/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/121202.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, December 2, 2012, Vol. 16, No. 335 Headlines AMERICAN CREDIT 2012-3: S&P Gives Prelim BB Rating on Cl. D Notes APIDOS CLO I: S&P Affirms 'B+' Rating on Class D Notes; Off Watch ARES XV CLO: S&P Assigns Prelim. 'BB' Rating on Class E Notes ATLAS SENIOR II: S&P Rates $16.75MM Class E Deferrable Notes 'BB' BANC OF AMERICA 2005-2: Moody's Affirms 'Caa3' Rating on O Certs. CABCO TRUST: Moody's Lowers Rating on MTN Program to 'Caa1' CFCRE COMMERCIAL 2011-C2: Moody's Affirms 'B2' Rating on G Certs. CHL MORTGAGE: Moody's Cuts Ratings on 12 Tranches to 'Caa3' CITIGROUP COMMMERCIAL: Fitch Cuts Rating on 10 Cert. Classes COLTS 2007-1: S&P Hikes Rating on Class E Notes to 'BB'; Off Watch COMM COMMERCIAL: Moody's Cuts Ratings on 3 CMBS Classes to 'C' COMM MORTGAGE 2005-FL10: Fitch Keeps 'C' Rating on 2 Debt Classes CONCORD REAL ESTATE: Moody's Affirms 'Caa3' Rating on Cl. F Notes EMPORIA PREF I: S&P Affirms 'BB' Ratings on Two Note Classes GALAXY III: S&P Raises Ratings on 3 Note Classes to 'B'; Off Watch GRAMERCY REAL 2007-1: Moody's Junks Rating on Class A-2 Notes GREYROCK CDO: S&P Affirms 'BB+' Ratings on 2 Note Classes GS MORTGAGE: Moody's Affirms 'Ba1' on Class J Certificates HALCYON LOAN 2012-1: S&P Affirms 'BB' Rating on $15MM Cl. D Notes HALCYON LOAN 2012-2: S&P Gives 'BB' Rating on $18.2MM Cl. E Notes ING IM 2012-4: S&P Assigns 'BB' Rating on Class D Deferrable Notes JC PENNEY 2007-1: Moody's Cuts Ratings on Two Certs to 'Caa1' JFIN 2007: S&P Affirms 'BB+' Rating on Class D Notes; Off Watch JP MORGAN 2002-CIBC4: Moody's Cuts Rating on C Certs. to 'Caa1' JP MORGAN 2007-LDP11: Moody's Cuts Rating on B Certs. to 'Caa3' JP MORGAN 2012-PHH: S&P Rates $8.2MM Class E Certificates 'BB+' KINGSLAND I: Moody's Hikes Rating on Class D Notes to 'Ba2' LCM XII: S&P Affirms 'BB' Rating on Class E Deferrable Notes MAGNETITE V: S&P Affirms 'B+' Rating on Class D Notes NATIONAL COLLEAGIATE: Moody's Corrects Nov. 20 Rating Release NEWSTAR COMMERCIAL: Moody's Rates $24.1MM Class F Notes '(P)B2' NORTHWOODS CAPITAL IV: Moody's Ups Ratings on 2 CLO Notes to Ba1 NORTHSTAR 2012-1: Moody's Assigns 'B2' Rating to Class F Certs. OCTAGON INVESTMENT XIV: S&P Gives 'B' Rating on Class E Def Notes PHOENIX CDO II: Fitch Affirms 'Csf' Rating on Two Class Notes PREFERREDPLUS BLC-2: S&P Raises Rating on $33.5MM Certs. to 'BB' SATURNS 2007-1: Moody's Cuts Ratings on 2 Cert. Classes to 'Caa1' SCHOONER TRUST: Moody's Affirms 'B3' Rating on Class K Certs. SORIN REAL ESTATE: Moody's Lifts Rating on Cl. A-3 Notes to 'B3' THORNBURG MORTGAGE 2005-4: Moody's Cuts 2 Tranche Ratings to Caa2 US AIRWAYS: Moody's Assigns 'B1' Rating to Cl. B Certificates UTAH HOUSING: Moody's Cuts Rating on Revenue Bonds to 'Caa1' WACHOVIA BANK 2006-C26: Moody's Cuts Rating on G Certs. to 'Ca' WFRBS 2012-C10: Moody's Rates Class F Certificates '(P)B2' * Fitch Cuts Rating on 6 Security Classes From 9 CRE CDOs * Fitch Downgrades 54 Bonds on 33 CMBS Transactions to 'D' * Moody's Lowers Ratings on $1-Bil. 2005-2007 Prime Jumbo RMBS * S&P Puts Ratings on 26 Tranches From 25 Synthetic CDOs on Watch * S&P Takes Various Rating Actions on 1,163 RMBS Classes * S&P Takes Various Rating Actions on 19 Classes From 3 CMBS Deals ********* AMERICAN CREDIT 2012-3: S&P Gives Prelim BB Rating on Cl. D Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2012-3's $205 million asset-backed notes series 2012-3. The note issuance is an asset-backed securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Nov. 26, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. "The preliminary ratings reflect our view of," S&P said: "The availability of approximately 45%, 42%, 35%, and 30% of credit support for the class A, B, C, and D notes based on break-even stressed cash flow scenarios (including excess spread), which provide coverage of more than 1.95x, 1.80x, 1.50x, and 1.25x our expected net loss range of 21.65%-22.15% for the class A, B, C, and D notes," S&P said. "The timely interest and principal payments made to the preliminary rated notes by the assumed legal final maturity dates under our stressed cash flow modeling scenarios that we believe are appropriate for the assigned preliminary ratings," S&P said. "Our expectation that under a moderate, or 'BBB', stress scenario the ratings on the class A, B, and C notes would remain within one rating category of our preliminary 'A+ (sf)', 'A (sf)', and 'BBB (sf)' ratings. These potential rating movements are consistent with our credit stability criteria, which outline the outer bound of credit deterioration equal to a two-category downgrade within the first year for 'A through 'BB' rated securities under moderate stress conditions," S&P said. The collateral characteristics of the subprime automobile loans securitized in this transaction. The backup servicing arrangement with Wells Fargo Bank N.A. (Wells Fargo). The transaction's payment and credit enhancement structures, which include performance triggers. The transaction's legal structure. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1131.pdf PRELIMINARY RATINGS ASSIGNED American Credit Acceptance Receivables Trust 2012-3 Class Rating Type Interest Amount rate (mil. $)(i) A A+ (sf) Senior Fixed 153.76 B A (sf) Subordinate Fixed 9.52 C BBB (sf) Subordinate Fixed 20.86 D BB (sf) Subordinate Fixed 20.86 (i) The actual size of these tranches will be determined on the pricing date. APIDOS CLO I: S&P Affirms 'B+' Rating on Class D Notes; Off Watch ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2, B, and C notes from Apidos CDO I, a U.S. collateralized loan obligation (CLO) managed by Apidos Capital Management LLC. "At the same time, we affirmed our rating on the class D notes," S&P said. "The upgrades reflect paydowns to the class A-1 notes since March 2012. The affirmed ratings reflect our belief that the credit support available is commensurate with the current rating level," S&P said. Apidos CDO I Ltd. ended its reinvestment period on July 18, 2011. Since our last rating action, the class A-1 notes have paid down more than $92 million and have a current outstanding balance of $148.7 million, which is about 56% of their original balance. As a result of the paydowns, the overcollateralization (O/C) ratios have improved significantly. The senior O/C ratio, the class A-2 O/C, has improved 7.3% while the subordinate class D O/C ratio has improved 1.3%. "We note that according to the Oct. 16, 2012, trustee report, the transaction held $3.15 million defaulted assets, slightly higher than the $2.21 million noted in the Feb. 21, 2012, trustee report, which we used for our March actions," S&P said. "We did not upgrade the class D notes at this point primarily because the transaction is subject to potential market value risks due to its exposure to long-dated securities. The transaction currently has approximately $7.66 million in underlying collateral that matures after the legal final maturity of the transaction," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Apidos CDO I Rating Class To From A-1 AAA (sf) AA+ (sf)/Watch Pos A-2 AAA (sf) AA+ (sf)/Watch Pos B AA- (sf) A (sf)/Watch Pos C BBB+ (sf) BBB- (sf)/Watch Pos D B+ (sf) B+ (sf)/Watch Pos ARES XV CLO: S&P Assigns Prelim. 'BB' Rating on Class E Notes ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to ARES XXV CLO Ltd./Ares XXV CLO LLC's $507.25 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Nov. 29, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. The transaction's legal structure, which is expected to be bankruptcy remote. The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. The asset manager's experienced management team. S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.3100%-12.5332%. The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1143.pdf PRELIMINARY RATINGS ASSIGNED Ares XXV CLO Ltd./Ares XXV CLO LLC Class Rating Amount (mil. $) A AAA (sf) 339.50 B-1 AA (sf) 45.00 B-2 AA (sf) 23.75 C A (sf) 42.25 D BBB (sf) 29.00 E BB (sf) 24.75 Subordinated notes NR (sf) 60.25 NR - Not rated. ATLAS SENIOR II: S&P Rates $16.75MM Class E Deferrable Notes 'BB' ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Atlas Senior Loan Fund II Ltd./Atlas Senior Loan Fund II LLC's $367 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. The transaction's legal structure, which is expected to be bankruptcy remote. The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. The collateral manager's experienced management team. The timely interest and ultimate principal payments on the rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-12.60%. The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. The transaction's interest diversion test, a failure of which, during the reinvestment period, will lead to the reclassification of up to 50% of excess interest proceeds that are available prior to curing an effective date rating agency confirmation failure or paying subordinated, deferred, and incentive management fees; uncapped administrative expenses; hedge payments; and subordinated note payments into principal proceeds for the purchase of additional collateral assets or to pay down the notes sequentially, at the option of the collateral manager. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS ASSIGNED Atlas Senior Loan Fund II Ltd./Atlas Senior Loan Fund II LLC Class Rating Amount (mil. $) A AAA (sf) 257.00 B AA (sf) 32.00 C (deferrable) A (sf) 41.00 D (deferrable) BBB (sf) 20.25 E (deferrable) BB (sf) 16.75 Subordinated notes NR 46.50 NR - Not rated. BANC OF AMERICA 2005-2: Moody's Affirms 'Caa3' Rating on O Certs. ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 18 classes of Banc of America, Commercial Mortgage Pass-Through Certificates, Series 2005-2 as follows: Cl. A-AB, Affirmed at Aaa (sf); previously on Jul 5, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-5, Affirmed at Aaa (sf); previously on Jul 5, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-M, Affirmed at Aaa (sf); previously on Jul 5, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed at Aaa (sf); previously on Aug 27, 2009 Confirmed at Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Aug 27, 2009 Confirmed at Aa2 (sf) Cl. C, Affirmed at Aa3 (sf); previously on Aug 27, 2009 Confirmed at Aa3 (sf) Cl. D, Affirmed at A3 (sf); previously on Aug 27, 2009 Downgraded to A3 (sf) Cl. E, Affirmed at Baa1 (sf); previously on Aug 27, 2009 Downgraded to Baa1 (sf) Cl. F, Affirmed at Baa2 (sf); previously on Aug 27, 2009 Downgraded to Baa2 (sf) Cl. G, Affirmed at Baa3 (sf); previously on Aug 27, 2009 Downgraded to Baa3 (sf) Cl. H, Affirmed at Ba2 (sf); previously on Aug 27, 2009 Downgraded to Ba2 (sf) Cl. J, Affirmed at Ba3 (sf); previously on Aug 27, 2009 Downgraded to Ba3 (sf) Cl. K, Affirmed at B1 (sf); previously on Aug 27, 2009 Downgraded to B1 (sf) Cl. L, Affirmed at B2 (sf); previously on Aug 27, 2009 Downgraded to B2 (sf) Cl. M, Affirmed at Caa2 (sf); previously on Aug 27, 2009 Downgraded to Caa2 (sf) Cl. N, Affirmed at Caa2 (sf); previously on Aug 27, 2009 Downgraded to Caa2 (sf) Cl. O, Affirmed at Caa3 (sf); previously on Aug 27, 2009 Downgraded to Caa3 (sf) Cl. X-C, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X-C, is consistent with the credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 2.9% of the current balance compared to 3.2% at last review. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with eight straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Slow recovery in the office sector continues with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending resulting in increased sales. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario maintains its forecast of relatively robust growth in the US and an expectation of a mild recession in the euro area for 2012. Downside risks remain significant, and elevated downside risks and their materialization could pose a serious threat to the outlook. Major downside risks include: a deeper than expected recession in the euro area; the potential for a hard landing in major emerging markets; an oil supply shock; and material fiscal tightening in the US given recent political gridlock. Healthy but below-trend growth in GDP is expected through the rest of this year and next with risks trending to the downside. 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 Structured Finance Interest- Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. Moody's review also incorporated the CMBS IO calculator ver 1.1, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22 compared to 26 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated December 16, 2011. Deal Performance As of the November 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 40% to $978.7 million from $1.64 billion at securitization. The Certificates are collateralized by 67 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 55% of the pool. Two loans, representing 3% of the pool, have defeased and are secured by U.S. Government securities. Eleven loans, representing 11% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool, resulting in a realized loss of $6 million (16% loss severity). There are currently no loans in special servicing. Moody's has assumed a high default probability for eight poorly performing loans representing 8% of the pool and has estimated an aggregate $12 million loss (17% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 operating results for 99% of the pool. Excluding troubled loans, Moody's weighted average LTV is 91% compared to 95% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.65X and 1.17X, respectively, compared to 1.60X and 1.11X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 29% of the pool. The largest loan is the NYU Housing -- 80 Lafayette Street Loan ($110 million -- 11.2% of the pool), which is secured by a 264-unit student housing property located in the Tribeca submarket of New York City. The property is 100% master leased to New York University through August 2017. Performance has increased since securitization due to annual rent increases. Moody's LTV and stressed DSCR are 94% and 0.93X, respectively, compared to 96% and 0.90X, at last review. The second largest loan is the Canyon Ranch Loan ($95 million -- 9.7% of the pool), which is secured by two spa/resort hotels containing a total of 315 rooms. The resorts are located in Tucson, Arizona and Lenox, Massachusetts. Performance continues to improve due to increases in occupancy and total revenue per guest night. Both of the collateral properties derive a large percentage of revenue from spa services, therefore, total revenue per guest night is considered a more appropriate performance metric than revenue per available room (RevPAR) is. Moody's LTV and stressed DSCR 68% and 1.68X, respectively, compared to 80% and 1.42X at last review. The third largest loan is the 589 Fifth Avenue Loan ($73.5 million -- 7.5% of the pool), which is secured by a 165,000 square foot office property located in the Diamond District of Manhattan, New York. The property has a bank branch on the ground level and approximately 80 jewelry related tenants. The property was 89% leased as of June 2012 compared to 87% at last review. The loan is current, but is on the watchlist for low debt service coverage. Moody's LTV and stressed DSCR are 114% and 0.88X respectively, compared to 110% and 0.91X at last review. CABCO TRUST: Moody's Lowers Rating on MTN Program to 'Caa1' ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of the following certificates issued by CABCO Trust for J. C. Penney Debentures: Issuer: Corporate Asset Backed Corporation Trust Certificates MTN Program, Downgraded to Caa1; previously on August 13, 2009 Downgraded to Ba3; Ratings Rationale The transaction is a structured note whose ratings is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating actions are a result of the change of the rating of J.C. Penney Corporation, Inc. 7.625% Debentures due March 1, 2097, which was downgraded to Caa1 from Ba3 on November 20, 2012. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Moody's conducted no additional cash flow analysis or stress scenarios because the rating is a pass-through of the rating of the underlying security. Moody's says that the underlying securities are subject to a high level of macroeconomic uncertainty, which is manifest in uncertain credit conditions across the general economy. Because these conditions could negatively affect the ratings on the underlying securities, they could also negatively impact the ratings on the note. CFCRE COMMERCIAL 2011-C2: Moody's Affirms 'B2' Rating on G Certs. ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 13 classes of CFCRE Commercial Mortgage Trust 2011-C2 Commercial Mortgage Pass- Through Certificates, Series 2011-C2 as follows: Cl. A-1, Affirmed at Aaa (sf); previously on Dec 16, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed at Aaa (sf); previously on Dec 16, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Dec 16, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed at Aaa (sf); previously on Dec 16, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed at Aaa (sf); previously on Dec 16, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa2 (sf); previously on Dec 16, 2011 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed at A2 (sf); previously on Dec 16, 2011 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed at Baa1 (sf); previously on Dec 16, 2011 Definitive Rating Assigned Baa1 (sf) Cl. E, Affirmed at Baa3 (sf); previously on Dec 16, 2011 Definitive Rating Assigned Baa3 (sf) Cl. F, Affirmed at Ba2 (sf); previously on Dec 16, 2011 Definitive Rating Assigned Ba2 (sf) Cl. G, Affirmed at B2 (sf); previously on Dec 16, 2011 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed at Aaa (sf); previously on Dec 16, 2011 Definitive Rating Assigned Aaa (sf) Cl. X-B, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The ratings of the IO Classes, Class X-A and X-B, are consistent with the credit performance of their respective referenced classes and thus are affirmed. Moody's rating action reflects a base expected loss of 2.5% of the current balance. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with eight straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Slow recovery in the office sector continues with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending resulting in increased sales. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario maintains its forecast of relatively robust growth in the US and an expectation of a mild recession in the euro area for 2012. Downside risks remain significant, and elevated downside risks and their materialization could pose a serious threat to the outlook. Major downside risks include: a deeper than expected recession in the euro area; the potential for a hard landing in major emerging markets; an oil supply shock; and material fiscal tightening in the US given recent political gridlock. Healthy but below-trend growth in GDP is expected through the rest of this year and next with risks trending to the downside. 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 Structured Finance Interest- Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. Moody's review also incorporated the CMBS IO calculator ver1.1, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 20, the same as at securitization. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Deal Performance As of the November 19, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 1% to $765.5 million from $774.1 million at securitization. The Certificates are collateralized by 51 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 57% of the pool. There are no loans on the master servicer's watchlist. One loan, representing 1.5% of the pool, is currently in the special servicing. The loan is secured by a 384-unit apartment complex located in Blacklick, Ohio. The loan was transferred to the special servicer on July 7th, 2012 due to the guarantor being investigated by the SEC for an alleged Ponzi scheme. The loan's performance has been stable. Moody's doesn't expect any loss from this loan at this time. Moody's was provided with full year 2011 and partial year 2012 operating results for 89% and 81%, respectively, of the pool. Moody's weighted average LTV is 93%, the same as at securitization. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed DSCRs are 1.46X and 1.13X, respectively, compared 1.46X and 1.12X at securitization. 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 31% of the pool balance. The largest loan is the RiverTown Crossings Mall Loan ($98.1 million -- 12.8% of the pool), which is a pari-passu interest in a $153.3 million first mortgage loan. The loan is secured by a 691,000 square foot (SF) portion of a 1.2 million SF regional mall located in Grandville, Michigan. The property is also encumbered with $12.9 of mezzanine financing. The Mall's anchors include Macy's, Younkers, Sears, Kohl's, JCPenney, (all non-collateral) and Dick's Sporting Goods and Celebration Cinemas. As of June 2012 the total mall was 92% leased, essentially the same as at securitization. Performance has been stable. The loan sponsor is GGP Limited Partnership. Moody's LTV and stressed DSCR are 82% and 1.15X, respectively, the same as at securitization. The second largest loan is the Plaza Mexico Loan ($80.8 million -- 10.6% of the pool), which is secured by a 394,772 SF retail community center located in Lynwood, California. The anchors are Food 4 Less, La Curacao, and Rite Aid. As of August 2012, the property was 92% leased compared to 93% at securitization. Property performance has slightly declined due to higher expenses. Moody's LTV and stressed DSCR are 87% and 1.08X, respectively, compared to 85% and 1.1X at securitization. The third largest loan is the GSA -- FBI Portfolio Loan ($58.5 million -- 7.6% of the pool), which is secured by two single- tenant office buildings that are 100% leased to the General Services Administration to the United States federal government. The properties are located in Las Vegas, Nevada and Louisville, Kentucky and are occupied by the Federal Bureau of Investigation. Both the properties were built to suit for the FBI. The two tenant leases are scheduled to expire beyond the loan term, with the earliest expiration occurring in 2021. Moody's LTV and stressed DSCR are 101% and 0.96X, respectively, the same as at securitization. CHL MORTGAGE: Moody's Cuts Ratings on 12 Tranches to 'Caa3' ----------------------------------------------------------- Moody's Investors Service has downgraded eleven tranches and upgraded one tranche issued by Countrywide. The collateral backing these deals primarily consists of first-lien, fixed and adjustable-rate Prime Jumbo residential mortgages. The actions impact approximately $301 million of RMBS issued from 2005 to 2006. Complete rating actions are as follows: Issuer: CHL Mortgage Pass-Through Trust 2005-31 Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Confirmed at B3 (sf) Cl. 2-A-2, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 2-A-3, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. 3-A-1, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 4-A-1, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Confirmed at B3 (sf) Cl. 4-A-2, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Issuer: CHL Mortgage Pass-Through Trust 2006-14 Cl. A-3, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. A-4, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. A-5, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. A-6, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. PO, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. X, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Ratings Rationale The actions are a result of the recent performance of the pools backing the transactions and reflect Moody's updated loss expectations on the pools. The downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for certain bonds than previously anticipated. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. The methodology used in rating Interest- Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) small pool volatility. Loan Modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013. Small Pool Volatility For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate calculated above by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication. When assigning the final ratings to bonds, in addition to the approach described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in April 2011 to 7.8% in September 2012. Moody's forecasts a further drop to 7.5% by 2014. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF308105 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF196023 CITIGROUP COMMMERCIAL: Fitch Cuts Rating on 10 Cert. Classes ------------------------------------------------------------ Fitch Ratings has downgraded 10 classes and affirmed 16 classes of Citigroup Commercial Mortgage Trust's commercial mortgage pass- through certificates, series 2007-C6. The downgrades reflect an increase in Fitch modeled losses across the pool. Fitch modeled losses of 14.3% of the original pool (including losses of 1.1% incurred to date), compared to 11% modeled at the previous rating action. The increase is predominantly due to declining pool performance and an increased volume of loans in special servicing. There are currently 45 specially serviced loans (14.5%) in the pool, compared to 24 loans (7.9%) at the previous rating action. As of the November 2012 distribution date, the pool's aggregate principal balance was $4.4 billion, down from $4.8 billion at issuance. There is one defeased loan (0.03%). There are cumulative interest shortfalls in the amount of $21.4 million currently affecting classes H through S. Fitch has identified 109 loans (26.5%) as Fitch Loans of Concern, which includes 45 specially serviced loans (14.5%). Thirteen loans within the top 15 have Fitch loan to values (LTVs) in excess of 90%, including two loans in special servicing, which can impact a loan's ability to refinance at maturity. The largest contributor to losses was the Hyde Park Apartment Portfolio, representing 2.84% of the outstanding pool balance. The loan is secured by 43 properties, consisting of 951 units. The latest reported debt service coverage ratio (DSCR) was 0.71x, as of June 30, 2012, with occupancy of 82%. The borrower completed $26 million of renovations in 2011, updating kitchens, baths, walls, ceilings and floor coverings, as well as improving common areas. The second largest contributor to losses was Moreno Valley Mall (1.92% of the pool). The collateral consists of 472,844 square feet (sf) of a 1.1 million sf regional mall in Moreno Valley, CA, just east of Riverside, CA. The mall is anchored by J.C. Penney, Macys, and Sears, and contains a 150,000 sf vacant anchor space, which are not part of the collateral. The property was originally transferred to special servicing as part of the GGP bankruptcy and was modified. The loan re-defaulted and became REO through a deed in lieu of foreclosure in February 2011. Recent leasing efforts have resulted in increased occupancy at the mall. According to a Sept. 30, 2012 rent roll, the property is approximately 82% occupied, whereas it was 53.8% occupied on Nov. 30, 2011. The third largest contributor to losses was the Southeast Apartment Portfolio (0.85% of the pool). The loan is collateralized by seven multifamily properties located in South Carolina and Georgia. The portfolio, which is REO, had an average occupancy of 77.4%, as of Nov. 1, 2012. Fitch downgrades the following classes, and revises Outlooks and Recovery Estimates (RE's) as indicated: -- $425.6 million class A-M to BBBsf from AAAsf; Outlook Stable; -- $50 million class A-MFL to BBBsf from AAAsf; Outlook Stable; -- $248.3 million class A-J to CCCsf from BBsf; RE 80%; -- $150 million class A-JFL to CCCsf from BBsf; RE 80%; -- $23.8 million class B to CCsf from Bsf; RE 0%; -- $71.3 million class C to CCsf from CCCsf; RE 0%; -- $35.7 million class D to CCsf from CCCsf; RE 0%; -- $29.7 million class E to Csf from CCsf; RE 0%; -- $35.7 million class F to Csf from CCsf; RE 0%; -- $47.6 million class G to Csf from CCsf; RE 0%. In addition, Fitch affirms the following classes, maintains Outlooks and revises REs as follows: -- $71.5 million class A-2 at AAAsf; Outlook Stable; -- $387 million class A-3 at AAAsf; Outlook Stable; -- $126.3 million class A-3B at AAAsf; Outlook Stable; -- $125.4 million class A-SB at AAAsf; Outlook Stable; -- $1,573 million class A-4 at AAAsf; Outlook Stable; -- $200 million class A-4FL at AAAsf; Outlook Stable; -- $477.4 million class A-1A at AAAsf; Outlook Stable; -- $53.5 million class H at Csf; RE 0%; -- $65.4 million class J at Csf; RE 0%; -- $53.5 million class K at Csf; RE 0%; -- $11.9 million class L at Csf; RE 0%; -- $11.9 million class M at Csf; RE 0%; -- $17.8 million class N at Csf; RE 0%; -- $11.9 million class O at Csf; RE 0%; -- $5.9 million class P at Csf; RE 0%; -- $5.9 million class Q at Csf; RE 0%. Fitch does not rate class S. Class A-1 is paid in full. The rating on class X was previously withdrawn. COLTS 2007-1: S&P Hikes Rating on Class E Notes to 'BB'; Off Watch ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class C, D, and E notes from Colts 2007-1 Ltd., a U.S. collateralized loan obligation (CLO) managed by Ares Management LLC. "In addition, we affirmed our ratings on the class A and B notes," S&P said. "The upgrades reflect paydowns to the class A notes and improvement in the credit quality of the underlying assets since our last upgrade in February 2012. The affirmed ratings reflect our belief that the credit support available is commensurate with the current rating level," S&P said. "Colts 2007-1 Ltd. has ended its reinvestment period since our last rating action on Feb. 9, 2012, and has been amortizing since March 20, 2012," S&P said. "Since our last rating action, the class A notes have paid down more than $51 million and have a current outstanding balance of $108 million, which is about 42% of their original balance. As a result, the overcollateralization (O/C) ratios have improved significantly. The senior class B o/c ratio has improved 23.88% while the subordinate class E ratio has improved 2.89%. The average O/C improvement in the transaction is about 10.62% across the four B, C, D, and E O/C ratios in the transaction," S&P said. "The improvements are also reflected in the reduction in the defaulted assets held. According to the Oct. 5, 2012, trustee report, the transaction held $20.99 million defaulted assets, down from $27.55 million noted in the January 6, 2012, trustee report, which we used for our February actions," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Colts 2007-1 Ltd. Rating Class To From A AAA (sf) AAA (sf) B AAA (sf) AAA (sf) C AA+ (sf) AA- (sf)/Watch Pos D A+ (sf) BBB+ (sf)/Watch Pos E BB (sf) B+ (sf)/Watch Pos COMM COMMERCIAL: Moody's Cuts Ratings on 3 CMBS Classes to 'C' -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of five classes, downgraded nine classes and placed three CMBS classes on review for possible downgrade of COMM Commercial Mortgage Pass-Through Certificates, Series 2004-LNB4 as follows: Cl. A-4, Affirmed at Aaa (sf); previously on Feb 3, 2011 Upgraded to Aaa (sf) Cl. A-5, Downgraded to Baa3 (sf) and Placed Under Review for Possible Downgrade; previously on Aug 4, 2011 Downgraded to A1 (sf) Cl. A-1A, Downgraded to Baa3 (sf) and Placed Under Review for Possible Downgrade; previously on Aug 4, 2011 Downgraded to A1 (sf) Cl. B, Downgraded to B2 (sf); previously on Dec 2, 2011 Downgraded to Ba1 (sf) Cl. C, Downgraded to Caa2 (sf); previously on Dec 2, 2011 Downgraded to B2 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Dec 2, 2011 Downgraded to Caa1 (sf) Cl. E, Downgraded to C (sf); previously on Dec 2, 2011 Downgraded to Caa2 (sf) Cl. F, Downgraded to C (sf); previously on Aug 4, 2011 Downgraded to Caa3 (sf) Cl. G, Downgraded to C (sf); previously on Aug 4, 2011 Confirmed at Ca (sf) Cl. H, Affirmed at C (sf); previously on Mar 25, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Mar 25, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Mar 25, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Mar 25, 2010 Downgraded to C (sf) Cl. X-C, Downgraded to B2 (sf) and Placed Under Review for Possible Downgrade; previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations of the principal classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The downgrades are due to increased interest shortfalls and deteriorating credit support resulting from anticipated losses from loans in special servicing. Two classes were placed on review for possible downgrade due to concerns about increases to future interest shortfalls. As of the most recent remittance statement, the pool has experienced cumulative interest shortfalls totaling $11.6 million impacting classes P through B. The IO Class, Class XC, is downgraded and placed on review for possible downgrade due to deteriorating credit support from its referenced classes and the potential for future downgrades to its referenced classes. Moody's rating action reflects a cumulative base expected loss of 12.0% of the current balance compared to 8.9% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with eight straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Slow recovery in the office sector continues with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending resulting in increased sales. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario maintains its forecast of relatively robust growth in the US and an expectation of a mild recession in the euro area for 2012. Downside risks remain significant, and elevated downside risks and their materialization could pose a serious threat to the outlook. Major downside risks include: a deeper than expected recession in the euro area; the potential for a hard landing in major emerging markets; an oil supply shock; and material fiscal tightening in the US given recent political gridlock. Healthy but below-trend growth in GDP is expected through the rest of this year and next with risks trending to the downside. 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 Structured Finance Interest- Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the underlying rating level, is incorporated for loans with similar credit assessments in the same transaction. Moody's review also incorporated the CMBS IO calculator ver1.1 which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 28 compared to 29 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated December 1, 2011. Deal Performance As of the November 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased 38% to $763.9 million from $1.2 billion at securitization. The Certificates are collateralized by 91 mortgage loans ranging in size from less than 1% to 10% of the pool. Seven loans, representing 6.7% of the pool, have defeased and are backed by U.S. Government securities. The pool does not contain any loans with an investment grade credit assessment. There are presently 14 loans, representing 16% of the pool, on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool since securitization, resulting in an aggregate $32.2 million loss (49% loss severity on average). Currently nine loans, representing 18% of the pool, are in special servicing. Moody's has estimated an aggregate $73.0 million loss (62% expected loss overall) from the specially serviced loans. Moody's has assumed a high default probability for five poorly performing loans representing 6% of the pool and has estimated an $8.0 million aggregate loss (17% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2011 and partial year 2012 operating results for 98% and 70% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 88% compared to 87% at last review. Moody's net cash flow reflects a weighted average haircut of 10.8% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.33X and 1.24X, respectively, compared to 1.33X and 1.26X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit assessment is the 731 Lexington Avenue Loan ($57.2 million -- 7.5% of the pool), which is a 23.6% participation interest in a $242.5 million loan. The property is also encumbered by an $86 million junior loan which is held outside the trust. The loan is secured by a 694,634 square foot (SF) office building located in New York City. The property is 100% leased to Bloomberg, LP until 2028. Performance has been stable. Moody's current credit assess.e,t and stressed DSCR are A3 and 2.33X, respectively, compared to A3 and 2.05X at last review. The top three performing conduit loans represent 18% of the pool balance. The largest loan is the Crossings at Corona-Phase I & II Loan ($73.7 million -- 9.7% of the pool), which is secured by a 503,037 SF retail power center located in Corona, California. The property was 99% leased as of June 2012 versus 98% at last review. Property performance has steadily increased over the past two years. This loan has amortized 7% since securitization. Moody's LTV and stressed DSCR are 96% and 0.96X, respectively, compared to 102% and 0.9X at last review. The second largest loan is the Woodyard Crossing Shopping Center Loan ($35.2 million -- 4.6% of the pool), which is secured by a 483,724 SF retail power center located in Washington, DC. The property was 99% leased, the same as last review. The largest tenants are Wal-Mart, Lowe's and Safeway. Performance increased since last review. The loan has amortized 27% since securitization. Moody's LTV and stressed DSCR are 67% and 1.44X, respectively, compared to 74% and 1.31X at last review. The third largest loan is the 280 Trumbull Street Loan ($30.9 million -- 4.0% of the pool), which is secured by a 664,479 SF office property located in Hartford, Connecticut. The property was 70% leased as of December 2011, the same as at last review. The loan is on the servicer's watchlist due to high vacancy and a decline in income. Although performance has declined over the past two years, the property generates sufficient cash flow to cover debt service payments. Year-end 2011 DSCR was 1.36X. Moody's LTV and stressed DSCR are 110% and 0.93X, respectively, compared to 88% and 1.16X at last review. COMM MORTGAGE 2005-FL10: Fitch Keeps 'C' Rating on 2 Debt Classes ----------------------------------------------------------------- Fitch Ratings has affirmed four classes of COMM Mortgage Trust 2005-FL10. The affirmations of the distressed ratings are due to continued high credit risk associated with the remaining loan. As of the November 2012 remittance, the pool has paid down by 98% since issuance, with only one loan remaining. Since Fitch's last rating action, the 10 MetroTech Center loan was disposed of for a $7.9 million loss. The remaining loan, Berkshire Mall (100%), is secured by 589,146 square feet (sf) of a 715,146-sf regional mall located in Lanesboro, MA, about 30 miles east of Albany, NY. The collateral consists of 192,793 sf of in-line space and 396,353 sf of anchor/major tenant space. The non-collateral anchor space (Target) totals approximately 126,000 sf. The property has suffered from a tertiary location and weak in-line / junior anchor occupancy. In March 2012, a two-year forbearance through March 2014 was executed after the borrower was unable to refinance the loan at its extended maturity. Per the forbearance agreement, the borrower contributed $250,000 in new equity to a rollover reserve. In addition, the loan is subject to hard cash management requiring excess cash flow be applied to an excess cash flow reserve (up to $300,000), then to a rollover reserve (up to $4 million), and then to amortize the loan. As of Nov. 9, 2012, the loan had approximately $4.2 million in total reserves. After being in special servicing since February 2010, the loan was returned to the master servicer in September 2012 and was current as of the November remittance. Fitch has affirmed the following classes: -- $6.4 million class J at 'CCCsf'; RE 100%; -- $19.8 million class K at 'Csf'; RE 95%; -- $6.5 million class L at 'Csf'; RE 0%; -- $4.3 million class M at 'Dsf'; RE 0%. The following classes originally rated by Fitch have paid in full: A-1, A-J1, A-J2, X-1, MOAX-1, MOAX-2, MOAX-3, B, C, D, E, F, MOA- 1, MOA-2, N-PC, O-PC, P-PC, Q-PC, N-DEL and O-DEL. Fitch does not rate the class A-J3, G, H and MOA-3 certificates. In addition, Fitch previously withdrew the ratings on the interest-only classes X-2-DB, X-2-NOM, X-2-SG, X-3-DB, X-3-NOM and X-3-SG. CONCORD REAL ESTATE: Moody's Affirms 'Caa3' Rating on Cl. F Notes ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of all classes of Notes issued by Concord Real Estate CDO 2006-1, Ltd. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation and collateralized loan obligation (CRE CDO CLO) transactions. Moody's rating action is as follows: Cl. A-1, Affirmed at A1 (sf); previously on Dec 9, 2010 Downgraded to A1 (sf) Cl. A-2, Affirmed at Baa3 (sf); previously on Dec 9, 2010 Downgraded to Baa3 (sf) Cl. B, Affirmed at Ba3 (sf); previously on Dec 9, 2010 Downgraded to Ba3 (sf) Cl. C, Affirmed at B2 (sf); previously on Dec 9, 2010 Downgraded to B2 (sf) Cl. D, Affirmed at Caa1 (sf); previously on Dec 9, 2010 Downgraded to Caa1 (sf) Cl. E, Affirmed at Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa2 (sf) Cl. F, Affirmed at Caa3 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Ratings Rationale Concord Real Estate CDO 2006-1, Ltd. is a static (the reinvestment period ended in December 2011) cash transaction backed by a portfolio of B-Note debt and rake bonds (30.5% of the pool balance), commercial mortgage backed securities (CMBS) (25.6%), whole loans (21.1%), mezzanine loans (20.0%), and CRE CDO bonds (2.8%). As of the October 25, 2012 payment date, the aggregate Note balance of the transaction, including Preference Shares, has decreased to $311.7 million from $465.0 million at issuance, as a result of the combination of the junior notes cancellation to Classes C through H Notes and of the paydown directed to the Class A-1 Notes from regular amortization of collateral, and resolution and subsequent sales of defaulted collateral. In general, holding all key parameters static, the junior note cancellations results in slightly higher expected losses and longer weighted average lives on the senior Notes, while producing slightly lower expected losses on the mezzanine and junior Notes. However, this does not cause, in and of itself, a downgrade or upgrade of any outstanding classes of Notes. The transaction is passing all its par value tests and its interest coverage tests. Currently, the transaction is over-collateralized by $45.7 million. There are five assets with par balance of $47.2 million (13.2% of the current pool balance) that are considered defaulted securities as of the October 25, 2012 payment date, compared to four defaulted securities totaling $54.5 million par amount (13.9%) at last review. Moody's does expect moderate to high losses to occur from these defaulted securities once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 4,417 compared to 4,950 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (10.7% compared to 10.4% at last review), A1-A3 (6.0% compared to 4.5% at last review),Baa1-Baa3 (0.0%, same as that at last review), Ba1- Ba3 (5.4% compared to 0.0% at last review), B1-B3 (26.5% compared to 27.1% at last review), and Caa1-Ca/C (51.4% compared to 58.0% at last review). Moody's modeled to a WAL of 3.0 years, compared to 3.1 years at last review. The current WAL is based on the assumption about extensions. Moody's modeled a fixed 24.8% WARR, compared to 24.0% at last review. Moody's modeled a MAC of 14.1%, compared to 13.3% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on March 22, 2012. The cash flow model, CDOEdge(R) v3.2.1.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 24.8% to 14.8% or up to 34.8% would result in modeled rating movement on the rated Notes of 2 to 4 notches downward and 0 to 4 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with eight straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Slow recovery in the office sector continues with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending resulting in increased sales. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario maintains its forecast of relatively robust growth in the US and an expectation of a mild recession in the euro area for 2012. Downside risks remain significant, and elevated downside risks and their materialization could pose a serious threat to the outlook. Major downside risks include: a deeper than expected recession in the euro area; the potential for a hard landing in major emerging markets; an oil supply shock; and material fiscal tightening in the US given recent political gridlock. Healthy but below-trend growth in GDP is expected through the rest of this year and next with risks trending to the downside. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in May 2012, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. EMPORIA PREF I: S&P Affirms 'BB' Ratings on Two Note Classes ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A, B-1, B-2, C, and D notes from Emporia Preferred Funding I Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by A.C. Corp. "In addition, we affirmed our ratings on the class E-1 and E-2 notes," S&P said. "The upgrades reflect paydowns to the senior notes since we affirmed our ratings on seven classes in June 2011. The affirmation of the ratings on the class E-1 and E-2 notes reflect our belief that the credit support available is commensurate with the current rating levels," S&P said. "Emporia Preferred Funding I Ltd. ended its reinvestment period on Oct. 12, 2011, and has been paying down the class A notes since that time. Since our June 2011 rating actions, the transaction has paid down the class A notes more than $144 million, and this class has a current outstanding balance of $130.57 million, which is about 47% of its original balance," S&P said. "As a result of the paydowns, the transaction's overcollateralization (O/C) ratios have improved significantly. On average the O/C ratios have improved about 4.7%. The senior class B-2 O/C ratio has improved 9.3%, while the subordinate class E-2 ratio has improved 1.5%," S&P said. "According to the Oct. 5, 2012, trustee report, the transaction currently holds about $11.48 million in defaulted assets, slightly more than the $8.64 million noted in the May 2, 2011, trustee report, which we used for our June 2011 actions," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Emporia Preferred Funding I Ltd. Rating Class To From A AAA (sf) AA+ (sf)/Watch Pos B-1 AAA (sf) AA- (sf /Watch Pos B-2 AAA (sf) AA- (sf)/Watch Pos C AA (sf) A- (sf)/Watch Pos D BBB- (sf) BB+ (sf)/Watch Pos E-1 BB (sf) BB (sf)/Watch Pos E-2 BB (sf) BB (sf)/Watch Pos GALAXY III: S&P Raises Ratings on 3 Note Classes to 'B'; Off Watch ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class E-1, E-2, and E-3 notes from Galaxy III CLO Ltd., a collateralized loan obligation (CLO) transaction managed by PineBridge Investments LLC. "At the same time, we withdrew our ratings on the class A-2, B, C, and D notes. We removed our ratings on classes C, D, E-1, E-2, and E-3 from CreditWatch positive," S&P said. The transaction is in its amortization phase and paid down the class A-2, B, C, and D notes in full on its most recent payment date on Nov. 19, 2012. It also paid down the class E-1, E-2, and E-3 notes - which are pari passu - to 14.4% of their original balances. "We raised our ratings on the class E notes based on the improvement in their overcollateralization levels and the credit quality of the underlying loans supporting the class E notes," S&P said. "We withdrew our ratings on the class A-2, B, C, and D notes following their paydowns," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Galaxy III CLO Ltd. Rating Class To From A-2 NR AAA (sf) B NR AAA (sf) C NR AA+ (sf)/Watch Pos D NR BBB+ (sf)/Watch Pos E-1 B (sf) CCC- (sf)/Watch Pos E-2 B (sf) CCC- (sf)/Watch Pos E-3 B (sf) CCC- (sf)/Watch Pos NR - Not rated. GRAMERCY REAL 2007-1: Moody's Junks Rating on Class A-2 Notes ------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one class of Notes issued by Gramercy Real Estate CDO 2007-1, Ltd. The downgrade is solely driven by Moody's announcement on November 19, 2012 that it had downgraded the insurance financial strength rating of MBIA Insurance Corporation to Caa2 from B3. This rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-REMIC) transactions. Moody's rating action is as follows: Cl. A-2, Downgraded to Caa2 (sf); previously on Nov 23, 2011 Downgraded to B3 (sf) Ratings Rationale Moody's ratings on structured finance securities that are guaranteed or "wrapped" by a financial guarantor are generally maintained at a level equal to the higher of the following: a) the rating of the guarantor (if rated at the investment grade level); or b) the published or unpublished underlying rating. Moody's approach to rating wrapped transactions is outlined in Moody's special comment entitled "Assignment of Wrapped Ratings When Financial Guarantor Falls Below Investment Grade" (May, 2008); and Moody's November 10, 2008 announcement entitled "Moody's Modifies Approach to Rating Structured Finance Securities Wrapped by Financial Guarantors". The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in May 2012, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. The rating implementation guidelines used in this rating were "Assignment of Wrapped Ratings When Financial Guarantor Falls Below Investment Grade" published in May, 2008 and "Moody's Modifies Approach to Rating Structured Finance Securities Wrapped by Financial Guarantors" published in November 2008. GREYROCK CDO: S&P Affirms 'BB+' Ratings on 2 Note Classes --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2L, A-3L, B-1F, and B-1L notes from Greyrock CDO Ltd., a collateralized loan obligation (CLO) transaction currently managed by Aladdin Capital Management LLC. "We also we affirmed our ratings on the class A-1L, B-2F, and B-2L notes. Concurrently, we removed our ratings on the class A-2L, A-3L, B-1F, B-1L, B-2F, and B-2L notes from CreditWatch with positive implications," S&P said. "The rating actions follow our performance review of the transaction and primarily reflect $67.4 million in paydowns on the class A-1L notes to 54.5% of their original balance. The paydowns have led to a significant increase in overcollateralization (O/C) available to support the notes since our February 2012 rating actions, when we raised our ratings on seven classes of notes. The senior class A, class A, B-1, and B-2 O/C ratios have increased by absolute differences of 10.4%, 5.7%, 3.0%, and 1.5%, respectively, since the January 2012 trustee report which we referenced for our February 2012 rating actions," S&P said. "Other positive factors in our analysis include a decrease in the portfolio weighted average life from 3.8 to 3.4 years and an increase in the weighted-average spread from 3.76% to 4.02%," S&P said. The transaction is in its amortization phase and continues to use its principal proceeds to pay down the A-1L notes. "We will continue to review our ratings on the notes and assess whether, in our view, the ratings remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Greyrock CDO Ltd. Rating Class To From A-2L AAA (sf) AA+ (sf)/Watch Pos A-3L AA+ (sf) A+ (sf)/Watch Pos B-1F A- (sf) BBB+ (sf)/Watch Pos B-1L A- (sf) BBB+ (sf)/Watch Pos B-2F BB+ (sf) BB+ (sf)/Watch Pos B-2L BB+ (sf) BB+ (sf)/Watch Pos RATING AFFIRMED Greyrock CDO Ltd. Class Rating A-1L AAA (sf) GS MORTGAGE: Moody's Affirms 'Ba1' on Class J Certificates ---------------------------------------------------------- Moody's Investors Service affirmed the ratings of ten classes of GS Mortgage Securities Corporation II, Pass-Through Certificates Series 2005-ROCK as follows: Cl. A, Affirmed at Aaa (sf); previously on Jun 1, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-FL, Affirmed at Aaa (sf); previously on Jun 1, 2005 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aa1 (sf); previously on Jun 1, 2005 Definitive Rating Assigned Aa1 (sf) Cl. C-1, Affirmed at A1 (sf); previously on Mar 4, 2009 Downgraded to A1 (sf) Cl. E, Affirmed at A3 (sf); previously on Mar 4, 2009 Downgraded to A3 (sf) Cl. F, Affirmed at Baa1 (sf); previously on Mar 4, 2009 Downgraded to Baa1 (sf) Cl. G, Affirmed at Baa2 (sf); previously on Mar 4, 2009 Downgraded to Baa2 (sf) Cl. H, Affirmed at Baa3 (sf); previously on Mar 4, 2009 Downgraded to Baa3 (sf) Cl. J, Affirmed at Ba1 (sf); previously on Mar 4, 2009 Downgraded to Ba1 (sf) Cl. X-1, Affirmed at A1 (sf); previously on Feb 22, 2012 Downgraded to A1 (sf) Ratings Rationale The affirmations of the principal certificate classes are due to the stable performance of the real estate collateral and 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 IO Class, Class X-1 is consistent with the performance of its referenced classes and is thus affirmed. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with eight straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Slow recovery in the office sector continues with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending resulting in increased sales. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario maintains its forecast of relatively robust growth in the US and an expectation of a mild recession in the euro area for 2012. Downside risks remain significant, and elevated downside risks and their materialization could pose a serious threat to the outlook. Major downside risks include: a deeper than expected recession in the euro area; the potential for a hard landing in major emerging markets; an oil supply shock; and material fiscal tightening in the US given recent political gridlock. Healthy but below-trend growth in GDP is expected through the rest of this year and next with risks trending to the downside. The methodologies used in this rating were "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based Large Loan Model v 8.5. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The model includes the CMBS IO calculator ver1.1, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 2, 2012. DEAL PERFORMANCE The $1,685.0 million Rockefeller Center loan is secured by a $1,210.0 million first lien mortgage on the borrower's fee interest and leasehold interests in the property; the additional $475.0 million in debt is secured by a pledge of 100% of the equity interest in the borrower. The fixed-rate interest-only loan has a 20-year term maturing in May 2025. Non-trust subordinate debt consists of a $320 million mezzanine loan, also maturing in May 2025. Rockefeller Center is a 10-building office, retail and entertainment complex, located in midtown Manhattan, New York City. The landmark development consists of approximately 6.7 million square feet of office, retail, entertainment and commercial area. Amenities include the Top of the Rock observation deck, plaza areas, a skating rink and Radio City Music Hall. As of June 2012, the 5.3 million square feet of office space was 93% leased, the same as at securitization. The total property, including Radio City Music Hall, was 94% leased, compared to 92% at last review and the same as at securitization. The ten largest office tenants lease approximately 45% of total office net rentable area (NRA) and contribute approximately 39% of total rent. The largest office tenant is Lazard Freres & Co. leasing approximately 474,558 square feet at 30 Rockefeller Plaza and 600 Fifth Avenue with the majority of its space expiring in 2033. The second largest tenant is Deloitte, LLP with approximately 430,000 square feet. Deloitte, LLP signed an 18-year lease in January 2011 at 30 Rockefeller Plaza. Deloitte currently occupies approximately 126,868 square feet with occupancy and lease commencement on the balance of the space scheduled for 2014 and 2015. Deloitte is expanding into space currently occupied by Chadbourne & Parke whose lease expires in September 2014. Other significant tenants include Bank of America, N.A. that leases 337,134 square feet at 50 Rockefeller Plaza through January 2021; Simon & Schuster, Inc. that leases 292,391 square feet at 1230 Avenue of the Americas through November 2019; and Christie's Inc. that leases 185,310 square feet at various locations through July 2028. Significant retail tenants include Radio City Music Hall that leases 545,250 square feet with lease expiration in February 2023. Radio City Music Hall's rent accounts for approximately 14% of total retail rent. Other significant retail tenants include Equinox Rockefeller Center (85,474 square feet), Banana Republic (34,075 square feet), NBC Universal (19,924 square feet) and Faconnable USA Corp. (14,500 square feet). Banana Republic's rent contribution is equal to 11% of total retail rent, second to Radio City Music Hall. Moody's loan to value (LTV) ratio is 71%, the same as last review. Moody's stressed debt service coverage (DSCR) is 1.29X. compared to 1.30X at last review. Moody's credit assessment is Ba1, the same as last review. HALCYON LOAN 2012-1: S&P Affirms 'BB' Rating on $15MM Cl. D Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Halcyon Loan Advisors Funding 2012-1 Ltd./Halcyon Loan Advisors Funding 2012-1 LLC's $322 million floating-rate notes following the transaction's effective date as of Oct. 5, 2012. "Most U.S. cash flow collateralized debt obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The 'effective date' for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an 'effective date rating affirmation')," S&P said. "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," S&P said. "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 said. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P 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," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Halcyon Loan Advisors Funding 2012-1 Ltd./Halcyon Loan Advisors Funding 2012-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 230.000 A-2 AA (sf) 32.000 B (deferrable) A (sf) 30.000 C (deferrable) BBB (sf) 15.000 D (deferrable) BB (sf) 15.000 HALCYON LOAN 2012-2: S&P Gives 'BB' Rating on $18.2MM Cl. E Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Halcyon Loan Advisors Funding 2012-2 Ltd./Halcyon Loan Advisors Funding 2012-2 LLC's floating-rate notes. The note issuance is collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. The transaction's legal structure, which is expected to be bankruptcy remote. The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. The collateral manager's experienced management team. S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios: The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1125.pdf RATINGS ASSIGNED Halcyon Loan Advisors Funding 2012-2 Ltd./Halcyon Loan Advisors Funding 2012-2 LLC Class Rating Amount (mil. $) X AAA (sf) 3.000 A AAA (sf) 278.000 B (deferrable) AA (sf) 39.500 C (deferrable) A (sf) 38.250 D (deferrable) BBB (sf) 19.500 E (deferrable) BB (sf) 18.250 Subordinated notes NR 43.500 Combination notes(i) A-p(sf)(NRi)(ii) 10.000 (i) The combination notes comprise components representing an aggregate initial principal amount of $5 million of class C notes and $5 million of class D notes. (ii) The 'p' subscript indicates that the rating addresses only the principal portion of the obligation. 'NRi' indicates that the interest is not rated. NR - Not rated. ING IM 2012-4: S&P Assigns 'BB' Rating on Class D Deferrable Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its ratings to ING IM CLO 2012-4 Ltd./ING IM CLO 2012-4 LLC's $371.2 million floating- rate notes and $10.0 million combination securities. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. The transaction's legal structure, which is expected to be bankruptcy remote. The diversified collateral portfolio, which primarily comprises broadly syndicated speculative-grade senior secured term loans. The collateral manager's experienced management team. S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.31%-11.19%. The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS ASSIGNED ING IM CLO 2012-4 Ltd./ING IM CLO 2012-4 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 262.00 A-2 AA (sf) 45.20 B (deferrable) A (sf) 28.80 C (deferrable) BBB (sf) 19.20 D (deferrable) BB (sf) 16.00 Combination securities A-p(sf) NRi(i) 10.00 Income notes NR 42.75 (i) The 'p' subscript indicates that the rating addresses only the principal portion of the obligation. 'NRi' indicates that the interest is not rated. NR - Not rated. JC PENNEY 2007-1: Moody's Cuts Ratings on Two Certs to 'Caa1' ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of the following certificates issued by Corporate Backed Callable Trust Certificates J.C. Penney Debenture-Backed Series 2007-1 Trust: Class A-1 Certificates, Downgraded to Caa1; previously on August 13, 2012 Downgraded to Ba3 Class A-2 Certificates, Downgraded to Caa1; previously on August 13, 2012 Downgraded to Ba3 Ratings Rationale The transaction is a structured note whose ratings are based on the rating of the underlying security and the legal structure of the transaction. The rating actions are a result of the change of the rating of J.C. Penney Corporation, Inc. 7.625% Debentures due March 1, 2097, which was downgraded to Caa1 from Ba3 on November 20, 2012. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Moody's conducted no additional cash flow analysis or stress scenarios because the rating is a pass-through of the rating of the underlying security. Moody's says that the underlying securities are subject to a high level of macroeconomic uncertainty, which is manifest in uncertain credit conditions across the general economy. Because these conditions could negatively affect the ratings on the underlying securities, they could also negatively impact the ratings on the note. JFIN 2007: S&P Affirms 'BB+' Rating on Class D Notes; Off Watch --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1B, A-2, B, and C notes from JFIN CLO 2007 Ltd.'s series I, a U.S. collateralized loan obligation (CLO) transaction managed by Jefferies Finance LLC. "Concurrently, we affirmed our ratings on the class A-1A and D notes. At the same time, we removed the ratings on the class A-1B, A-2, B, C, and D notes from CreditWatch with positive implications, where we placed them on Sept. 24, 2012," S&P said. "The upgrades primarily reflect the improved performance of the transaction's underlying asset portfolio since October 2011, when we raised our rating on the class C notes. We affirmed our ratings on the class A-1A and D notes to reflect the credit support available at the current rating levels," S&P said. As of the October 2012 trustee report, the transaction had $0.48 million of defaulted assets. This was down from the $6.99 million we referenced for our October 2011 rating actions. Furthermore, assets from obligors rated in the 'CCC' category were reported at $22.84 million in October 2012, down from the $37.66 million we referenced in our last rating action," S&P said. "The upgrades also reflect a slight increase in the overcollateralization (O/C) available to support the notes since the October 2011 rating action. The trustee reported these O/C ratios in the October 2012 monthly report," S&P said: The class A/B O/C ratio was 134.36%, compared with a reported ratio of 132.05% in October 2011; The class C O/C ratio was 120.50%, compared with a reported ratio of 118.43% in October 2011; and The class D O/C ratio was 111.28%, compared with a reported ratio of 109.37% in October 2011. JFIN CLO 2007 Ltd. is currently in its reinvestment period, where S&P expects it to remain until July 2013. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS JFIN CLO 2007 Ltd. Series I Rating Class To From A-1A AAA (sf) AAA A-1B AAA (sf) AA+ (sf)/Watch Pos A-2 AAA (sf) AA+ (sf)/Watch Pos B AA+ (sf) AA (sf)/Watch Pos C A (sf) A- (sf)/Watch Pos D BB+ (sf) BB+ (sf)/Watch Pos TRANSACTION INFORMATION Issuer: JFIN CLO 2007 Ltd. Coissuer: JFIN CLO 2007 LLC Collateral manager: Jefferies Finance LLC Underwriter: Wachovia Securities Inc. Trustee: State Street Bank and Trust Co. Transaction type: Cash flow CDO JP MORGAN 2002-CIBC4: Moody's Cuts Rating on C Certs. to 'Caa1' --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two classes and affirmed three classes of J.P. Morgan Chase Commercial Mortgage Securities Corp, Commercial Mortgage Pass-Through Certificates, Series 2002-CIBC4 as follows: Cl. B, Downgraded to B1 (sf); previously on Aug 2, 2012 Downgraded to A2 (sf) and Placed Under Review for Possible Downgrade Cl. C, Downgraded to Caa1 (sf); previously on Aug 2, 2012 Downgraded to B3 (sf) Cl. D, Affirmed at Caa2 (sf); previously on Aug 2, 2012 Downgraded to Caa2 (sf) Cl. E, Affirmed at C (sf); previously on Aug 2, 2012 Downgraded to C (sf) Cl. X-1, Affirmed at Caa3 (sf); previously on Aug 2, 2012 Downgraded to Caa3 (sf) Ratings Rationale The downgrades are due to increased interest shortfalls. The master servicer, Midland Loan Services (Midland), will continue to recover outstanding advances from the previously largest loan in the pool, Highland Mall. The loan was liquidated at a 120% loss severity in April 2012 with $8 million of advances outstanding on the loan. Midland has informed Moody's that it intends to continue to recover the remaining $5 million outstanding advances from principle and interest payments due the certificateholders. It is anticipated that the recoup of outstanding advances will continue until August 2013. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X-1, is consistent with the credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 11.7% of the current balance. At last review, Moody's cumulative base expected loss was 57.3%. The current base expected loss is significantly lower than at last review because last review included expected losses from The Highland Mall. Base expected loss plus the realized losses are 12.4%, which is essentially the same at last review. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with eight straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Slow recovery in the office sector continues with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending resulting in increased sales. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario maintains its forecast of relatively robust growth in the US and an expectation of a mild recession in the euro area for 2012. Downside risks remain significant, and elevated downside risks and their materialization could pose a serious threat to the outlook. Major downside risks include: a deeper than expected recession in the euro area; the potential for a hard landing in major emerging markets; an oil supply shock; and material fiscal tightening in the US given recent political gridlock. Healthy but below-trend growth in GDP is expected through the rest of this year and next with risks trending to the downside. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. Moody's review also incorporated the CMBS IO calculator ver 1.1, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 11 compared to 3 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated August 1, 2012. Deal Performance As of the November 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $52.7 million from $799 million at securitization. The Certificates are collateralized by 18 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten non-defeased loans representing 81% of the pool. One loan, representing 4% of the pool, has defeased and is secured by U.S. Government securities. Six loans, representing 47% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seventeen loans have been liquidated from the pool, resulting in a realized loss of $106 million (93% loss severity). This severity includes The Highland Mall loan, which was liquidated at a 120% severity. Currently three loans, representing 15% of the pool, are in special servicing and are secured by a mix of property types. Moody's estimates an aggregate $4 million loss for the specially serviced loans (55% expected loss on average). Moody's has assumed a high default probability for one poorly performing loan representing 9% of the pool and has estimated an aggregate $700,000 loss (15% expected loss based on a 50% probability default) from this troubled loan. Moody's was provided with full year 2011 operating results for 97% of the pool. Excluding special serviced and troubled loans, Moody's weighted average LTV is 58% compared to 67% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.37X and 1.95X, respectively, compared to 1.26X and 1.72X 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 three largest conduit loans represent 40% of the outstanding pool balance. The performance of these loans has remained stable since the last review. JP MORGAN 2007-LDP11: Moody's Cuts Rating on B Certs. to 'Caa3' --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of seven classes and affirmed 17 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2007-LDP11 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Aug 1, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-2FL, Affirmed at Aaa (sf); previously on Aug 1, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Aug 1, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Downgraded to A3 (sf); previously on May 5, 2010 Downgraded to Aa2 (sf) Cl. A-SB, Downgraded to A3 (sf); previously on May 5, 2010 Downgraded to Aa2 (sf) Cl. A-1A, Downgraded to A3 (sf); previously on May 5, 2010 Downgraded to Aa2 (sf) Cl. A-M, Downgraded to Ba1 (sf); previously on May 5, 2010 Downgraded to A3 (sf) Cl. A-J, Downgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to B2 (sf) Cl. B, Downgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Caa2 (sf) Cl. C, Affirmed at Ca (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. D, Affirmed at Ca (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. E, Affirmed at Ca (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. F, Affirmed at Ca (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. G, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. H, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. P, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. Q, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. T, Affirmed at C (sf); previously on May 5, 2010 Downgraded to C (sf) Cl. X, Downgraded to B1 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades of the six principal classes are due to higher realized and anticipated losses from specially serviced and troubled loans. The downgrade of the IO Class, Class X, is a result of the decline in credit performance of its referenced classes. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Moody's rating action reflects a cumulative base expected loss of 17.4% of the current balance. At last review, Moody's cumulative base expected loss was 12.1%. Realized losses have increased from 0.3% of the original balance to 1.0% since the prior review. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with eight straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Slow recovery in the office sector continues with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending resulting in increased sales. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario maintains its forecast of relatively robust growth in the US and an expectation of a mild recession in the euro area for 2012. Downside risks remain significant, and elevated downside risks and their materialization could pose a serious threat to the outlook. Major downside risks include: a deeper than expected recession in the euro area; the potential for a hard landing in major emerging markets; an oil supply shock; and material fiscal tightening in the US given recent political gridlock. Healthy but below-trend growth in GDP is expected through the rest of this year and next with risks trending to the downside. 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 Structured Finance Interest- Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. Moody's review also incorporated the CMBS IO calculator ver1.1, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 53 compared to 60 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated December 15, 2011. DEAL PERFORMANCE As of the November 15, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 12% to $4.8 billion from $5.4 billion at securitization. The Certificates are collateralized by 238 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 36% of the pool. There are no defeased loans or loans with an investment grade credit assessment. Fifty-two loans, representing 27% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $51.0 million (39% loss severity on average). There is an additional $4.6 million aggregate loss due to modifications on several loans, resulting in a total certificate realized loss of $55.6 million. Forty-four loans, representing 33% of the pool, are currently in special servicing. The largest specially serviced loan is the GSA Portfolio Loan ($284.0 million -- 6.0% of the pool), which is secured by nine office properties located in West Virginia (4 properties), New York (2), Colorado (1), Pennsylvania (1) and Kansas (1). The loan was originally scheduled to mature in May 2012 and transferred to special servicing due to imminent maturity. The portfolio totals 1.1 million square feet (SF) and was 95% leased as of March 2012 compared to 100% at last review. The Mineral Wells, West Virginia property (3% of the net rentable area (NRA)) is completely vacant after the tenant exercised its termination option in October 2012. Six additional tenants (approximately 17% of the NRA) currently have termination rights and over 67% of the NRA expires within the next five years. Despite historic stable performance and occupancy, Moody's is concerned about the ability to refinance this loan due to the tenant termination options and near term rollover risk. The special servicer indicated that it is currently in negotiations with the borrower on a potential loan modification. The second largest specially serviced loan is the 315 Park Avenue South Loan ($219.0 million -- 4.6% of the pool), which is secured by a 334,000 SF office building located in New York, New York. The loan was originally transferred to special servicing in October 2011 due to the borrower's request for a discounted payoff, but was transferred back to the master servicer in January 2012 after the sale of the property fell through. The loan then returned to special servicing in April 2012 due to imminent maturity default as the loan was scheduled to mature in June 2012. Foreclosure documents were filed in July 2012. The property was 100% leased as of March 2012, the same as last review. Over 95% of the NRA expires in 2017 including the largest tenant, which represents 81% of the NRA. The special servicer is discussing workout options with the borrower, but a final resolution has not been determined. The third largest specially serviced loan is the Franklin Mills Loan ($174.0 million -- 3.6% of the pool), which is a pari-passu interest in a $290.0 million first mortgage loan. The loan is secured by a 1.6 million SF regional mall located in Philadelphia, Pennsylvania. The loan was transferred to special servicing in April 2012 due to imminent monetary default. The mall is anchored by Burlington Coat Factory (8% of the NRA; lease expiration October 2013), J.C. Penney (6% of the NRA; lease expiration February 2022) and Marshalls (5% of the NRA; lease expiration January 2016). There is also one vacant anchor space, formerly Steve & Barry's, that represents approximately 8% of the NRA). As of October 2012 the mall was 81% leased compared to 82% at last review and 22% of the NRA is either month-to-month or expires within the next 12 months. The special servicer indicated that it is currently negotiating the terms of a potential loan modification. The remaining 41 specially serviced loans are secured by a mix of multifamily, retail, hotel, office and industrial property types. Most of these loans are either real estate owned (REO) or in the process of foreclosure. As of the November 15, 2012 distribution date, the master servicer has recognized an aggregate $400.5 million appraisal reduction for 27 of the specially serviced loans. Moody's has estimated an aggregate $577.0 million loss (46% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 28 poorly performing loans representing 14% of the pool and has estimated an aggregate $123.9 million loss (19% expected loss on average) from these troubled loans. As of the most recent remittance date, the pool has experienced cumulative interest shortfalls totaling $46.2 million and affecting Classes F through NR. Moody's anticipates that the pool will continue to experience interest shortfalls caused by specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs), loan modifications, extraordinary trust expenses and non-advancing by the master servicer based on a determination of non- recoverability. Moody's was provided with full year 2011 operating results for 97% of the pool's non-specially serviced loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 127% compared to 129% 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 9.7%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.21X and 0.83X, respectively, compared to 1.20X and 0.82X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 13% of the pool balance. The largest performing loan is the Maple Drive Portfolio Loan ($220.0 million -- 4.7% of the pool), which is secured by three suburban office properties, totaling 584,000 SF, located in Beverly Hills, California. As of May 2012, the portfolio was 84% leased compare to 74% at last review. The largest tenant is Fox Interactive Media (28% of the NRA; lease expiration May 2016). Performance has declined steadily since 2009 due to the decline in occupancy, however, due to contractual rent bumps and a recent increase in occupancy, property performance is expected to improve in 2012. Moody's LTV and stressed DSCR are 142% and 0.67X, respectively, compared to 145% and 0.65X at last review. The second largest performing loan is the 5 Penn Plaza Loan ($203.0 million -- 4.3% of the pool), which is secured by a 657,000 SF office building located in New York, New York. The property was 98% leased as of August 2012, the same as prior review. Rental revenue has been stable, however, property performance declined due to an increase in real estate taxes and repair and maintenance expenses. The loan is interest only for the entire term and matures in May 2017. Moody's LTV and stressed DSCR are 126% and 0.75X, respectively, the same as last review. The third largest performing loan is the Save Mart Portfolio Loan ($185.9 million -- 3.9% of the pool), which is secured by 31 single tenant grocery stores located in various markets in Northern California. The portfolio totals 1.6 million SF that is triple net leased to Save Mart through January 2027. One property, 6454 Tupelo Drive, located in Citrus Heights, California, is currently dark and has several deferred maintenance issues but Save Mart is still paying the contractual rent amount. The loan is benefitting from amortization and matures in April 2017. Moody's LTV and stressed DSCR are 115% and 0.85X, respectively, compared to 109% and 0.89X at last review. JP MORGAN 2012-PHH: S&P Rates $8.2MM Class E Certificates 'BB+' --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust's $175.0 million commercial mortgage pass-through certificates, series 2012-PHH. The note issuance is a two-year, floating-rate commercial mortgage loan totaling $175.0 million, secured by the fee interest in the 1,639 guest room Palmer House Hilton hotel in Chicago, Ill. The preliminary ratings are based on information as of Nov. 29, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. "The preliminary ratings reflect our view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. We determined that the loan has a beginning and ending loan-to-value (LTV) ratio of 61.1%, based on our value of the property backing the transaction," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com PRELIMINARY RATINGS ASSIGNED J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-PHH Class Rating Amount (mil. $)(i) A AAA (sf) $83,000,000 X-CP BB+ (sf) $175,000,000(ii) X-EXT BB+ (sf) $175,000,000(ii) B AA (sf) $24,300,000 C A (sf) $24,300,000 D BBB- (sf) $35,300,000 E BB+ (sf) $8,100,000 R NR N/A (i) The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii) Notional balance. The notional amount of the X-CP and X-EXT certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A, B, C, D, and E certificates. NR - Not rated. N/A - Not applicable. KINGSLAND I: Moody's Hikes Rating on Class D Notes to 'Ba2' ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Kingsland I, Ltd. US$10,000,000 Class A-2 Floating Rate Notes Due June 13, 2019, Upgraded to Aaa (sf); previously on June 30, 2011 Upgraded to Aa1 (sf); US$17,000,000 Class B-1 Floating Rate Notes Due June 13, 2019, Upgraded to Aa1 (sf); previously on June 30, 2011 Upgraded to A2 (sf); US$10,000,000 Class B-2 5.06% Notes Due June 13, 2019, Upgraded to Aa1 (sf); previously on June 30, 2011 Upgraded to A2 (sf); US$17,250,000 Class C-1 Floating Rate Notes Due June 13, 2019, Upgraded to Baa2 (sf); previously on June 30, 2011 Upgraded to Ba2 (sf); US$8,750,000 Class C-2 6.13% Notes Due June 13, 2019, Upgraded to Baa2 (sf); previously on June 30, 2011 Upgraded to Ba2 (sf); US$7,000,000 Class D Floating Rate Notes Due June 13, 2019, Upgraded to Ba2 (sf); previously on June 30, 2011 Upgraded to B1 (sf); US$5,000,000 Type II Composition Notes Due June 13, 2019 (current rated balance of $3,346,378), Upgraded to Aaa (sf); previously on June 30, 2011 Upgraded to Aa3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in June 2011. Moody's notes that the Class A Notes have been paid down by approximately 22% or $65.2 million since the last rating action. Based on the latest trustee report dated October 7, 2012, the Class A, Class B, Class C, and Class D overcollateralization ratios are reported at 134.9%, 121.0%, 110.0%, and 107.4%, respectively, versus June 2011 levels of 127.1%, 116.5%, 107.8%, and 105.7%, respectively. Moody's also notes that the deal has benefited from an improvement in the credit quality of the underlying portfolio since the last rating action in June 2011. Based on the October 2012 trustee report, the weighted average rating factor is currently 2029 compared to 2407 in June 2011. Additionally, Moody's notes that the underlying portfolio no longer has any exposure to securities that mature after the maturity date of the notes. Based on Moody's calculations, such securities comprised approximately 4.28% of the underlying portfolio as of the last rating action in June 2011. This change in the underlying portfolio since the last rating action reduces the exposure of the CLO notes to market value risk. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $307.3 million, defaulted par of $12.4 million, a weighted average default probability of 7.82% (implying a WARF of 1961), a weighted average recovery rate upon default of 46.16%, and a diversity score of 38. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Kingsland I, Ltd, issued in July 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The methodologies used in this rating were "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, and "Using the Structured Note Methodology to Rate CDO Combo- Notes" published in February 2004. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (1569) Class A-1a: 0 Class A-1b: 0 Class A-2: 0 Class B-1: +1 Class B-2: +1 Class C-1: +3 Class C-2: +3 Class D: +1 Combo II: 0 Moody's Adjusted WARF + 20% (2353) Class A-1a: 0 Class A-1b: 0 Class A-2: 0 Class B-1: -2 Class B-2: -2 Class C-1: -2 Class C-2: -1 Class D: -1 Combo II: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. LCM XII: S&P Affirms 'BB' Rating on Class E Deferrable Notes ------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on LCM XII L.P./LCM XII LLC s $465.25 million floating-rate notes following the transaction's effective date as of Oct. 17, 2012. "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')," S&P said. "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," S&P said. "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 said. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P 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," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED LCM XII L.P./LCM XII LLC Class Rating Amount (mil. $) X AAA (sf) 4.00 A AAA (sf) 321.25 B AA (sf) 62.50 C (deferrable) A (sf) 35.75 D (deferrable) BBB (sf) 23.75 E (deferrable) BB (sf) 18.00 MAGNETITE V: S&P Affirms 'B+' Rating on Class D Notes ----------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on two classes of notes from Magnetite V CLO Ltd., a cash flow collateralized loan obligation (CLO) transaction, and removed the classes from CreditWatch with positive implications, where S&P had placed it on Aug. 17, 2012. "At the same time, we affirmed our ratings on two other classes from the transaction and removed one of them from CreditWatch with positive implications," S&P said. "This transaction is currently in its amortization phase since the reinvestment period ended in October 2008. The upgrades reflect a $117.33 million paydown of the class A notes since our February 2011 rating actions. Due to this and other factors, overcollateralization (O/C) ratios increased for the class A, B, C, and D notes," S&P said. The affirmations of the ratings on the class C and D notes reflect credit support commensurate with the current rating levels. "We note that the transaction has exposure to long-dated assets (i.e., assets maturing after the stated maturity of the CLO). Our analysis accounted for the potential market value and/or settlement related risk arising from the potential liquidation of the remaining securities on the legal final maturity date of the transaction," S&P said. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Magnetite V CLO Ltd. Rating Class To From A AAA (sf) AAA (sf) B AAA (sf) AA (sf)/Watch Pos C A- (sf) BBB- (sf)/Watch Pos D B+ (sf) B+ (sf)/Watch Pos NATIONAL COLLEAGIATE: Moody's Corrects Nov. 20 Rating Release ------------------------------------------------------------- Moody's Investors Service issued a correction to the rating release on National Collegiate student loan trusts. Moody's removed references to the National Collegiate Student Loan Trust 2007-3 Cl.-A-IO note and the National Collegiate Student Loan Trust 2007-4 Cl.-A-IO note. On November 27, 2012, the press release was revised as follows: Moody's Investors Service placed under review for downgrade the ratings of 90 tranches and placed under review for upgrade the ratings of two tranches in 15 National Collegiate student loan trusts backed by private (i.e. not government guaranteed) student loans. U.S. Bank, N.A. is the special servicer and Goal Structured Solutions, a wholly owned subsidiary of Goal Financial, LLC, is the administrator of all trusts. The primary reason for the reviews for downgrade is performance deterioration of the underlying student loan collateral. Delinquencies and defaults on the loans originated through both school financial aid offices and the direct-to-consumer (DTC) channel that entered repayment after 2006 have been increasing. Cumulative defaults during the first year of repayment on the pools of loans that entered repayment in 2007 or later are almost twice as high as cumulative defaults on the pools of loans that entered repayment in 2006 or earlier. The negative performance of the post-2006 repayment vintages affects primarily 2006 and 2007 securitizations, which include a large percentage of the post-2006 vintage loans. The 90+ delinquencies as a percentage of loans in active repayment (i.e. not in school, grace, deferment or forbearance) in the 2006 and 2007 securitizations is approximately 3%, a whole percent higher than the 90+ delinquencies in the pre- 2006 securitizations. Similarly, monthly defaults as a percentage of loans in active repayment for 2006 and 2007 securitizations have been above 0.75%, while monthly defaults in the pre-2006 securitizations have ranged between 0.25% and 0.5%. The reviews for downgrade were also prompted by correction of the static pool default information that the transaction sponsor, First Marblehead Corporation, provided to Moody's. The information that served as a basis for the May 2011 rating actions did not include defaults on rehabilitated loans. The most recent information correctly included rehabilitated loans and indicated substantially higher cumulative defaults. Rehabilitated loans are loans that have defaulted but subsequently returned to repayment and repurchased by the trusts. Finally, several tranches rated A3 and above were placed on review for downgrade because Moody's is re-evaluating its view on the tranches' senior position in the distribution of cash. Currently, principal payments are made sequentially among all Class A notes. However, upon an event of default the principal distribution among the Class A notes will switch to pro-rata. Moody's placed two classes of notes in the Master Trust on review for possible upgrade due to the substantial pay down of the notes and the resulting increase in credit enhancement supporting them. The principal methodology used in National Collegiate Student Loan Trust rating actions was "Moody's Approach to Rating U.S. Private Student Loan-Backed Securities", published on January 6, 2010 and available at http://www.moodys.comin the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Rating Methodologies sub-directory on Moody's website. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of Moody's website, at http://www.moodys.com/SFQuickCheck The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Ratings Complete actions are as follows: Issuer: National Collegiate Student Loan Trust 2003-1 (The) Cl. A-7, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Caa1 (sf) Cl. IO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Caa1 (sf) Cl. B-1, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. B-2, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: National Collegiate Student Loan Trust 2004-1 Cl. A-2, A3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at A3 (sf) Cl. A-3, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ba1 (sf) Cl. A-4, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Caa3 (sf) Cl. A-IO-2, Caa3 (sf) Remains On Review for Possible Downgrade; previously on Sep 30, 2010 Downgraded to Caa3 (sf) and Remained On Review for Possible Downgrade Cl. B-1, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. B-2, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: The National Collegiate Student Loan Trust 2004-2 Cl. A-3, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 11, 2009 Downgraded to Aa1 (sf) Cl. A-4, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at A1 (sf) Cl. A-5-1, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Baa2 (sf) Cl. A-IO, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Baa2 (sf) Cl. B, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Caa1 (sf) Cl. C, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: National Collegiate Student Loan Trust 2005-1 Cl. A-3, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 11, 2009 Downgraded to Aa1 (sf) Cl. A-4, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at A1 (sf) Cl. A-5-1, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ba1 (sf) Cl. A-5-2, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ba1 (sf) Cl. B, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Caa2 (sf) Cl. C, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: National Collegiate Student Loan Trust 2005-2 Cl. A-3, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Aa1 (sf) Cl. A-4, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Baa1 (sf) Cl. A-5, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ba1 (sf) Cl. B, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Caa3 (sf) Cl. C, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. A-5-2, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ba1 (sf) Issuer: National Collegiate Student Loan Trust 2005-3 Cl. A-3, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 11, 2009 Downgraded to Aa1 (sf) Cl. A-4, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at A1 (sf) Cl. A-5-1, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ba1 (sf) Cl. A-5-2, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ba1 (sf) Cl. B, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Caa1 (sf) Cl. C, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: National Collegiate Student Loan Trust 2006-1 Cl. A-3, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 11, 2009 Downgraded to Aa1 (sf) Cl. A-4, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Baa1 (sf) Cl. A-5, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ba1 (sf) Cl. B, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Caa2 (sf) Cl. C, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: National Collegiate Student Loan Trust 2006-2 Cl. A-2, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Aa3 (sf) Cl. A-3, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Baa1 (sf) Cl. A-4, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at B1 (sf) Cl. B, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Caa2 (sf) Cl. C, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: National Collegiate Student Loan Trust 2006-3 Cl. A-2, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 11, 2009 Downgraded to Aa1 (sf) Cl. A-3, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 11, 2009 Downgraded to Aa1 (sf) Cl. A-4, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Baa1 (sf) Cl. A-5, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Baa2 (sf) Cl. B, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ba2 (sf) Cl. C, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Caa2 (sf) Cl. D, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: National Collegiate Student Loan Trust 2006-4 Cl. A-2, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at A1 (sf) Cl. A-3, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Baa1 (sf) Cl. A-4, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ba1 (sf) Cl. B, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at B2 (sf) Cl. C, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Ca (sf) Cl. D, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: National Collegiate Student Loan Trust 2007-1 Cl. A-2, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at A1 (sf) Cl. A-3, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Baa3 (sf) Cl. A-4, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at B1 (sf) Cl. B, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at B2 (sf) Cl. C, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Ca (sf) Cl. D, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: National Collegiate Student Loan Trust 2007-2 Cl. A-2, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at A1 (sf) Cl. A-3, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Baa1 (sf) Cl. A-4, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ba1 (sf) Cl. B, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at B1 (sf) Cl. C, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Caa3 (sf) Cl. D, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: National Collegiate Student Loan Trust 2007-3 Cl. A-3-L, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. A-3-AR-2, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Caa2 (sf) Cl. A-3-AR-3, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. A-3-AR-4, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. A-3-AR-5, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. A-3-AR-6, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. A-3-AR-7, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: National Collegiate Student Loan Trust 2007-4 Cl. A-3-L, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. A-3-AR-2, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Downgraded to Caa3 (sf) Cl. A-3-AR-3, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. A-3-AR-4, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. A-3-AR-5, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. A-3-AR-6, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Cl. A-3-AR-7, Ca (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2011 Confirmed at Ca (sf) Issuer: The National Collegiate Master Student Loan Trust I (2001 Indenture) NCT-2002-AR9, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 16, 2011 Confirmed at Ba1 (sf) NCT-2002-AR-10, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Jun 16, 2011 Confirmed at Ba2 (sf) NCT-2003AR-12, Ca (sf) Placed Under Review for Possible Downgrade; previously on Apr 8, 2011 Downgraded to Ca (sf) NCT-2003AR-13, Ca (sf) Placed Under Review for Possible Downgrade; previously on Apr 8, 2011 Downgraded to Ca (sf) NCT-2003AR-14, Ca (sf) Placed Under Review for Possible Downgrade; previously on Apr 8, 2011 Downgraded to Ca (sf) NCT-2005AR-15, Ca (sf) Placed Under Review for Possible Downgrade; previously on Apr 8, 2011 Downgraded to Ca (sf) NCT-2005AR-16, Ca (sf) Placed Under Review for Possible Downgrade; previously on Apr 8, 2011 Downgraded to Ca (sf) NEWSTAR COMMERCIAL: Moody's Rates $24.1MM Class F Notes '(P)B2' --------------------------------------------------------------- Moody's Investors Service has assigned the following provisional ratings to notes to be issued by NewStar Commercial Loan Funding 2012-2, LLC (the "Issuer" or "NewStar 2012-2"): U.S. $190,700,000 Class A Senior Secured Floating Rate Notes due 2023 (the "Class A Notes"), Assigned (P)Aaa (sf) U.S. $26,000,000 Class B Senior Secured Floating Rate Notes due 2023 (the "Class B Notes"), Assigned (P)Aa2 (sf) U.S. $35,200,000 Class C Secured Deferrable Floating Rate Notes due 2023 (the "Class C Notes"), Assigned (P)A2 (sf) U.S. $11,400,000 Class D Secured Deferrable Floating Rate Notes due 2023 (the "Class D Notes"), Assigned (P)Baa2 (sf) U.S. $16,300,000 Class E Secured Deferrable Floating Rate Notes due 2023 (the "Class E Notes"), Assigned (P)Ba1 (sf) U.S. $24,100,000 Class F Secured Deferrable Floating Rate Notes due 2023 (the "Class F Notes"), Assigned (P)B2 (sf). Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit 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 Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F Notes (together, the "Notes") address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. NewStar 2012-2 is a managed cash flow SME CLO. The issued notes are collateralized substantially by small to medium enterprise ("SME") first-lien senior secured corporate loans. At least 97.5% of the portfolio must be invested in first-lien senior secured loans, cash and eligible investments and up to 2.5% of the portfolio may consist of second-lien loans. The underlying portfolio will be approximately 67% ramped up as of the closing date. NewStar Financial, Inc. (the "Manager") will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity during the transaction's three- year reinvestment period, including discretionary trading. In addition to the Notes rated by Moody's, the Issuer has investors in its membership interests, which are the ownership interests in a limited liability company. 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. For modeling purposes, Moody's used the following base-case assumptions: Par of $325,000,000 Diversity of 36 WARF of 3200 Weighted Average Spread of 4.85% Weighted Average Coupon of 7.0% Weighted Average Recovery Rate of 45.75%, and Weighted Average Life of 7.5 years. Together with the set of modeling assumptions above, Moody's conducted additional sensitivity analyses which were an important component in determining the ratings assigned to the Notes. These sensitivity analyses include increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Moody's WARF + 15% (3680) Class A Notes: 0 Class B Notes: 0 Class C Notes: -2 Class D Notes: -2 Class E Notes: -1 Class F Notes: -1 Moody's WARF +30% (4160) Class A Notes: -2 Class B Notes: -2 Class C Notes: -4 Class D Notes: -4 Class E Notes: -3 Class F Notes: -3. The V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V score assigned for the global cash flow CLO sector, as described in the special report titled "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector," (the "CLO V Score Report") dated July 6, 2009, available on www.moodys.com. A significant portion of the underlying assets for this transaction are SME corporate loans, which receive Moody's credit estimates, rather than publicly rated corporate loans. This distinction is an important factor increasing potential rating sensitivity in the determination of this transaction's V Score, since only loans publicly rated by Moody's are the basis for the CLO V Score Report. Several scores for sub-categories of the V Score differ from the CLO sector benchmark scores. The scores for the quality of historical data for U.S. SME loans and for disclosure of collateral pool characteristics and collateral performance reflect higher volatility. This results from lack of a centralized default database for SME loans, as well as obligor-level information for SME loans being more limited and less frequently provided to Moody's than that for publicly rated companies. In addition, the score for alignment of interests reflects lower volatility since the transaction is a financing vehicle. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the rating. V Scores apply to the entire transaction, rather than individual tranches. The principal methodology used in rating the Notes was "Moody's Approach to Rating Collateralized Loan Obligations," published in June 2011. NORTHWOODS CAPITAL IV: Moody's Ups Ratings on 2 CLO Notes to Ba1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Northwoods Capital IV, Limited: U.S. $32,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2018, Upgraded to Aaa (sf); previously on Jul 25, 2011 Upgraded to Aa3 (sf); U.S. $38,000,000 Class B Senior Secured Deferrable Floating Rate Notes Due 2018, Upgraded to A2 (sf); previously on Jul 25, 2011 Upgraded to Baa1 (sf); U.S. $16,500,000 Class C-1 Senior Secured Deferrable Floating Rate Notes Due 2018, Upgraded to Ba1 (sf); previously on Jul 25, 2011 Upgraded to Ba2 (sf); U.S. $8,500,000 Class C-2 Senior Secured Deferrable Fixed Rate Notes Due 2018, Upgraded to Ba1 (sf); previously on Jul 25, 2011 Upgraded to Ba2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in July 2011. Moody's notes that the Class A-1a Notes and Class A-1b Notes have been paid down by approximately 30% or $99.2 million since the last rating action. Based on the latest trustee report dated October 26, 2012, the Class A, Class B and Class C overcollateralization ratios are reported at 144.35%, 127.12% and 155.18% respectively, versus June 2011 levels of 133.01%, 120.33% 111.14%, respectively. These levels do not take into account the principal payments made on the November 3, 2012 payment date. Moody's also notes the credit quality of the underlying portfolio has remained stable. Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $368.9 million, defaulted par of $27.9 million, a weighted average default probability of 19.41% (implying a WARF of 3171), a weighted average recovery rate upon default of 46.66%, and a diversity score of 29. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Northwoods Capital IV, Limited, issued in 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% WARF 2537 Class A-1a: 0 Class A-1b: 0 Class A2: 0 Class B: +1 Class C-1: +2 Class C-2: +2 Moody's Adjusted WARF + 20% WARF 3805 Class A-1a: 0 Class A-1b: 0 Class A2: -1 Class B: -1 Class C-1: -1 Class C-2: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis. NORTHSTAR 2012-1: Moody's Assigns 'B2' Rating to Class F Certs. --------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of CMBS securities, issued by NorthStar 2012-1 Commercial Mortgage Pass-Through Certificates. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa2 (sf) Cl. C, Definitive Rating Assigned A2 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. X-WAC, Definitive Rating Assigned A2 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Ratings Rationale The Certificates are collateralized by fourteen floating rate loans secured by nineteen properties. The ratings are based on the collateral and the structure of the transaction. Moody's CMBS ratings methodology combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The pooled Trust loan balance of $351.4 million represents a Moody's LTV ratio of 125.3%. The Moody's LTV ratio for the pool is the highest level observed by Moody's in CMBS 2.0. Moody's also considers subordinate financing outside of the Trust when assigning ratings. There are two loans structured with junior mortgage participations and one loan structured with a mezzanine loan. Inclusive of these subordinate notes, the total debt amount increases to $395.0 million and represents a Moody's Total LTV of 138.7%. The Moody's Actual Trust DSCR is 1.27x. The Moody's Total Trust stressed DSCR at a 9.25% constant is 0.81X and Moody's total debt stressed DSCR (inclusive of mezzanine debt) is 0.73X. The Moody's Actual Trust DSCR is the lowest level Moody's has calculated since 2009. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level Herfindahl score is 8.5. The score is lower than Herfindahl scores represented by large loan, multi-borrower transactions previously rated by Moody's. With respect to property level diversity, the pool's property level Herfindahl score is 8.8. The transaction's property diversity profile is consistent with most previously rated large loan multi-borrower transactions. Moody's grades properties on a scale of 1 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.6, which is consistent when compared to other deals rated by Moody's since 2009. The methodologies used in this rating were "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based Large Loan Model v 8.4. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis also uses the CMBS IO calculator ver1.0, which references the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The V Score for this transaction is assessed as Medium, the same as the V score assigned to the U.S. Large Loan CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling, and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 4%, 15%, or 25%, the model-indicated rating for the currently rated Aaa class would be Aa1; A1; and Baa1. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of, Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. Moody's has withdrawn the (P)B1 (sf) rating previously assigned to Cl. X-LF for its own business reasons. OCTAGON INVESTMENT XIV: S&P Gives 'B' Rating on Class E Def Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Octagon Investment Partners XIV, Ltd./Octagon Investment Partners XIV, LLC's $474.5 million floating-rate notes. The note issuance is collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Nov. 23, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. The transaction's legal structure, which is expected to be bankruptcy remote. The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior- secured term loans. The portfolio manager's experienced management team. S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.31%-13.84%. The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification up to 50% of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, subordinated hedge termination payments, portfolio manager incentive fees, and class F and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1129.pdf PRELIMINARY RATINGS ASSIGNED Octagon Investment Partners XIV Ltd./Octagon Investment Partners XIV LLC Class Rating Amount (mil. $) A-1 AAA (sf) 314.75 A-2 AA (sf) 52.50 B (deferrable) A (sf) 42.75 C (deferrable) BBB (sf) 25.00 D (deferrable) BB- (sf) 28.25 E (deferrable) B (sf) 11.25 Subordinated notes NR 47.30 NR--Not rated. PHOENIX CDO II: Fitch Affirms 'Csf' Rating on Two Class Notes ------------------------------------------------------------- Fitch Ratings has taken the following rating actions on the notes issued by Phoenix CDO II, Ltd. (Phoenix II) as follows: -- $33,101,272 class B notes upgraded to 'Asf' from 'Dsf', assigned Stable Outlook; -- $32,224,903 class C-1 notes affirmed at 'Csf'; -- $27,840,965 class C-2 notes affirmed at 'Csf'. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also considered additional qualitative factors in its analysis, as described below, to conclude the rating actions for the rated notes. Phoenix II entered an event of default in July 2003 and accelerated its maturity in November 2003. The class A notes were paid in full on the March 1, 2012 payment date. The class B notes are now the senior most class in the transaction and are receiving all proceeds after fees and expenses. The notes had a substantial outstanding defaulted interest balance when Fitch last reviewed Phoenix II in March 2012, which warranted an affirmation at 'Dsf' despite its increased credit enhancement and improved position in the capital structure. The class B notes are upgraded following repayment of its defaulted interest on the September 2012 distribution date. Fitch's cash flow modeling results indicate the class B notes can pass rating stresses higher than 'Asf'. However, the portfolio is becoming increasingly concentrated and therefore consideration is given to Fitch's rating cap criteria, which generally calls for a rating cap for a class of notes that Fitch deems to be reliant on the performance of a concentrated portfolio. The Stable Outlook reflects Fitch's expectation of stable performance over the next one to two years. The class C-1 and C-2 (together, class C) notes continue to capitalize missed interest and are undercollateralized. Default continues to appear inevitable because future payments made to the class C notes will not be sufficient to cover all principal and paid in kind interest due at maturity. Therefore, the class C notes are affirmed at 'Csf'. Phoenix II is a cash flow structured finance collateralized debt obligation (SF CDO) that closed on May 17, 2000 and is monitored by Newfleet Asset Management, LLC. The current portfolio is composed of residential mortgage-backed securities (43.5%), commercial mortgage-backed securities (27.2%), commercial asset- backed securities (ABS; 28.2%), and consumer ABS (1.1%) from 1995 through 2002 vintage transactions. PREFERREDPLUS BLC-2: S&P Raises Rating on $33.5MM Certs. to 'BB' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on PreferredPLUS Trust Series BLC-2's $33.530 million 8.00% certificates to 'BB' from 'BB-'. "Our rating on the certificates is dependent on our rating on the underlying security; Belo Corp.'s $250 million 7.25% senior debentures due Sept. 15, 2027," S&P said. "The rating action follows the Nov. 19, 2012, raising of our rating on the underlying security to 'BB' from 'BB-'. We may take subsequent rating actions on the certificates due to changes in our rating on the underlying security," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com SATURNS 2007-1: Moody's Cuts Ratings on 2 Cert. Classes to 'Caa1' ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of the following certificates issued by Structured Asset Trust Unit Repackagings (SATURNS) Series 2007-1: Issuer: SATURNS J.C Penney Corporation Inc. Debenture Backed Series 2007-1 US$54,500,000 of 7.625% Callable Units due March 1, 2097, Downgraded to Caa1; previously on August 13, 2012 Downgraded to Ba3 US$3,690,000 Initial Notional Amortizing Balance of Interest- Only Class B Callable Units due March 1, 2097, Downgraded to Caa1; previously on August 13, 2012 Downgraded to Ba3 Ratings Rationale The transaction is a structured note whose ratings change with the rating of the Underlying Securities. The rating actions are a result of the change of the rating of J.C. Penney Corporation, Inc. 7.625% Debentures due March 1, 2097, which was downgraded to Caa1 from Ba3 on November 20, 2012. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Moody's conducted no additional cash flow analysis or stress scenarios because the rating is a pass-through of the rating of the underlying security and the legal structure of the transaction. Moody's says that the underlying securities are subject to a high level of macroeconomic uncertainty, which is manifest in uncertain credit conditions across the general economy. Because these conditions could negatively affect the ratings on the underlying securities, they could also negatively impact the ratings on the note. SCHOONER TRUST: Moody's Affirms 'B3' Rating on Class K Certs. ------------------------------------------------------------- Moody's Investors Service upgraded the ratings of five classes and affirmed eight classes of Schooner Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-CCF1 as follows: Cl. A-2, Affirmed at Aaa (sf); previously on Jan 23, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed at Aaa (sf); previously on Apr 18, 2007 Upgraded to Aaa (sf) Cl. C, Upgraded to Aaa (sf); previously on Feb 24, 2011 Upgraded to Aa1 (sf) Cl. D-1, Upgraded to A1 (sf); previously on Feb 24, 2011 Upgraded to A3 (sf) Cl. D-2, Upgraded to A1 (sf); previously on Feb 24, 2011 Upgraded to A3 (sf) Cl. E, Upgraded to A3 (sf); previously on Feb 24, 2011 Upgraded to Baa2 (sf) Cl. F, Upgraded to Baa2 (sf); previously on Jan 23, 2004 Definitive Rating Assigned Ba1 (sf) Cl. G, Affirmed at Ba2 (sf); previously on Jan 23, 2004 Definitive Rating Assigned Ba2 (sf) Cl. H, Affirmed at Ba3 (sf); previously on Jan 23, 2004 Definitive Rating Assigned Ba3 (sf) Cl. J, Affirmed at B2 (sf); previously on Jan 23, 2004 Definitive Rating Assigned B2 (sf) Cl. K, Affirmed at B3 (sf); previously on Jan 23, 2004 Definitive Rating Assigned B3 (sf) Cl. IO-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. IO-2, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The upgrades are due to an increase in subordination from payoffs and amortization. The pool has paid down 47% since securitization and 15% since last review. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The ratings of the IO Classes, Classes IO-1 and IO-2 are consistent with the performance of their referenced classes and are thus affirmed. Moody's rating action reflects a cumulative base expected loss of $6.3 million or 2.5% of the current balance. At last review, Moody's cumulative base expected loss was $8.4 million or 2.9%. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with eight straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Slow recovery in the office sector continues with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending resulting in increased sales. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario maintains its forecast of relatively robust growth in the US and an expectation of a mild recession in the euro area for 2012. Downside risks remain significant, and elevated downside risks and their materialization could pose a serious threat to the outlook. Major downside risks include: a deeper than expected recession in the euro area; the potential for a hard landing in major emerging markets; an oil supply shock; and material fiscal tightening in the US given recent political gridlock. Healthy but below-trend growth in GDP is expected through the rest of this year and next with risks trending to the downside. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating Canadian CMBS" published in May 2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. Moody's review also incorporated the CMBS IO calculator ver1.1 which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 17 compared to 22 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(R) (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 29, 2012. Deal Performance As of the November 13, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 47% to $250.7 million from $474.0 million at securitization. The Certificates are collateralized by 49 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 57% of the pool. Eight loans, representing 9% of the pool, have defeased and are collateralized with Canadian Government securities. Eleven loans, representing 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has experienced a $2.1 million loss (24% loss severity) from the liquidation of one loan. There are currently no loans in special servicing. Moody's has assumed a high default probability for two poorly performing loans representing 4% of the pool and has estimated an aggregate $1.9 million loss (19% expected loss) from these troubled loans. Moody's was provided with full year 2011 operating results for 83% of the pool. Excluding troubled loans, Moody's weighted average LTV is 62% compared to 64% at last review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.9%. Excluding troubled loans, Moody's actual and stressed DSCRs are 1.60X and 1.83X, respectively, compared to 1.63X and 1.80X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 30% of the pool balance. The largest loan is the Merivale/Gateway Mall Portfolio Loan ($30.8 million -- 12.3% of the pool), which is secured by a 242,715 square foot (SF) enclosed mall located in Ottawa and a 333,691 SF enclosed mall located in Prince Albert. The loan is amortizing on a 300-month schedule maturing in April 2013. The loan has paid down 19% since securitization. Property performance has remained stable since the last review. Moody's LTV and stressed DSCR are 61% and 1.67X, respectively, compared to 69% and 1.49X at last full review. The second largest loan is the Fortis Portfolio Loan ($22.9 million -- 9.1% of the pool), which is secured by four full service Holiday Inn hotels located in multiple cities in southern Ontario. The loan is amortizing on a 300-month schedule maturing in November 2013. The loan has paid down 23% since securitization. Moody's LTV and stressed DSCR are 54% and 2.23X, respectively, compared to 56% and 2.15X at last full review. The third largest loan is the Cherry Lane Shopping Centre Loan ($21.3 million -- 8.5% of the pool), which is secured by a 269,716 SF anchored retail center located in Penticton, BC. The loan is amortizing on a 300-month schedule maturing in August 2013. The loan has paid down 21% since securitization. Property performance has improved steadily over the prior two reviews. Moody's LTV and stressed DSCR are 51% and 2.12X, respectively, compared to 54% and 2.02X at last review. SORIN REAL ESTATE: Moody's Lifts Rating on Cl. A-3 Notes to 'B3' ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of three classes and affirmed the ratings of six classes of Notes issued by Sorin Real Estate CDO IV Ltd. The upgrades are due to improvement in underlying collateral performance as evidenced by transition in Moody's weighted average rating factor (WARF), weighted average recovery rate (WARR), and a lower balance of defaulted securities since last review. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation and collateralized loan obligation (CRE CDO CLO) transactions. Moody's rating action is as follows: Cl. A-1, Upgraded to Baa1 (sf); previously on Dec 15, 2010 Downgraded to Baa2 (sf) Cl. A-2, Upgraded to B1 (sf); previously on Dec 15, 2010 Downgraded to Caa1 (sf) Cl. A-3, Upgraded to B3 (sf); previously on Dec 15, 2010 Downgraded to Caa2 (sf) Cl. B, Affirmed at Caa3 (sf); previously on Dec 15, 2010 Downgraded to Caa3 (sf) Cl. C, Affirmed at Ca (sf); previously on Dec 15, 2010 Downgraded to Ca (sf) Cl. D, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded to C (sf) Cl. E, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded to C (sf) Cl. F, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded to C (sf) Cl. G, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded to C (sf) Ratings Rationale Sorin Real Estate CDO IV Ltd. is a static (the reinvestment period ended in October 2011) cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (50.3% of the pool balance), B-Note debt and rake bonds (30.3%), whole loans (17.6%), and CRE CDO bonds (1.8%). As of the October 29, 2012 Note Valuation report, the aggregate Note balance of the transaction, including Income Notes, has decreased to $286.4 million from $400.0 million at issuance, as a result of the paydown directed to the Class A-1 Notes from regular amortization of collateral, resolution and subsequent sales of defaulted collateral, and interest proceeds directed to senior classes as principal proceeds as a result of failing one or more par value and interest coverage tests. The transaction is currently under-collateralized by $52.9 million, up from $26.6 million as of last review. However, the transaction's key parameters are compensating for this change in collateralization. There are six assets with par balance of $48.6 million (20.8% of the current pool balance) that are considered defaulted securities as of the October 29, 2012 Note Valuation report, compared to nine defaulted securities totaling $77.8 million par amount (25.0%) at last review. Moody's does expect moderate to high losses to occur from these defaulted securities once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: WARF, weighted average life (WAL), WARR, and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated collateral. The bottom-dollar WARF is a measure of the default probability within a collateral pool. Moody's modeled a bottom-dollar WARF of 3,922 compared to 4,489 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (16.1% compared to 16.3% at last review), A1-A3 (5.6% compared to 0.0% at last review),Baa1-Baa3 (9.8% compared to 13.2% at last review), Ba1-Ba3 (12.1% compared to 3.4% at last review), B1-B3 (6.0% compared to 9.8% at last review), and Caa1-Ca/C (50.4% compared to 57.3% at last review). Moody's modeled to a WAL of 3.0 years, compared to 3.2 years at last review. The current WAL is based on the assumption about extensions. Moody's modeled a fixed 27.3% WARR, compared to 24.5% at last review. Moody's modeled a MAC of 11.2%, compared to 16.3% at last review. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on March 22, 2012. The cash flow model, CDOEdge(R) v3.2.1.2, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 27.3% to 17.3% or up to 37.3% would result in modeled rating movement on the rated Notes of 0 to 2 notches downward and 0 to 3 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with eight straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Slow recovery in the office sector continues with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending resulting in increased sales. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario maintains its forecast of relatively robust growth in the US and an expectation of a mild recession in the euro area for 2012. Downside risks remain significant, and elevated downside risks and their materialization could pose a serious threat to the outlook. Major downside risks include: a deeper than expected recession in the euro area; the potential for a hard landing in major emerging markets; an oil supply shock; and material fiscal tightening in the US given recent political gridlock. Healthy but below-trend growth in GDP is expected through the rest of this year and next with risks trending to the downside. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in May 2012, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. THORNBURG MORTGAGE 2005-4: Moody's Cuts 2 Tranche Ratings to Caa2 ----------------------------------------------------------------- Moody's Investors Service has downgraded six tranches issued by Thornburg Mortgage Securities. The collateral backing these deals primarily consists of first-lien, adjustable-rate Prime Jumbo residential mortgages. The actions impact approximately $1.1 billion of RMBS issued from 2005 to 2006. Complete rating actions are as follows: Issuer: Thornburg Mortgage Securities Trust 2005-4 Cl. A-1, Downgraded to Caa1 (sf); previously on Mar 26, 2010 Downgraded to B3 (sf) Cl. A-2, Downgraded to Caa1 (sf); previously on Mar 26, 2010 Downgraded to B2 (sf) Cl. A-3, Downgraded to Caa2 (sf); previously on Mar 26, 2010 Downgraded to B2 (sf) Cl. A-4, Downgraded to Caa1 (sf); previously on Mar 26, 2010 Downgraded to B2 (sf) Issuer: Thornburg Mortgage Securities Trust 2006-1 Cl. A-2, Downgraded to Caa2 (sf); previously on Mar 26, 2010 Downgraded to Caa1 (sf) Cl. A-3, Downgraded to Caa1 (sf); previously on Mar 26, 2010 Confirmed at B3 (sf) Ratings Rationale The actions are a result recent performance of the pools backing the bonds and reflect Moody's updated loss expectations on the pools. The downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for the bonds than previously anticipated. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. The methodology used in rating Interest- Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) small pool volatility. Loan Modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013. Small Pool Volatility For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate calculated above by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in April 2011 to 7.8% in September 2012. Moody's forecasts a further drop to 7.5% by 2014. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF308036 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF196023 US AIRWAYS: Moody's Assigns 'B1' Rating to Cl. B Certificates ------------------------------------------------------------- Moody's Investors Service assigned Ba1 and B1 ratings, respectively, to the Class A and Class B Pass Through Certificates, Series 2012-2 (the "Certificates") of the 2012-2 Pass Through Trusts that US Airways, Inc. will establish. Moody's affirmed the B3 Corporate Family and Probability of Default ratings assigned to US Airways Group, Inc. and all of the other ratings it assigns to the company's debt or equipment trust certificates. Issuer: US Airways, Inc. Assignments: Series 2012-2 Enhanced Equipment Trust Class A Certificates Assigned Ba1 Class B Certificates Assigned B1 Ratings Rationale The proceeds of the Series 2012-2 Certificates will fund the purchase of equipment notes to be issued by US Airways for ten aircraft: seven newly-manufactured Airbus A321-200s to be delivered to US Airways in 2013 and three newly-manufactured Airbus A330-200 aircraft to be delivered in 2013. The payment obligations of US Airways will be guaranteed by its parent, US Airways Group, Inc. Amounts due under the respective Certificates will be subordinated to any amounts due on the separate Class A and Class B Liquidity Facilities ("Liquidity Facility"). Landesbank Hessen-Th�ringen Girozentrale will provide the separate liquidity facility for each of the Class A and Class B Certificates. The Bank of New York Mellon will serve as the Depositary. The ratings of the Certificates consider the credit quality of US Airways as obligor of the underlying equipment notes, Moody's opinion of the collateral protection of the Notes, the credit support provided by the liquidity facilities, the applicability of Section 1110 of Title 11 of the United States Code (the "Code") to the equipment notes, as well as the cross-default and cross- collateralization of the equipment notes. The assigned ratings reflect Moody's opinion of the ability of the Pass-Through Trustees to make timely payment of scheduled interest and the ultimate payment of principal on the final scheduled regular distribution dates of June 3, 2025 and June 3, 2021 for the A and B certificates, respectively, either from payments received from US Airways or from other remedies under the transaction structure. Moody's estimate of the loan-to-value of the Certificates is in line with those of US Airways' other recently issued EETCs. Moody's estimates the initial loan-to-value of the tranches at above 60% and about 80%, respectively based on its estimates of market values and after applying its LTV benefit for cross- collateralization. The inclusion of new A330-200s in this transaction strengthens the probability of a Section 1110(a) election under a reorganization scenario relative to that of other of US Airways' EETCs that do not finance any wide-bodies. Nevertheless, the ratings assignment for 2012-2 reflects the relatively high probability of affirmation under a reorganization scenario. The aircraft in the 2012-2 EETC will be some of the youngest in the airline's fleet. Additionally, the two aircraft models are likely to be a stalwart in US Airways' fleet for years to come. The higher gauge of the A321 and its ability to replace the B757-200 on many of that aircraft's existing routes are supportive features for that aircraft. The A330-200 enhances the company's international fleet. Any combination of future changes in the underlying credit quality or ratings of US Airways, unexpected material changes in the market value of the aircraft and/or changes in the status or terms of the liquidity facilities or the credit quality of the liquidity provider could cause Moody's to change its ratings of the Certificates. The principal methodology used in rating US Airways was the Global Passenger Airlines Industry Methodology published in May 2012 and Enhanced Equipment Trust And Equipment Trust Certificates published in December 2010. Other methodologies used include Loss Given Default for Speculative-Grade Non-Financial Companies in the U.S., Canada and EMEA published in June 2009. US Airways Group, Inc., based in Tempe, Arizona, through its subsidiaries, operates one of the largest airlines in the U.S. with service throughout the U.S. as well as Canada, Mexico, Europe, the Middle East, the Caribbean, Central and South America. UTAH HOUSING: Moody's Cuts Rating on Revenue Bonds to 'Caa1' ------------------------------------------------------------ Moody's Investors Service has downgraded to Caa1 from B2 the rating of Utah Housing Corporation (GNMA Collateralized) Mortgage Revenue Bonds (Sunset Ridge Apartments Project), Series 2003A and Series 2003A-T, affecting approximately $14,550,000 of outstanding debt. Summary Rationale This rating action follows the recent downgrade of MBIA Inc. to Caa1 (developing outlook) from B2 on November 19, 2012. MBIA Inc. provides a guaranteed investment contract (GIC) for which the funds of the Series 2003A and 2003A-T are invested with. Outlook WHAT COULD CHANGE THE RATING - UP - An upgrade to the rating of the GIC provider WHAT COULD CHANGE THE RATING - DOWN - A downgrade to the rating of the GIC provider - Deterioration to the asset to debt ratio - Cash flows projections which demonstrate insufficient revenues or asset-to-debt ratios Rating Methodology The principal methodology used in this rating was GNMA Collateralized Multifamily Housing Bonds published in June 2001. WACHOVIA BANK 2006-C26: Moody's Cuts Rating on G Certs. to 'Ca' --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of eight classes and affirmed 14 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006- C26: Cl. A-2, Affirmed at Aaa (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-PB, Affirmed at Aaa (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed at Aaa (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-3FL, Affirmed at Aaa (sf); previously on Jul 12, 2006 Assigned Aaa (sf) Cl. A-1A, Affirmed at Aaa (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-M, Downgraded to Aa2 (sf); previously on Jan 13, 2011 Confirmed at Aaa (sf) Cl. A-J, Downgraded to Ba1 (sf); previously on Jan 13, 2011 Downgraded to Baa1 (sf) Cl. B, Downgraded to B1 (sf); previously on Jan 13, 2011 Downgraded to Baa3 (sf) Cl. C, Downgraded to B2 (sf); previously on Jan 13, 2011 Downgraded to Ba1 (sf) Cl. D, Downgraded to Caa1 (sf); previously on Jan 13, 2011 Downgraded to B1 (sf) Cl. E, Downgraded to Caa2 (sf); previously on Jan 13, 2011 Downgraded to B3 (sf) Cl. F, Downgraded to Caa3 (sf); previously on Jan 13, 2011 Downgraded to Caa2 (sf) Cl. G, Downgraded to Ca (sf); previously on Jan 13, 2011 Downgraded to Caa3 (sf) Cl. H, Affirmed at C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. J, Affirmed at C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. K, Affirmed at C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. L, Affirmed at C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. M, Affirmed at C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. N, Affirmed at C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. O, Affirmed at C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. X-C, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. X-P, Affirmed at Aaa (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Ratings Rationale The downgrades are due to higher than anticipated realized and expected losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The ratings of the IO Classes, X-C and X-P, are consistent with the credit performance of their referenced classes and are thus affirmed. Moody's rating action reflects a base expected loss of 10.8% of the current balance compared to 8.4% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment and commercial real estate property markets. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with eight straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Slow recovery in the office sector continues with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by discounting and promotions. However, rising wages and reduced unemployment, along with increased consumer confidence, is helping to spur consumer spending resulting in increased sales. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario maintains its forecast of relatively robust growth in the US and an expectation of a mild recession in the euro area for 2012. Downside risks remain significant, and elevated downside risks and their materialization could pose a serious threat to the outlook. Major downside risks include: a deeper than expected recession in the euro area; the potential for a hard landing in major emerging markets; an oil supply shock; and material fiscal tightening in the US given recent political gridlock. Healthy but below-trend growth in GDP is expected through the rest of this year and next with risks trending to the downside. 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 Structured Finance Interest- Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.61 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessment in the same transaction. Moody's review also incorporated the CMBS IO calculator ver1.1 which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 37 compared to 39 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated November 30, 2011. DEAL PERFORMANCE As of the November 19th, 2012 distribution date, the transaction's aggregate certificate balance has decreased by 19% to $1.41 billion from $1.73 billion at securitization. The Certificates are collateralized by 100 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 40% of the pool. There is one fully defeased loan, representing less than 1% of the pool, that is securitized by U.S. Government securities. Twenty-eight loans are on the master servicer's watchlist, representing approximately 26% of the pool. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eight loans have been liquidated since securitization, of which five have generated a loss of $15.1 million (38% average loss severity). Currently, there are 13 loans in special servicing, representing approximately 16% of the pool balance. The largest specially serviced loan is the Tan-Tar-A Resort Loan ($46.1 million -- 3.3 % of the pool), which is secured by a 497-room resort hotel located in Osage Beach, Missouri, which is approximately 200 miles from St. Louis. The hotel consists of five multi-story guest room buildings, 21 cottage style buildings and various other buildings. The resort includes approximately 90,000 square feet (SF) of meeting space, 27 holes of golf, a 20,000 SF water park, 119 slip marina, health club and spa, and other amenities. The loan was transferred to special servicing in April 2012 for imminent monetary default. Per the special servicer, a receiver was appointed in September 2012. As of December 2011, the hotel's occupancy rate and revenue per available room (RevPAR) were 48.9% and $48.46. Trailing 12 month financials ending in September 2012 indicate an occupancy rate and RevPAR of 48.8% and $48.07. The master servicer has recognized an $11.3 million appraisal reduction amount (ARA) for this loan and as well as additional $60.1 million ARA for ten other specially serviced loans. Moody's estimate an aggregate loss of $84.7 million (41% expected loss) from 12 out of the 13 loans in specially servicing. Moody's has assumed a high default probability for 11 poorly performing loans representing 16% of the pool and has estimated a $45.8 million loss (20% expected loss based on a 50% probability default) from these troubled loan. Based on the most recent remittance statement, Classes G through P have experienced cumulative interest shortfalls totaling $15.1 million. At last review, interest shortfalls totaled $10.7 million. Moody's anticipates that the pool will continue to experience interest shortfalls because of the exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal subordinate entitlement reductions (ASERs), loan modifications and extraordinary trust expenses Excluding defeased and specially serviced loans, Moody's was provided with full year 2011 and partial year 2012 operating results for 93% and 86% of the pool. Excluding defeased, specially serviced and troubled loans, Moody's weighted average conduit LTV is 99% compared to 97% at Moody's prior. Moody's net cash flow (NCF) 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 9.3%. Excluding defeased, specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.33X and 1.06X, respectively, compared to 1.35X and 1.07X at last review. Moody's actual DSCR is based on Moody's net cash flow and the loans actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 19% of the pool balance. The largest loan is the Prime Outlets Pool II Loan ($140.9 million -- 10.0% of the pool), which represents a 50% pari passu interest in a portfolio of three outlet retail properties totaling 1.5 million SF. The loan is also encumbered by a $17.0 million B- note. The sponsor is Simon Property Group. The three retail properties are located in Birch Run, Michigan, Williamsburg, Virginia and Hagerstown, Maryland. As of June 2012, the portfolio was 93% leased compared to 92% at last review. Performance remains stable and the loan benefits from amortization. Moody's LTV and stressed DSCR are 85% and 1.15X, respectively, compared to 89% and 1.10X at last full review. The second largest loan is the Eastern Shore Centre Loan ($69.5 million -- 4.9% of the pool), which is secured by a 432,689 SF life-style retail property located near Mobile, Alabama. The loan was returned from special servicing in February 2011 after an interest rate modification and has remained since then on the master servicer's watch list for low debt service coverage. The property is shadowed anchored by Dillard's. The main in-line tenants include Belk's, Barnes and Noble and Bed, Bath and Beyond. As of June 2012, the collateral was 81% leased; since 2008 the property's historical occupancy rate has ranged from the low to mid 80%. Per the master servicer, retail sales at the center have been lower than expected; moreover, 14% of the tenants are paying percent rent as a rent concession instead of full rent. Moody's has identified this as a troubled loan. Moody's LTV and stressed DSCR are 239% and 0.63X, respectively, compared to 248% and 0.38X at last full review. The third largest loan is the Chemed Center Leasehold Loan ($59.3 million -- 4.2% of the pool), which is secured by a leasehold interest in a 551,000 square foot office property located in Cincinnati, Ohio's Central Business District (CBD). The ground lease is for 99 years and expires in April 2105. The loan secured by the fee interest in the Chemed Center is also securitized in the pool. As of June 2012, the collateral was 97% leased compared to and 95% in December 2011. The largest tenants are Dinsmore & Shohl LLP (31% of the NRA; lease expiration in December 2018); PNC Bank (16% of the NRA; lease expiration in February 2014) and Chemed Corporation (11% of the NRA; lease expiration in April 2016). The collateral's in-place rents are approximately $26.00 per square foot. Per CBRE Economic Advisors, Class A office rents in Cincinnati's CBD are approximately $17.00 per square foot. The loan matures in May 2016. Moody's LTV and stressed DSCR are 79% and 1.37X, respectively, compared to 76% and 1.43X at last full review. WFRBS 2012-C10: Moody's Rates Class F Certificates '(P)B2' ---------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to twelve classes of CMBS securities, issued by WFRBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-C10. Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-SB, Assigned (P)Aaa (sf) Cl. A-S, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. X-A, Assigned (P)Aaa (sf) Cl. X-B, Assigned (P)A2 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba2 (sf) Cl. F, Assigned (P)B2 (sf) Ratings Rationale The Certificates are collateralized by 85 fixed rate loans secured by 122 properties. The ratings are based on the collateral and the structure of the transaction. Moody's CMBS ratings methodology combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR; and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The Moody's Actual DSCR of 1.74X is greater than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.10X is greater than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 98.3% is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's Total LTV ratio (inclusive of subordinated debt and debt-like preferred equity) of 98.4% is also considered when analyzing various stress scenarios for the rated debt. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level (includes cross collateralized and cross defaulted loans) Herfindahl Index is 29. The transaction's loan level diversity is at the higher end of the band of Herfindahl scores found in most multi-borrower transactions issued since 2009. With respect to property level diversity, the pool's property level Herfindahl Index is 32. The transaction's property diversity profile is higher than the indices calculated in most multi-borrower transactions issued since 2009. This deal has a super-senior Aaa class with 30% credit enhancement. Although the additional enhancement offered to the senior most certificate holders provides additional protection against pool loss, the super-senior structure is credit negative for the certificate that supports the super-senior class. If the support certificate were to take a loss, the loss would have the potential to be quite large on a percentage basis. Thin tranches need more subordination to reduce the probability of default in recognition that their loss-given default is higher. This adjustment helps keep expected loss in balance and consistent across deals. The transaction was structured with additional subordination at class A-S to mitigate the potential increased severity to class A-S. Moody's also grades properties on a scale of 1 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.5, which is higher than the indices calculated in most multi-borrower transactions since 2009. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's analysis employs the excel-based CMBS Conduit Model v2.61 which derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level DSCR and LTV ratios. Major adjustments to determining proceeds include loan structure, property type, sponsorship, and diversity. Moody's analysis also uses the CMBS IO calculator ver_1.1, which references the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The V Score for this transaction is assessed as Low/Medium, the same as the V score assigned to the U.S. Conduit and CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling, and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 16%, and 29%, the model-indicated rating for the currently rated Aaa Super Senior class would be Aaa, Aaa, and Aa1, respectively; for the most junior Aaa rated class A-S would be Aa1, Aa1, and A2, respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. * Fitch Cuts Rating on 6 Security Classes From 9 CRE CDOs --------------------------------------------------------- Fitch Ratings has downgraded six classes and affirmed 102 classes from nine Re-REMICs/commercial real estate collateralized debt obligations (CRE CDOs) with exposure primarily to commercial mortgage backed securities (CMBS). A rating action spreadsheet, titled 'Fitch Takes Various Rating Actions on 9 CRE CDOs', dated Nov. 29, 2012, details the individual rating actions for each rated CDO. It can be found on Fitch's website at 'www.fitchratings.com' by performing a title search or by using the link below. For further information and transaction research, please refer to 'www.fitchratings.com'. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. None of the reviewed transactions have been analyzed within a cash flow model framework, as the impact of structural features and excess spread, or conversely, principal proceeds being used to pay CDO liabilities and hedge payments, was determined to be minimal in the context of these CDO ratings. For the six transactions where the percentage of collateral experiencing full interest shortfalls in the portfolio already significantly exceeds the credit enhancement (CE) level of the most senior class of notes, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring in potential further losses from the remaining portion of the portfolios. Therefore, these transactions were not modeled using the Structured Finance Portfolio Credit Model (SF PCM). For the three transactions where the percentage of interest shortfalls did not significantly exceed the CE level of the senior class of notes, Fitch used SF PCM to project future losses from the transaction's entire portfolio and compared the CE of the classes to those loss rates. The two classes affirmed at 'CCCsf' have CE that is comparable to the 'CCC' rating loss rate (RLR) projected by SF PCM. The classes are the most senior class and have received paydowns since the last rating action. Fitch believes that default remains possible for these classes. The class downgraded to 'CCsf' has CE that is exceeded by the 'CCC' RLR but is above the percentage of collateral experiencing interest shortfalls. Fitch believes that default is probable for this class. The two classes downgraded to 'Csf' and 63 classes affirmed at 'Csf' are notes whose CE levels are significantly below the percentage of collateral experiencing interest shortfalls, full or partial. The CE levels are also significantly below the percentage of the collateral with a Fitch derived rating of 'CC' and below. Due to the extent of distress in these portfolios, Fitch believes default continues to appear inevitable for these classes. Fourteen classes were affirmed at 'Dsf' because they are non- deferrable classes that have and are expected to continue to experience further interest payment shortfalls. Three classes were downgraded and 23 classes affirmed at 'Dsf' because the classes have experienced principal writedowns. Fitch does not assign Rating Outlooks to classes rated in the 'CCC' and lower categories. Six of the nine transactions, ACAS CRE CDO 2007-1, ACT 2005-RR Depositor Corp., Anthracite 2004-HY1, ARCap 2004-RR3, LNR CDO 2006-1 and SASCO 2007-BHC1 Trust are 100% underlying CMBS transactions. The remaining composition is as follows: -- ARCap 2006-RR7, 77.8% structured finance CDOs (SF CDOs), 22.2% CMBS; -- Ansonia CDO 2006-1, 91.7% CMBS, 8.3% real estate investment trust (REIT); -- Newcastle CDO VI, Limited, 39.6% CMBS, 26.1% REIT, 22.5% residential mortgage backed securities (RMBS), 11.8% commercial real estate loans (CREL). * Fitch Downgrades 54 Bonds on 33 CMBS Transactions to 'D' ---------------------------------------------------------- Fitch Ratings has downgraded 54 bonds in 33 U.S. commercial mortgage-backed securities (CMBS) transactions to 'D', as the bonds have incurred a principal write-down. The bonds were all previously rated 'C' which indicates that Fitch expected a default. The action is limited to just the bonds with write-downs. The remaining bonds in these transactions have not been analyzed as part of this review. Fitch has downgraded the bonds to 'D' as part of the ongoing surveillance process and will continue to monitor these transactions for additional defaults. In addition, Fitch has withdrawn 11 'D' ratings in four transactions after the balances have been reduced to zero due to realized losses. A spreadsheet detailing Fitch's rating actions on the affected transactions is available at 'www.fitchratings.com' by performing a title search for: 'Fitch Downgrades 54 Distressed Bonds in 33 U.S. CMBS Transactions'. * Moody's Lowers Ratings on $1-Bil. 2005-2007 Prime Jumbo RMBS -------------------------------------------------------------- Moody's Investors Service has downgraded 56 tranches issued by four issuers. The collateral backing these deals primarily consists of first-lien, fixed-rate Prime Jumbo residential mortgages. The actions impact approximately $1 billion of RMBS issued from 2005 to 2007. Complete rating actions are as follows: Issuer: Banc of America Funding 2006-4 Trust Cl. A-1, Downgraded to Caa2 (sf); previously on Apr 21, 2010 Confirmed at B3 (sf) Cl. A-2, Downgraded to Caa2 (sf); previously on Apr 21, 2010 Confirmed at B3 (sf) Cl. A-3, Downgraded to Caa2 (sf); previously on Apr 21, 2010 Confirmed at B3 (sf) Cl. A-4, Downgraded to Caa2 (sf); previously on Apr 21, 2010 Confirmed at B3 (sf) Cl. A-8, Downgraded to Caa2 (sf); previously on Apr 21, 2010 Downgraded to Caa1 (sf) Cl. A-11, Downgraded to Caa2 (sf); previously on Apr 21, 2010 Downgraded to Caa1 (sf) Cl. 30-IO, Downgraded to Caa2 (sf); previously on Feb 22, 2012 Upgraded to B3 (sf) Issuer: J.P. Morgan Mortage Trust 2006-S2 Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 1-A-3, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Confirmed at B3 (sf) Cl. 1-A-5, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-7, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-8, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-9, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Confirmed at B3 (sf) Cl. 1-A-11, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-12, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-13, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-14, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-15, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-16, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-17, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-22, Downgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-23, Downgraded to C (sf); previously on Jun 24, 2009 Downgraded to Ca (sf) Cl. A-X, Downgraded to Caa1 (sf); previously on Feb 22, 2012 Upgraded to B2 (sf) Cl. 3-A-2, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Confirmed at B3 (sf) Cl. 3-A-4, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 3-A-5, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 3-A-7, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 3-A-8, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 3-A-10, Downgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. 3-A-11, Downgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 3-A-12, Downgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. 3-A-14, Downgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Issuer: RFMSI Series 2005-S9 Trust Cl. A-1, Downgraded to Caa2 (sf); previously on Jul 19, 2011 Confirmed at B2 (sf) Cl. A-2, Downgraded to Caa2 (sf); previously on Jul 19, 2011 Confirmed at B2 (sf) Cl. A-3, Downgraded to Caa1 (sf); previously on Jul 19, 2011 Confirmed at B2 (sf) Cl. A-4, Downgraded to C (sf); previously on Apr 12, 2010 Downgraded to Ca (sf) Cl. A-5, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-6, Downgraded to Caa1 (sf); previously on Jul 19, 2011 Confirmed at B2 (sf) Cl. A-8, Downgraded to Caa1 (sf); previously on Jul 19, 2011 Confirmed at B2 (sf) Cl. A-9, Downgraded to Caa1 (sf); previously on Jul 19, 2011 Confirmed at B3 (sf) Cl. A-P, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-V, Downgraded to Caa1 (sf); previously on Jul 19, 2011 Confirmed at B2 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2007-4 Trust Cl. A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-4, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-5, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Confirmed at B3 (sf) Cl. A-7, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Confirmed at B3 (sf) Cl. A-8, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-9, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Confirmed at B3 (sf) Cl. A-10, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-11, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-12, Downgraded to C (sf); previously on Apr 23, 2009 Downgraded to Ca (sf) Cl. A-13, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-14, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-15, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-16, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. A-PO, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Ratings Rationale The downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for certain bonds than previously anticipated. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. The methodology used in rating Interest- Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) small pool volatility. Loan Modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2013. Small Pool Volatility The above RMBS approach only applies to structures with at least 40 loans and pool factor of greater than 5%. Moody's can withdraw its rating when the pool factor drops below 5% and the number of loans in the deal declines to 40 loans or lower. If, however, a transaction has a specific structural feature, such as a credit enhancement floor, that mitigates the risks of small pool size, Moody's can choose to continue to rate the transaction. For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate calculated above by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication. When assigning the final ratings to bonds, in addition to the approach described above, Moody's considered the volatility of the projected losses and timeline of the expected defaults. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in April 2011 to 7.8% in September 2012. Moody's forecasts a further drop to 7.5% by 2014. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. A list of these actions including CUSIP identifiers may be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF308216 A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF196023 * S&P Puts Ratings on 26 Tranches From 25 Synthetic CDOs on Watch ----------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 26 tranches from 25 corporate-backed synthetic collateralized debt obligation (CDO) transactions on CreditWatch positive. "At the same time, we raised two tranche ratings from two corporate-backed synthetic CDO transactions. The rating actions followed our monthly review of synthetic CDO transactions," S&P said. "The CreditWatch positive placements reflect the seasoning of the transactions, the rating stability of the obligors in the underlying reference portfolios over the past few months, and the synthetic rated overcollateralization (SROC) ratios that had risen above 100% at the next highest rating level. The upgrades are from synthetic CDOs with direct links to credit-linked notes of a separate issuer," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Betsen CDO Ltd. Series 2007-2 Rating Class To From Notes CCC- (sf)/Watch Pos CCC- (sf) Camber Master Trust Series 10 Rating Class To From Series 10 B- (sf) CCC (sf) Camber Master Trust Series 9 Rating Class To From Series 9 B- (sf) CCC (sf) Credit Default Swap US$1.437 bil J.P. Morgan Chase Bank, N.A. - Credit Protection Trust 255 (Soleil) Series J17593 (SOLEIL) Rating Class To From Tranche A+srp (sf)/Watch Pos A+srp (sf) Credit Default Swap US$225 mil Swap Risk Rating - "Paoli" Ref No. 64451 Rating Class To From Tranche BBB+srp (sf)/Watch Pos BBB+srp (sf) Credit Default Swap US$300 mil Morgan Stanley Capital Services Inc. - ESP Funding I Ltd. Series REF: NGNGX Rating Class To From Tranche BBBsrb (sf)/Watch Pos BBBsrb (sf) Credit Linked Notes Ltd. 2006-1 Rating Class To From Notes B- (sf)/Watch Pos B- (sf) Greylock Synthetic CDO 2006 Series 1 Rating Class To From A1A-$LS BBB (sf)/Watch Pos BBB (sf) Greylock Synthetic CDO 2006 Series 4 Rating Class To From A1�LS BBB (sf)/Watch Pos BBB (sf) Infiniti SPC Ltd. US$20 mil Infiniti SPC Limited Acting on Behalf of and for the Account of the Potomac Synthetic CDO 2007-2 Segregated Portfolio, Series 10A-2 Rating Class To From 10A-2 BB+ (sf)/Watch Pos BB+ (sf) Lorally CDO Limited Series 2007-3 Rating Class To From 2007-3 A+ (sf)/Watch Pos A+ (sf) Morgan Stanley ACES SPC Series 2007-6 Rating Class To From IIIA BB- (sf)/Watch Pos BB- (sf) Morgan Stanley ACES SPC US$75 mil Morgan Stanley ACES SPC 2006-35 Rating Class To From I B- (sf)/Watch Pos B- (sf) Morgan Stanley Managed ACES SPC Series 2005-1 Rating Class To From IV A B- (sf)/Watch Pos B- (sf) IV B B- (sf)/Watch Pos B- (sf) Morgan Stanley Managed ACES SPC Series 2006-4 Rating Class To From IIIA BBB- (sf)/Watch Pos BBB- (sf) PARCS Master Trust Series 2007-5 CALVADOS Rating Class To From Trust Unit B- (sf)/Watch Pos B- (sf) PARCS Master Trust US$300 mil PARCS Master Trust Class 2007-10 CDX7 10Y 10-15 (Floating Recovery) Units Rating Class To From Trust Unit BB+ (sf)/Watch Pos BB+ (sf) Repacs Trust Series: Bayshore I Rating Class To From B BB (sf)/Watch Pos BB (sf) STARTS (Cayman) Ltd. Series 2006-3 Rating Class To From B1-D1 B- (sf)/Watch Pos B- (sf) STARTS (Cayman) Ltd. Series 2006-4 Rating Class To From B2-D2 B- (sf)/Watch Pos B- (sf) STARTS (Cayman) Ltd. Series 2006-7 Rating Class To From B1-H1 B- (sf)/Watch Pos B- (sf) STARTS (Cayman) Ltd. Series 2006-6 Rating Class To From B1-A1 B- (sf)/Watch Pos B- (sf) STARTS (Cayman) Ltd. Series 2006-9 Rating Class To From B3-D3 B- (sf)/Watch Pos B- (sf) STARTS (Cayman) Ltd. Series 2007-17 Rating Class To From B1-D1 CCC- (sf)/Watch Pos CCC- (sf) STARTS (Ireland) PLC Series 2006-20 Rating Class To From A1-E1 B+ (sf)/Watch Pos B+ (sf) STARTS (Ireland) PLC Series 2006-21 Rating Class To From B1-E1 B- (sf)/Watch Pos B- (sf) STRATA Trust Series 2006-10 Rating Class To From Notes BB+ (sf)/Watch Pos BB+ (sf) * S&P Takes Various Rating Actions on 1,163 RMBS Classes -------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 156 classes from 74 U.S. residential mortgage-backed securities (RMBS) transactions. "We also raised our ratings on wo classes from two transactions. Additionally, we affirmed our ratings on 1,105 classes from 277 transactions at the 'CCC (sf)' or 'CC (sf)' rating category," S&P said. The complete list of rating actions is available for free at: http://bankrupt.com/misc/S&P_RMBS_RA_11_28_12.pdf The transactions in this review were issued between 1995 and 2008 and are backed by a mix of adjustable- and fixed-rate subprime, "scratch-and-dent", and FHA/VA mortgage loans secured primarily by first liens on one- to four-family residential properties. "We completed our review of the transactions herein using the revised assumptions from our recently revised criteria for surveilling pre-2009 U.S. RMBS ratings," S&P said. The increase in projected losses resulted from one or more of these factors: An increase in S&P's default and loss multiples at higher investment-grade rating levels. A substantial portion of nondelinquent loans (generally between 20% and 50%) now categorized as reperforming (many of these loans have been modified) and having a default frequency of 45% or 50%; Increased roll-rates for 30- and 60-day delinquent loans; Application of a high prepayment/front end stress liquidation scenario; and A continued elevated level of observed severities. "In line with the factors, we increased our remaining loss projections for the majority of the transactions in this review from our previous projections. The increase in the remaining projected losses ranged from 0.33% (from 51.36% to 51.53%) for IXIS Real Estate Capital Trust Series 2006-HE2 to 102.78% (from 10.67% to 21.64%) for RAMP Series 2001-RS1," S&P said. "We lowered our ratings on 156 classes from 74 transactions. Prior to the actions, we already rated all of the lowered ratings in the speculative-grade categories of 'CCC (sf)' or 'CC (sf)'," S&P said. Despite the increase in remaining projected losses, S&P upgraded two classes from two transactions. In general, the upgrades reflect two general trends S&P has seen in these types of transactions: The transactions have failed their cumulative loss triggers, resulting in the permanent sequential payment of principal to its classes, thereby locking out any principal payments to lower-rated subordinate classes, which prevents credit support erosion; and Certain classes have a first priority in interest and principal payments driven by that occurrence. "All of the upgrades affected classes from transactions issued in 2006 and we originally rated them in an investment-grade category. All of the raised ratings have sufficient projected credit support to absorb the projected remaining losses associated with those rating stresses," S&P said. "For certain transactions, we considered specific performance characteristics that, in our view, may add a layer of volatility to our loss assumptions when they are stressed at the rating as suggested by our cash flow models. In these circumstances, we either limited the extent of our upgrades or affirmed our ratings on those classes in order to buffer against this uncertainty and promote ratings stability. In general, the bonds that were affected reflect," S&P said: Historical interest shortfalls; Low priority in principal payments; Significant growth in the delinquency pipeline; High proportion of reperforming loans in the pool; Significant growth in observed loss severities; and Weak hard-dollar credit support. "Lastly, we affirmed our ratings on 1,105 additional classes in the 'CCC (sf)' or 'CC (sf)' rating categories. We believe that the projected credit support for these classes will remain insufficient to cover the revised projected losses to these classes," S&P said. "In accordance with our counterparty criteria, we considered any applicable hedges related to these securities when performing these rating actions," S&P said. "Subordination, overcollateralization (when available), and excess interest generally provide credit support for the reviewed transactions," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com * S&P Takes Various Rating Actions on 19 Classes From 3 CMBS Deals ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on four classes from two U.S. commercial mortgage-backed securities (CMBS) transactions, and removed them from CreditWatch with positive implications. "Concurrently, we lowered our ratings on 13 classes from three U.S. CMBS transactions and removed nine of them from CreditWatch with negative implications. Finally, we affirmed our ratings on two classes from one U.S. CMBS transaction and removed both ratings from CreditWatch with negative implications. The CreditWatch resolutions are related to CreditWatch placements that occurred on Sept. 5, 2012," S&P said. "The upgrades on the principal and interest certificates reflect Standard & Poor's expected available credit enhancement for the affected tranches, which we believe is greater than our most recent estimate of necessary credit enhancement for the most recent rating levels. The upgrades also reflect our views regarding the current and future performance of the collateral supporting the respective transactions. We raised our rating on class A-M from Credit Suisse Commercial Mortgage Trust 2006-C1 to 'AAA (sf)' to reflect the results of our cash flow analysis. Our cash flow analysis indicates that this class should receive its respective full repayment of principal due to time tranching," S&P said. "The downgrades reflect our expected available credit enhancement for the affected tranches, which we believe is less than our most recent estimate of necessary credit enhancement for the most recent rating levels. The downgrades also reflect our views regarding the current and future performance of the collateral supporting the respective transactions," S&P said. "The affirmations primarily reflect our expected available credit enhancement for the affected tranches, which we believe will remain consistent with the most recent estimate of necessary credit enhancement for the current rating levels. The affirmed ratings also acknowledge our expectations regarding the current and future performance of the collateral supporting the respective Transactions," S&P said. "The rating actions follow a detailed review of the performance of the collateral supporting the relevant securities and transaction structures. This review was similar to the review we conducted before placing 744 U.S. and Canadian CMBS ratings on CreditWatch following the release of our updated ratings criteria for these transactions, but was more detailed with respect to collateral and transaction performance. For more information on the analytic process we used for those CreditWatch placements," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS AND CREDITWATCH ACTIONS Credit Suisse Commercial Mortgage Trust Series 2006-C1 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-M AAA (sf) AA- (sf)/Watch Pos 23.72 F BB (sf) BB (sf)/Watch Neg 7.58 G BB- (sf) BB- (sf)/Watch Neg 6.32 H B (sf) B+ (sf)/Watch Neg 4.89 J CCC(sf) B+ (sf)/Watch Neg 3.63 Credit Suisse Commercial Mortgage Trust Series 2006-C3 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-3 AA (sf) A (sf)/Watch Pos 29.79 A-1-A AA (sf) A (sf)/Watch Pos 29.79 A-M BBB (sf) BBB- (sf)/Watch Pos 18.72 C CCC (sf) B- (sf) 7.38 D CCC- (sf) B- (sf) 5.58 E CCC- (sf) CCC+ (sf) 4.48 F CCC- (sf) CCC (sf) 3.09 Morgan Stanley Capital I Trust 2006-HQ9 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-J BBB+ (sf) A (sf)/Watch Neg 11.01 B BBB (sf) A- (sf)/Watch Neg 10.16 C BBB- (sf) BBB+ (sf)/Watch Neg 8.60 D BB+ (sf) BBB (sf)/Watch Neg 7.33 E BB (sf) BBB- (sf)/Watch Neg 6.34 F B+ (sf) BB+ (sf)/Watch Neg 5.20 G B (sf) B+ (sf)/Watch Neg 4.07 ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland, USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Carmel Paderog, Meriam Fernandez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2012. 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 $775 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 Christopher Beard at 240/629-3300. *** End of Transmission ***