lowest of the natural-catastrophe (nat-cat) risk factor ('BB+' for the class B notes, 'BB' for the class C and D notes); S&P's rating on the assets in the reinsurance trust account ('AAAm'); and the risk assessment of nonpayment by the ceding company, Allstate Insurance Co. and various of its affiliates. The probability of attachment used to determine the nat-cat risk factor combined the warm sea surface temperature for hurricanes and the time-independent analysis for earthquakes. S&P included an additional stress in its calculation of this curve, increasing the original modeled results. In addition, for each reset, S&P assumed the maximum probability of attachment as permitted by the variable reset feature. This feature was not included in the Sanders Re 2013-1 notes and may result in differing nat-cat risk factors between issuances with similar attachment levels. The class B notes will cover 94% of losses between the initial attachment level of $3.830 billion and the initial exhaustion level of $4.180 billion. The class C notes will cover 35% of losses between the initial attachment level of $3.499 billion and the initial exhaustion level of $3.830 billion. The class D notes will cover 63% of losses between the initial attachment level of $2.954 billion and the initial exhaustion level of $3.436 billion. RATINGS LIST New Rating Sanders Re Ltd. Series 2014-I Notes Class B BB+(sf) Class C BB(sf) Class D BB(sf) SAYBROOK POINT: Moody's Confirms Caa2 Rating on $18MM Cl. B Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Saybrook Point CBO, Limited: $252,000,000 Class A Floating Rate Senior Notes Due 2031 (current outstanding balance $2,150,050), Upgraded to Baa2(sf); previously on August 29, 2013 Upgraded to Ba2 (sf). Moody's also confirmed the rating on the following notes: $18,000,000 Class B Floating Rate Senior Secured Notes Due 2036, Confirmed at Caa2 (sf); previously on March 6, 2014 Caa2 (sf) Placed Under Review for Possible Upgrade. Saybrook Point CBO, Limited, issued in February 2001, is a collateralized debt obligation backed primarily by a portfolio of RMBS and ABS originated in 1995 to 2003. Ratings Rationale The rating action is due primarily to the deleveraging of the senior notes and an increase in the transaction's over- collateralization ratios since August 2013. The Class A notes have been paid down by approximately 61% or $3.5 million since August 2013. Based on Moody's calculations, the over-collateralization ratio of the Class A Notes is currently 1163.2% versus August 2013 level of 423.2%. The deal also benefits from the updates to Moody's SF CDO methodology described in "Moody's Approach to Rating SF CDOs" published on March 6, 2014. These updates include: (i) lowering the resecuritization stress factors for RMBS (US Prime, Subprime, Manufactured Housing), CDOs exposed to investment grade corporate assets, and ABS backed by franchise loans or by mutual fund fees; (ii) using a common table of recovery rates for all structured finance assets (except for CMBS and SF CDO); and (iii) providing more guidance on the rating caps Moody's apply to deals experiencing event of default. In taking the foregoing action, Moody's also announced that it had concluded its review of its rating on the issuer's Class B Notes announced on March 6, 2014. At that time, Moody's said that it had placed the rating on review for upgrade as a result of the aforementioned methodology updates. Despite benefits of the deleveraging, the credit quality of the portfolio has deteriorated since August 2013. Based on the trustee's April 2014 report, the weighted average rating factor is currently 7274 compared to 6446 in August 2013. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs," published in March 2014. Factors That Would Lead To an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: Primary causes of uncertainty about assumptions are the extent of any slowdown in growth in the current macroeconomic environment and in the commercial and residential real estate property markets. Although the commercial real estate property markets are gaining momentum, consistent growth will be unlikely until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. The residential real estate property market is subject to uncertainty about housing prices; the pace of residential mortgage foreclosures, loan modifications and refinancing; the unemployment rate; and interest rates. 2) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds, recoveries from defaulted assets, and excess interest proceeds will continue and at what pace. Faster deleveraging than Moody's expects could have a significant impact on the notes' ratings. 3) Recovery of defaulted assets: The amount of recoveries received from defaulted assets reported by the trustee and those that Moody's assumes as having defaulted as well as the timing of these recoveries create additional uncertainty. Moody's analyzed defaulted assets assuming no recoveries, and therefore, realization of any recoveries in the future would positively impact the notes' ratings. Loss and Cash Flow Analysis: Moody's applies a Monte Carlo simulation framework in Moody's CDOROM(TM) to model the loss distribution for SF CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios define the reference pool's loss distribution. Moody's then uses the loss distribution as an input in the CDOEdge(TM) cash flow model. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Caa ratings notched up by two rating notches (3350): Class A: +2 Class B: +2 Caa ratings notched down by two rating notches (5528): Class A: -1 Class B: -1 SILVERMORE CLO: Moody's Rates $26MM Class D Senior Notes '(P)Ba3' ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes issued by Silvermore CLO Ltd.: Moody's rating action is as follows: $322,500,000 Class A-1 Senior Secured Floating Rate Notes due May 2026 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) $57,800,000 Class A-2 Senior Secured Floating Rate Notes due May 2026 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) $29,700,000 Class B Senior Secured Deferrable Floating Rate Notes due May 2026 (the "Class B Notes"), Assigned (P)A2 (sf) $26,000,000 Class C Senior Secured Deferrable Floating Rate Notes due May 2026 (the "Class C Notes"), Assigned (P)Baa3 (sf) $26,200,000 Class D Senior Secured Deferrable Floating Rate Notes due May 2026 (the "Class D Notes"), Assigned (P)Ba3 (sf) $5,000,000 Class E Senior Secured Deferrable Floating Rate Notes due May 2026 (the "Class E Notes"), Assigned (P)B2 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. Ratings Rationale Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Silvermore CLO is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The Issuer's documents require the portfolio to be at least 80% ramped as of the closing date. Silvermine Capital Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets and credit improved assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. SPIRIT MASTER: S&P Withdraws 'BB+' Ratings on Notes of 3 Series --------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its 'BB+(sf)' ratings on Spirit Master Funding I/II/III LLC's net lease mortgage notes series 2005-1, 2006-1, and 2007-1, respectively. The three series in the master trust, Spirit Master Funding Net Lease Mortgage Notes, are securitizations backed primarily by fee titles to commercial real estate properties and all payments required thereunder. The three series were paid in full after the notes were exchanged for the series 2014-1, 2014-2, and 2014-3 notes issued out of the same master trust. RATINGS WITHDRAWN Spirit Master Funding LLC Series 2005-1 Ratings Class To From A-1 NR BB+ (sf) A-2 NR BB+ (sf) Spirit Master Funding II LLC Series 2006-1 Ratings Class To From A NR BB+ (sf) Spirit Master Funding III LLC Series 2007-1 Ratings Class To From A NR BB+ (sf) SHASTA CLO I: Moody's Affirms Ba2 Rating on Class B-2L Notes ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Shasta CLO I Ltd.: $38,000,000 Class A-2L Floating Rate Notes Due April 2021, Upgraded to Aaa (sf); previously on August 9, 2013 Upgraded to Aa1 (sf) $26,000,000 Class A-3L Floating Rate Notes Due April 2021, Upgraded to Aa2 (sf); previously on August 9, 2013 Upgraded to A2 (sf) $18,000,000 Class B-1L Floating Rate Notes Due April 2021, Upgraded to Baa1 (sf); previously on August 9, 2013 Affirmed Baa3 (sf) Moody's also affirmed the ratings on the following notes: $296,000,000 Class A-1L Floating Rate Notes Due April 2021 (current balance of $226,562,465), Affirmed Aaa (sf); previously on August 9, 2013 Affirmed Aaa (sf) $45,000,000 Class A-1LV Floating Rate Revolving Notes Due April 2021 (current balance of $34,443,618), Affirmed Aaa (sf); previously on August 9, 2013 Affirmed Aaa (sf) $18,000,000 Class B-2L Floating Rate Notes Due April 2021, Affirmed Ba2 (sf); previously on August 9, 2013 Affirmed Ba2 (sf) Shasta CLO I Ltd., issued in January 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in October 2013. Ratings Rationale These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over- collateralization (OC) ratios since the reinvestment end date in October 2013. The Class A-1 Notes have been paid down by approximately 21% or $69 million since October 2013. Based on the trustee's April 10, 2014 report, the OC ratios for the Class A1/A2, Class A, Class B1 and Class B2 notes are reported at 124.9%, 116.0%, 110.5% and 105.5%, respectively, versus October 2013 levels of 123.2%, 115.0%, 110.0% and 105.4%, respectively. Additionally, Moody's notes that the trustee reported OC ratios do not include the April 21, 2014 payment distribution when $37.2 million of principal proceeds were used to pay down the Class A-1 Notes. The deal has benefited from an improvement in the credit quality of the portfolio since October 2013. Based on the trustee's April 10, 2014 report, the weighted average rating factor (WARF) is currently 2342 compared to 2455 in October 2013. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. 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. Realization of higher than assumed recoveries would positively impact the CLO. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (1962) Class A-1L: 0 Class A-1LV: 0 Class A-2L: 0 Class A-3L: +1 Class B-1L: +3 Class B-2L: +1 Moody's Adjusted WARF + 20% (2944) Class A-1L: 0 Class A-1LV: 0 Class A-2L: 0 Class A-3L: -3 Class B-1L: -2 Class B-2L: -1 Loss and Cash Flow Analysis: 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," published in February 2014. The key model inputs Moody's used in its analysis, such as par, WARF, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $381.9 million, defaulted par of $6.7 million, a weighted average default probability of 15.8% (implying a WARF of 2453), a weighted average recovery rate upon default of 49.8%, a diversity score of 66 and a weighted average spread of 2.9%. Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. TRAPEZA EDGE: Moody's Hikes Rating on Class B-2 Notes to 'B3' ------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings on the following notes issued by Trapeza Edge CDO, Ltd.: $194,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2035 (current balance of $124,424,893), Upgraded to Aa3 (sf); previously on August 28, 2013 Confirmed at A2 (sf) $26,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2035, Upgraded to A3 (sf); previously on August 28, 2013 Confirmed at Baa1 (sf) $32,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes Due 2035, Upgraded to Baa1 (sf); previously on August 28, 2013 Confirmed at Baa3 (sf) $50,500,000 Class B-1 Fourth Priority Secured Floating Rate Notes Due 2035, Upgraded to B3 (sf); previously on August 28, 2013 Affirmed Caa3 (sf) $22,500,000 Class B-2 Fourth Priority Secured Fixed Rate Notes Due 2035, Upgraded to B3 (sf); previously on August 28, 2013 Affirmed Caa3 (sf) $6,000,000 Class 1 Combination Notes Due 2035 (current rated balance of $2,852,640), Upgraded to Ba3 (sf); previously on August 28, 2013 Upgraded to B3 (sf) Trapeza Edge CDO, Ltd., issued in August 2005, is a collateralized debt obligation backed by a portfolio of bank and insurance trust preferred securities (TruPS). Ratings Rationale The rating actions taken are primarily a result of the resumption of interest payments by three deferring banks with a total par of $16.0 million. Two of the banks' TruPS, with a total par of $11.0 million, were cured in March 2014 and April 2014. The total par amount that Moody's treated as having defaulted or deferring declined to $28.0 million from $44.0 million in August 2013. In addition, the Class A-1 notes have paid down by approximately 2.2% or $2.8 million using excess interest proceeds. Thus, since August 2013, the Class A-1 notes' par coverage has improved to 215.3% from 198.0%, by Moody's calculations. Based on the trustee's May 2, 2014 report, the over-collateralization ratios of the Class A and Class B notes are 147.6% and 105.4%, respectively, compared to June 2013 levels of 135.5% and 98.1%, respectively. Going forward, the Class A-1 notes will benefit from the use of proceeds from redemptions of any assets in the collateral pool. The credit quality of the underlying portfolio has been stable since the last rating action in August 2013. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool has having a performing par of $267.9 million, defaulted/deferring par of $28.0 million, a weighted average default probability of 29.70% (implying a WARF of 1691), a Moody's Asset Correlation of 14.98%, and a weighted average recovery rate upon default of 8.24%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of 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, can influence the final rating decision. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs," published in May 2011. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's has a stable outlook on the US banking sector. Moody's maintains its stable outlook on the US insurance sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Resumption of interest payments by deferring assets: A number of banks have resumed making interest payments on their TruPS. The timing and amount of deferral cures could have significant positive impact on the transaction's over-collateralization ratios and the ratings on the notes. 5) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Moody's evaluates the sensitivity of the ratings of the notes to the volatility of these credit assessments. Loss and Cash Flow Analysis: Moody's modeled the transaction's portfolio using CDOROM v.2.12.2 to develop the default distribution from which it derives the Moody's Asset Correlation parameter. The portfolio of this CDO contains trust preferred securities issued by small to medium sized U.S. community banks and insurance companies that Moody's does not rate publicly. To evaluate the credit quality of bank TruPS that do not have public ratings, Moody's uses RiskCalc, an econometric model developed by Moody's Analytics, to derive credit scores. Moody's evaluation of the credit risk of most of the bank obligors in the pool relies on FDIC Q4-2013 financial data.: For insurance TruPS that do not have public ratings, Moody's relies on the assessment of its Insurance team, based on the credit analysis of the underlying insurance firms' annual statutory financial reports. In addition to the base case, Moody's conducted 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 deterioration in the credit quality of the collateral pool). Increasing the WARF by 139 points from the base case of 1691 lowers the model-implied rating on the Class A-1 notes by one notch from the base case result; decreasing the WARF by 171 points raises the model-implied rating on the Class A-1 notes by one notch from the base case result. Moody's also conducted two additional sensitivity analyses, as described in "Sensitivity Analyses on Deferral Cures and Default Timing for Monitoring TruPS CDOs," published in August 2012. In the first analysis, Moody's gave par credit to banks that are deferring interest on their TruPS but satisfy other credit criteria and thus are highly likely to resume interest payments; in this case, Moody's gave par credit to $9.5 million of bank TruPS. In the second sensitivity analysis, Moody's ran alternative default-timing profile scenarios to reflect the lower likelihood of a large spike in defaults. Below is a summary of the impact on all of the rated notes (in terms of the difference in the number of notches versus the current model-implied output, in which a positive difference corresponds to a lower expected loss): Sensitivity Analysis 1: Par Credit Given to Deferring Banks Class A-1: 0 Class A-2: +1 Class A-3: 0 Class B-1: +1 Class B-2: +1 Class 1 Combination: +1 Sensitivity Analysis 2: Alternative Default Timing Profile Class A-1: 0 Class A-2: +1 Class A-3: 0 Class B-1: +1 Class B-2: +1 Class 1 Combination: +1 TREF FUNDING III: S&P Hikes Rating on Cl. A-2 Notes From 'BB+' -------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class A-2 notes from TPref Funding III Ltd., a collateralized debt obligation transaction backed by trust-preferred securities (TruPS) issued by financial institutions, to 'BBB- (sf)' from 'BB+ (sf)', and removed it from CreditWatch with positive implications. The upgrades reflect paydowns to the class A-2 notes and the improved credit support available to the notes since S&P's upgrades in February 2013. Since then, the transaction has paid down the class A-2 notes by approximately $13.57 million, leaving it at 77.73% of its original balance. The class A-1 notes paid down in full on the October 2012 payment date. The upgrade also reflects the improved overcollateralization (O/C) available to the notes, mainly due to the aforementioned paydowns, since S&P's February 2013 rating actions. The upgrade further reflects the decline in the amount of non- performing assets since February 2013. According to the April 2014 trustee report, there were $79.75 million in defaulted securities, down from the $87.75 million cited in the January 2013 report. "Our review of these transactions included a cash flow analysis, based on the portfolio and transactions, as reflected in the aforementioned trustee reports, 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/or ultimate principal to each of the rated tranches. The cash flow analysis results demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions," S&P said. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary," said S&P. CAPITAL STRUCTURE AND KEY METRICS COMPARISON TPref Funding III Ltd. Notional balance (mil. $) Class January 2013(i) March 2014(ii) A-1 0.00 0.00 A-2 75.94 62.37 B-1 24.25 24.25 B-2 114.75 114.75 Coverage Tests Senior (A) O/C 217.28 256.27 (i) Trustee report used for S&P's February 2013 rating actions. (ii)After applying proceeds on the April 2014 payment date. O/C-Overcollateralization test. RATING RAISED AND REMOVED FROM CREDITWATCH TPref Funding III Ltd. Rating Class To From A-2 BBB- (sf) BB+ (sf)/Watch Pos 2M-1 BB (sf) 174. US CAPITAL: Moody's Hikes Rating on 2 Note Classes to 'B3' ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by US Capital Funding II Ltd.: $171,000,000 Class A-1 Floating Rate Senior Notes Due 2034, (current balance of $59,219,357.59); Upgraded to A3 (sf); previously on May 22, 2013 Affirmed Baa1 (sf) $33,500,000 Class A-2 Floating Rate Senior Notes Due 2034; Upgraded to Baa3 (sf); previously on May 22, 2013 Affirmed Ba1(sf) $70,000,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2034; Upgraded to B3 (sf); previously on May 22, 2013 Upgraded to Caa1 (sf) $40,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2034; Upgraded to B3 (sf); previously on May 22, 2013 Upgraded to Caa1 (sf) US Capital Funding II Ltd., issued in June 2004, is a collateralized debt obligation backed by a portfolio of bank trust preferred securities. Ratings Rationale The rating actions are primarily a result of the deleveraging of the Class A-1 notes and an increase in the transaction's over- collateralization ratios since the last rating action in May 2013. The Class A-1 notes have paid down by approximately 27% or $22 million since last the last rating action using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. The Class A-1 notes' par coverage has thus improved to 333.86% from 257.44% by Moody's calculations. Based on the trustee's April 2014 report, Senior Principal Coverage Test is 215.58% versus 184.43% in April 2013. The Class A-1 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool has having a performing par and of $198 million, defaulted/deferring par of $44 million, a weighted average default probability of 20% (implying a WARF of 961), a Moody's Asset Correlation of 19%, and a weighted average recovery rate upon default of 10%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of 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, can influence the final rating decision. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs," published in May 2011. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's has a stable outlook on the US banking sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Moody's evaluates the sensitivity of the ratings of the notes to the volatility of these credit assessments. Loss and Cash Flow Analysis: Moody's modeled the transaction's portfolio using CDOROM(TM) v.2.12-2 to develop the default distribution from which it derives the Moody's Asset Correlation parameter. Moody's then used the parameter as an input in a cash flow model using CDOEdge. CDOROM(TM) v.2.12-2 is available on www.moodys.com under Products and Solutions -- Analytical models, upon receipt of a signed free license agreement. The portfolio of this CDO contains trust preferred securities issued by small to medium sized U.S. community banks that Moody's does not rate publicly. To evaluate the credit quality of bank TruPS that do not have public ratings, Moody's uses RiskCalc(TM), an econometric model developed by Moody's Analytics, to derive credit scores. Moody's evaluation of the credit risk of most of the bank obligors in the pool relies on FDIC Q4-2013 financial data. In addition to the base case, Moody's conducted 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 deterioration in the credit quality of the collateral pool). Increasing the WARF to 1100 lowers the model-implied rating on the Class A-1 notes by one notch from the base case result; decreasing the WARF to 850 points raises the model-implied rating on the Class A-1 notes by one notch from the base case result. Moody's also conducted additional sensitivity analysis, as described in "Sensitivity Analyses on Deferral Cures and Default Timing for Monitoring TruPS CDOs," published in August 2012. Moody's ran alternative default-timing profile scenarios to reflect the lower likelihood of a large spike in defaults. Below is a summary of the impact on all of the rated notes (in terms of the difference in the number of notches versus the current model- implied output, in which a positive difference corresponds to a lower expected loss): Sensitivity Analysis: Alternative Default Timing Profile Class A-1: +1 Class A-2: 0 Class B-1: +1 Class B-2: +1 VENTURE XVII: Moody's Assigns 'Ba2' Rating on Class E Notes ----------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to six classes of notes issued by Venture XVII CLO, Limited: Moody's rating action is as follows: $432,000,000 Class A Senior Secured Floating Rate Notes due July 2026 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) $33,000,000 Class B-1 Senior Secured Floating Rate Notes due July 2026 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) $31,500,000 Class B-2 Senior Secured Floating Rate Notes due July 2026 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf) $74,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due July 2026 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) $40,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due July 2026 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) $34,000,000 Class E Junior Secured Deferrable Floating Rate Notes due July 2026 (the "Class E Notes"), Definitive Rating Assigned Ba2 (sf) The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Ratings Rationale Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Venture XVII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and senior unsecured loans. The portfolio is approximately 60% ramped as of the closing date. MJX Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four-year reinvestment period. After the end of the reinvestment period, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer has issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. WACHOVIA BANK 2005-C16: Moody's Hikes Rating on Cl. J Certs to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on seven classes and affirmed the ratings on eleven classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-C16 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on May 24, 2013 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 24, 2013 Affirmed Aaa (sf) Cl. A-J, Affirmed Aaa (sf); previously on May 24, 2013 Affirmed Aaa (sf) Cl. A-PB, Affirmed Aaa (sf); previously on May 24, 2013 Affirmed Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on May 24, 2013 Affirmed Aaa (sf) Cl. C, Upgraded to Aaa (sf); previously on May 24, 2013 Affirmed Aa2 (sf) Cl. D, Upgraded to Aaa (sf); previously on May 24, 2013 Affirmed A1 (sf) Cl. E, Upgraded to Aa2 (sf); previously on May 24, 2013 Affirmed A3 (sf) Cl. F, Upgraded to A1 (sf); previously on May 24, 2013 Affirmed Baa2 (sf) Cl. G, Upgraded to A3 (sf); previously on May 24, 2013 Affirmed Baa3 (sf) Cl. H, Upgraded to Ba2 (sf); previously on May 24, 2013 Affirmed B1 (sf) Cl. J, Upgraded to B1 (sf); previously on May 24, 2013 Affirmed B2 (sf) Cl. K, Affirmed B3 (sf); previously on May 24, 2013 Affirmed B3 (sf) Cl. L, Affirmed Caa1 (sf); previously on May 24, 2013 Affirmed Caa1 (sf) Cl. M, Affirmed Caa2 (sf); previously on May 24, 2013 Affirmed Caa2 (sf) Cl. N, Affirmed Caa3 (sf); previously on May 24, 2013 Affirmed Caa3 (sf) Cl. O, Affirmed Ca (sf); previously on May 24, 2013 Affirmed Ca (sf) Cl. X-C, Affirmed Ba3 (sf); previously on May 24, 2013 Affirmed Ba3 (sf) Ratings Rationale The ratings on P&I classes C through J were upgraded based primarily on increased credit support from paydowns and amortization, increased defeasance and anticipated increases in credit support resulting from the payoffs of loans approaching maturity that are well positioned for refinance. Loans constituting approximately 82% of the pool have defeased or have debt yields exceeding 10.0% and are scheduled to mature within the next twelve months. Approximately 98% of the deal is scheduled to mature in the next 12 months. Defeasance has increased to 42% of the pool from 25% at last review. The ratings on the P&I classes A-1A through B were affirmed because the transaction's key metrics, including Moody's loan-to- value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings of the P&I classes K through O were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Class X-C, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 2.3% of the current balance compared to 2.7% at Moody's last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. Description of Models Used Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses 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 Moody's uses to estimate Moody's value). Conduit model results at the B2 (sf) level are based on a paydown analysis using the individual loan- level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on 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, Moody's merges the credit enhancement for loans with investment-grade credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the credit assessment level) for loans with similar credit assessments in the same transaction. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 31 compared to 28 at Moody's last review. Deal Performance As of the May 16, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 46% to $1.1 billion from $2.1 billion at securitization. The certificates are collateralized by 130 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans constituting 27% of the pool. One loan, constituting 4% of the pool, has a investment-grade structured credit assessment. Forty-five loans, constituting 42% of the pool, have defeased and are secured by US government securities. Fourteen loans, constituting 6% of the pool, are on the master servicer's watchlist. The watchlist includes loans that 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, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Six loans have been liquidated at a loss from the pool, resulting in an aggregate realized loss of $20.4 million (for an average loss severity of 67%). There are currently four loans in special servicing, constituting 2% of the pool. The loans are secured by a mix of property type and two of them are already REO. Moody's has estimated an aggregate $7.7 million loss for the specially serviced loans. Moody's has assumed a high default probability for four poorly performing loans, constituting 4% of the pool, and has estimated an aggregate loss of $8.6 million (a 20% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2012 operating results for 99% of the pool, and full or partial year 2013 operating results for 70% of the pool. Moody's weighted average conduit LTV is 83% compared to 84% at Moody's last review. Moody's conduit component excludes defeased, specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 8.9%. Moody's actual and stressed conduit DSCRs are 1.38X and 1.2X, respectively, compared to 1.43X and 1.21X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the Cameron Village Loan ($47.3 million -- 4.3% of the pool), which is secured by a 630,120 square foot (SF) high-end grocery-anchored retail center located in Raleigh, North Carolina. The property was 97% leased as of December 2013, essentially the same as last review. Performance has improved due to higher revenues. Moody's credit assessment and stressed DSCR are baa1 (sca.pd) and 1.69X, respectively, compared to baa3 (sca.pd) and 1.43X at last review. The top three conduit loans represent 12% of the deal. The largest conduit loan is the AON Office Building Loan ($54.6 million -- 4.9% of the pool). The loan is secured by a 412,400 SF Class A office complex located in Glenview, Illinois, a northern suburb of Chicago. The property was 100% leased as of December 2013, the same as at last review. Property performance has remained stable and the loan is benefiting from amortization. AON Corporation is the largest tenant, leasing 93% of net rentable area (NRA) through April 2017. At this review, Moody's analysis incorporated a lit/dark analysis to account for the potential risk of the property being vacant following the lease expiration of the current anchor tenant. Moody's current LTV and stressed DSCR are 88% and 1.13X, respectively, compared to 78% and 1.28X at last review. The second largest loan is the Gilroy Crossing Shopping Center Loan ($45.5 million -- 4.1% of the pool). The loan is secured by a 323,000 SF retail property located in Gilroy, California. Tenants include Kohl's, Sports Authority and Ross Dress for Less. As of December 2013, the property was 99% leased compared to 98% at last review. Performance has been stable. Moody's current LTV and stressed DSCR are 86% and 1.07X, respectively, compared to 88% and 1.04X at last review. The third largest loan is the Beach Shopping Center Loan ($36.0 million -- 3.3% of the pool). The loan is secured by a 229,000 SF retail property located in Peekskill, New York. As of December 2013, the property was 96% leased compared to 87% at last review. The largest tenant is Stop & Shop, occupying 28% of the NRA . Performance has been stable. Moody's current LTV and stressed DSCR are 97% and 0.97X, respectively, compared to 99% and 0.95X at last review. WAMU COMMERCIAL 2006-SL1: Fitch Affirms BB Rating on Class B Notes ------------------------------------------------------------------ Fitch Ratings has affirmed 13 classes of WaMu Commercial Mortgage Securities Trust 2006-SL1, small balance commercial mortgage pass- through certificates (WAMU 2006-SL1). KEY RATING DRIVERS The affirmations are the result of sufficient credit enhancement to the classes due to scheduled amortization and continued paydown. Fitch modeled losses of 12% of the remaining pool; expected losses on the original pool balance total 9.5%, including $20.8 million (4.1% of the original pool balance) in realized losses to date. Fitch has designated 79 loans (37.8%) as Fitch Loans of Concern, which includes nine specially serviced assets (6.9%). As of the April 2014 distribution date, the pool's aggregate principal balance has been reduced by 55% to $230 million from $511.4 million at issuance. No loans are defeased. Interest shortfalls are currently affecting classes G through N. The largest contributor to modeled losses is a loan (1.5% of pool) secured by a 169-unit multifamily property located in Chicago, IL. The loan transferred to special servicing in February 2011 due to delinquent tax payments. In April 2011, the special servicer filed a foreclosure motion and litigation remains ongoing. The borrower has presented an offer for a discounted payoff which is being reviewed by the special servicer while pursuing the completion of foreclosure. Fitch did not receive 2013 financials on this loan. The next largest contributor to modeled losses is a loan (1.9%) secured by a 96-unit multifamily property located in Homewood, IL. The loan transferred to special servicing in January 2010 for delinquent tax payments. In January 2011, the special servicer filed a foreclosure motion and litigation remains ongoing. The borrower has presented an offer for a discounted payoff which is being reviewed by the special servicer while pursuing the completion of foreclosure. As of year-end 2013, the property was 92% occupied with a net operating income of $452k. RATING SENSITIVITY The Rating Outlooks on classes A, A1A, and B have been revised to Stable due to increasing credit enhancement despite the small balance nature of the collateral pool and the lack of updated operating performance on many of the loans. Further downgrades to classes C through F are possible as losses are realized. Fitch affirms the following classes and assigns Rating Outlooks and REs as indicated: -- $4.6 million class A at 'Asf', Outlook to Stable from Negative; -- $173.8 million class A1A at 'Asf', Outlook to Stable from Negative; -- $10.2 million class B at 'BBsf', Outlook to Stable from Negative; -- $14.7 million class C at 'CCCsf', RE 100%; -- $10.2 million class D at 'CCsf', RE 20%. -- $7 million class E at 'CCsf', RE 0%; -- $3.8 million class F at 'Csf', RE 0%; -- $5.6 million class G at 'Dsf', RE 0%; -- $0 class H at 'Dsf', RE 0%; -- $0 class J at 'Dsf', RE 0%; -- $0 class K at 'Dsf', RE 0%; -- $0 class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%. Fitch does not rate the class N certificate. Fitch previously withdrew the rating on the interest-only class X certificate. WELLS FARGO 2011-C4: Fitch Affirms 'BB' Rating on Class F Notes --------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Wells Fargo Bank, N.A. (WFRBS) commercial mortgage pass-through certificates series 2011- C4. KEY RATING DRIVERS The affirmations reflect the stable performance of the underlying collateral pool. Fitch modeled losses of 2% of the remaining pool; expected losses on the original pool balance total 2%. The pool has experienced no realized losses to date. The master servicer has placed three loans (4.8% of the pool) on the watchlist and of those, Fitch has designated two loans (2.2%) as Fitch Loans of Concern. There are no delinquent loans or specially serviced loans in this pool. As of the April 2014 distribution date, the pool's aggregate principal balance has been reduced by 3.7% to $1.43 billion from $1.48 billion at issuance. Per the servicer reporting, one loan (0.1% of the pool) is defeased. De minimis interest shortfalls are currently affecting class H. The largest contributor to expected losses is secured by a 423,556 square foot (sf) (235,656 sf is collateral) shopping mall located in Wausau, WI (1.3% of the pool). The mall is anchored by Younkers, Sears and JC Penney, which is the only anchor that is part of the collateral. JC Penney's lease expires in August 2014 and the company has stated that it will not be renewed. The loan's sponsor, CBL & Associates Properties, Inc., is attempting to secure a replacement tenant. While the loan remains current and a replacement tenant may be found, Fitch's stressed analysis assumed the anchor space remained vacant. The next largest contributor to expected losses is secured by 372- unit student housing property located in Gainesville, FL (0.9% of the pool). The servicer-reported year-end (YE) 2013 debt service coverage ratio (DSCR) was 0.84x compared to 0.99x at YE 2012 and 1.35x at issuance. Occupancy had dropped to 65% as of YE 2012, but has since recovered to 96% as of YE 2013 due in part to a new management company. The loan is on the watchlist, but remains current. The largest loan in the pool (10.9%) is secured by a 1.2 million sf (648,728 sf is collateral) regional mall located in Appleton, WI. The mall, which is the second largest in WI, is anchored by JC Penney, Sears, Target, Macy's, Younkers and Scheel's. Scheel's is the only anchor that is part of the collateral. The servicer- reported DSCR was 2.11x at YE 2013 compared to 1.94x at YE 2012 and 1.91x at issuance. As of YE 2013, occupancy was 96% compared to 97% for YE 2012 and 92% at issuance. RATING SENSITIVITY Rating Outlooks on classes A1 through G remain Stable due to increasing credit enhancement, continued paydown, and overall stable loss expectations. Fitch affirms the following classes as indicated: -- $38.5 million class A-1 at 'AAAsf', Outlook Stable; -- $201.4 million class A-2 at 'AAAsf', Outlook Stable; -- $164.9 million class A-3 at 'AAAsf', Outlook Stable; -- $90 million class A-FL at 'AAAsf', Outlook Stable; -- $0 class A-FX at 'AAAsf', Outlook Stable; -- $681.4 million class A-4 at 'AAAsf', Outlook Stable; -- Interest-only class X-A at 'AAAsf', Outlook Stable; -- $42.6 million class B at 'AAsf', Outlook Stable; -- $42.6 million class C at 'A+sf', Outlook Stable; -- $33.3 million class D at 'A-sf', Outlook Stable; -- $51.8 million class E at 'BBB-sf', Outlook Stable; -- $20.4 million class F at 'BBsf', Outlook Stable; -- $18.5 million class G at 'Bsf', Outlook Stable. Fitch does not rate the class H certificates. * Moody's Takes Action on $1.5-Bil. of RMBS by Various Trusts ------------------------------------------------------------- Moody's Investors Service upgraded the ratings of 42 tranches from 19 transactions and downgraded the rating of one tranche from one transaction backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006- ASAP1 Cl. A-2D, Upgraded to Ba3 (sf); previously on Oct 29, 2013 Upgraded to B2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: Carrington Mortgage Loan Trust, Series 2006-RFC1 Cl. A-3, Upgraded to B2 (sf); previously on Apr 29, 2010 Downgraded to Caa1 (sf) Cl. A-4, Upgraded to B3 (sf); previously on Jul 22, 2013 Upgraded to Caa2 (sf) Issuer: Citicorp Residential Mortgage Trust Series 2006-3 Cl. A-5, Upgraded to B3 (sf); previously on Aug 20, 2012 Confirmed at Caa1 (sf) Issuer: Citigroup Mortgage Loan Trust 2006-WFHE1 Cl. M-2, Upgraded to Ba2 (sf); previously on Aug 26, 2013 Upgraded to B2 (sf) Cl. M-3, Upgraded to B3 (sf); previously on Aug 26, 2013 Upgraded to Caa3 (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: Citigroup Mortgage Loan Trust 2007-WFHE1 Cl. A-3, Upgraded to Ba3 (sf); previously on Jul 22, 2013 Upgraded to B1 (sf) Cl. A-4, Upgraded to B1 (sf); previously on Jul 22, 2013 Upgraded to B3 (sf) Issuer: Citigroup Mortgage Loan Trust 2007-WFHE3 Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Issuer: CSFB Home Equity Asset Trust 2006-3 Cl. 2-A-4, Upgraded to Ba1 (sf); previously on Jul 17, 2013 Upgraded to Ba3 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-2 Cl. M-4, Upgraded to Baa2 (sf); previously on Jul 22, 2013 Upgraded to Ba1 (sf) Cl. M-5, Upgraded to B1 (sf); previously on Jul 22, 2013 Upgraded to Caa1 (sf) Cl. M-6, Upgraded to Ca (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: Equifirst Mortgage Loan Trust 2005-1 Cl. M-4, Upgraded to B2 (sf); previously on Feb 26, 2013 Affirmed Caa1 (sf) Cl. M-5, Upgraded to B3 (sf); previously on Dec 19, 2013 Upgraded to Caa2 (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Feb 26, 2013 Affirmed Ca (sf) Issuer: Fremont Home Loan Trust 2005-E Cl. 1-A-1, Upgraded to Ba1 (sf); previously on Oct 29, 2013 Upgraded to B1 (sf) Cl. 2-A-3, Upgraded to B1 (sf); previously on Sep 11, 2012 Downgraded to B3 (sf) Cl. 2-A-4, Upgraded to Caa1 (sf); previously on Sep 11, 2012 Confirmed at Caa3 (sf) Issuer: HSI Asset Securitization Corporation Trust 2006-OPT3 Cl. II-A, Upgraded to Baa1 (sf); previously on Aug 13, 2010 Downgraded to Baa2 (sf) Cl. III-A-4, Upgraded to Ba2 (sf); previously on Aug 13, 2010 Downgraded to Ba3 (sf) Issuer: HSI Asset Securitization Corporation Trust 2006-OPT4 Cl. I-A, Upgraded to Baa3 (sf); previously on Aug 13, 2010 Downgraded to Ba1 (sf) Cl. II-A-4, Upgraded to Ba3 (sf); previously on Sep 14, 2012 Confirmed at B2 (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2005-D Cl. A-I-1, Upgraded to Baa3 (sf); previously on Aug 28, 2013 Upgraded to Ba2 (sf) Cl. A-I-2, Upgraded to B3 (sf); previously on Aug 28, 2013 Upgraded to Caa1 (sf) Cl. A-II-3, Upgraded to Ba3 (sf); previously on Aug 28, 2013 Upgraded to B1 (sf) Cl. A-II-4, Upgraded to B3 (sf); previously on Aug 28, 2013 Upgraded to Caa2 (sf) Issuer: Nomura Home Equity Loan Trust 2006-HE2 Cl. A-3, Upgraded to Baa2 (sf); previously on Oct 29, 2013 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to Ba2 (sf); previously on Oct 29, 2013 Upgraded to B1 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Oct 29, 2013 Upgraded to Caa3 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW1 Cl. M-2, Upgraded to B2 (sf); previously on Aug 28, 2013 Upgraded to B3 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Sep 11, 2012 Confirmed at C (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW3 Cl. M-1, Upgraded to B2 (sf); previously on Sep 11, 2012 Confirmed at Caa1 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Sep 11, 2012 Confirmed at C (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2006-CB1 Cl. AF-2, Downgraded to Ca (sf); previously on Jul 12, 2010 Downgraded to Caa3 (sf) Cl. AV-1, Upgraded to Ba3 (sf); previously on Jul 12, 2010 Downgraded to B1 (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC2 Cl. A-3, Upgraded to Caa3 (sf); previously on Jul 8, 2010 Downgraded to Ca (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-1 Trust Cl. M-1, Upgraded to Ba2 (sf); previously on Aug 28, 2013 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Aug 28, 2013 Upgraded to Caa3 (sf) Ratings Rationale The rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The rating 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 rating downgrade is a result of deteriorating performance and/or structural features resulting in higher expected losses for the bond than previously anticipated. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the rating: 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 7.5% in April 2013 to 6.3% in April 2014. 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. ********* 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. 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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 the nation's bankruptcy courts. The list includes links to freely downloadable of these small-dollar petitions in Acrobat PDF documents. 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. ********* 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, 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 2014. 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. 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