/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/130217.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, February 17, 2013, Vol. 17, No. 47 Headlines ALESCO PREFERRED: S&P Lowers Rating on Class B Notes to 'D' ALPINE SECURITIZATION: DBRS Rates $24.63-Mil. Facility 'B(sf)' BABSON 2007-II: Moody's Keeps 'Ba2' Rating on Class E Notes BANC OF AMERICA 2006-5: S&P Cuts Rating on 3 Note Classes to 'D' BEAR STEARNS 2004-PWR6: S&P Lowers Rating on Class N Notes to 'D' BUSINESS LOAN 2004-A: S&P Lowers Rating on Class C Notes to 'B+' CARLYLE GLOBAL: S&P Assigns 'BB' Rating to Class D Notes CENT CLO: S&P Assigns Preliminary BB Rating to Class D Notes COMM 2000-C1: S&P Raises Rating on Class G Notes to 'B(sf)' COMM 2003-LNB1: Moody's Affirms 'C' Rating on 3 Cert. Classes COMMERCIAL MORTGAGE 1998-C1: Moody's Keeps Ratings on 3 Certs COMMODORE CDO I: Fitch Affirms 'C' Ratings on Two Note Classes CREDIT SUISSE 2001-CP4: S&P Lowers Ratin on Class E Notes to 'D' CSAM FUNDING IV: Moody's Affirms 'Ba1' Rating on 2 Note Classes FRASER SULLIVAN I: Moody's Affirms Ba3 Ratings on 2 Note Classes FREMF 2012-K705: Moody's Lowers Rating on X2 Certs to 'Ba3' GE CAPITAL 2007-C1: DBRS Assigns 'BB(sf)' Rating to A-MLF Certs GMAC COMMERCIAL 2002-C3: Moody's Lowers Class X-1 Certs to 'Caa2' GREENWICH CAPITAL: Fitch Affirms 'D' Rating on Class M Certs GS MORTGAGE 2012-GC6: Moody's Affirms 'B2' Rating on Class F Certs GS MORTGAGE 2013-GC10: S&P Assigns 'BB' Rating to Class E Notes INDEPENDENCE I CDO: Fitch Affirms 'D' Rating on Class B Notes INSTITUTIONAL MORTGAGE 2013-3: DBRS Rates Cl. F Securities 'BB' JP MORGAN 2006-FL1: S&P Cuts Rating on Class K Notes to 'D' JP MORGAN 2007-CIBC20: Fitch Lowers Rating on Class N Notes to 'D' KINGSLAND III: S&P Affirms 'BB' Rating on 2 Note Classes LB MULTIFAMILY 1991-4: Moody's Keeps Caa1 Rating on Cl. A-2 Certs LB-UBS 2002-C4: S&P Lowers Rating on Class M Notes to 'D' LB-UBS 2002-C7: S&P Lowers Rating on Class Q Notes to 'D' LONGFELLOW PLACE: S&P Assigns 'BB' Rating to Class E Notes MERRILL LYNCH 2002-CA: DBRS Hikes Rating on K Debt From BB(high) MERRILL LYNCH 2002-MW1: Expected Losses Cue Moody's Downgrades MIDOCEAN CREDIT: S&P Assigns 'BB' Rating on Class D Notes ML-CFC 2006-3: Fitch Cuts Ratings on Five Note Classes MORGAN STANLEY 2006-9: S&P Cuts Rating on Subordinate Notes to 'D' NATIONSLINK FUNDING: Moody's Keeps 'Ba3' Rating on Class X Certs OFSI FUND V: S&P Assigns 'B' Rating to Class B-3L Notes PACIFIC COAST: Moody's Hikes Rating on $450-Mil. Notes to 'B2' PNC MORTGAGE 2000-C2: Moody's Cuts Rating on Cl. X Cert to Caa2 PNC MORTGAGE 2001-C1: S&P Lowers Rating on Class J Notes to 'D' PNC MORTGAGE 2011-C1: Moody's Cuts Rating on Cl. J Certs to 'Caa3' REALT 2006-1: Moody's Affirms Ratings on 18 CMBS Classes RFC CDO I: Fitch Lowers Rating on Class C Notes to 'C' SAGAMORE CLO: Moody's Lifts Rating on $16-Mil. Notes to 'Ba2' SEAWALL 2006-4: Moody's Retains C Rating on 3 Certificate Classes SLM STUDENT 2004-1: Fitch Affirms 'BB' Student Loan Note Rating SLM STUDENT 2004-3: Fitch Affirms 'BB' Student Loan Note Rating SUTTER CBO: S&P Lowers Rating on Class B-2 Notes to 'D(sf)' TRAVIS COUNTY: Moody's Affirms Ratings on 2002A & 2002C Bonds UBS-BARCLAYS 2013-C5: Fitch Assigns 'B' Rating to Class F Notes UNITED ARTISTS: Moody's Keeps 'B3' Rating on Series 1995-A Certs VERITAS CLO I: Moody's Affirms 'B3' Rating on $8MM Class E Notes WFRBS 2013-C11: Fitch Assigns 'B' to Class F Certificates WFRBS 2013-C11: S&P Assigns 'B+' Rating on Class F Notes * Fitch Says U.S. Subprime Auto ABS Could See Poorer Underwriting * Moody's Takes Action on 3 RMBS Deals Backed by Assured Guaranty * S&P Lowers Rating on 4 Tranches from 3 CDO Transactions * S&P Lowers Rating on 16 Classes From 43 US CDO Transactions * S&P Lowers Ratings on 6 Classes From 3 U.S. CMBS Transactions * S&P Lowers Ratings on 43 Classes From 24 US RMBS Transactions * S&P Lowers Ratings on 33 Classes From 7 US RMBS Transactions * S&P Lowers Ratings on 217 Classes From 66 U.S. RMBS Deals * S&P Lowers Rating on 614 Classes From 120 US RMBS Transactions * S&P Cuts Ratings on 95 Classes From 15 US RMBS Transactions * U.S. CMBS Delinquencies Begin Lower in 2013, Fitch Says ********* ALESCO PREFERRED: S&P Lowers Rating on Class B Notes to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating to 'D (sf)' from 'CCC- (sf)' on the class B notes from Alesco Preferred Funding VII Ltd., a trust preferred collateralized debt obligation transaction backed predominantly by bank trust preferred securities. According to the trustee note valuation report dated Dec. 24, 2012, the transaction missed the interest payment on the nondeferrable class B notes. Therefore, S&P lowered its rating on the class B notes to 'D (sf)' according to its criteria. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING LOWERED Alesco Preferred Funding VII Ltd. Rating Class To From B D (sf) CCC- (sf) ALPINE SECURITIZATION: DBRS Rates $24.63-Mil. Facility 'B(sf)' -------------------------------------------------------------- DBRS, Inc. has confirmed the rating of R-1 (high) (sf) for the Commercial Paper ("CP") issued by Alpine Securitization Corp. ("Alpine"), an asset-backed commercial paper ("ABCP") vehicle administered by Credit Suisse, New York branch. In addition, DBRS has confirmed the ratings and revised the tranche sizes of the aggregate liquidity facilities ("the Liquidity") based on the June 30, 2012, reported portfolio provided by Credit Suisse, the administrator of Alpine. The $10,341,739,169 aggregate liquidity facilities as of June 30, 2012, are tranched as follows: - $ 10,039,708,980 rated AAA (sf) - $ 64,757,890 rated AA (sf) - $ 73,859,695 rated A (sf) - $ 54,858,311 rated BBB (sf) - $ 24,627,804 rated BB (sf) - $ 73,626,844 rated B (sf) - $ 10,299,645 unrated (sf) The CP rating reflects the AAA credit quality of Alpine's asset portfolio. The updated credit quality aspect of the CP rating is based on both the portfolio of assets and the available program- wide credit enhancement ("PWCE"). The rationale for the CP rating is based on the updated AAA credit quality assessment as well as DBRS's prior and ongoing review of legal, operational and liquidity risks associated with Alpine's overall risk profile. The ratings assigned to the Liquidity reflect the credit quality of Alpine's asset portfolio based on an analysis that assesses each transaction to a term standard. The tranche sizes are expected to vary each month based on reported changes in portfolio composition. For Alpine, both the CP and the Liquidity ratings use DBRS's simulation methodology, which was developed to analyze diverse ABCP conduit portfolios. This analysis uses the DBRS Diversity Model, with adjustments to reflect the unique structure of an ABCP conduit and its underlying assets. DBRS determines attachment points for risk based on an analysis of the portfolio and models the portfolio based on key inputs such as asset ratings, asset tenors and recovery rates. The attachment points determine the portion of the exposure rated AAA, AA, A through B, as well as unrated. BABSON 2007-II: Moody's Keeps 'Ba2' Rating on Class E Notes ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Babson Mid-Market CLO Ltd. 2007-II: USD23,000,000 Class B Senior Notes Due April 15, 2021, Upgraded to Aaa (sf); previously on October 25, 2011 Upgraded to Aa2 (sf); USD27,000,000 Class C Deferrable Mezzanine Notes Due April 15, 2021, Upgraded to A1 (sf); previously on October 25, 2011 Upgraded to A2 (sf); USD5,000,000 Combination Notes Due April 15, 2021 (current rated balance of $2,192,451), Upgraded to A2 (sf); previously on October 25, 2011 Upgraded to A3 (sf). Moody's also affirmed the ratings of the following notes: USD249,600,000 Class A-1 Senior Notes Due April 15, 2021 (current outstanding balance of $241,436,339), Affirmed Aaa (sf); previously on October 25, 2011 Upgraded to Aaa (sf); USD40,000,000 Class A-2R Senior Revolving Notes Due April 15, 2021 (current outstanding balance of $38,547,810), Affirmed Aaa (sf); previously on May 12, 2011 Upgraded to Aaa (sf); USD4,400,000 Class A-2B Senior Notes Due April 15, 2021, Affirmed Aaa (sf); previously on October 25, 2011 Upgraded to Aaa (sf); USD18,750,000 Class D Deferrable Mezzanine Notes Due April 15, 2021, Affirmed Baa2 (sf); previously on October 25, 2011 Upgraded to Baa2 (sf); USD15,500,000 Class E Deferrable Mezzanine Notes Due April 15, 2021, Affirmed Ba2 (sf); previously on October 25, 2011 Upgraded to Ba2 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in April 2013. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive buffer relative to certain covenant requirements. In particular, the deal is assumed to benefit from a lower WARF level compared to the level assumed at the last rating action in October 2011. Moody's modeled a WARF of 2590 compared to 3311 at the time of the last rating action. Notwithstanding the improvement in the WARF calculation, Moody's notes that the amount of defaulted par has increased from $4.8 million to $8.8 million since the last rating action. 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 $399.5 million, defaulted par of $8.8 million, a weighted average default probability of 18.16% (implying a WARF of 2590), a weighted average recovery rate upon default of 50.21%, and a diversity score of 74. 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. Babson Mid-Market CLO Ltd. 2007-II, issued in April 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. The methodology used in rating the Combination Notes was "Using the Structured Note Methodology to Rate CDO Combo- Notes" published in February 2004. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's 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% (2072) Class A-1: 0 Class A-2R: 0 Class A-2B: 0 Class B: 0 Class C: +2 Class D: +3 Class E: +1 Combination Notes: +2 Moody's Adjusted WARF + 20% (3107) Class A-1: 0 Class A-2R: 0 Class A-2B: 0 Class B: -1 Class C: -2 Class D: -1 Class E: -1 Combination Notes: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Exposure to credit estimates: The deal is exposed to a number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability adjustments Moody's may assume in lieu of updated credit estimates. BANC OF AMERICA 2006-5: S&P Cuts Rating on 3 Note Classes to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on five classes of commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Trust 2006-5, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its 'AAA (sf)' ratings on seven other classes from the same transaction, including the ratings on the interest-only (IO) classes. S&P's rating actions follow its analysis of the transaction primarily using its criteria for rating U.S and Canadian CMBS. S&P's analysis included a review of the credit characteristics of all of the assets in the pool, the transaction structure, and the liquidity available to the trust. The downgrades reflect credit support erosion that S&P anticipates will occur upon the resolution of the 14 assets ($359.1 million, 18.4%) currently with the special servicer (LNR Partners Inc.). Based solely on S&P's valuation of the specially serviced assets, S&P expects the trust to incur losses approximating 7.6% of the original outstanding trust balance upon the resolution or liquidation of these assets. To date, the trust has incurred losses totaling $74.7 million, or 3.3% of the original outstanding trust balance. S&P's rating actions also considered the monthly interest shortfalls that are affecting the trust. S&P lowered its ratings to 'D (sf)' on the class B, C, and D certificates because S&P expects interest shortfalls to continue and it believes the accumulated interest shortfalls will remain outstanding for the foreseeable future. As of the Jan. 10, 2013, trustee remittance report, the trust experienced monthly interest shortfalls totaling $928,406 primarily related to appraisal subordinate entitlement reduction amounts of $843,084 and special servicing fees of $78,687. Total interest shortfalls were offset by yield maintenance penalties of $6,537 in this period. The interest shortfalls affected all classes subordinate to and including class A-J. Classes B through H have experienced cumulative interest shortfalls between three and 33 months. The affirmations of the principal and interest certificates reflect S&P's expectation that the available credit enhancement for these classes will be within S&P's estimate of the necessary credit enhancement required for the current outstanding ratings. The affirmed ratings on these classes also reflect the credit characteristics and performance of the remaining loans, as well as the transaction-level changes. The affirmations of the interest-only (IO) certificates reflect S&P's current criteria for rating IO securities. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Banc of America Commercial Mortgage Trust 2006-5 Rating Credit Class To From enhancement (%) A-M BBB- (sf) BBB+ (sf) 19.15 A-J CCC- (sf) BB- (sf) 9.96 B D (sf) B- (sf) 7.52 C D (sf) CCC (sf) 6.22 D D (sf) CCC- (sf) 4.79 RATINGS AFFIRMED Banc of America Commercial Mortgage Trust 2006-5 Class Rating Credit enhancement (%) A-2 AAA (sf) 30.63 A-3 AAA (sf) 30.63 A-AB AAA (sf) 30.63 A-4 AAA (sf) 30.63 A-1A AAA (sf) 30.63 XP AAA (sf) N/A XC AAA (sf) N/A N/A-Not applicable. BEAR STEARNS 2004-PWR6: S&P Lowers Rating on Class N Notes to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on two classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6, a commercial mortgage-backed securities (CMBS) transaction, due to interest shortfalls. "The downgrades reflect current and potential interest shortfalls. We lowered our rating on class N to 'D (sf)' because of accumulated interest shortfalls that have been outstanding for 14 months. We expect these interest shortfalls to remain outstanding for the foreseeable future. We lowered our rating on class M to 'CCC- (sf)' to reflect reduced liquidity support resulting from the interest shortfalls that are affecting the trust. The interest shortfalls resulted primarily from ASER amounts ($38,763) related to the three ($15.0 million, 2.0%) assets that are currently with the special servicer, C-III Asset Management LLC. As of the Jan. 11, 2013, trustee remittance report, appraisal reduction amounts (ARAs) totaling $8.3 million were in effect for the three specially serviced assets. The current reported interest shortfalls totaled $36,491 and have affected all of the classes subordinate to and including class N," S&P said. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6 Commercial mortgage pass-through certificates Reported Rating Credit Interest shortfalls Class To From enhancement(%) Current Accumulated M CCC- (sf) B (sf) 1.70 N D (sf) CCC+ (sf) 1.17 2,164 94,656 BUSINESS LOAN 2004-A: S&P Lowers Rating on Class C Notes to 'B+' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class A, B, and C notes from Business Loan Express Business Loan Backed Notes Series 2005-A. At the same time S&P affirmed its ratings on the class A, B, and C notes from Business Loan Express Business Loan Backed Notes Series 2004-A. The two transactions are ABS transactions collateralized primarily by a pool of small business development loans not insured or guaranteed by any governmental agency. The downgrades of the series 2005-A class A, B, and C notes reflect S&P's opinion of diminished credit enhancement to the notes. The current spread account balance available to the notes is now zero, failing to meet the specified spread account requirement of $6.74 million. The lack of a current spread account balance has had a direct impact on the class B and C notes as they both now have shortfalls on their carry-forward principal amount. Since S&P's rating action in June 2011, the cumulative net loss for the portfolio has increased from $19.8 million to $30.2 million. The affirmations of the series 2004-A class A, B, and C notes reflect S&P's opinion of the sufficient credit support available to the notes at the current rating levels. Since S&P's rating action in June 2011, the spread account balance has increased to $5.54 million, but it still remains short of the current specified account requirement of $7.95 million. The series 2004-A transaction has also benefited from paydowns to the notes, as the class A, B, and C notes have combined to receive over $9.4 million since S&P's June 2011 rating action. Standard & Poor's will continue to review whether, in its view, the rating currently assigned to the notes remains consistent with the credit enhancement available to support them and take rating actions 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Business Loan Express Business Loan Backed Notes Series 2005-A Rating Class To From A BBB+ (sf) A+ (sf) B BB+ (sf) BBB+ (sf) C B+ (sf) BB+ (sf) RATINGS AFFIRMED Business Loan Express Business Loan Backed Notes Series 2004-A Class Rating A AA+ (sf) B A- (sf) C BBB- (sf) CARLYLE GLOBAL: S&P Assigns 'BB' Rating to Class D Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Carlyle Global Market Strategies CLO 2013-1 Ltd./Carlyle Global Market Strategies CLO 2013-1 LLC's $542.4 million floating- and fixed- rate notes. The note issuance is a CLO 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 to the supplemental tests (not counting excess spread) and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy-remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.31%-11.57%. -- The transaction's overcollateralization and interest coverage tests, a failure of which would lead to the diversion of interest and principal proceeds to reduce the 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/1301.pdf RATINGS ASSIGNED Carlyle Global Market Strategies CLO 2013-1 Ltd./Carlyle Global Market Strategies CLO 2013-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 380.0 A-2A AA (sf) 25.0 A-2B AA (sf) 29.0 B (deferrable) A (sf) 49.5 C (deferrable) BBB (sf) 28.3 D (deferrable) BB (sf) 30.6 Subordinated NR 62.5 CENT CLO: S&P Assigns Preliminary BB Rating to Class D Notes ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Cent CLO 17 Ltd./Cent CLO 17 Corp.'s $370.50 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Feb. 12, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.30%-11.36%. -- 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/1295.pdf PRELIMINARY RATINGS ASSIGNED Cent CLO 17 Ltd./Cent CLO 17 Corp. Class Rating Amount (mil. $) A-1 AAA (sf) 262.00 A-2A AA (sf) 22.50 A-2B AA (sf) 20.00 B (deferrable) A (sf) 29.00 C (deferrable) BBB (sf) 19.50 D (deferrable) BB (sf) 17.50 Subordinated notes NR 44.30 NR-Not rated. COMM 2000-C1: S&P Raises Rating on Class G Notes to 'B(sf)' ----------------------------------------------------------- Standard & Poor's Ratings Services raises its rating on the class G commercial mortgage pass-through certificates from COMM 2000-C1 Mortgage Trust, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'B (sf)' from 'CCC+ (sf)'. The upgrade follows S&P's analysis of the transaction using its criteria for rating U.S and Canadian CMBS and also reflects the stability of this class as well as its decreased risk of near-term default and S&P's review of the three remaining loans in the trust, details for which are as follows: The largest loan in the pool is the Saks - Stratford Square loan, a $10.3 million loan (88.9% of the pooled trust balance) secured by a 147,000 sq. ft. Saks Fifth Avenue retail store (lease expires February 2024) in Bloomingdale, Ill. The loan matures in January 2024. The servicer reported that debt service coverage (DSC) and occupancy were 1.00x and 100%, respectively, as of year- end 2011. The second-largest loan is the Murray Square loan, a $718,523 loan (6.2%) secured by 113,768-sq.-ft. retail center in Colorado Springs, Colo. The loan was transferred to the special servicer, CWCapital Asset Management LLC, in May 2010 due to imminent maturity default. The loan was modified, extended, and returned to the master servicer in August 2012. The loan was added to the master servicer's watchlist in October 2012, shortly after its return from special servicing, because the occupancy was still depressed mainly due to the largest tenant, King Soopers (52,601 sq. ft.), vacating at lease expiration in October 2011. According to the borrower, the property was replatted and the building parcel was sold to Walmart for a neighborhood market. The market opened for business in August or September of 2012. The master servicer, Key Bank Real Estate Capital, contacted the borrower requesting market conditions, occupancy, and strategy updates. The modified loan maturity date is in April 2014. The servicer reported DSC at 0.48x as of year-to-date Sept. 30, 2012, while reported occupancy was 66% as of Dec. 18, 2012. The smallest loan in the pool is the Pines & Scholars Apartment Portfolio loan, a $569,197 loan (4.9%) secured by two multifamily properties totaling 198 units in Tahlequah and Stillwater, Okla. The loan matures in June 2015. The servicer reported that DSC and occupancy were 1.52x and 99%, respectively, as of year-end 2011. 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 COMM 2003-LNB1: Moody's Affirms 'C' Rating on 3 Cert. Classes ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 classes of COMM 2003-LNB1, Commercial Mortgage Pass-Through Certificates as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Jul 3, 2003 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jul 3, 2003 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Feb 2, 2007 Upgraded to Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Feb 2, 2007 Upgraded to Aaa (sf) Cl. D, Affirmed Aa3 (sf); previously on Mar 2, 2011 Confirmed at Aa3 (sf) Cl. E, Affirmed Baa1 (sf); previously on Mar 2, 2011 Downgraded to Baa1 (sf) Cl. F, Affirmed Ba1 (sf); previously on Mar 2, 2011 Downgraded to Ba1 (sf) Cl. G, Affirmed B2 (sf); previously on Mar 2, 2011 Downgraded to B2 (sf) Cl. H, Affirmed Caa1 (sf); previously on Mar 2, 2011 Downgraded to Caa1 (sf) Cl. J, Affirmed Ca (sf); previously on Mar 2, 2011 Downgraded to Ca (sf) Cl. K, Affirmed C (sf); previously on Mar 2, 2011 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Oct 7, 2010 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Oct 7, 2010 Downgraded to C (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, 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 expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 5.0% of the current balance. At last review, Moody's cumulative base expected loss was 2.8%. Moody's cumulative base expected loss plus realized loss is now 5.6% of the original pooled balance compared to 4.8% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class X-1. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 13 compared to 19 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 24, 2013. Deal Performance As of the January 10, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 32% to $432.6 million from $635.7 million at securitization. The Certificates are collateralized by 55 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten non-defeased loans representing 56% of the pool. The pool contains one loan with an investment grade credit assessment, representing 15% of the pool. Eleven loans, representing 20% of the pool, have defeased and are secured by U.S. Government securities. Loans representing approximately 87% of the pool mature within the next 6 months. Eighteen loans, representing 28% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $25.9 million (71.6% loss severity on average). Approximately 51% of this deal's aggregate realized loss is attributed to the liquidation of the Hampton Inn and Holiday Inn Loan. This loan realized a loss of over 115% when it was disposed of in May 2011. Currently one loan, representing 0.9% of the pool, is in special servicing. Moody's has estimated approximately a $960,000 loss (26% expected loss) for the specially serviced loan. Moody's has assumed a high default probability for 6 poorly performing loans representing 16% of the pool and has estimated an aggregate $16.9 million loss (24% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 operating results for 95% of the pool's non-specially serviced and non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 78% compared to 84% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.6%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.44X and 1.33X, respectively, compared to 1.35X and 1.23X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the 75 Rockefeller Plaza Loan ($65.0 million -- 15.0% of the pool), which is secured by a 578,000 square foot (SF) office building that is part of the Rockefeller Center complex in New York City. The property is 100% leased to Time Warner Companies Inc. (Moody's Senior Unsecured Rating Baa2, Stable Outlook) under a 21-year triple net lease that is coterminous with the loan's maturity in August 2014. Time Warner has subleased all the space within the building, 99% is currently occupied, and does not plan to renew its lease. As per the lease agreement, the borrower now has the right to negotiate directly with the sub-tenants. Moody's valuation reflects an anticipated increase in the property's new cash flow resulting from re-leasing the building at market rents at the expiration of Time Warner's lease. Moody's credit assessment and stressed DSCR are Aa1 and 2.18X, respectively, compared to Aa1 and 2.22X at last review. The top three conduit loans represent 18% of the pool. The largest conduit loan is the Gateway Center BJ's Loan ($38.2 million -- 8.8% of the pool), which is secured by a 153,000 SF portion of a 640K SF community center located in Brooklyn, New York. The collateral is 100% leased to BJ's Wholesale Club (85% of the gross leasable area (GLA); lease expiration 2027) and several restaurant tenants. The property is shadow anchored by Home Depot, Target, Bed Bath & Beyond and Marshall's. Moody's LTV and stressed DSCR are 73% and 1.37X, respectively, compared to 75% and 1.33X at last review. The second largest conduit loan is The Reserve at Sugarloaf Loan ($23.8 million -- 5.5% of the pool), which is secured by a 333 unit multifamily complex located in Duluth, Georgia. The property was 94% occupied as of September 2012 compared to 96% at YE 2011. Moody's LTV and stressed DSCR are 96% and 0.99X, respectively, compared to 97% and 0.98X at last review. The third largest conduit loan is the IAC JFK Building B Loan ($16.7 million -- 3.9% of the pool), which is secured by a 108,000 SF industrial building located in Jamaica, New York. The property is 100% leased to Kintetsu World Express USA Inc. and UTI United States Inc. through 2016 and 2017, respectively. The properties serve as cargo and warehouse space to the Kennedy Airport corridor. Moody's LTV and stressed DSCR are 76% and 1.32X, respectively, compared to 77% and 1.30X at last review. COMMERCIAL MORTGAGE 1998-C1: Moody's Keeps Ratings on 3 Certs ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of three classes of Commercial Mortgage Acceptance Corp., Commercial Mortgage Pass- Through Certificates, Series 1998-C1 as follows: Cl. L, Affirmed Caa3 (sf); previously on Mar 24, 2011 Upgraded to Caa3 (sf) Cl. M, Affirmed C (sf); previously on May 25, 2006 Downgraded to C (sf) Cl. X, Affirmed Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, 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, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 2.5% of the current balance, the same as at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class X. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 19 compared to 23 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 29, 2012. Deal Performance As of the January 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $61.4 million from $1.2 billion at securitization. The Certificates are collateralized by 37 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top loans representing 56% of the pool. Fifteen loans, representing 37% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eighteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $14.6 million (30% loss severity on average). There are no loans that are currently in special servicing. Moody's was provided with full year 2011 operating results for 89% of the pool's loans. Moody's weighted average LTV is 49% compared to 52% 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 10.1%. Moody's actual and stressed DSCRs are 1.41X and 2.66X, respectively, compared to 1.46X and 2.43X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three loans represent 28% of the pool balance. The largest loan is Shrewsbury Plaza Loan ($9.7 million -- 15.8% of the pool), which is secured by a 225,000 square foot (SF) retail center located in Shrewsbury, New Jersey. The property was 99% leased as of October 2012 compared to 97% at last review. The loan is fully amortizing and matures in March 2023. Moody's LTV and stressed DSCR are 44% and 2.46X, respectively, compared to 48% and 2.27X at last review. The second largest loan is Best Buy Store Loan ($3.8 million -- 6.3% of the pool), which is secured by a 45,500 SF single-tenant retail property located in Madison Heights, Michigan. The property is 100% leased to Best Buy through February 2018. Due to the single tenant exposure, Moody's stressed the value of this property utilizing a lit/dark analysis. Moody's LTV and stressed DSCR are 97% and 1.23X, respectively, compared to 90% and 1.32X at last review. The third largest loan is Pinewood Apartments Loan ($3.7 million - - 6.0% of the pool), which is secured by a 246-unit multifamily complex located in Brunswick, Ohio. The property was 96% leased as of November 2012 compared to 91% at last review. Rental revenue at the property has continued to increase but overall property performance decreased in 2012 due primarily to an increase in the payroll and repair and maintenance expenses. The loan is benefitting from amortization and matures in May 2013. Moody's LTV and stressed DSCR are 74% and 1.39X, respectively, compared to 73% and 1.41X at last review. COMMODORE CDO I: Fitch Affirms 'C' Ratings on Two Note Classes -------------------------------------------------------------- Fitch Ratings has affirmed two classes of notes issued by Commodore CDO I, Ltd./Corp., as follows: -- $33,087,797 class B notes affirmed at 'Csf'; -- $17,550,000 class C notes affirmed at 'Csf'. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. The transaction has not been analyzed within the Structured Finance Portfolio Credit Model and the 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. Instead, to determine appropriate rating levels for the rated notes, Fitch compared their respective credit enhancement (CE) levels to the amount of expected losses (EL) from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). This comparison indicates that default continues to appear inevitable for the class B and the class C, at or prior to maturity. Key Rating Drivers Since Fitch's last rating action in February 2012, the credit quality of the underlying collateral has remained relatively stable; however, the pool has become more concentrated in the lower credit quality assets with only 23 obligors remaining. Over the last 12 months, approximately 11.3% of the underlying collateral has been downgraded a weighted average of 3.0 notches and 6.4% has been upgraded a weighted average of 6.7 notches. Currently, approximately 84.7% of the portfolio has a Fitch derived rating below investment grade and 76.4% has a rating in the 'CCCsf' rating category or lower. This compares to 91.1% and 56.8%, respectively, at the time of the last rating action. However, this additional deterioration has been offset by the ongoing amortization of the capital structure, with $19.3 million of excess interest and principal received from the underlying securities over this period. This resulted in the full repayment of $9.6 million of the remaining balance of the class A notes on the August 28, 2012 payment date and $9.6 million in paydowns to the class B notes. Although, the CE levels available to the class B notes have increased since the last review, due to the ongoing delevering of the capital structure, they remain below the amount of expected losses. As such, Fitch believes an affirmation of the notes at 'Csf' reflects the transaction's performance given the concentration risks of the remaining portfolio. The class C notes continue to defer their interest payments with approximately $3.4 million of deferred interest balance after November 2012 payment date. Since the last rating action, this class has become even more undercollateralized and is not expected to receive any proceeds going forward. Fitch believes that default continues to appear inevitable for the class C notes at CDO's maturity. Therefore, this class has been affirmed at 'Csf'. Commodore I is a cash flow structured finance collateralized debt obligation (SF CDO) that closed on Feb. 26, 2002 and is monitored by Fischer Francis Trees & Watts, Inc. As of the Jan. 2, 2013 Trustee report, the portfolio is comprised of 46.7% commercial asset-backed securities (ABS), 40.0% of residential mortgage- backed securities (RMBS), 10.9% of consumer ABS, and 2.4% of commercial mortgage-backed securities (CMBS), from 1999 through 2005 vintage transactions. CREDIT SUISSE 2001-CP4: S&P Lowers Ratin on Class E Notes to 'D' ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on two classes of commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2001-CP4, a U.S. commercial mortgage-backed securities (CMBS) transaction, and removed them from CreditWatch with negative implications, where S&P placed them on Nov. 21, 2012. S&P's downgrades primarily reflect its analysis of the interest shortfalls to classes D and E, liquidity available to the trust, and its review of the 12 remaining assets ($71.3 million) in the pool, six ($51.9 million, 72.8%) of which are with the special servicer, LNR Partners LLC (LNR). As of the Jan. 17, 2013, trustee remittance report, total interest shortfalls allocated to the trust was $611,749, of which $448,392 were reported as interest shortfalls on all of the outstanding certificate classes, including the A-X interest-only class, and the remainder was reported as a principal loss. The interest shortfalls were primarily due to: -- Interest not advanced by the master servicer, Midland Loan Services (Midland) of $268,750 for four of the specially serviced assets that Midland has declared nonrecoverable; -- Appraisal subordinate entitlement reduction (ASER) amounts of $14,589; -- Special servicing fees of $11,180; and -- Reimbursement of advances to the servicer of $301,760. According to the January 2013 trustee remittance report, $104,547 of outstanding advances related to the Somerset Center & Somerset Place ($13.3 million, 18.7%) specially serviced loan remains outstanding. Midland has informed S&P that it intends to recover the remaining outstanding advances in the February payment period. Standard & Poor's had previously placed its ratings on the class D and E certificates on CreditWatch with negative implications due to ongoing interest shortfalls. S&P's analysis indicates that even after Midland recovers its remaining outstanding advances in February, the trust is likely to continue experiencing a significant amount of interest shortfalls going forward due to the specially serviced assets. Also, Midland has indicated that due to the high amount of advances for the other specially serviced assets, it is not ruling out the possibility of recovering further amounts at a later time if deemed necessary. S&P lowered its rating on class D to 'CCC- (sf)' because the bond experienced interest shortfalls for the past three reporting periods and S&P expects this bond to remain susceptible to future interest shortfalls. S&P lowered its rating on class E to 'D (sf)' because it believes accumulated interest shortfalls for this class will remain outstanding for the foreseeable future. As of the Jan. 17, 2013, remittance report, the transaction collateral comprised 12 commercial real estate assets ($71.3 million), including six ($51.9 million, 72.8%) that are with the special servicer. The reported payment status of the specially serviced assets is as follows: three assets ($25.4 million, 35.6%) are real estate owned (REO); one loan ($13.3 million, 18.7%) is in foreclosure; and two loans ($13.2 million, 18.5%) are nonperforming matured balloon loans. Details for the two largest assets in the pool, both of which are specially serviced, are as follows: The Reservoir Corporate Center asset ($15.4 million trust balance, 21.6%) is the largest asset in the pool and the largest specially serviced asset. The asset has a total reported exposure of $22.2 million. The property comprises 156,776 sq. ft. of office space in Shelton, Conn. The loan was transferred to the special servicer on June 11, 2008, and the property became REO on June 6, 2012. Midland has declared this asset nonrecoverable. The special servicer indicated that it is currently attempting a lease up strategy for six months. S&P expects a significant loss upon the eventual resolution of this asset. The Somerset Center & Somerset Place loan ($13.3 million, 18.7%) is secured by a 166,594-sq.-ft. office property in Raleigh, N.C. The loan, which is reported as a nonperforming matured balloon loan, has a total reported exposure of $17.0 million. The loan was transferred to the special servicer on Dec. 8, 2009, and foreclosure was filed on Sept. 16, 2010, and the borrower filed for bankruptcy on Nov. 8, 2010. Midland has declared this loan nonrecoverable. Midland indicated that it is working with the borrower on a bankruptcy plan. S&P expects a moderate loss upon the resolution of this loan. The remaining four assets with the special servicer individually represent less than 17.9% of the total pool balance. Two of the four assets were deemed nonrecoverable by the master servicer while one of the assets has an ARA of $2.4 million in effect. S&P estimated losses for the four assets and S&P expects moderate to significant losses upon the eventual resolutions of these assets. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED AND REMOVED FROM CREDITWATCH Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2001-CP4 Reported Interest Rating Credit Shortfalls ($) Class To From Enhncmt (%) Current Accum. D CCC- (sf) A+ (sf)/Watch Neg 78.58 84,100 252,301 E D (sf) BBB (sf)/Watch Neg 55.86 94,247 282,7422 CSAM FUNDING IV: Moody's Affirms 'Ba1' Rating on 2 Note Classes --------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by CSAM Funding IV: USD19,000,000 B-1 Due June 9, 2016, Upgraded to Aaa (sf); previously on April 27, 2012 Upgraded to Aa1 (sf); USD14,000,000 B-2 Due June 9, 2016, Upgraded to Aaa (sf); previously on April 27, 2012 Upgraded to Aa1 (sf); USD16,500,000 C-1 Due June 9, 2016, Upgraded to Baa1 (sf); previously on July 14, 2011 Upgraded to Baa2 (sf); USD7,500,000 C-2 Due June 9, 2016, Upgraded to Baa1 (sf); previously on July 14, 2011 Upgraded to Baa2 (sf). Moody's also affirmed the ratings of the following notes: USD319,000,000 A-1 Due June 9, 2016 (current outstanding balance of $54,177,746), Affirmed Aaa (sf); previously on March 29, 2011 Upgraded to Aaa (sf); USD100,000 A-1 V Due June 9, 2016 (current outstanding balance of $16,984), Affirmed Aaa (sf); previously on March 29, 2011 Upgraded to Aaa (sf); USD129,900,000 A-1NV Due June 9, 2016 (current outstanding balance of $22,061,722), Affirmed Aaa (sf); previously on March 29, 2011 Upgraded to Aaa (sf); USD32,500,000 A-2 Due June 9, 2016, Affirmed Aaa (sf); previously on July 14, 2011 Upgraded to Aaa (sf); USD6,750,000 D-1 Due June 9, 2016, Affirmed Ba1 (sf); previously on July 14, 2011 Upgraded to Ba1 (sf); USD4,250,000 D-2 Due June 9, 2016 Affirmed Ba1 (sf); previously on July 14, 2011 Upgraded to Ba1 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in April 2012. Moody's notes that the Class A-1 Notes have been paid down by approximately 48.4% or $71.6 million since the last rating action. Based on the latest trustee report in January 2013, the Class A, Class B, Class C and Class D overcollateralization ratios are reported at 175.3%, 141.8%, 124.5% and 117.9%, respectively, versus April 2012 levels of 147.8%, 128.4%, 117.1% and 112.6%, respectively. Additionally, Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the January 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 51.9% of the underlying portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Notwithstanding the increases in the overcollateralization ratios of the Class D-1 Notes and Class D-2 Notes, Moody's affirmed the ratings of the Class D-1 Notes and Class D-2 Notes due to the market risk posed by the exposure to these long-dated assets. 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 $211.2 million, defaulted par of $7.1 million, a weighted average default probability of 15.7% (implying a WARF of 2803), a weighted average recovery rate upon default of 49.3%, and a diversity score of 40. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of ach 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. CSAM Funding IV, issued in June 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, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF +20% (3363) A1: 0 A1V: 0 A1NV: 0 A2: 0 B1: -1 B2: -1 C1: -2 C2: -2 D1: 0 D2: -1 Moody's Adjusted WARF -20% (2242) A1: 0 A1V: 0 A1NV: 0 A2: 0 B1: 0 B2: 0 C1: +2 C2: +2 D1: +2 D2: +1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. In consideration of the large size of the deal's exposure to long-dated assets, which increase its sensitivity to the liquidation assumptions used in the rating analysis, Moody's ran different scenarios considering a range of liquidation value assumptions. However, actual long-dated asset exposure and prevailing market prices and conditions at the CLO's maturity will drive the extent of the deal's realized losses, if any, from long- dated assets. 4) Post-Reinvestment Period Trading: Subject to certain requirements, the deal is allowed to reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the flexibility to deteriorate some collateral quality metrics to the covenant levels. In particular, the post-reinvestment period reinvesting criteria do not require reinvestments to have a Moody's rating equal to or better than the rating of the security sold or prepaid. Additionally, the post-reinvestment period reinvesting criteria is less restrictive with respect to the weighted average life of the portfolio compared to other CLOs currently in their post-reinvestment period. FRASER SULLIVAN I: Moody's Affirms Ba3 Ratings on 2 Note Classes ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Fraser Sullivan CLO I Ltd.: USD32,000,000 Class B Senior Secured Floating Rate Notes Due March 15, 2020, Upgraded to Aaa (sf); previously on August 19, 2011 Upgraded to Aa1 (sf); USD31,000,000 Class C Senior Secured Deferrable Floating Rate Notes Due March 15, 2020, Upgraded to Aa3 (sf); previously on August 19, 2011 Upgraded to A2 (sf); USD22,800,000 Class D-1 Senior Secured Deferrable Floating Rate Notes Due March 15, 2020, Upgraded to Baa3 (sf); previously on August 19, 2011 Upgraded to Ba1 (sf); USD10,200,000 Class D-2 Senior Secured Deferrable Fixed Rate Notes Due March 15, 2020, Upgraded to Baa3 (sf); previously on August 19, 2011 Upgraded to Ba1 (sf); USD15,000,000 Composite Obligations Due March 15, 2020 (current outstanding balance of $8,154,775), Upgraded to A2 (sf); previously on August 19, 2011 Upgraded to Baa1 (sf). Moody's also affirmed the ratings of the following notes: USD50,000,000 Class A-1 Senior Secured Floating Rate Revolving Notes Due March 15, 2020 (current outstanding balance of $32,944,762), Affirmed Aaa (sf); previously on August 19, 2011 Upgraded to Aaa (sf); USD298,000,000 Class A-2 Senior Secured Floating Rate Term Notes Due March 15, 2020 (current outstanding balance of $196,350,779), Affirmed Aaa (sf); previously on August 19, 2011 Upgraded to Aaa (sf); USD10,200,000 Class E-1 Senior Secured Deferrable Floating Rate Notes Due March 15, 2020, Affirmed Ba3 (sf); previously on August 19, 2011 Upgraded to Ba3 (sf); USD4,800,000 Class E-2 Senior Secured Deferrable Fixed Rate Notes Due March 15, 2020, Affirmed Ba3 (sf); previously on August 19, 2011 Upgraded to Ba3 (sf). Ratings Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in August 2011. Moody's notes that the Class A Notes have been paid down by approximately 34.1% or $118.7 million since the last rating action. Based on the latest trustee report dated from January 2013, the Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 140.6%, 125.7%, 112.9% and 107.9%, respectively, versus July 2011 levels of 127.9%, 118.3%, 109.5% and 105.9%, respectively. Notwithstanding benefits of the deleveraging, Moody's notes that the credit quality of the underlying portfolio has deteriorated since the last rating action. Based on the January 2013 trustee report, the weighted average rating factor is currently 2557 compared to 2480 in July 2011. 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 $360.8 million, defaulted par of $6.5 million, a weighted average default probability of 19.6% (implying a WARF of 2895), a weighted average recovery rate upon default of 48.5%, and a diversity score of 47. 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. Fraser Sullivan CLO I Ltd., issued in March 2006, 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% (3474) A-1: 0 A-2: 0 B: -1 C: -2 D-1: -1 D-2: -1 E-1: -1 E-2: -1 Moody's Adjusted WARF -20% (2316) A-1: 0 A-2: 0 B: 0 C: +2 D-1: +2 D-2: +2 E-1: +1 E-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 (choose the ones that are applicable): 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 bond 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. FREMF 2012-K705: Moody's Lowers Rating on X2 Certs to 'Ba3' ----------------------------------------------------------- Moody's Investors Service downgraded one interest-only class and affirmed the ratings of five classes of FREMF 2012-K705 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-K705 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Feb 8, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Feb 8, 2012 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed A2 (sf); previously on Feb 8, 2012 Definitive Rating Assigned A2 (sf) Cl. C, Affirmed Baa2 (sf); previously on Feb 8, 2012 Definitive Rating Assigned Baa2 (sf) Cl. X1, Affirmed Aaa (sf); previously on Feb 8, 2012 Definitive Rating Assigned Aaa (sf) Cl. X2, Downgraded to Ba3 (sf); previously on Feb 8, 2012 Definitive Rating Assigned Aaa (sf) Ratings Rationale The downgrade of the IO Class, Class X2 is due to the implementation of the methodology for rating structured finance interest-only securities. 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 3.6% of the current balance. 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 the slowdown in growth in the current macroeconomic environment and the commercial real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. The hotel and multifamily sectors are in recovery and improvements in the office sector continue, with fundamentals in Gateway cities outperforming their suburban counterparts. However, office demand is closely tied to employment, where fundamentals remain weak, so significant improvement may be delayed. Performance in the retail sector has been mixed with on-going rent deflation and leasing challenges. Across all property sectors, the availability of debt capital continues to improve with monetary policy expected to remain supportive and interest rate hikes postponed. Moody's central global macroeconomic scenario reflects an overall downward revision of forecasts since last quarter, amidst ongoing fiscal consolidation efforts, household and banking sector deleveraging, persistently high unemployment levels, and weak housing markets that will continue to constrain growth. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Securities Methodology was used for the rating of Classes X1 and X2. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the underlying rating 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. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 38, 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 two sets of quantitative tools -- MOST (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a pre-sale report dated January 18, 2012. Deal Performance As of the January 25, 2013 distribution date, the transaction's aggregate certificate balance has decreased by less than 1% to $1.21 billion from $1.22 billion at securitization. The Certificates are collateralized by 70 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 37% of the pool. Currently, there are no loans on the master servicer's watchlist or in special servicing. Moody's was provided with full year 2011 and partial 2012 operating results for 100% and 81%, respectively, of the pool's loans. Moody's weighted average LTV is 110%, essentially the same as at securitization. Moody's net cash flow reflects a weighted average haircut of 9% to the most recently available full year net operating income. Moody's value reflects a weighted average capitalization rate of 8.7%. Moody's actual and stressed DSCRs are 1.38X and 0.86X, respectively, compared to 1.38X and 0.86X 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 conduit loans represent approximately 18% of the pool. The largest conduit loan is the Enclave Loan ($119.8 million -- 9.8% of the pool), which is secured by a 1,119-unit multi- family property in Silver Spring, Maryland. The collateral consists of three, 19-story apartment buildings and one club house. At securitization, the property was 90% leased. The loan is full term interest-only and the sponsor is Berkshire Property Advisors. Moody's LTV and stressed DSCR are 112% and 0.77X, the same as at securitization. The second largest conduit loan is the Crosswind at Rolling Road Loan ($56.6 million -- 4.6% of the pool), which is secured by a 803-unit multi-family property in Baltimore, Maryland. The collateral consists of 80 two-story and three-story townhouse- style buildings. As of September 2012, the property was 93% leased compared to 89% at securitization. The loan is partial term interest-only and the sponsor is the Harbor Group. Moody's LTV and stressed DSCR are 95% and 1.0X, the same as at securitization. The third largest conduit loan is the University Village Apartments ($40.6 million -- 3.3% of the pool ), which is secured by a 1,008 unit multi-family property located near the Ohio State University campus in Columbus, Ohio. The collateral consists of 54, three-story apartment buildings, a club house and six maintenance buildings. As of September 2012, the property was 99% leased compared to 100% at securitization. Moody's LTV and stressed DSCR are 104% and 0.88X, essentially the same as at securitization. GE CAPITAL 2007-C1: DBRS Assigns 'BB(sf)' Rating to A-MLF Certs --------------------------------------------------------------- DBRS has assigned a rating of BB (sf) to Class A-MFL of GE Capital Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2007-C1. The trend is Stable. The rating was issued at the request of an investor and coincides with the issuance of the rating of BB (sf) by DBRS to the Class A-M on December 31, 2012, as the classes share the same loss profile within the transaction's waterfall. The rating assigned to the certificate by DBRS is based exclusively on the credit provided by the transaction structure and underlying trust assets. This class will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS. GMAC COMMERCIAL 2002-C3: Moody's Lowers Class X-1 Certs to 'Caa2' ----------------------------------------------------------------- Moody's Investors Service affirms the ratings of ten classes and downgrades the rating of one class of GMAC Commercial Mortgage Securities, Inc., Series 2002-C3 Mortgage Pass-Through Certificate as follows: Cl. F, Affirmed Aa3 (sf); previously on Sep 25, 2008 Upgraded to Aa3 (sf) Cl. G, Affirmed Baa3 (sf); previously on Feb 16, 2012 Downgraded to Baa3 (sf) Cl. H, Affirmed Ba1 (sf); previously on Feb 16, 2012 Downgraded to Ba1 (sf) Cl. J, Affirmed B3 (sf); previously on Feb 16, 2012 Downgraded to B3 (sf) Cl. K, Affirmed Caa2 (sf); previously on Feb 16, 2012 Downgraded to Caa2 (sf) Cl. L, Affirmed Caa3 (sf); previously on Feb 16, 2012 Downgraded to Caa3 (sf) Cl. M, Affirmed Ca (sf); previously on Feb 16, 2012 Downgraded to Ca (sf) Cl. N, Affirmed C (sf); previously on Feb 16, 2012 Downgraded to C (sf) Cl. O-1, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. O-2, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. X-1, Downgraded to Caa2 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations of the principal classes are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, 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 downgrade of the IO Class, Class X-1, is due to significant payoffs since last review and is based on the ratings of its remaining referenced classes. Moody's rating action reflects a cumulative base expected loss of 39.7% of the current balance. At last review, Moody's cumulative base expected loss was 4.6%. Moody's base expected loss plus realized loss is 5.4%, compared to 4.7% at last review, of original balance. 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 given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of X-1. On November 22, 2011 Moody's released a Request for Comment, in which the rating agency has requested market feedback on potential changes to its rating methodology for Interest-Only Securities. If the revised methodology is implemented as proposed, the ratings on GMAC Commercial Mortgage Securities, Inc., Series 2002-C3 Mortgage Pass-Through Certificates, Class X-1 may be negatively affected. Refer to Moody's request for Comment, titled "Proposal Changing the Global Rating Methodology for Structured Finance Interest-Only Securities," for further details regarding the implications of the proposed methodology change on Moody's rating. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator 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 8 compared to 37 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 (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 16, 2012. Deal Performance As of the January 10, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 91% to $70.3 million from $777.4 million at securitization. The Certificates are collateralized by 12 mortgage loans ranging in size from less than 1.5% to 16.8% of the pool, with the top ten non-defeased loans representing 95.3% of the pool. One loan, representing 3.2% of the pool, has defeased and is secured by U.S. Government securities. Two loans, representing 29.5% of the pool, are on the master servicer's Watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool, resulting in a realized loss of $14.3 million (42.8% loss severity). Currently six loans, representing 62.2% of the pool, are in special servicing. Moody's estimates an aggregate $25.9 million loss for the specially serviced loans (37% expected loss on average). As of the most recent remittance date, the pool has experienced cumulative interest shortfalls totaling $3.5 million and affecting Classes P through J. 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), extraordinary trust expenses and nonadvancing by the master servicer based on a determination of non-recoverability. The master servicer has made a determination of non-recoverability for the Nashville Business Center Loan ($9.3 million), Cherryland Center Loan ($7.6 million) and the Wakefield Forest Apartments Loan ($3.9 million) and is no longer advancing on these loans. Moody's was provided with partial year 2012 operating results for 67% of the pool and full year 2011 for 75% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 94% compared to 82% 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 9.6%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.26X and 1.25X, respectively, compared to 1.41X and 1.35X 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 31.4% of the pool. The largest loan is the Parkway Manor Apartments Loan ($11.8 million - - 16.8% of the pool), which is secured by a 176 unit garden-style multifamily complex located in Carson City, NV. Moody's LTV and stressed DSCR are 112.1% and 0.89X, respectively, compared to 114.7% and 0.87X at last review. This loan is currently on the Watchlist due to low DSCR and loan maturity. The loan matured on 12/1/2012 and borrower is currently requesting an extension. The second largest loan is the Hyatt Place, formerly known as Holiday Inn Select, ($8.9 million -- 12.7% of the pool), and is secured by a 170 room hotel located in New Orleans, LA. As of December 2012, the property had an occupancy rate, ADR and RevPar of 65.8%, 128.85 and 84.81 respectively, compared to 39.6%, 110.62 and 43.76 in 2011. Moody's LTV and stressed DSCR are 84.4% and 1.47X respectively, compared to 92.7% and 1.34X at last review. This loan was recently returned from the Special Servicer and is currently on the Watchlist due to upcoming loan maturity on 4/1/2013. The borrower has indicated that they are working to secure financing in order to pay off the loan at maturity. The third largest loan is Walgreens Hattiesburg ($1.3 million -- 1.9% of the pool), which is secured by a 15,120 SF Walgreens anchored retail property in Haittesburg, MS. This property has been 100% leased to Walgreens since securitization and has a lease expiration in April 2059. Moody's LTV and stressed DSCR are 67.3% and 1.62X, respectively, compared to 74.1% and 1.47X, at last review. Walgreens is currently rated Baa1. GREENWICH CAPITAL: Fitch Affirms 'D' Rating on Class M Certs ------------------------------------------------------------ Fitch Ratings has affirmed 22 classes of Greenwich Capital Commercial Funding Corporation commercial mortgage pass-through certificates series 2007-GG11 due to stable performance. Key Rating Drivers Fitch modeled losses of 12.6% of the remaining pool; expected losses on the original pool balance total 14.2%, including losses already incurred. The pool has experienced $79.3 million (3% of the original pool balance) in realized losses to date. Fitch has designated 37 loans (42.6%) as Fitch Loans of Concern, which includes 12 specially serviced assets (16.4%). While loss expectations have decreased slightly since Fitch's last review, there remains significant uncertainty about the ultimate resolution of several large loans in special servicing. As of the January 2013 distribution date, the pool's aggregate principal balance has been reduced by 13.4% to $2.33 billion from $2.69 billion at issuance. No loans have defeased since issuance. Interest shortfalls are currently affecting classes E through S. The largest contributor to expected losses is the specially- serviced Bush Terminal loan (10.7% of the pool), which is secured by a portfolio of 16 buildings totaling 6,152,896 sf of industrial/flex/office space located in Brooklyn, NY. At origination the loan was underwritten by the lender on pro-forma basis with the expectation that the re-development of the property and conversion of a portion of the space from industrial to office (690,000 sf) and loft/showroom space (2.5 million sf) would achieve higher rents. Occupancy at the property has been gradually declining to 65% as of April 2012 from 87.2% at issuance, which partly reflects space being kept vacant for conversion. The borrowers received approximately $100 million in equity cash-out at issuance, net of reserves. The loan transferred to the special servicer in January 2011 due to payment default. The loan was subsequently modified in April 2012 and split into an A-Note of $190 million and a B-Note of $110 million. The collateral sustained significant damage from Superstorm Sandy. The basements of all of the buildings had substantial water intrusion, as well as wind damage to some of the properties. The borrower is in the process of filing an insurance claim, but the claim is being delayed due to the large backlog that insurers are experiencing because of the storm. The next largest contributor to expected losses is the specially- serviced Diamond Run Mall loan (1.6%), which is secured by a 383,987 sf regional mall in Rutland, VT. The loan transferred to special servicing in May 2010 for payment default. The property is one of only three malls in Vermont and the only mall in Rutland County, and is anchored by JC Penney, Sears and Kmart. Property performance has deteriorated as a result of higher vacancy and higher expenses relative to issuance. Occupancy dropped to 81% as of August 2012 from 91.5% at YE 2008 and 92.8% at issuance. The servicer-reported DSCR for August 2012 was 0.37 times (x) down from 1.20x at issuance. The third largest contributor to expected losses is the Scottsdale Fashion Square loan. The interest-only loan is secured by a 1.7 million-sf (1.3 million sf of collateral) regional mall located in Scottsdale, AZ. The property was originally built in the 1960s, expanded in 1998, and renovated between 2003 and 2006. Annualized NOI as of third-quarter 2012 was down approximately 13% from issuance due primarily to a 12% decrease in revenues; however, it marked an increase in NOI from previous years (2007 - 2011). Overall occupancy as of third-quarter 2012 was 96.8%, which breaks down to 97.9% for the mall component and 83.1% for the office component. Overall occupancy has been steady since issuance. Fitch affirms these classes and revises the Rating Outlook as indicated: -- $268.7 million class A-M at 'BBBsf'; Outlook to Stable from Negative. Fitch affirms these classes as indicated: --$319.3 million class A-2 at 'AAAsf'; --$37.4 million class A-3 at 'AAAsf'; --$47 million class A-AB at 'AAAsf'; --$995.6 million class A-4 at 'AAAsf'; --$202 million class A-1-A at 'AAAsf'; --$211.6 million class A-J at 'CCCsf'; RE 100%; --$20.2 million class B at 'CCCsf'; RE 45%; --$26.9 million class C at 'CCsf'; RE 0%; --$20.2 million class D at 'CCsf'; RE 0%; --$33.6 million class E at 'CCsf'; RE 0%; --$13.4 million class F at 'Csf'; RE 0%; --$33.6 million class G at 'Csf'; RE 0%; --$23.5 million class H at 'Csf'; RE 0%; --$26.9 million class J at 'Csf'; RE 0%; --$37 million class K at 'Csf'; RE 0%; --$6.7 million class L at 'Csf'; RE 0%; --$4.7 million class M at 'Dsf'; RE 0%; --$0 class N at 'Dsf'; RE 0%; --$0 class O at 'Dsf'; RE 0%; --$0 class P at 'Dsf'; RE 0%; --$0 class Q at 'Dsf'; RE 0%. Fitch does not rate the class S certificates. GS MORTGAGE 2012-GC6: Moody's Affirms 'B2' Rating on Class F Certs ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 11 classes of GS Mortgage Securities Corporation II, Commercial Mortgage Pass- Through Certificates, Series 2012-GC6 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Feb 9, 2012 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Feb 9, 2012 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Feb 9, 2012 Definitive Rating Assigned Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Feb 9, 2012 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Feb 9, 2012 Definitive Rating Assigned Aaa (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, 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-A, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 2.1% of the current balance. 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 the slowdown in growth in the current macroeconomic environment and the commercial real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. The hotel and multifamily sectors are in recovery and improvements in the office sector continue, with fundamentals in Gateway cities outperforming their suburban counterparts. However, office demand is closely tied to employment, where fundamentals remain weak, so significant improvement may be delayed. Performance in the retail sector has been mixed with on-going rent deflation and leasing challenges. Across all property sectors, the availability of debt capital continues to improve with monetary policy expected to remain supportive and interest rate hikes postponed. Moody's central global macroeconomic scenario reflects an overall downward revision of forecasts since last quarter, amidst ongoing fiscal consolidation efforts, household and banking sector deleveraging, persistently high unemployment levels, and weak housing markets that will continue to constrain growth. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class X-A. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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 rating 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. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 26, 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 ongoing surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a pre-sale report dated January 18, 2012. Deal Performance As of the January 11, 2013 distribution date, the transaction's aggregate certificate balance has decreased by approximately 1% to $1.14 billion from $1.15 billion at securitization. The Certificates are collateralized by 80 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans representing 53% of the pool. There is one loan with an investment-grade credit assessment, representing approximately 9% of the pool. Seven loans, representing 8% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. There are currently no loans in special servicing. Moody's was provided with full year 2011 and partial 2012 operating results for 100% and 75%, respectively, of the pool's loans. Moody's weighted average LTV is 93%, essentially the same as at securitization. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available full year net operating income. Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed DSCRs are 1.46X and 1.13X, essentially the same as 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 one loan with an investment-grade credit assessment is the ELS Portfolio Loan ($100.0 million -- 8.7% of the pool), which is secured by 12 cross-collateralized/cross-defaulted loans for manufactured housing communities and recreational vehicle (RV) parks. Located across six states, the portfolio consists of 5,225 pads. As of September 2012, the weighted average occupancy was 93% compared to 99% at securitization, excluding the RV parks. The loan is partial term interest-only. The sponsor is MHC Operating Ltd. Partnership. Moody's credit assessment and hurdle DSCR are Baa3 and 1.43X, the same as at securitization. The top three conduit loans represent approximately 18% of the pool. The largest conduit loan is the Meadowood Mall Loan ($123.3 million -- 10.8% of the pool), which is secured by 404,865 square feet (SF) of mall space that is part of a larger 878,000 SF, single-story, enclosed regional mall in Reno, Nevada. Mall anchors include J.C. Penney, Sears and two Macy's and Macy's Men's and Home store. As of September 2012, the collateral was 88% leased compared to 86% at securitization, excluding Sports Authority, which vacated in December 2011. The tenant is obligated to continue paying rent through 2015. Moody's did not account for this tenant's rent in the cash flow analysis. The sponsors are the Mills Ltd. Partnership, Simon Property Group and GM Pension Trusts. Moody's LTV and stressed DSCR are 96% and 1.05X, essentially the same as at securitization. The second largest conduit loan is the SunTrust International Center Loan ($61.9 million -- 5.4% of the pool), which is secured by a 420,000 SF, 31-story office building in downtown Miami, Florida. As of September 2012, the property was approximately 83% leased, the same as at securitization. The largest tenant is Akerman, Senterfitt and Edison (28% of the net rentable area (NRA); lease expiration in 10/2018). The loan is partial term interest-only. The sponsor is Crocker Partners. Moody's LTV and stressed DSCR are 113% and 0.93X, the same as at securitization. The third largest conduit loan is the LHG Hotel Portfolio ($58.9 million -- 5.2% of the pool ), which is secured by a portfolio of 12 limited service hotels, comprised of 852 rooms across six states. The hotel flags are Fairfield Inn, Fairfield Inn & Suites, Courtyard by Marriot and Country Inn & Suites. As of September 2012, the weighted average occupancy rate and revenue per available room (RevPAR) were 75.9% and $77.02. For the trailing 12-month period ending in September 2011, the occupancy rate and RevPAR were 76.8% and $72.07. Moody's LTV and stressed DSCR are 91% and 1.36X, essentially the same as at securitization. GS MORTGAGE 2013-GC10: S&P Assigns 'BB' Rating to Class E Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to GS Mortgage Securities Trust 2013-GC10's $859.4 million commercial mortgage pass-through certificates series 2013-GC10. The note issuance is a commercial mortgage-backed securities transaction backed by 61 commercial mortgage loans with an aggregate principal balance of $859.4 million, secured by the fee or leasehold interest in 93 properties across 27 states. The ratings reflect the credit support provided by the transaction structure, S&P's view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and S&P's overall qualitative assessment of the transaction. Standard & Poor's determined that the collateral pool has, on a weighted average basis, debt service coverage of 1.59x and beginning and ending loan-to-value ratios of 84.0% and 70.0%, respectively, based on Standard & Poor's values. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1249.pdf RATINGS ASSIGNED GS Mortgage Securities Trust 2013-GC10 Class Rating Amount ($) A-1 AAA (sf) 53,438,000 A-2 AAA (sf) 35,275,000 A-3 AAA (sf) 21,000,000 A-4 AAA (sf) 110,000,000 A-5 AAA (sf) 300,475,000 A-AB AAA (sf) 81,379,000 X-A AAA (sf) 656,352,000(ii) A-S AAA (sf) 54,785,000 X-B(i) A- (sf) 103,126,000(ii) B(i) AA- (sf) 63,380,000 C(i) A- (sf) 39,746,000 D(i) BBB- (sf) 34,376,000 E(i) BB (sf) 22,558,000 F(i) B+ (sf) 16,114,000 G(i) NR 26,855,941 R(i) NR N/A (i) Non-offered certificates. (ii) Notional balance. NR - Not rated. N/A - Not applicable. INDEPENDENCE I CDO: Fitch Affirms 'D' Rating on Class B Notes ------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed one class of notes issued by Independence I CDO, Ltd./Inc. as follows: -- $14,711,059 class A notes upgraded to 'Asf' from 'BBBsf', Outlook Stable; -- $50,000,000 class B notes affirmed at 'Dsf'. 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 into its analysis, as described below, to conclude the rating affirmations for the rated notes. Since the last rating action in February 2012, the credit quality of the collateral has deteriorated with approximately 25.6% of the portfolio downgraded a weighted average of 4.8 notches. 83.7% of the portfolio has a Fitch derived rating below investment grade and 30.8% is considered to be defaulted by the trustee, compared to 77.2% and 20.9%, respectively, at last review. Key Rating Drivers: The upgrade to the class A notes is due to the significant amortization offsetting the deterioration of the underlying collateral. Interest and principal collections have been diverted to redeem the class A notes due to the acceleration following an event of default. Since the last review, the notes have received approximately $20.5 million, or 58.2% of its previous balance, in principal repayment. The amount of interest collections diverted to pay down the notes has increased after the expiration of the transaction's interest rate swap in March 2012. Fitch maintains a Stable Outlook on the class to reflect the available cushion in the cash flow modeling results to mitigate potential further negative migration in the portfolio. Due to the acceleration, the class B notes have not been receiving their interest on each quarterly distribution date. The class B notes are non-deferrable and are affirmed at 'Dsf'. Independence I is a cash flow structured finance collateralized debt obligation (SF CDO) that closed on Dec. 18, 2000. The portfolio is monitored by Declaration Management & Research LLC and is composed of residential mortgage-backed securities (29.8%), commercial asset-backed securities (25.2%), commercial mortgage- backed securities (24.5%), SF CDOs (15.7%) and corporate CDOs (4.9%) from 1996 through 2003 vintage transactions. INSTITUTIONAL MORTGAGE 2013-3: DBRS Rates Cl. F Securities 'BB' --------------------------------------------------------------- DBRS has assigned final ratings to the following classes of Institutional Mortgage Securities Canada Inc., Series 2013-3. -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) -- Class X at AAA (sf) The collateral for the transaction consists of 38 fixed-rate loans secured by 43 properties. The 38 loans in the transaction have terms of approximately five to ten years and are subject to remaining amortization schedules ranging from 16 to 30 years. In addition, 90.7% of the pool (by dollar balance) has partial or full recourse to the respective sponsor. A cash flow underwriting review of 35 of the 38 loans in the transaction was completed by DBRS, resulting in a DBRS weighted- average term debt service coverage ratio (DSCR) and debt yield of 1.36x and 9.1%, respectively. JP MORGAN 2006-FL1: S&P Cuts Rating on Class K Notes to 'D' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four classes of commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s Series 2006-FL1, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, Standard & Poor's removed these ratings from CreditWatch with negative implications, where they were placed on Dec. 18, 2012. In addition, Standard & Poor's withdrew its 'AAA (sf)' rating on the Class X-2 certificates from the same transaction. The downgrades of Classes G, H, and J follow S&P's analysis of the transaction, which included its revaluation of the remaining floating-rate loan, the transaction structure, liquidity available to the trust, and losses that S&P anticipates will occur upon the eventual resolution of the sole remaining loan in the trust. S&P also considered its expectation--based on its discussions with the special servicer, C-III Asset Management LLC (C-III)--of additional interest shortfalls on the classes due to an appraisal reduction amount (ARA) that S&P anticipates to be effected on the sole remaining collateral in the trust as early as in the March 2013 reporting cycle. S&P lowered its rating on Class K to 'D (sf)' due to accumulated interest shortfalls that it believes will remain outstanding in the near term. Class K has accumulated interest shortfalls outstanding for four months. S&P withdrew its 'AAA (sf)' rating on the Class X-2 interest-only (IO) certificates because the ratings on the rated principal and interest paying classes are now below 'AA- (sf)' in accordance with S&P's IO criteria. "We placed our ratings on Classes G, H, J, and K on CreditWatch negative on Dec. 18, 2012, because we expected additional interest shortfalls on these classes due to an ARA that we anticipate to be effected on the sole remaining specially serviced collateral, the Independence Mall loan, in the trust as soon as the next reporting cycle. According to the special servicer, C-III, two updated appraisal values were recently finalized and accepted. C-III informed us that it is currently working on the ARA calculation based on the recent appraisal values. We believe that there likely will be a significant decline in the value of the property, in view of the continued decline in occupancy and expected decrease in net cash flow," S&P said. As of the Jan. 15, 2013, trustee remittance report, the trust consisted of one remaining floating-rate amortizing loan indexed to one-month LIBOR--the Independence Mall loan. The one-month LIBOR rate was 0.209% according to the January 2013 trustee remittance report. The Independence Mall loan has a trust and whole-loan balance of $70.9 million and a reported total trust exposure of $71.8 million. The loan was transferred to the special servicer on Aug. 27, 2012, due to imminent payment default. The loan matured on Feb. 9, 2013. The payment status of the loan is currently reported as 90-plus days delinquent. C-III indicated that it is currently waiting on the borrower's proposal for a discounted payoff as well as note sale option. The loan is secured by 679,705 sq. ft. of an 830,158-sq.-ft. regional mall in Kingston, Mass. The master servicer, Wells Fargo Bank N.A., reported a 0.96x debt service coverage for the three months ended March 31, 2012, and occupancy for the collateral dropped to 61.4%, according to the Sept. 30, 2012, rent roll, following H&M Group's vacancy (34,000 sq. ft.) in 2012. This compares with 67.5% occupancy as of the Dec. 31, 2011, rent roll. Anchor tenants in the collateral include Target Corp. (126,000 sq. ft.), Sears Holding Corp. (79,441 sq. ft.), and Regal Cinema (58,115 sq. ft.), according to the September 2012 rent roll. The loan amortizes on a 20-year schedule. S&P based its analysis, in part, on a review of the borrower's operating statements for the year-end 2012, 2011, and 2010 and the Sept. 30, 2012, rent rolls. The property reported declining revenue due to decreased occupancy over the past four years, which the special servicer primarily attributed to the borrower's inability to retain or attract new tenants. S&P's adjusted valuation, using an 8.0% capitalization rate, yielded an in-trust stressed loan-to-value ratio that was significantly above 100%. S&P expects a significant loss upon the eventual resolution of this loan. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates Series 2006-FL1 Rating Class To From G BB+ (sf) AA- (sf)/Watch Neg H B- (sf) A-(sf)/Watch Neg J CCC- (sf) BB (sf)/Watch Neg K D (sf) CCC (sf)/Watch Neg RATING WITHDRAWN JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates Series 2006-FL1 Rating Class To From X-2 NR AAA (sf) NR-Not rated. JP MORGAN 2007-CIBC20: Fitch Lowers Rating on Class N Notes to 'D' ------------------------------------------------------------------ Fitch Ratings has downgraded 13 classes, removed two from Rating Watch Negative, and affirmed seven classes of J.P. Morgan Chase Commercial Mortgage Securities Trust, (JPMCC) commercial mortgage pass-through certificates series 2007-CIBC20 due to increased loss expectations associated with the specially serviced assets and on performing loans with declines in performance indicative of a higher probability of default. Rating Sensitivities Fitch modeled losses of 13.1% of the remaining pool; expected losses on the original pool balance total 13.5%, including $45.8 million or 1.8% of the original pool balance in realized losses to date. This is an increase from the previous modeled 11.6% of original pool balance, and is primarily attributed to declining valuations on the specially serviced assets. Fitch has designated 52 loans (32.9%) as Fitch Loans of Concern, which includes 15 specially serviced assets (15.8%). As of the January 2013 distribution date, the pool's aggregate principal balance has been reduced by 10.7% to $2.27 billion from $2.54 billion at issuance. No loans have defeased since issuance. Interest shortfalls are currently affecting classes L through NR. The largest contributor to expected losses is the North Hills Mall loan (6.2% of the pool), which is secured by a 576,431 square foot (sf) regional lifestyle center located in Raleigh, NC within the Raleigh-Durham-Chapel Hill MSA, referred to as 'The Research Triangle'. The property is anchored by J.C. Penney, Regal Entertainment, REI, and Target (not part of the collateral). There is also a 101,354 sf office component. The 200 room Renaissance Hotel is not part of the collateral. The property has struggled with low cash flow and declining debt service since issuance. Although as of June 2012, the debt-service coverage ratio (DSCR) has shown improvement to 1.17x from 1.06x at year-end (YE) 2011 and 1.20x at issuance. The property is 98.3% occupied as of October 2012. There is approximately 10% of the net rentable scheduled to roll in 2014. Per REIS, as of the third quarter (3Q) 2012, the Raleigh retail market had a vacancy rate of 9.5% with asking rents at $18.57. The average in-line base rents at the property are slightly above market. The next largest contributor to expected losses is the specially- serviced STF Portfolio (1.9%), originally secured at issuance by a portfolio of 19 properties totaling 1.2 million sf located in McAllen, TX, El Paso, TX and Santa Theresa, NM. The loan transferred to special servicing in August 2010 for payment default. In July 2012, the special servicer foreclosed on 17 properties, the remaining two NM properties are expected to be foreclosed in February 2013. The special servicer is in discussions with 9 existing tenants for a renewal of approximately 96,891 sf and three new leases have been signed. There are eight properties currently remaining in the portfolio. The third largest contributor to expected losses is the specially- serviced Baldwin Park Retail asset (1.8%), which is secured by an 182,464 sf retail property located in Orlando, FL. The property is anchored by a Publix, CVS, and other small retail units. The asset transferred into special servicing in June 2010 for payment default. Foreclosure occurred in November 2012. As of December 2012, the property was 73.6% occupied with a DSCR of 0.34x. Per REIS as of the fourth quarter (4Q) 2012, the Orlando retail market had a vacancy rate of 13.7%. The Northeast submarket had vacancy rates of 11.5% and 12.3% for anchored and non-anchored retail. Fitch downgrades and removes from Rating Watch Negative these two classes: --$219.3 million class A-M to 'Asf' from 'AAAsf'; Outlook Stable; --$35 million class A-MFX to 'Asf' from 'AAAsf'; Outlook Stable. In addition Fitch downgrades and assigns Rating Outlooks or Recovery Estimates (REs) to these classes as indicated: -- $152.6 million class A-J to 'Bsf' from 'BBB-sf'; Outlook Negative; -- $31.8 million class B to 'CCCsf' from 'BBsf'; RE 100%; -- $25.4 million class C to 'CCCsf' from 'Bsf'; RE 100%; -- $28.6 million class D to 'CCsf' from 'CCCsf'; RE 10%; -- $22.3 million class E to 'CCsf' from 'CCCsf'; RE 0%; -- $22.3 million class F to 'CCsf' from 'CCCsf'; RE 0%; -- $25.4 million class G to 'CCsf' from 'CCCsf'; RE 0%; -- $35 million class H to 'Csf' from 'CCsf'; RE 0%; -- $31.8 million class J to 'Csf' from 'CCsf'; RE 0%; -- $28.6 million class K to 'Csf' from 'CCsf'; RE 0%. -- $1.6 million class N to 'D' from 'Csf'; RE 0%. Fitch affirms these classes: -- $14 million class A-2 at 'AAAsf'; Outlook Stable; -- $208.6 million class A-3 at 'AAAsf'; Outlook Stable; -- $991.7 million class A-4 at 'AAAsf'; Outlook Stable; -- $73.1 million class A-SB at 'AAAsf'; Outlook Stable; -- $281.6 million class A-1A at 'AAAsf'; Outlook Stable; -- $31.8 million class L at 'Csf'; RE 0%; -- $9.5 million class M at 'Csf'; RE 0%; The class A-1 certificates have paid in full. Fitch does not rate the class P, Q, T and NR certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. KINGSLAND III: S&P Affirms 'BB' Rating on 2 Note Classes -------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-3 and B notes from Kingsland III Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Kingsland Capital Management LLC. At the same time, S&P affirmed its ratings on the class A-1, A-2, C-1, C-2, D-1, and D-2 notes. The upgrades mainly reflect an improvement in the overcollateralization (O/C) available to support the notes since the time of S&P's last actions in March 2011, when it last upgraded most of the notes. The trustee reported the following O/C ratios in the January 2013 monthly report: -- The class A O/C ratio was 128.52%, compared with a reported ratio of 126.02% in February 2011; -- The class B O/C ratio was 117.85%, compared with a reported ratio of 115.55% in February 2011; -- The class C O/C ratio was 110.63%, compared with a reported ratio of 108.47% in February 2011; and -- The class D O/C ratio was 108.51%, compared with a reported ratio of 106.39% in February 2011. S&P affirmed its ratings on the class A-1, A-2, C-1, C-2, D-1, and D-2 notes to reflect the availability of credit support at the current rating levels. Kingsland III Ltd is in its reinvestment period until August 2013. After that time, S&P expects the paydown of the senior notes to begin. All of the rated notes are currently at 100% of their original issuance amount. 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 Kingsland III Ltd. Rating Class To From A-1 AAA (sf) AAA (sf) A-2 AA+ (sf) AA+ (sf) A-3 AA (sf) AA- (sf) B A (sf) BBB+ (sf) C-1 BB+ (sf) BB+ (sf) C-2 BB+ (sf) BB+ (sf) D-1 BB (sf) BB (sf) D-2 BB (sf) BB (sf) TRANSACTION INFORMATION Issuer: Kingsland III Ltd. Coissuer: Kingsland III Corp. Collateral manager: Kingsland Capital Management LLC Underwriter: JPMorgan Chase Bank N.A. Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO LB MULTIFAMILY 1991-4: Moody's Keeps Caa1 Rating on Cl. A-2 Certs ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of two classes of LB Multifamily Mortgage Trust, Series 1991-4 as follows: Cl. A-1 Senior Secured Pass-Through Apr 25, 2021, Affirmed at Caa1 (sf); previously on Sept 11, 2008 Affirmed at Caa1 (sf) Cl. A-2 Senior Secured Pass-Through Apr 25, 2021, Affirmed at B1 (sf); previously on Sept 11, 2008 Upgraded to B1 (sf) Ratings Rationale The Class A-1 affirmation is due to the current rating being consistent with the losses the class has experienced. The Class A- 2 affirmation is due to sufficient credit support provided by the reserve fund. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent approximately 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transaction. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The methodology used in this rating was "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. Other Factors used in this rating are described in "CMBS: Moody's Approach to Small Loan Transactions" published in December 2004. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. There was no model used in the review of this transaction. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 16, 2012. Deal Performance As of the January 25, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $306,682 from $105.8 million at securitization. The Certificates are collateralized by one mortgage loan, which is secured by a multi- family property located in Huntington Beach, California. The loan is fully amortizing and matures in 2019. It has amortized by 68% since securitization. The loan is current. The pool has experienced aggregate realized losses totaling $33.5 million, which have eliminated non-rated Classes B, C and D and resulted in a $9.2 million loss for Class A-1. Class A-2 has not experienced any losses to date. Realized losses allocated to the Class A-2 certificates are offset by a reserve fund held by the Trustee. It is anticipated that there are sufficient funds available in the reserve fund to offset any potential losses to Class A-2. However, due to exposure to only one remaining small balance loan Moody's is concerned about the possibility of interest shortfalls. LB-UBS 2002-C4: S&P Lowers Rating on Class M Notes to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class H commercial mortgage pass-through certificates from LB-UBS Commercial Mortgage Trust 2002-C4, a U.S. commercial mortgage- backed securities (CMBS) transaction. In addition, S&P lowered its rating on class M and affirmed its ratings on three other classes from the same transaction. S&P's rating actions follow its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. The upgrade of the class H certificates reflects S&P's expected available credit enhancement for the class, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the most recent rating level, as well as S&P's reviews regarding the current and future performance of the collateral supporting the transaction. S&P lowered its rating on the class M certificates to 'D (sf)' because it expects the accumulated interest shortfalls to remain outstanding for the foreseeable future. As of the Jan. 17, 2013, trustee remittance report, the trust experienced net monthly interest shortfalls totaling $44,836, primarily related to appraisal subordinate entitlement reduction (ASER) amounts of $47,238 and special servicing fees of $4,421, offset by a one-time ASER recovery of $6,823. The net interest shortfalls affected all classes subordinate to and including class M. The class M certificates have accumulated interest shortfalls outstanding for six consecutive months. The affirmations of S&P's ratings on the principal and interest certificates reflects its expectation that the available credit enhancement for these classes will be within S&P's estimate of the necessary credit enhancement required for the current outstanding ratings. S&P affirmed its ratings on these classes to also reflect the credit characteristics and performance of the remaining assets, as well as the transaction-level changes. S&P tempered its rating actions on classes H, J, K, and L because it also considered that six ($21.2 million, 30.8%) of the remaining 12 assets ($68.7 million) are with the special servicer, which could lead to additional interest shortfalls and decreased liquidity support available to the trust. Using servicer-provided financial information, S&P calculated a Standard & Poor's adjusted debt service coverage (DSC) of 1.30x and a Standard & Poor's loan-to-value (LTV) ratio of 27.7% for five of the 12 remaining assets in the pool. The DSC and LTV calculations exclude the six assets ($21.2 million, 30.8%) that are with the special servicer (details below) and one nonreporting loan ($1.1 million, 1.5%). As of the Jan. 17, 2013, trustee remittance report, the collateral pool had an aggregate trust balance of $68.7 million, down from $1.5 billion at issuance. The pool comprises 10 loans and two real estate owned (REO) assets, down from 114 loans at issuance. To date, the transaction has experienced losses totaling $31.7 million or 2.2% of the transaction's original certificate balance. Six ($21.2 million, 30.8%) of the remaining 12 assets are with the special servicer, which S&P discusses below. There were no assets reported on the master servicer's watchlist. Excluding the six specially serviced assets and one nonreporting loan, no loans had a reported DSC of below 1.00x. Details on the largest asset in the pool are as follows: The 1166 Avenue of the Americas loan ($39.0 million, 56.7%), the largest asset in the pool, is one of two loans secured by a commercial office condominium unit, which consists of floors seven to 21 (excluding floor 13) totaling 560,925 sq. ft. of a 44-story, 1.56 million-sq.-ft. class A office building in midtown Manhattan. The other fixed-rate amortizing mortgage loan totaling $147.4 million is in the 1166 Avenue of the Americas Commercial Mortgage Trust 2002-C5 (1166 AofA) transaction. The trust balance is pari passu with a $72.4 million portion of the 1166 AofA loan. The remaining $75.0 million of the 1166 AofA loan is subordinate to the pari passu components. According to the transaction's documents, prior to an event of default, principal payments are applied first to fully amortize the trust balance. The master servicer, Wells Fargo Bank N.A., reported a DSC of 1.39x on the whole-loan balance for the nine months ended Sept. 30, 2012. SPECIALLY SERVICED ASSETS As of the Jan. 17, 2013, trustee remittance report, six assets ($21.2 million, 30.8%) are with the special servicer, LNR Partners LLC (LNR). As of the January 2013 trustee remittance report, the reported payment status of the specially serviced assets is as follows: two are REO ($7.6 million, 11.0%) and four are nonperforming matured balloon loans ($13.6 million, 19.8%). Appraisal reduction amounts (ARAs) totaling $6.1 million are in effect for five of the six assets. Details on the six assets are below: The University Cabana asset, a 496-unit, multifamily apartment complex in Memphis, Tenn., is the second-largest asset in the pool and the largest asset with the special servicer. The asset has a trust balance of $6.1 million (8.8%) and a reported total exposure of $7.4 million. The loan was transferred to the special servicer on April 25, 2011, and the property became REO on March 9, 2012. LNR reported that the property was 47.0% occupied as of September 2012. LNR stated that it plans to list the property for sale by the end of the first quarter of 2013. An ARA of $2.3 million is in effect for this asset. S&P expects a moderate loss upon the eventual resolution of this asset. The One St. Louis Centre loan, the third-largest asset in the pool, is secured by a 104,659-sq.-ft. office property in Mobile, Ala. The loan has a trust balance of $6.0 million (8.7%) and a reported total exposure of $6.3 million. The loan was transferred to LNR on Sept. 11, 2012, due to the borrower's inability to pay off the loan by its Aug. 11, 2012, maturity date. LNR stated that it is evaluating various liquidation strategies, including foreclosure. An ARA of $1.5 million is in effect for this loan. S&P expects a minimal loss upon the eventual resolution of this loan. The Waterbury Multifamily Portfolio loan, the fifth-largest asset in the pool, is secured by nine multifamily apartment complexes totaling 163 units in Waterbury, Conn. The loan has a trust balance of $2.8 million (4.1%) and a reported total exposure of $4.5 million. The loan was transferred to the special servicer on March 18, 2010, because it was 60-plus-days delinquent. LNR informed S&P that a receiver is in place and it is proceeding with foreclosure. S&P expects a minimal loss upon the eventual resolution of this loan. The Money World Retail Plaza loan, the sixth-largest asset in the pool, is secured by a 12,937-sq.-ft. retail property in Las Vegas. The loan has a trust balance of $2.6 million (3.7%) and a reported total exposure of $2.7 million. The loan was transferred to LNR on Jan. 19, 2012, because it was 60-plus-days delinquent. LNR indicated that updated property performance data is not available and it is currently pursuing foreclosure. An ARA of $897,978 is in effect for this loan. S&P expects a moderate loss upon the eventual resolution of this loan. The Parvenu Plaza loan, the eighth-largest asset in the pool, is secured by a 28,092-sq.-ft. retail property in Orem, Utah. The loan has a trust balance of $2.2 million (3.3%) and a reported total exposure of $2.5 million. The loan was transferred to LNR on May 2, 2012, because it was 60-plus-days delinquent. LNR stated that it is currently pursuing foreclosure. An ARA of $897,967 is in effect for this loan. S&P expects a moderate loss upon the eventual resolution of the loan. The Clarcona Crossing asset, consisting of three retail buildings totaling 42,251 sq. ft. in Orlando, Fla., is the ninth-largest asset in the pool and the smallest asset with LNR. The asset has a trust balance of $1.5 million (2.2%) and a reported total exposure of $1.7 million. The loan was transferred to LNR on Aug. 5, 2011, due to imminent default and the property became REO on Oct. 1, 2012. LNR stated that it plans to list the property for sale after leasing up the property. An ARA of $511,638 is in effect for this asset. S&P expects a moderate loss upon the eventual resolution of the asset. As it relates to the above asset resolutions, minimal loss is considered to be less than 25%, moderate loss is between 26% and 59%, and significant loss is 60% or greater. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING RAISED LB-UBS Commercial Mortgage Trust 2002-C4 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) H AA+ (sf) A (sf) 88.97 RATING LOWERED LB-UBS Commercial Mortgage Trust 2002-C4 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) M D (sf) CCC- (sf) 12.16 RATINGS AFFIRMED LB-UBS Commercial Mortgage Trust 2002-C4 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) J BBB+ (sf) 70.43 K BBB- (sf) 51.89 L CCC (sf) 22.75 LB-UBS 2002-C7: S&P Lowers Rating on Class Q Notes to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services raised its rating to 'A+ (sf)' on the class L commercial mortgage pass-through certificates from LB-UBS Commercial Mortgage Trust 2002-C7, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P also lowered its ratings on the class P and Q certificates. In addition, S&P affirmed its ratings on two other classes from the same transaction. S&P's rating actions follow its analysis of the transaction primarily using its criteria for rating U.S and Canadian CMBS. S&P's analysis included a review of the credit characteristics of all of the assets in the pool, the transaction structure, and the trust's available liquidity. The upgrade reflects Standard & Poor's expected available credit enhancement for the affected tranche, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the rating level. The upgrade also reflects S&P's views regarding the current and future performance of the transaction's collateral. "We lowered our rating to 'D (sf)' on class Q to reflect 12 months of outstanding accumulated interest shortfalls. We expect these accumulated interest shortfalls to remain outstanding for the foreseeable future. We lowered our rating on class P to 'CCC- (sf)' to reflect three months of outstanding accumulated interest shortfalls as well as reduced liquidity resulting from the interest shortfalls that are affecting the trust. The interest shortfalls resulted primarily from appraisal subordination entitlement reduction (ASER) amounts ($25,803) related to four ($12.2 million, 30.8%) of the six assets ($16.8 million, 42.6%) that are currently with the special servicer, LNR Partners LLC (LNR), and special servicing fees ($3,522). As of the Jan. 17, 2013, remittance report, appraisal reduction amounts (ARAs) totaling $3.6 million were in effect for four assets, generating ASER amounts totaling $25,803. The current reported interest shortfalls totaled $29,637 and have affected all of the classes subordinate to and including class P," S&P said. As of the Jan. 17, 2013, trustee remittance report, the collateral pool consisted of one real estate-owned (REO) asset and 12 loans with an aggregate principal balance of $39.5 million, down from 101 loans with an aggregate balance of $1.19 billion at issuance. One loan, the Matthews Crossing Shopping Center ($6.6 million, 16.7%), is defeased. Based on the most recent data from the master servicer (Wells Fargo Bank N.A.), using Standard & Poor's adjusted net cash flow (NCF) and cap rates, S&P has calculated a weighted average debt service coverage(DSC) for those remaining loans (which are not in special servicing and are not defeased) of 1.10x and a weighted average loan-to-value (LTV) of 52.2%. As of the Jan. 17, 2013, trustee remittance report, six assets ($16.8 million, 42.6%) in the pool were in special servicing. The reported payment status of the specially serviced assets is as follows: one is REO ($8.4 million, 21.2%); four are in foreclosure ($6.9 million, 17.4%); and, one is a nonperforming matured balloon loan ($1.6 million, 4.0%). There were two loans ($4.9 million, 12.3%) on the servicer's watchlist. Subsequent to the January reporting period, one of the two watchlist loans, the Hawthorn Place Townhomes loan ($1.7 million, 4.3%), was transferred to special servicing. On Feb. 4, 2013, the Doral Distribution loan ($3.1 million, 7.9%), which was in special servicing, paid off in full. ARAs totaling $3.6 million were in effect against four of the six specially serviced assets. The University Plaza REO asset ($8.4 million, 21.2%) is the largest specially serviced asset and the largest asset in the pool. The property (a 96,475-sq.-ft. retail shopping center in Houston, Texas) became REO on June 7, 2011. According to LNR, the property is now 70% leased, and the management company is seeking an anchor for the remaining space. An ARA of $2.3 million is in effect for this asset. A moderate loss is expected upon disposition of this asset. S&P defines a moderate loss as ranging between 26% and 60%. The remaining five specially serviced assets have individual balances that represent less than 8.0% of the total pool balance. ARAs totaling $1.3 million were in effect against three of the five remaining specially serviced assets. Based solely on S&P's valuation of the specially serviced assets, it expects the trust to incur losses approximating 0.4% of the original outstanding trust balance upon the resolution or liquidation of these assets. To date, the trust has incurred losses totaling $11.1 million, or 0.9% of the original outstanding trust balance. While adjusted credit enhancement levels were sufficient to support upgrades of classes M and N, S&P's rating actions were tempered by the reduced liquidity available to these classes due to interest shortfalls. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING RAISED LB-UBS Commercial Mortgage Trust 2002-C7 Commercial mortgage pass-through certificates Rating Credit Class To From enhancement (%) L A+ (sf) BBB+ (sf) 91.83 RATINGS LOWERED LB-UBS Commercial Mortgage Trust 2002-C7 Commercial mortgage pass-through certificates Rating Credit Class To From enhancement (%) P CCC- (sf) CCC+ (sf) 35.54 Q D (sf) CCC- (sf) 24.28 RATINGS AFFIRMED LB-UBS Commercial Mortgage Trust 2002-C7 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) M BB (sf) 73.07 N B+ (sf) 58.06 LONGFELLOW PLACE: S&P Assigns 'BB' Rating to Class E Notes ---------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Longfellow Place CLO Ltd./Longfellow Place CLO LLC's $463.0 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 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 the 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 S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.3523%-13.8391%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying uncapped administrative expenses, incentive management fees, and subordinated note payments into 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/1288.pdf RATINGS ASSIGNED Longfellow Place CLO Ltd./Longfellow Place CLO LLC Class Rating Amount (mil. $) A AAA (sf) 325.00 B AA (sf) 52.00 C (deferrable) A (sf) 41.00 D (deferrable) BBB (sf) 23.00 E (deferrable) BB (sf) 22.00 F (deferrable) NR 15.50 Subordinated notes NR 36.50 NR-Not rated. MERRILL LYNCH 2002-CA: DBRS Hikes Rating on K Debt From BB(high) ---------------------------------------------------------------- DBRS has upgraded four classes of Merrill Lynch Financial Assets Inc., Series 2002-Canada 8 as follows: -- Class G to AAA (sf) from AA (sf) -- Class H to AA (sf) from A (high) (sf) -- Class J to A (sf) from BBB (high) (sf) -- Class K to BBB (low) (sf) from BB (high) (sf) In addition, DBRS has confirmed five classes as follows: -- Class D at AAA (sf) -- Class E at AAA (sf) -- Class F at AAA (sf) --Class X-1 at AAA (sf) -- Class X-2 at AAA (sf) DBRS does not rate the $8.2 million first loss piece, Class L. All trends are Stable The rating upgrades reflect the strong performance the pool continues to exhibit, with 45 loans having been successfully repaid since issuance out of the original loan count of 70. Since the last DBRS rating action of the transaction in June 2012, 24 loans have repaid in full. As of the February 2013 remittance report, approximately 91.7% of the collateral has been reduced, with 42.7% of collateral reduction having occurred since June 2012. Additionally, two loans, representing 4.1% of the pool balance, are defeased. There are no loans in special servicing and four loans on the servicer's watchlist, representing approximately 19.4% of the current pool balance. All four loans remain current and are being monitored for a low debt service coverage ratio (DSCR). As part of its review, DBRS analyzed the top 15 loans and the loans on the servicer's watchlist, which comprise approximately 82.0% of the current pool balance. DBRS has applied a net cash flow (NCF) stress scenario across all the loans in the pool and the resulting DBRS required credit enhancement levels, when compared with the current credit enhancement levels to the bonds, warrant the rating upgrades. MERRILL LYNCH 2002-MW1: Expected Losses Cue Moody's Downgrades -------------------------------------------------------------- Moody's Investors Service downgraded the ratings of six classes and affirmed the ratings of two classes of Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2002- MW1 as follows: Cl. G, Affirmed A2 (sf); previously on Feb 23, 2012 Upgraded to A2 (sf) Cl. H, Downgraded to Baa3 (sf); previously on Feb 23, 2012 Upgraded to Baa1 (sf) Cl. J, Downgraded to B3 (sf); previously on Apr 3, 2006 Confirmed at Ba2 (sf) Cl. K, Downgraded to Caa3 (sf); previously on May 21, 2009 Downgraded to B3 (sf) Cl. L, Downgraded to C (sf); previously on May 21, 2009 Downgraded to Caa2 (sf) Cl. M, Downgraded to C (sf); previously on May 21, 2009 Downgraded to Ca (sf) Cl. N, Affirmed C (sf); previously on Feb 23, 2012 Downgraded to C (sf) Cl. XC, Downgraded to Caa2 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The downgrades are due to an increase in expected losses from specially serviced and troubled loans. The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, 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 XC, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 42.1% of the current balance. At last review, Moody's cumulative base expected loss was 5.1%. Moody's cumulative base expected loss plus realized loss is now 4.4% of the original pooled balance compared to 3.5% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for 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 given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class XC. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 4 compared to 11 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. Since over half of the pool is in special servicing, Moody's also utilized a loss and recovery approach in rating this deal. In this approach, Moody's determines a probability of default for each specially serviced loan and determines a most probable loss given default based on a review of recent third-party appraisals and/or broker's opinions of value (if available), other information from the special servicer and available market data. The loss given default for each loan also takes into consideration servicer advances to date and estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST(Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated February 23, 2012. Deal Performance As of the January 14, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $73.8 million from $1.1 billion at securitization. The Certificates are collateralized by 7 mortgage loans ranging in size from 3% to 42% of the pool. One loan, representing 3% of the pool, has defeased and is secured by U.S. Government securities. Two loans, representing 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool, resulting in a realized loss of $17.1 million (22% loss severity overall). Currently four loans, representing 81% of the pool, are in special servicing. The largest specially-serviced loan is Seven Mile Crossing Loan ($31.3 million -- 42% of the pool) which is secured by three class B office buildings with 346,265 SF located in Livonia, Michigan. Since 2008, the property has been less than 70% leased and has not generated enough cash flow to cover debt service. As of August 2012, the property was 64% leased as compared to 67% at last review. The foreclosure was completed in November 2012 however there is a six month redemption period therefore title of the property will not transfer until May 2013. The second-largest specially-serviced loan is the Lake Meridian Marketplace Loan ($15.6 million -- 21% of the pool), which is secured by a retail center located in Kent, Washington. As of September 2012, the property was 59% leased as compared to 66% at last review. The property was transferred to special servicing in July 2012 due to maturity default. The largest tenant at the property is 24 Hour Fitness which occupies 45,000 square feet. The largest tenant's lease expires in July 2023. The third-largest specially-serviced loan is the Lakes at College Pointe Phase I Loan ($7.8 million -- 11% share of the pool), which is secured by a 148 unit multifamily property located in Fort Myers, Florida. The loan was transferred to special servicing in May 2011 due to payment default. As of July 2012, the property was 79% leased as compared to 76% at last review. The remaining specially serviced loan is the Foxfire/Cloister Apartments Loan which is secured by a 226 unit multifamily property located in High Point, North Carolina. Moody's estimated an aggregate $30.8 million loss for the specially serviced loans (52% expected loss on average). Moody's was provided with full year 2011 and partial year 2012 operating results for 100% of the pool. The conduit is comprised of two loans totaling $11.9 million (16% of the pool). The largest loan is the 4400 Matthew Drive Loan ($6.7 million -- 9% of the pool), which is secured by a 407,500 square-foot industrial property located in Flint, Michigan. The property is fully leased to Android Industries. Moody's performed a "Lit/Dark" analysis in valuing this property. The loan is on the watchlist due to missing the ARD date of August 1, 2007. Moody's LTV and stressed DSCR are 79% and 1.31X, respectively, compared 30% and 3.41X at last review. The second largest loan is the King Center Square Loan ($5.2 million -- 7% of the pool), which is secured by a 94,428 square- foot grocery anchored retail property located in Mount Vernon, Illinois. As of September 2012, the property was 84% leased compared to 87% at last review. The loan is on the watchlist due to missing the ARD date of January 1, 2012. Moody's LTV and stressed DSCR are 91% and 1.10X, respectively, compared 90% and 1.12X at last review. MIDOCEAN CREDIT: S&P Assigns 'BB' Rating on Class D Notes --------------------------------------------------------- Standard & Poor's Ratings Services made public its ratings on five classes of notes issued by MidOcean Credit CLO I/MidOcean Credit CLO I LLC, a collateralized loan obligation (CLO) transaction that comprises primarily broadly syndicated senior-secured corporate loans. S&P made its ratings public at the issuer's request. S&P's ratings reflect its assessment 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 the 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 intended to be bankruptcy remote. -- The diversified collateral portfolio, which comprises primarily broadly syndicated speculative-grade senior- secured term loans. -- The collateral manager's and designated successor collateral manager's experienced management teams. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.3050% to 13.8391%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which will lead to the reclassification of up to 75% of the excess interest proceeds that are available prior to paying uncapped administrative expenses, incentive management fees, and subordinated note payments into principal proceeds for the purchase of additional collateral assets during the reinvestment period. The MidOcean Credit CLO I/MidOcean Credit CLO I LLC transaction's characteristics include the following: -- Closing date: Jan. 24, 2013. -- Effective date: April 24, 2013. -- Reinvestment period end date: Jan. 15, 2016. -- Noncall period end date: Jan. 15, 2015. -- Stated maturity date: Jan. 15, 2024. -- Total preliminary rated amount: $370.75 million. -- Total note balance (including the subordinated notes): $425.27 million. -- Note proceeds (including unrated and subordinated notes) net of fees: $400.00 million. -- Collateral: A revolving pool consisting primarily of broadly syndicated senior-secured loans. -- Structure type: A cash flow CLO consisting of broadly syndicated loans. -- Structure purpose: Arbitrage. -- Management: An actively managed portfolio. -- Note payment frequency: Quarterly, commencing July 15, 2013. -- Issuer: MidOcean Credit CLO I (incorporated in the Cayman Islands). -- Co-issuer: MidOcean Credit CLO I LLC (incorporated in Delaware). -- Initial purchaser and placement agent: Citigroup Global Markets Inc. -- Trustee, collateral administrator, registrar, authenticating agent, securities intermediary, custodian, calculation agent and paying agent: Wells Fargo Bank N.A. 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/1290.pdf RATINGS MADE PUBLIC MidOcean Credit CLO I/MidOcean Credit CLO I LLC Class Rating Amount (mil. $) A-1 AAA (sf) 252.00 A-2 AA (sf) 49.70 B (deferrable) A (sf) 32.50 C (deferrable) BBB (sf) 20.55 D (deferrable) BB (sf) 16.00 ML-CFC 2006-3: Fitch Cuts Ratings on Five Note Classes ------------------------------------------------------ Fitch Ratings has downgraded five classes and affirmed 15 classes of ML-CFC Commercial Mortgage Trust, series 2006-3, commercial mortgage pass-through certificates. Key Rating Drivers The downgrades reflect an increase in Fitch-modeled losses across the pool due to further deterioration of loan performance, most of which involves higher losses on the specially serviced loans resulting from updated valuations, as well as continued underperformance for several loans in the top 15, many of which are in secondary or tertiary markets. Fitch modeled losses of 8.9% of the remaining pool; expected losses on the original pool balance total 10.8%, including losses already incurred. The pool has experienced $71.1 million (2.9% of the original pool balance) in realized losses to date. Fitch has designated 67 loans (39.1%) as Fitch Loans of Concern, which includes 15 specially serviced assets (7.6%). The negative Rating Outlook on Class AJ is due to the relatively thin size of the tranches subordinate to it. As of the January 2013 distribution date, the pool's aggregate principal balance has been reduced by 10.8% to $2.16 billion from $2.43 billion at issuance. Per the servicer reporting, one loan (0.4% of the pool) has defeased since issuance. Interest shortfalls are currently affecting classes F through Q. The largest contributor to expected losses is the Atrium Hotel Portfolio loan (11.3% of the pool), the largest loan in the pool. The loan is secured by a portfolio of six full-service hotels located in six metropolitan areas across six different states. The properties are well located in their respective markets with close proximate to downtown areas, airports, universities, and convention centers. Five of the six hotels are flagged by Hilton Hotels as Embassy Suites. The year-end (YE) December 2012 net operating income (NOI) reported an 8% improvement over YE December 2011, primarily attributed to increased revenues at five out of the six hotels. Due to loan amortization which began in October 2011, the YE 2012 NOI debt service coverage ratio (DSCR) reported lower at 1.13 times (x), compared to the interest-only DSCR's of 1.21x and 1.24x for YE 2011 and YE 2010, respectively. The portfolios combined occupancy reported at 74% for trailing 12 month (TTM) December 2012. The second largest contributor to Fitch-modeled losses is secured by a 156,846sf retail center located in Gibert, AZ (1.1%). The movie theater anchored (28% of net rentable area (NRA)) property had experienced cash flow issues from occupancy declines due to a slow leasing market as well as newer competition in the subject area. The loan transferred to special servicing in February 2011 due to payment default. The receiver, which was appointed in November 2011, has been successful in negotiating leases with new and existing tenants. The servicer reports property occupancy at 82% as of December 2012. The third largest contributor to Fitch-modeled losses is secured by a 142-unit multifamily property located in Tucson, AZ (0.9%). The servicer reported current occupancy at 92%. The loan transferred to the special servicer in December 2008 due to payment default. The Borrower subsequently filed for Chapter 11 Bankruptcy in September 2009. In October 2010 the Bankruptcy Court had ruled for the lender to modify the loan at specific terms, which included a significant principal reduction. The special servicer had appealed the ruling, which was denied by the US District Court of AZ in July 2011. The servicer has re-appealed the decision to the US Court of Appeals. According to the servicer, briefings have been filed and are pending assignment to judge. Fitch downgrades these classes and assigns or revises Rating Outlooks and Recovery Estimates (REs) as indicated: -- $191 million class AJ to 'BBsf' from 'BBB-sf'; Outlook to Negative from Stable; -- $48.5 million class B to 'CCCsf' from 'Bsf'; RE 75%; -- $18.2 million class C to 'CCCsf' from 'B-sf'; RE 0%; -- $48.5 million class D to 'CCsf' from 'CCCsf'; RE 0%; -- $21.2 million class E to 'Csf' from 'CCsf'; RE 0%. Fitch affirms these classes as indicated: -- $116.1 million class A-2 at 'AAAsf'; Outlook Stable; -- $34 million class A-3 at 'AAAsf'; Outlook Stable; -- $83.8 million class A-SB at 'AAAsf'; Outlook Stable; -- $971.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $301.5 million class A-1A at 'AAAsf'; Outlook Stable; -- $242.5 million class AM at 'AAAsf'; Outlook Stable; -- $36.4 million class F at 'Csf'; RE 0%. -- $24.3 million class G at 'Csf'; RE 0%; -- $21.2 million class H at 'Csf'; RE 0%; -- $4.8 million class J at 'Dsf'; RE 0%; -- Class K at 'Dsf'; RE 0%; -- Class L at 'Dsf'; RE 0%; -- Class M at 'Dsf'; RE 0%; -- Class N at 'Dsf'; RE 0%; -- Class P at 'Dsf'; RE 0%. The balances for classes K through P have been reduced to zero due to realized losses. The class A-1 certificate has paid in full. Fitch does not rate the class Q certificate. Fitch previously withdrew the ratings on the interest-only class XP and XC certificates. MORGAN STANLEY 2006-9: S&P Cuts Rating on Subordinate Notes to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the subordinate junior super senior notes issued by Morgan Stanley Managed ACES SPC's series 2006-9, a synthetic corporate investment-grade collateralized debt obligation transaction. The lowered ratings follow a number of write-downs of underlying reference entities, which have caused the notes to breach their attachment point. 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 LOWERED Morgan Stanley Managed ACES SPC Series 2006-9 Rating Class To From SbJrSuprSr D (sf) CCC- (sf) NATIONSLINK FUNDING: Moody's Keeps 'Ba3' Rating on Class X Certs ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of four classes of NationsLink Funding Corporation, Commercial Loan Pass-Through Certificates, Series 1999-LTL-1 as follows: Cl. A-3 Certificate, Affirmed Aaa (sf); previously on Mar 11, 1999 Assigned Aaa (sf) Cl. B Certificate, Affirmed Aaa (sf); previously on Jan 18, 2007 Upgraded to Aaa (sf) Cl. C Certificate, Affirmed at A1 (sf); previously on Jan 18, 2007 Upgraded to A1 (sf) Cl. X Certificate, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale The affirmations for the three principal and interest bonds are due to key parameters, including Moody's loan to value ratio, Moody's stressed DSCR and the Herfindahl Index, 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, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a cumulative base expected loss of 8.3% of the current pooled balance compared to 9.1% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class X. In rating this transaction, Moody's also used its credit-tenant lease (CTL) financing methodology approach (CTL approach). Under Moody's CTL approach, the rating of the CTL component is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock-box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined to determine a recovery rate upon a loan's default. Moody's also considers the overall structure and legal integrity of the transaction. For deals that include a pool of credit tenant loans, Moody's currently uses a Gaussian copula model, incorporated in its public CDO rating model CDOROMv2.8-8 to generate a portfolio loss distribution to assess the ratings. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 26, compared to 29 at Moody's prior review. Moody's review also employed the large loan/single borrower methodology. This methodology uses the excel based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 9, 2012. Deal Performance As of the January 22, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 71% to $141 million from $492 million at securitization. The Certificates are collateralized by 85 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 47% of the pool. One loan, representing 2% of the pool, has been defeased and is collateralized with U.S. Government Securities. One loan, representing 12% of the pool, has an investment grade credit assessment. Nine loans, representing 8% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $1.2 million (22% average loss severity). No loans are currently in special servicing. The CTL component consists of 74 loans ($110 million -- 77.6%) secured by properties leased to 21 tenants under bondable leases. The largest exposures are Rite Aid Corporation (senior unsecured Caa2, on review for possible upgrade; 21.7% of the CTL component) and Home Depot Inc. (senior unsecured rating A3, positive outlook; 17.0% of the CTL component). Credits representing approximately 92% of the CTL exposure are publicly rated by Moody's. The bottom-dollar weighted average rating factor (WARF) for the CTL component is 2,348 compared to 2,302 at last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of the default probability within the pool. The conduit component consists of nine fixed rate mortgage loans representing 8% of the deal. Moody's was provided with full year 2011 and partial or full year 2012 operating results for 100% and 76% of the conduit, respectively. Moody's weighted average LTV is 48% compared to 57% 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 10.4%. Moody's actual and stressed DSCRs are 1.70X and 3.73X, respectively, compared to 1.33X and 2.41X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit assessment is the Broadway at the Beach Loan ($17 million -- 12.1%), which is secured by a 343,000 square foot entertainment retail complex located in Myrtle Beach, South Carolina. The property includes specialty shops, restaurants and tourist attractions. The complex was fully leased as of June 2012 compared to 97% at last review. Property performance has been stable since last review. The loan is fully amortizing on a 240- month schedule and has paid down by approximately 61% since securitization. Moody's credit estimate and stressed DSCR are Aaa and 4.7X, respectively, compared to Aaa and 3.8X at last review. The conduit portion of the transaction only represents 8% of the deal. All conduit loans are less than $2.5 million. Each conduit loan has a hurdle DSCR in excess of 1.5X. Moody's expects all conduit loans to be able to repay or refinance by loan maturity. Loans representing 34% of the conduit mature in the first half of 2013, while the remaining 66% mature in 2018. OFSI FUND V: S&P Assigns 'B' Rating to Class B-3L Notes ------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to OFSI Fund V Ltd./OFSI Fund V LLC's $523.77 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 criteria (see "Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Sept. 17, 2009). -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.3439%-12.6500%. -- 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/1251.pdf RATINGS ASSIGNED OFSI Fund V Ltd./OFSI Fund V LLC Class Rating Amount (mil. $) A-1LA AAA (sf) 132.00 A-1LB AAA (sf) 108.00 A-2L AA (sf) 34.50 A-2F AA (sf) 10.00 A-3L (deferrable) A (sf) 21.00 A-3F (deferrable) A (sf) 5.00 B-1L (deferrable) BBB (sf) 19.00 B-2L (deferrable) BB- (sf) 17.00 B-3L (deferrable) B (sf) 6.50 Combination securities A (sf) 170.77 Subordinated notes NR 41.15 NR-Not rated. PACIFIC COAST: Moody's Hikes Rating on $450-Mil. Notes to 'B2' -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Pacific Coast CDO, Ltd.: USD450,000,000 Class A First Priority Senior Secured Floating Rate Notes due October 25, 2036 (current outstanding balance of $36,941,613), Upgraded to B2 (sf); previously on March 23, 2012 Upgraded to Caa1 (sf). Moody's also affirmed the ratings of the following notes: USD96,000,000 Class B Second Priority Senior Secured Floating Rate Notes due October 25, 2036, Affirmed Ca (sf); previously on June 4, 2008 Downgraded to Ca (sf) USD21,000,000 Class C-1 Mezzanine Secured Floating Rate Notes due October 25, 2036 (current outstanding balance of $29,128,683), Affirmed C (sf); previously on May 17, 2006 Downgraded to C (sf) USD9,000,000 Class C-2 Mezzanine Secured Floating Rate Notes due October 25, 2036 (current outstanding balance of $12,117,119), Affirmed C (sf); previously on May 17, 2006 Downgraded to C (sf) USD26,000,000 Class Preferred Shares due October 25, 2036, Affirmed C (sf); previously on June 18, 2004 Downgraded to C (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 March 2012. Moody's notes that the Class A Notes have been paid down by approximately 29.8% or $15.7 million since the last rating action. Based on Moody's calculations, the class A overcollateralization ratio is 211.3% versus March 2012 level of 172.1%. Pacific Coast CDO Ltd., issued in September 2001, is a collateralized debt obligation backed primarily by a diversified portfolio of RMBS, CMBS and SF CDOs originated from 2002 to 2004. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's applied the Monte Carlo simulation framework within CDOROMv2.8 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model . The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. Moody's rating action factors in a number of sensitivity analyses and stress scenarios. Results are 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 Caa rated assets notched up by 2 rating notches: Class A: +1 Class B: 0 Class C-1: 0 Class C-2: 0 Preferred Shares: 0 Moody's Caa rated assets notched down by 2 rating notches: Class A: 0 Class B: 0 Class C-1: 0 Class C-2: 0 Preferred Shares: 0 PNC MORTGAGE 2000-C2: Moody's Cuts Rating on Cl. X Cert to Caa2 --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of five classes and downgraded three classes of PNC Mortgage Acceptance Corp., Commercial Mortgage Pass-Through Certificates, Series 2000-C2 as follows: Cl. G, Affirmed Aa2 (sf); previously on Feb 9, 2012 Upgraded to Aa2 (sf) Cl. H, Downgraded to Ba1 (sf); previously on Feb 9, 2012 Downgraded to Baa2 (sf) Cl. J, Downgraded to B3 (sf); previously on Feb 9, 2012 Downgraded to B2 (sf) Cl. K, Affirmed Caa1 (sf); previously on Feb 9, 2012 Downgraded to Caa1 (sf) Cl. L, Affirmed Ca (sf); previously on Sep 9, 2010 Downgraded to Ca (sf) Cl. M, Affirmed C (sf); previously on Sep 9, 2010 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Sep 9, 2010 Downgraded to C (sf) Cl. X, Downgraded to Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale The affirmations of the principal classes are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, 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 of the principal classes are primarily due to concerns about increased interest shortfalls and potential future interest shortfalls. The rating of the IO Class, Class X-1 is downgraded based on the ratings of its referenced classes. Moody's rating action reflects a base expected loss of 20.9% of the current balance compared to 21.2% at last review. Moody's base expected loss plus realized losses is 3.4%, compared to 3.5% at last review, of securitized balance. 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 given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used for rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Class X. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 9, compared to 10 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. 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 9, 2012. Deal Performance As of the January 14, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $102.8 million from $1.08 billion at securitization. The Certificates are collateralized by 19 mortgage loans ranging in size from less than 1% to 20% of the pool. There are no defeased loans or loans with investment grade credit assessments. Six loans, representing 31% 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 monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seventeen loans have been liquidated from the pool since securitization, resulting in an aggregate $15.5 million loss (18% loss severity on average). There are currently five loans, representing 26% of the pool, in special servicing. The largest specially serviced loan is the Taconic Corporate Park Loan ($12.6 million - 12.3% of the pool), which is secured by a 210,000 square foot (SF) office property located Yorktown Heights, New York. The loan transferred to special servicing in January 2010 as the result of imminent default. The loan became Real Estate Owned (REO) in May 2011. As of December 2012, the property was 42% leased. The second largest specially serviced loan is the 1450 Marina Way South Office Building Loan ($6.8 million - 6.6% of the pool), which is secured by a 93,900 (SF) office property located Richmond, California. The loan transferred to special servicing in March 2012 as the result of imminent default. The property's sole tenant Chevron downsized their space resulting in total occupancy of 53%. Subsequently, the borrower submitted a modification proposal and the modification was executed and closed on December 4, 2012. Terms of the modification include new equity contribution, hard lock box, interest rate reduction from 8.26% to 6.0% in 2012 through 2013, 7.00% in 2013 through 2014 and 8.26% in 2014 through 2015. The maturity date remains February 2015. The third largest specially serviced loan is the Shops at Eagle Point Loan and Shops at Haw Creek Loan ($4.2 million - 4.0% of the pool). These loans are cross collateralized and cross defaulted loans, secured by properties located in Forsyth, Georgia and Woodstock, Georgia, respectively. The loans transferred to special servicing in July 2012 as the result of maturity default. As of September 2012, combined occupancy was 76%. The properties are currently in the process of foreclosure. The remaining specially serviced loan is secured by a retail property. Moody's estimates an aggregate $11.2 million loss for all of the specially serviced loans (42% expected loss on average). Based on the most recent remittance statement, Classes J through O have experienced cumulative interest shortfalls totaling $5.8 million compared to $4.5 million at last review. 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 entitlement reductions, advanced interest claw backs on loans determined to be non-recoverable and extraordinary trust expenses. Moody's has assumed a high default probability for three poorly performing loans representing 31% of the pool and has estimated a $9.4 million aggregate loss (30% expected loss based on a 68% probability default) from these troubled loans. Moody's was provided with full year 2011 and partial year 2012 operating results for 100% and 70% of the loans respectively. Excluding specially serviced loans, Moody's weighted average LTV is 68% compared to 71% 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 10.2%. Excluding specially serviced loans, Moody's actual and stressed DSCRs are 1.35X and 1.91X, respectively, compared to 1.25X and 1.97X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 42% of the pool balance. The largest loan is the Sweetheart Cup Distribution Center Loan ($20.4 million -- 19.8% of the pool), which is secured by a 1.03 million SF industrial building located in Hampstead, Maryland. The property is fully occupied by a single tenant, Solo Cup Company, through July 2020. The loan had an anticipated repayment date (ARD) of October 1, 2010 but remains current. Although property performance has been stable since securitization, Moody's utilized a Lit/Dark analysis to reflect potential cash flow volatility due to the single tenant exposure. Moody's LTV and stressed DSCR are 68% and 1.72X, respectively, compared to 79% and 1.48X at last review. The second largest loan is the Northside Marketplace Loan ($13.8 million -- 13.5% of the pool) which is secured by an 189,299 SF retail property located in Nashville, Tennessee. At Moody's last review, the loan was in special servicing due to imminent default and it passed its ARD of September 1, 2010. The loan was subsequently modified and returned to the master servicer in December 2012. Terms of the modification include a maturity date extension until January 2017, an interest rate reduction from 8.31% to 4.5%. The loan remains on the watchlist. The largest tenants are Dicks Sporting Good, Best Buy and Old Navy. As of September 2012 the property was 75% leased. Moody's identifies this loan as a troubled loan. The third largest loan is the Waterford at Portage Apartments Phase 1 Loan ($8.8 million -- 8.5% of the pool), which is secured by two cross collateralized and cross defaulted multifamily properties totaling 304 units located in Akron, Ohio. The loan is on the watchlist due to a decline in occupancy and low DSCR. As of September 2012, weighted average occupancy was 78% compared to 88% at last review. Moody's identifies this loan as a troubled loan. PNC MORTGAGE 2001-C1: S&P Lowers Rating on Class J Notes to 'D' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class F commercial mortgage pass-through certificate from PNC Mortgage Acceptance Corp.'s series 2001-C1, a U.S. commercial mortgage- backed securities (CMBS) transaction. In addition, S&P lowered its rating on one class from the same transaction and affirmed its ratings on two other classes. S&P's rating actions follow its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics of all of the assets in the pool, the transaction structure, and the liquidity available to the trust. The upgrade of the class F certificate reflects S&P's expected available credit enhancement for the class, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the most recent rating level, as well as S&P's reviews regarding the current and future performance of the collateral supporting the transaction. S&P tempered its rating on class F because it also considered that three ($36.1 million, 58.1%) of the remaining 10 assets ($62.2 million) are with the special servicer, which could potentially lead to additional interest shortfalls and liquidity available to the trust. S&P lowered its rating on the class J certificate to 'D (sf)' because S&P expects the accumulated interest shortfalls to remain outstanding for the foreseeable future. As of the Jan. 14, 2013, trustee remittance report, the trust experienced net monthly interest shortfalls totaling $86,525, primarily related to appraisal subordinate entitlement reduction (ASER) amounts of $74,240 and special servicing fees of $7,787. The net interest shortfalls affected all classes subordinate to and including class J. The class J certificate has had interest shortfalls for two consecutive months and 19 months in total since issuance. The affirmations of the principal and interest certificates reflect S&P's expectation that the available credit enhancement for these classes will be within S&P's estimate of the necessary credit enhancement required for the current outstanding ratings. The affirmed ratings on these classes also reflect the credit characteristics and performance of the remaining assets, as well as the transaction-level changes. Using servicer-provided financial information, S&P calculated an adjusted Standard & Poor's debt service coverage (DSC) ratio of 1.11x and a loan-to-value (LTV) ratio of 60.2% for five of the 10 remaining assets in the pool. The DSC and LTV calculations exclude the three assets ($36.1 million, 58.1%) that are with the special servicer (details below), one defeased loan ($4.4 million, 7.1%), and one nonreporting loan ($0.5 million, 0.7%). As of the Jan. 14, 2013, trustee remittance report, the collateral pool had an aggregate trust balance of $62.2 million, down from $881.6 million at issuance. The pool comprises seven loans and three real estate owned (REO) assets, down from 124 loans at issuance. To date, the transaction has experienced losses totaling $25.5 million or 2.9% of the transaction original certificate balance. The three largest assets in the pool ($36.1 million, 58.1%) are with the special servicer, which S&P discusses below. In addition, the sixth-largest asset, the Best Buy Store loan ($4.4 million, 7.1%) is defeased and two loans ($7.3 million, 11.7%) in the pool are on the master servicer's watchlist. Excluding the three specially serviced assets and one nonreporting loan, the Barry Towne Center - Phase II loan ($5.9 million, 9.5%) is the only loan with a reported DSC of less than 1.00x. The loan is secured by a 137,766-sq.-ft. retail shopping center in Kansas City, Missouri. The reported DSC as of year-end 2011 was 0.53x. The property was 57.4% leased and 22.4% occupied according to the Dec. 31, 2012, rent roll. SPECIALLY SERVICED ASSETS As of the Jan. 14, 2013, trustee remittance report, three REO assets ($36.1 million, 58.1%) are with the special servicer, C-III Asset Management LLC (C-III). Details on the three assets are below: The Deer Grove Shopping Center asset ($17.7 million, 28.5%), the largest asset in the pool, is a 214,168 sq. ft., grocery-anchored retail center in Palatine, Illinois. The asset has a reported total exposure of $19.7 million. Due to the borrower's inability to repay the loan in full at maturity, the loan transferred to the special servicer on Jan. 6, 2011, and the property became REO on Sept. 21, 2011. According to C-III, it is actively working on leasing up the property, which reported 70.0% occupancy as of Oct. 5, 2012. S&P expects a moderate loss upon the eventual resolution of this asset. The Radisson Plaza Hotel asset ($11.4 million, 18.4%), the second- largest asset in the pool, is a five-story, 185-room hotel in San Jose, Calif. The asset has a total reported exposure of $13.8 million. Due to pending loan and franchise defaults, the loan transferred to the special servicer on Sept. 11, 2007, and the property became REO on April 27, 2012. The reported occupancy was 62.6% for the trailing-12-months ending Aug. 31, 2012, and C-III indicated it is currently working on improving the property's performance. S&P expects a moderate loss upon the eventual resolution of this asset. The Memorex Drive Business Park asset ($7.0 million, 11.2%), the third-largest asset in the pool, consists of industrial buildings totaling 215,902 sq. ft. in Santa Clara, Calif. The asset has a total reported exposure of $7.3 million. Due to the borrower's inability to repay the loan in full at maturity, the loan transferred to the special servicer on May 10, 2011, and the property became REO on Oct. 5, 2012. C-III stated that the property is being marketed for sale. S&P expects a minimal loss upon the eventual resolution of this asset. As it relates to the above asset resolutions, minimal loss is considered to be less than 25%, moderate loss is between 26% and 59%, and significant loss is 60% or greater. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING RAISED PNC Mortgage Acceptance Corp. Commercial mortgage pass-through certificates series 2001-C1 Rating Class To From Credit enhancement (%) F BBB+ (sf) BBB- (sf) 83.10 RATING LOWERED PNC Mortgage Acceptance Corp. Commercial mortgage pass-through certificates series 2001-C1 Rating Class To From Credit enhancement (%) J D (sf) CCC (sf) 21.05 RATINGS AFFIRMED PNC Mortgage Acceptance Corp. Commercial mortgage pass-through certificates series 2001-C1 Rating Class To From Credit enhancement (%) G BB+ (sf) BB+ (sf) 70.69 H BB- (sf) BB- (sf) 44.10 PNC MORTGAGE 2011-C1: Moody's Cuts Rating on Cl. J Certs to 'Caa3' ------------------------------------------------------------------ Moody's Investors Service upgraded the rating of one class, downgraded one class and affirmed six classes of PNC Mortgage Acceptance Corp. Commercial Mortgage Pass-Through Certificates, Series 2001-C1 as follows: Cl. F, Upgraded to Aa3 (sf); previously on Mar 22, 2012 Upgraded to A2 (sf) Cl. G, Affirmed Baa1 (sf); previously on Oct 23, 2006 Upgraded to Baa1 (sf) Cl. H, Affirmed B1 (sf); previously on May 25, 2011 Downgraded to B1 (sf) Cl. J, Downgraded to Caa3 (sf); previously on May 25, 2011 Downgraded to Caa2 (sf) Cl. K, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. X, Affirmed Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Cl. X-1, Affirmed Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Ratings Rationale The affirmations for the four principal and interest bond classes are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, 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 downgrade for the one principal and interest bond class is due to an increase in realized losses and the potential for additional interest shortfalls. The ratings of the IO Classes, Classes X-1 and X, are consistent with the expected credit performance their referenced classes and thus are affirmed. Moody's rating action reflects a base expected loss of 27.5% of the current pooled balance compared to 24.0% at last review. Moody's based expected loss plus realized losses is now 4.8% of the original pooled balance compared to 4.7% at last review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for 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 given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Classes X and X-1. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 6 compared to 7 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the Large Loan / Single borrower methodology. This methodology uses the excel-based Large Loan Model v. 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated March 22, 2012. Deal Performance As of the January 14, 2013 distribution date, the transaction's aggregate pooled certificate balance has decreased by 93% to $62.2 million from $881.6 million at securitization. The Certificates are collateralized by 10 mortgage loans ranging in size from less than 1% to 29% of the pool, with the top ten loans representing 93% of the pool. One loan, representing 7% of the pool, has defeased and is collateralized with U.S. Government Securities. Two loans, representing 12% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fourteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $25.5 million (34% average loss severity). The top three loans, representing 58% of the pool, are currently in special servicing. The largest specially serviced loan is the Deer Grove Shopping Center Loan ($17.7 million -- 28.5% of the pool), which is secured by a 214,168 square foot (SF) community shopping center located approximately 30 miles northwest of Chicago in suburb of Palatine, Illinois. The property became real estate owned (REO) in September 2011. The shopping center is presently 70% leased with strong leasing prospects that will bolster occupancy. Target is a shadow anchor at this center. The servicer recognized a $5.8 million appraisal reduction in December 2012 for this property and is currently marketing this shopping center for sale. The second largest specially serviced loan is the Radisson Plaza Hotel Loan ($11.4 million -- 18.4% of the pool) which is secured by a 185-key full service hotel located in San Jose, California. The loan transferred to special servicing September 2007, a receiver was appointed February 2011 and the loan was foreclosed May 2012. The property is currently being marketed for sale. The third largest specially serviced loan is the Memorex Drive Business Park Loan ($7.0 million -- 11.2% of the pool) which is secured by a 215,902 SF industrial/flex property located in Santa Clara, California. The property was 54% leased compared to 60% at last review. The loan was transferred to special servicing May 2011 due to maturity default and was foreclosed October 2012. A one-year loan modification was granted. The servicer has recognized an aggregate $12.1 million appraisal reduction for two of the specially serviced loans and Moody's has estimated an aggregate $13.9 million loss (39% average expected loss) for all specially serviced loans. Moody's has assumed a high default probability for one poorly performing loan representing 10% of the pool and has estimated an $2.4 million aggregate loss (41% expected loss based on a 75% probability default) from this troubled loan. Moody's was provided with full year 2011 and partial year 2012 operating results for 97% and 23% of the pool's non-defeased loans, respectively. Moody's weighted average conduit LTV is 76% compared to 77% at Moody's prior review. The conduit portion of the pool excludes specially serviced, troubled and defeased loans. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.16X and 1.54X, respectively, compared to 1.13X and 1.44X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 26% of the pool. The largest loan is the Tuscany at Goldmark Apartments Loan ($6.4 million -- 10.4% of the pool), which is secured by a 152-unit apartment complex located in Dallas, Texas. The property was 100% leased as of November 2012, the same as at last review. Property performance has been stable. Moody's LTV and stressed DSCR are 76% and 1.36X, respectively, compared to 80% and 1.28X at last review. The second largest loan is the Barry Town Center Loan ($5.9 million -- 9.5% of the pool), which is secured by a 137,766 SF retail center located in Kansas City, Missouri. The complex is 50% leased to Dick's Sporting Goods and Babies R Us yet only 22% occupied by Babies R Us. This loan is on the servicer's watchlist due to low occupancy and low DSCR. Moody's stressed the property cash flow due these issues. Moody's LTV and stressed DSCR are 171% and 0.33X, respectively, compared to 110% and 0.92X at last review. The third largest loan is the Best Buy Loan ($3.8 million -- 6.0% of the pool), which is secured by a freestanding Best Buy store totaling 44,988 SF located in Roanoke, Virginia. The Best Buy lease expires five years after the loan matures. Moody's LTV and stressed DSCR are 111% and 0.92X, respectively, compared to 98% and 0.93X at last review. REALT 2006-1: Moody's Affirms Ratings on 18 CMBS Classes -------------------------------------------------------- Moody's Investors Service affirmed the ratings of 18 classes of Real Estate Asset Liquidity Trust Commercial Mortgage Pass-Through Certificates, Series 2006-1 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned A2 (sf) Cl. D-1, Affirmed Baa2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa2 (sf) Cl. D-2, Affirmed Baa2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa2 (sf) Cl. E-1, Affirmed Baa3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa3 (sf) Cl. E-2, Affirmed Baa3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Baa3 (sf) Cl. F, Affirmed Ba1 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Ba1 (sf) Cl. G, Affirmed Ba2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Ba2 (sf) Cl. H, Affirmed Ba3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned Ba3 (sf) Cl. J, Affirmed B1 (sf); previously on Apr 12, 2006 Definitive Rating Assigned B1 (sf) Cl. K, Affirmed B2 (sf); previously on Apr 12, 2006 Definitive Rating Assigned B2 (sf) Cl. L, Affirmed B3 (sf); previously on Apr 12, 2006 Definitive Rating Assigned B3 (sf) Cl. XC-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. XC-2, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. XP-1, Affirmed Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. XP-2, Affirmed Aaa (sf); previously on Apr 12, 2006 Definitive Rating Assigned Aaa (sf) Ratings Rationale The affirmations are due to key parameters, including Moody's loan to value ratio, Moody's stressed debt service coverage ratio and the Herfindahl Index, 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 XP-1, XP-2, XC-1 and XC-2, are consistent with the expected credit performance of their referenced classes and thus are affirmed. Moody's rating action reflects a cumulative base expected loss of 1.4% of the current balance, the same as at Moody's prior review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for 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 given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005, "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000, and "Moody's Approach to Rating Canadian CMBS" published in May 2000. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The Interest-Only Methodology was used for the rating of Classes XP-1, XP-2, XC-1 and XC-2. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score, 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. The conduit model includes an IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 13, the same as at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated February 29, 2012. Deal Performance As of the January 14, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 3.7% to $243.7 million from $253.0 million at securitization. The Certificates are collateralized by 52 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten non-defeased loans representing 55% of the pool. Four loans, representing 6% of the pool, have defeased and are secured by U.S. Government securities. The pool contains two loans with investment grade credit assessments, representing 21% of the pool. Eight loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. No loans have liquidated from the pool and there are no loans currently in special servicing. Moody's was provided with full year 2011 operating results for 88% of the performing pool. Moody's weighted average LTV is 74%, the same at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 14.2% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed DSCRs are 1.46X and 1.55X, respectively, compared to 1.49X and 1.52X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the Crombie Portfolio Loan ($42.2 million -- 17.3% of the pool), which is secured by a portfolio of seven retail and mixed-use properties across three Canadian provinces (Newfoundland, Nova Scotia & New Brunswick) totaling 936,000 square feet (SF). Year-end 2011 occupancy was 82% -- a slight decrease from the 86% occupancy reported the prior year. Performance remains stable. Moody's credit assessment and stressed DSCR are Baa2 and 1.46X, respectively, compared to Baa2 and 1.41X at last review. The second largest loan with a credit assessment is the Royal Centre Loan ($8.6 million -- 3.5% of the pool), which is secured by a 163,000 SF office building located in Vaughan, Ontario, a northern suburb of Toronto. The largest tenant is the Royal Bank of Canada (Moody's Senior Unsecured Rating, Aa3, Stable Outlook), which renewed its lease through May 2021. Occupancy was 87% as of July 2012, compared to 86% at last Moody's review. The loan has amortized 4% since last review. Moody's current credit assessment and stressed DSCR are Aaa and 2.2X, respectively, compared to Aaa and 2.17X at last review. The top three conduit loans represent 27.6% of the pool. The largest conduit loan is The Landing Loan ($27.0 million -- 11.1% of the pool), which is secured by a 183,000 SF, seven-story office building in the Gastown district of downtown Vancouver, British Columbia. The property was 95% leased as of YE 2011 compared to 99% as of YE 2010. The loan has amortized 2.6% since Moody's last review. The largest tenant is Intrawest Corporation (20% NRA), the owner and operator of several North American destination resorts. Moody's current LTV and stressed DSCR are 78.8% and 1.24X, respectively, compared to 80.3% and 1.21X at last review. The second largest conduit loan is the Dominion Square Loan ($26.3 million -- 10.8% of the pool). The loan is Pari Passu (50%) with REALT 2006-2 and is secured by a 12-story 374,000 SF, mixed-use building located in downtown Montreal, Quebec. Local and state government agencies represent 26% of the tenancy in the building. As of December 2012, the property was 87% leased, down from 98% leased as of April 2011. Moody's current LTV and stressed DSCR are 99.6% and 0.98X, respectively, compared to 81.6% and 1.19X at last review. The third largest conduit loan is the InnVest Portfolio Loan ($13.9 million -- 5.7% of the pool), which is secured by a portfolio of two full service hotels located in London and Toronto, Ontario. Performance has continued to improve since Moody's last review. Moody's current LTV and stressed DSCR are 102.9% and 1.1X, respectively, compared to 109.3% and 1.04X at last review. RFC CDO I: Fitch Lowers Rating on Class C Notes to 'C' ------------------------------------------------------ Fitch Ratings has downgraded one and affirmed four classes of notes issued by RFC CDO I, Ltd. as follows: -- $7,360,687 class A notes affirmed at 'BBBsf'; Outlook Stable; -- $22,500,000 class B1 notes affirmed at 'Bsf'; Outlook Negative; -- $2,000,000 class B2 notes affirmed at 'Bsf'; Outlook Negative; -- $16,200,000 class C notes downgraded to 'Csf' from 'CCsf'; -- $7,288,634 class D notes affirmed at 'Csf'. Key Rating Drivers 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 into its analysis, as described below, to conclude the rating actions for the notes. Since the last rating action in February 2012, the credit quality of the collateral has further deteriorated with approximately 25.3% of the portfolio downgraded a weighted average of 3.5 notches. Approximately 89.1% of the portfolio has a Fitch derived rating below investment grade and 61.0% has a rating in the 'CCC' rating category or lower, compared to 82.7% and 57.9%, respectively, at last review. The class A notes have been affirmed at their current rating of 'BBBsf' to reflect the continued deleveraging of the capital structure offsetting portfolio deterioration. Since the last review, the notes have received approximately $12.2 million, or 62.4% of its previous balance. Although the notes have benefited from excess spread as a result of a failing class C Overcollateralization (OC) test, the amount was relatively small, at $0.5 million over the last four payment dates. The Outlook Stable reflects the cushion available in the cash flow modeling results to mitigate potential further negative migration in the portfolio. The amortization of the capital structure has also increased the class B-1 and B-2 (together, class B) notes' credit enhancement levels. This increase offset the deterioration in the underlying assets, resulting in an affirmation of the class's rating. Although the current passing levels are slightly lower than those corresponding to a 'Bsf' rating, Fitch expects that the notes' credit enhancement levels will continue to increase with the ongoing deleveraging of the transaction. Based on the most recent pace of paydowns and maturity profile of the remaining portfolio, the class B notes are likely to become the most senior class and start receiving principal payments within the next one to two years. Given these expectations, the 'Bsf' rating remains appropriate for this class. However, Fitch maintains an Outlook Negative on this class due to a high susceptibility to potential further deterioration in the credit quality of the portfolio. The credit enhancement levels for the class C and D notes are below the expected losses from the distressed and defaulted assets in the portfolio (assets rated 'CCsf' of lower). The class C notes are downgraded to 'Csf' and the class D notes are affirmed at 'Csf', indicating that default is inevitable for both classes at the transaction's maturity. RFC CDO I is a structured finance collateralized debt obligation (SF CDO) that closed on June 30, 2004. The portfolio of collateral was originally selected by Residential Funding Corporation and is now monitored by Castle Peak Capital Advisors. The portfolio is composed of primarily residential mortgage-backed securities (96.7%) from the 2004 and prior vintages. SAGAMORE CLO: Moody's Lifts Rating on $16-Mil. Notes to 'Ba2' ------------------------------------------------------------- Moody's upgrades the ratings of USD 39.8 million notes issued by Sagamore CLO Ltd. Global Credit Research - 12 Feb 2013 Moody's also affirms the ratings of USD 30.1 million of notes New York, February 12, 2013) Moody's Investors Service upgraded the ratings of the following notes issued by Sagamore CLO, Ltd.: USD18,000,000 Class B Deferrable Note Rights Due 2015, Upgraded to Aaa (sf); previously on May 2, 2012 Upgraded to Aa1 (sf); USD16,000,000 Class C-1 Floating Rate Deferrable Note Rights Due 2015, Upgraded to Ba2 (sf); previously on May 2, 2012 Upgraded to B1 (sf); USD500,000 Class C-2 Fixed Rate Deferrable Note Rights Due 2015, Upgraded to Ba2 (sf); previously on May 2, 2012 Upgraded to B1 (sf); USD3,000,000 Class D Junior Mezzanine Deferrable Note Rights Due 2015, Upgraded to Ca (sf); previously on September 14, 2011 Confirmed at C (sf); USD5,000,000 Class 2 Participation Notes Due 2015 (current rated balance of $2,121,851), Upgraded to Aaa (sf); previously on May 2, 2012 Upgraded to Aa1 (sf). Moody's also affirmed the ratings of the following notes: USD70,000,000 Class A-1 Delayed Drawdown Note Rights Due 2015 (current balance $8,974,268), Affirmed Aaa (sf); previously on September 14, 2011 Upgraded to Aaa (sf); USD161,000,000 Class A-2 Note Rights Due 2015 (current balance $20,640,816), Affirmed Aaa (sf); previously on September 14, 2011 Upgraded to Aaa (sf); USD5,000,000 Class A-3 Zero Coupon Accreting Note Rights Due 2015 (current balance $477,558), Affirmed Aaa (sf); previously on September 14, 2011 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of delevering of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in May 2012. The Class A Notes have been paid down by approximately 45% or $25 million since the last rating action. Based on the latest trustee report dated January 3, 2013, the Class A, Class B, and Class C overcollateralization ratios are reported at 254.3%, 159.1%, and 118.5%, respectively, versus April 2012 levels of 167.3%, 132.7%, and 111.5%, respectively. The reported overcollateralization ratios do not reflect the recent principal distribution of $13.4 million to the Class A Notes on January 2013. The Class D Notes receive interest and principal payments in an amount up to 38% of available proceeds after the payment of any trustee, collateral administrator, and administrative expenses remaining unpaid after the application of an expense cap. According to the latest trustee report, the Class D Notes are current on all interest payments. Additionally, Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes, many of which are in CLO tranches with speculative-grade ratings. Based on Moody's calculation, reference securities that mature after the maturity date of the notes currently make up approximately $21.1 million or 32.8% of the underlying reference portfolio, including $12.5 million or 19.5% of CLO tranches. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. 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 examined the underlying portfolio using a double- binomial analysis that assumes two pools: one pool consisting of "long-dated" CLO securities, with a performing par balance of $12.5 million, and another pool consisting of corporate loans with a performing par balance of $50.3 million. Moody's also assumed a principal proceeds balance of $13.4 million, defaulted par of $7.4 million (including Ca-rated securities that are treated as if they are defaulted securities). The corporate loan pool is assumed to have an overall weighted average default probability of 16.17% (implying a WARF of 3457), an overall weighted average recovery rate upon default of 52.91%%, and a diversity score of 23. The CLO securities pool is assumed to be liquidated at the maturity of the deal. The default and recovery properties of the loan 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. Sagamore CLO Ltd., issued in October 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, with material exposure to investments in CLO securities. 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 the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011. In addition to the base case analysis described, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Listed 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% (2766) Class A-1: 0 Class A-2: 0 Class A-3: 0 Class B: +1 Class C-1: +1 Class C-2: +1 Class D: 0 Class 2: +1 Moody's Adjusted WARF + 20% (4148) Class A-1: 0 Class A-2: 0 Class A-3: 0 Class B: 0 Class C-1: -1 Class C-2: -1 Class D: 0 Class 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 speculative-grade debt maturing between 2014 and 2016 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Delevering: The main source of uncertainty in this transaction is whether delevering from unscheduled principal proceeds will continue and at what pace. Delevering may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. SEAWALL 2006-4: Moody's Retains C Rating on 3 Certificate Classes ----------------------------------------------------------------- Moody's has affirmed the ratings of three classes of Notes issued by Seawall 2006-4, Ltd. The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO Synthetic) transactions. Moody's rating action is as follows: Cl. A, Affirmed C (sf); previously on Feb 8, 2012 Downgraded to C (sf) Cl. B, Affirmed C (sf); previously on Apr 12, 2011 Downgraded to C (sf) Cl. C, Affirmed C (sf); previously on Apr 12, 2011 Downgraded to C (sf) Ratings Rationale Seawall 2006-4, Ltd. is a static synthetic CRE CDO transaction backed by a portfolio of credit default swaps on commercial mortgage backed securities (CMBS) (100.0% of the reference obligation balance). The notional balance of the reference obligations has decreased to $267.8 million from $300.0 million at issuance, due to realized write-downs on the underlying collateral. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated reference obligations. Moody's modeled a bottom-dollar WARF of 8,500 compared to 7,959 at last review. The current distribution of Moody's rated referenced collateral and assessments for non-Moody's rated referenced collateral is as follows: B1-B3 (7.5% compared to 14.3% at last review), and Caa1-C (92.5% compared to 85.7% at last review). Moody's modeled a WAL of 4.7 years compared to 5.0 years at last review. Moody's modeled a fixed WARR of 0.4% compared to 0.7% at last review. Moody's modeled a MAC of 99.9%, the same as at last review. Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating models, which was released on March 22, 2012. Moody's analysis encompasses the assessment of stress scenarios. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated Notes are particularly sensitive to rating changes within the reference obligations. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the ratings announced are sensitive to further change. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector is performing strongly with nine straight quarters of growth and the multifamily sector continues to show increases in demand with a growing renter base and declining home ownership. Recovery in the office sector continues at a measured pace with minimal additions to supply. However, office demand is closely tied to employment, where growth remains slow and employers are considering decreases in the leased space per employee. Also, primary urban markets are outperforming secondary suburban markets. Performance in the retail sector continues to be mixed with retail rents declining for the past four years, weak demand for new space and lackluster sales driven by internet sales growth. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic scenario is for continued below-trend growth in US GDP over the near term, with consumer spending remaining soft in the US. Hurricane Sandy may skew near- term economic data but is unlikely to have any long-term macroeconomic effects. Primary downside risks include: a deeper than expected recession in the euro area accompanied by deeper credit contraction; the potential for a hard landing in major emerging markets, including China, India and Brazil; an oil supply shock; albeit abated in recent months; and given recent political gridlock, excessive fiscal tightening in the US in 2013 leading the US into recession. However, the Federal Reserve has shown signs of support for activity by continuing with quantitative easing. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. SLM STUDENT 2004-1: Fitch Affirms 'BB' Student Loan Note Rating --------------------------------------------------------------- Fitch Ratings affirms both the senior notes at 'AAAsf' and the subordinate student loan note at 'BBsf' issued by SLM Student Loan Trust series 2004-1. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, will remain Negative. The rating on the subordinate notes will remain Stable. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the class B note. Fitch affirms these ratings: SLM Student Loan Trust, Series 2004-1: -- Class A-3 at 'AAAsf'; Outlook Negative; -- Class A-4 at 'AAAsf'; Outlook Negative; -- Class A-5 at 'AAAsf'; Outlook Negative; -- Class A-6 at 'AAAsf'; Outlook Negative; -- Class B at 'BBsf'; Outlook Stable; SLM STUDENT 2004-3: Fitch Affirms 'BB' Student Loan Note Rating --------------------------------------------------------------- Fitch Ratings affirms both the senior notes at 'AAAsf' and the subordinate student loan note at 'BBsf' issued by SLM Student Loan Trust series 2004-3. The Rating Outlook on the senior notes, which is tied to the sovereign rating of the U.S. government, will remain Negative. The rating on the subordinate notes will remain Stable. The ratings on the senior and subordinate notes are affirmed based on the sufficient level of credit to cover the applicable risk factor stresses. Credit enhancement for the senior and subordinate notes consists of overcollateralization and projected minimum excess spread, while the senior notes also benefit from subordination provided by the class B note. Fitch affirms these ratings: SLM Student Loan Trust, Series 2004-3: -- Class A-4 at 'AAAsf'; Outlook Negative; -- Class A-5 at 'AAAsf'; Outlook Negative; -- Class A-6A at 'AAAsf'; Outlook Negative; -- Class A-6B at 'AAAsf'; Outlook Negative; -- Class B at 'BBsf'; Outlook Stable; SUTTER CBO: S&P Lowers Rating on Class B-2 Notes to 'D(sf)' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the Class B-2 notes from Sutter CBO 2000-2 Ltd., a U.S. collateralized bond obligation (CBO) transaction, to 'D (sf)' from 'CC (sf)'. According to the notice of event of default dated Feb. 4, 2013, the Class B-2 notes did not receive aggregate principal amount in full, which was due on its final maturity date Jan. 30, 2013. Therefore, S&P lowered its rating on the Class B-2 notes to 'D (sf)' pursuant to its criteria. RATING LOWERED Sutter CBO 2000-2 Ltd. Rating Class To From B-2 D(sf) CC(sf) TRAVIS COUNTY: Moody's Affirms Ratings on 2002A & 2002C Bonds ------------------------------------------------------------- Moody's affirmed the B2 and C ratings of Travis County (TX) Housing Finance Corporation Multifamily Housing Revenue Bonds (Park at Wells Branch Apartments Project) Series 2002A (the "Senior Bonds") and Series 2002C (the "Subordinate Bonds"). The outlook of the Series 2002A bonds remains Negative. The Senior bonds continue to be insured by National Public Finance Guarantee (formerly MBIA) and carry National's financial strength rating (Baa2, Negative). The Subordinate Series 2002C bonds are not insured. Rating Rationale The rating affirmation of the Senior bonds is based on the increase in occupancy, audited FY2011 debt service coverage of 1.08x on the senior bonds (with the Capital Reserve Fee and MBIA fee's below the line), and the untapped Series 2002A Debt Service Reserve fund. The C rating of the Subordinate Bonds is based on continued defaults, as evidenced by a Notice of Non-Payment dated December 3, 2012. Park at Wells Branch (the "Property") is a 304-unit apartment complex composed of 18 apartment buildings, and is located in the northern section of the Austin metropolitan area in Travis County, Texas. Strengths: - Debt service coverage of 1.08x on the Senior Bonds as of the audited FY2011 audit, up from 0.98x in audited FY2010. - Community Housing Corporation of America, Inc. (CHC), the owner of the Property, has contributed substantial amounts to the Property to fund working capital and debt service requirements since 2003. - Management indicates that the Property is 97% occupied as of November 2012. Challenges: - The Senior Bond's Debt Service Reserve fund is currently funded at 95% of maximum annual debt service (MADS), however, in the event that cash becomes available through the flow of funds, it will be replenished to its requirement. - Fund balances provided by the Trustee show that the Subordinate Bond's Debt Service Reserve Fund has been depleted. - The Property still struggles with generating greater revenue due to low rental rates. Outlook The outlook on the bonds remains negative due to the weak financial performance of the project and the underfunded Senior Bond's Debt Service Reserve Fund. What Could Change The Rating -- Up - An increase in revenues and debt service coverage, and a fully funded reserve What Could Change The Rating -- Down - Deterioration of the debt service coverage level to less than 1.0x - A tap to the Senior Bond's Debt Service Reserve fund The principal methodology used in this rating was Global Housing Projects published in July 2010. UBS-BARCLAYS 2013-C5: Fitch Assigns 'B' Rating to Class F Notes --------------------------------------------------------------- Fitch Ratings has issued a presale report on UBS-Barclays Commercial Mortgage Trust 2013-C5. Fitch expects to rate the transaction and assign Rating Outlooks as: -- $82,500,000 class A-1 'AAAsf'; Outlook Stable; -- $17,000,000 class A-2 'AAAsf'; Outlook Stable; -- $200,000,000 class A-3 'AAAsf'; Outlook Stable; -- $629,529,000 class A-4 'AAAsf'; Outlook Stable; -- $110,500,000 class A-AB 'AAAsf'; Outlook Stable; -- $120,660,000(a) class A-S 'AAAsf'; Outlook Stable; -- $1,160,189,000(a)(b)class XA 'AAAsf'; Outlook Stable; -- $154,073,000(a)(b)class XB 'A-sf'; Outlook Stable; -- $96,528,000(a) class B 'AA-sf'; Outlook Stable; -- $274,733,000(a) class EC 'A-sf'; Outlook Stable; -- $57,545,000(a) class C 'A-sf'; Outlook Stable; -- $70,540,000(a) class D 'BBB-sf'; Outlook Stable; -- $27,844,000(a) class E 'BBsf'; Outlook Stable; -- $27,845,000(a) class F 'Bsf'; Outlook Stable. (a)Privately placed pursuant to Rule 144A. (b)Notional amount and interest only. The expected ratings are based on information provided by the issuer as of Feb. 8, 2013. Fitch does not expect to rate the $44,551,823 class G. The certificates represent the beneficial ownership in the trust, primary assets of which are 81 loans secured by 122 commercial properties having an aggregate principal balance of approximately $1.5 billion as of the cutoff date. The loans were contributed to the trust by UBS Real Estate Securities, Inc., Barclays Bank PLC, General Electric Capital Corp., KeyBank N.A., Archetype Mortgage Funding I LLC, RAIT Partnership, LP, and The Bancorp Bank. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 77.9% of the properties and cash flow analysis on 85.2% of the collateral pool by balance. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.45x, a Fitch stressed loan-to-value (LTV) of 95.8%, and a Fitch debt yield of 9.75%. Fitch's aggregate net cash flow represents a variance of 7.6% to issuer cash flows. The Master Servicer and Special Servicer will be Midland Loan Services, Inc., rated 'CMS1' and 'CSS1', respectively, by Fitch. UNITED ARTISTS: Moody's Keeps 'B3' Rating on Series 1995-A Certs ---------------------------------------------------------------- Moody's Investors Service affirmed the rating of United Artists Theatre Circuit, Inc. 1995-A Pass Through Trust 9.3% Pass Through Certificates, Series 1995-A as follows: 1995-A, Affirmed at B3; previously on Mar 23, 2011 Upgraded to B3 Ratings Rationale The rating of the Certificates is affirmed at B3 based on the current rating of Regal Entertainment Group (senior unsecured rating B3; stable outlook). The principal methodology used in this rating was "Commercial Real Estate Finance: Moody's Approach to Rating Credit Tenant Lease Financings" published in November 2011. There was no model used in the review of this transaction. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's prior full review is summarized in a press release dated February 16, 2012. Deal Performance As of the January 2013 distribution date, the Certificate balance has paid down by approximately 85% to USD18 million from USD117 million at securitization. The transaction is supported by a portfolio of movie theatres that are subject to fully bondable, triple net leases to Regal. The lease payments are sufficient to pay all principal and interest for the Certificates. VERITAS CLO I: Moody's Affirms 'B3' Rating on $8MM Class E Notes ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of the following notes issued by Veritas CLO I, Ltd.: USD16,000,000 Class C Third Priority Mezzanine Secured Floating Rate Deferrable Interest Notes Due 2016, Upgraded to Aaa (sf); previously on May 9, 2012 Upgraded to Aa1 (sf); USD10,500,000 Class D Fourth Priority Mezzanine Secured Floating Rate Deferrable Interest Notes Due 2016, Upgraded to Baa2 (sf); previously on August 11, 2011 Upgraded to Ba1 (sf). Moody's also affirmed the ratings of the following notes: USD229,000,000 Class A First Priority Senior Secured Floating Rate Notes Due 2016 (current outstanding balance of $13,989,147), Affirmed Aaa (sf); previously on February 4, 2011 Upgraded to Aaa (sf); USD19,000,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2016, Affirmed Aaa (sf); previously on August 11, 2011 Upgraded to Aaa (sf); USD8,000,000 Class E Fifth Priority Mezzanine Secured Floating Rate Deferrable Interest Notes Due 2016, Affirmed B3 (sf); previously on August 11, 2011 Upgraded to B3 (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 May 2012. Moody's notes that the Class A Notes have been paid down by approximately 68% or $29.6 million since the last rating action. Based on the latest trustee report dated December 31, 2012, the Class A/B, Class C, Class D, and Class E overcollateralization ratios are reported at 224.2%, 151.0%, 124.3% and 109.6%, respectively, versus March 2012 levels of 159.2%, 130.1%, 116.2%, and 107.4%, respectively. Additionally, the deal has benefited from an improvement in the credit quality of the underlying portfolio since the last rating action in May 2012. Based on the December 2012 trustee report, the weighted average rating factor is currently 2355 compared to 2510 in March 2012. Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the December 2012 trustee report, securities that mature after the maturity date of the notes currently make up approximately 40.1% of the underlying portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Notwithstanding the increase in the overcollateralization ratio of the Class E notes, Moody's affirmed the rating of the Class E notes due to the market risk posed by the exposure to these long- dated assets. 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 $66.9 million, defaulted par of $5.6 million, a weighted average default probability of 12.1% (implying a WARF of 2240), a weighted average recovery rate upon default of 47.8%, and a diversity score of 24. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Veritas CLO I, Ltd., issued in August 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, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (1792) Class A: 0 Class B: 0 Class C: 0 Class D: +2 Class E: 0 Moody's Adjusted WARF + 20% (2688) Class A: 0 Class B: 0 Class C: 0 Class D: -1 Class E: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. The deal continues to experience an increased exposure resulting from Amend- and- Extend activities relating to loan agreements. In consideration of the size of the deal's exposure to long-dated assets, which increases its sensitivity to the liquidation assumptions used in the rating analysis, Moody's ran different scenarios considering a range of liquidation value assumptions. However, actual long-dated asset exposure and prevailing market prices and conditions at the CLO's maturity will drive the extent of the deal's realized losses, if any, from long- dated assets. WFRBS 2013-C11: Fitch Assigns 'B' to Class F Certificates --------------------------------------------------------- Fitch Ratings has assigned these ratings to WFRBS Commercial Mortgage Trust 2013-C11 commercial mortgage pass-through certificates: -- $65,123,000 class A-1 'AAAsf'; Outlook Stable; -- $278,494,000 class A-2 'AAAsf'; Outlook Stable; -- $46,800,000 class A-3 'AAAsf'; Outlook Stable; -- $100,000,000 class A-4 'AAAsf'; Outlook Stable; -- $417,757,000 class A-5 'AAAsf'; Outlook Stable; -- $97,254,000 class A-SB 'AAAsf'; Outlook Stable; -- $134,656,000 class A-S 'AAAsf'; Outlook Stable; -- $1,140,084,000(*a) class X-A 'AAAsf'; Outlook Stable; -- $152,609,000(*a) class X-B 'A-sf'; Outlook Stable; -- $93,361,000 class B 'AA-sf'; Outlook Stable; -- $59,248,000 class C 'A-sf'; Outlook Stable; -- $46,681,000(a) class D 'BBB-sf'; Outlook Stable; -- $32,317,000(a) class E 'BBsf'; Outlook Stable; -- $25,136,000(a) class F 'Bsf'; Outlook Stable. Fitch does not rate the $39,499,346(a) class G. (*) Notional amount and interest only. (a) Privately placed pursuant to Rule 144A. The certificates represent the beneficial ownership in the trust, the primary assets of which are 82 loans secured by 153 commercial properties having an aggregate principal balance of approximately $1.436 billion as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, The Royal Bank of Scotland, C-III Commercial Mortgage LLC, Liberty Island Group I LLC, and Basis Real Estate Capital II, LLC. A detailed description of Fitch's rating analysis including key rating drivers, stresses, rating sensitivity, analysis, model, criteria application and data adequacy is available in Fitch's Presale Report. WFRBS 2013-C11: S&P Assigns 'B+' Rating on Class F Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to WFRBS Commercial Mortgage Trust 2013-C11's $1.44 billion commercial mortgage pass-through certificates series 2013-C11. The note issuance is a commercial mortgage-backed securities transaction backed by 82 commercial mortgage loans with an aggregate principal balance of $1.44 billion, secured by the fee interest in 153 properties across 33 states. The ratings reflect S&P's view of the credit support provided by the transaction structure, S&P's view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and S&P's overall qualitative assessment of the transaction. Standard & Poor's Ratings Services determined that the collateral pool has, on a weighted average basis, debt service coverage of 1.85x and beginning and ending loan-to-value ratios of 83.2% and 73.8%, respectively, based on Standard & Poor's values. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1254.pdf RATINGS ASSIGNED WFRBS Commercial Mortgage Trust 2013-C11 Class Rating Amount ($) A-1 AAA (sf) 65,123,000 A-2 AAA (sf) 278,494,000 A-3 AAA (sf) 46,800,000 A-4 AAA (sf) 100,000,000 A-5 AAA (sf) 417,757,000 A-SB AAA (sf) 97,254,000 A-S AAA (sf) 134,656,000 X-A(i) AAA (sf) 1,140,084,000(ii) X-B(i) A- (sf) 152,609,000(ii) B AA- (sf) 93,361,000 C A- (sf) 59,248,000 D(i) BBB- (sf) 46,681,000 E(i) BB (sf) 32,317,000 F(i) B+ (sf) 25,136,000 G(i) NR 39,499,346 (i) Non-offered certificates. (ii) Notional balance. NR - Not rated. * Fitch Says U.S. Subprime Auto ABS Could See Poorer Underwriting ----------------------------------------------------------------- Fitch believes the recent success in the U.S. subprime auto ABS market is leading to increased competition among lenders, which could result in looser underwriting practices. "We also believe the recent improvement in the stability of asset performance may suggest future loss performance is more closely tied to new jobless claims than overall unemployment," Fitch says. "The recent positive U.S. subprime auto ABS market has, overall, been driven by strong 2009, 2010, and 2011 vintages, which have benefitted from comparatively strong credit quality and loan terms during a solid market for used vehicles. During this time, the financial condition of the borrowers in the pool has improved as the less credit worthy ones defaulted. We believe these changes have contributed to a continued decoupling of subprime auto ABS from the overall employment rate beginning in 2010. In our view, trends in new jobless claims may provide a better leading indicator going forward because it more closely tracks the financial condition of borrowers remaining in the pools. "Performance in subprime auto ABS will likely to tail off for 2012 and 2013 vintages. We expect 2013 securitizations to include weaker collateral quality than prior years, including extended loan terms and weaker credit tier distributions. Over the longer term, this factor is viewed as a potential risk to the market. Should the positive performance in the market continue and attract more participants to it, the subsequent increase in competition could result in looser underwriting standards and exaggerate expectations. And if another recession or downdraft in the market coincides with this expansion, we would expect a significant challenge to many vintages." * Moody's Takes Action on 3 RMBS Deals Backed by Assured Guaranty ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of four tranches, confirmed the ratings of two tranches, and affirmed the ratings of 41 tranches from three RMBS resecuritization deals. The resecuritizations are backed by underlying bonds from different prime jumbo, Alt-A , subprime, and HELOC RMBS transactions. Ratings Rationale The rating actions reflect the January 18, 2013 rating action on some of the underlying bonds wrapped by Assured Guaranty Municipal Corp. (AGM) and Assured Guaranty Corp. (AGC). The actions also reflect the recent performance of the pools of mortgages backing the underlying bonds and the updated loss expectations on the resecuritization bonds. The principal methodology used in these ratings was "Moody's Approach to Rating US Resecuritized Residential Mortgage-Backed Securities" published in February 2011. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The principal methodology used in determining the ratings of the underlying bonds is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. For securities insured by a financial guarantor, the rating on the securities is the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described earlier. The primary sources of assumption uncertainty are our central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.5% in December 2011 to 7.9% in January 2013. Moody's forecasts a unemployment central range of 7.5% to 8.5% for the 2013 year. Moody's expects housing prices to gradually rise towards the end of 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of the transaction. As part of the sensitivity analysis, we stressed the updated losses on the underlying bonds by an additional 10% and found that the implied ratings of the resecuritization bonds do not change. Complete rating actions are as follows: Issuer: AAA Trust 2007-2 Cl. A-1, Affirmed A3 (sf); previously on Jan 18, 2013 Downgraded to A3 (sf) Financial Guarantor: Assured Guaranty Corp (Downgraded to A3, Outlook Stable on Jan 17, 2013) Cl. A-2, Affirmed A3 (sf); previously on Jan 18, 2013 Downgraded to A3 (sf) Financial Guarantor: Assured Guaranty Corp (Downgraded to A3, Outlook Stable on Jan 17, 2013) Cl. A-3, Affirmed C (sf); previously on May 24, 2011 Downgraded to C (sf) Cl. X, Affirmed Caa2 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Issuer: CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES Cl. 04D-1a, Affirmed Caa2 (sf); previously on Jun 29, 2011 Downgraded to Caa2 (sf) Cl. 04D-1b, Affirmed Caa2 (sf); previously on Jun 29, 2011 Downgraded to Caa2 (sf) Cl. 04E-1a, Affirmed Caa2 (sf); previously on Jun 29, 2011 Downgraded to Caa2 (sf) Cl. 04E-1b, Affirmed Caa2 (sf); previously on Jun 29, 2011 Downgraded to Caa2 (sf) Cl. 04F-1a, Affirmed Caa2 (sf); previously on Jun 29, 2011 Downgraded to Caa2 (sf) Cl. 04F-1b, Affirmed Caa2 (sf); previously on Jun 29, 2011 Downgraded to Caa2 (sf) Cl. 04K-1a, Affirmed Caa3 (sf); previously on Jun 29, 2011 Downgraded to Caa3 (sf) Cl. 04K-1b, Affirmed Caa3 (sf); previously on Jun 29, 2011 Downgraded to Caa3 (sf) Cl. 04L-1a, Affirmed Caa2 (sf); previously on Jun 29, 2011 Downgraded to Caa2 (sf) Cl. 04L-1b, Affirmed Caa2 (sf); previously on Jun 29, 2011 Downgraded to Caa2 (sf) Cl. 04M-1a, Affirmed Caa2 (sf); previously on Jun 29, 2011 Downgraded to Caa2 (sf) Cl. 04M-1b, Affirmed Caa2 (sf); previously on Jun 29, 2011 Downgraded to Caa2 (sf) Cl. 04N-1a, Affirmed Caa3 (sf); previously on Jun 29, 2011 Downgraded to Caa3 (sf) Cl. 04N-1b, Affirmed Caa3 (sf); previously on Jun 29, 2011 Downgraded to Caa3 (sf) Cl. 04P-1a, Affirmed Caa2 (sf); previously on Dec 5, 2012 Downgraded to Caa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Developing on Nov 19, 2012) Cl. 04P-1b, Affirmed Caa2 (sf); previously on Dec 5, 2012 Downgraded to Caa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Developing on Nov 19, 2012) Cl. 04Q-1a, Affirmed Caa3 (sf); previously on Jun 2, 2009 Downgraded to Caa3 (sf) Cl. 04Q-1b, Affirmed Caa3 (sf); previously on Jun 2, 2009 Downgraded to Caa3 (sf) Cl. 04R-1a, Affirmed Ca (sf); previously on Jun 2, 2009 Downgraded to Ca (sf) Cl. 04R-1b, Affirmed Ca (sf); previously on Jun 2, 2009 Downgraded to Ca (sf) Cl. 04T-1a, Affirmed Ca (sf); previously on Jun 29, 2011 Downgraded to Ca (sf) Cl. 04T-1b, Affirmed Ca (sf); previously on Jun 29, 2011 Downgraded to Ca (sf) Cl. 04U-1a, Affirmed Ca (sf); previously on Jun 2, 2009 Downgraded to Ca (sf) Cl. 04U-1b, Affirmed Ca (sf); previously on Jun 2, 2009 Downgraded to Ca (sf) Cl. 05A-1a, Affirmed Caa2 (sf); previously on Dec 5, 2012 Downgraded to Caa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Developing on Nov 19, 2012) Cl. 05A-1b, Affirmed Caa2 (sf); previously on Dec 5, 2012 Downgraded to Caa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Developing on Nov 19, 2012) Cl. 05B-1a, Affirmed Caa3 (sf); previously on Jun 2, 2009 Downgraded to Caa3 (sf) Cl. 05B-1b, Affirmed Caa3 (sf); previously on Jun 2, 2009 Downgraded to Caa3 (sf) Cl. 05C-1a, Downgraded to A2 (sf); previously on Dec 5, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded to A2, Outlook Stable on Jan 17, 2013) Cl. 05C-1b, Downgraded to A2 (sf); previously on Dec 5, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded to A2, Outlook Stable on Jan 17, 2013) Cl. 05D-1a, Downgraded to A2 (sf); previously on Dec 5, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded to A2, Outlook Stable on Jan 17, 2013) Cl. 05D-1b, Downgraded to A2 (sf); previously on Dec 5, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded to A2, Outlook Stable on Jan 17, 2013) Cl. 05E-1a, Affirmed Caa2 (sf); previously on Dec 5, 2012 Downgraded to Caa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Developing on Nov 19, 2012) Cl. 05E-1b, Affirmed Caa2 (sf); previously on Dec 5, 2012 Downgraded to Caa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa2, Outlook Developing on Nov 19, 2012) Cl. 05F-1a, Affirmed Ca (sf); previously on Jun 29, 2011 Downgraded to Ca (sf) Cl. 05F-1b, Affirmed Ca (sf); previously on Jun 29, 2011 Downgraded to Ca (sf) Cl. 05G-1a, Affirmed Caa3 (sf); previously on Jun 29, 2011 Downgraded to Caa3 (sf) Cl. 05G-1b, Affirmed Caa3 (sf); previously on Jun 29, 2011 Downgraded to Caa3 (sf) Cl. 05H-1a, Affirmed Caa3 (sf); previously on Jun 29, 2011 Downgraded to Caa3 (sf) Cl. 05H-1b, Affirmed Caa3 (sf); previously on Jun 29, 2011 Downgraded to Caa3 (sf) Issuer: Financial Asset Securities Corp. AAA Trust 2003-1 Cl. A-5, Confirmed at Ba2 (sf); previously on Feb 13, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. A-6, Confirmed at Baa3 (sf); previously on Feb 13, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. X, Affirmed Ba1 (sf); previously on Feb 22, 2012 Downgraded to Ba1 (sf) * S&P Lowers Rating on 4 Tranches from 3 CDO Transactions --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on four tranches from two corporate-backed synthetic collateralized debt obligation (CDO) transactions and one synthetic CDO transaction referencing commercial-mortgage backed-securities. At the same time, S&P withdrew its ratings on four tranches from three corporate-backed synthetic CDO transactions and affirmed its rating on one tranche from one corporate-backed synthetic CDO transaction. The downgrades are from tranches that either experienced principal losses due to credit events in the underlying portfolios or have had interest shortfall observed on tranches. The withdrawals follow notices of cancellation of the notes. S&P notes that it withdrew its rating on the CreditLink notes from Iridal Public Ltd. Co. following the withdrawal of its rating on the underlying linked security. The affirmed rating reflects S&P's belief that the credit support available is commensurate with the current rating level. 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 ARLO VII Ltd. Series 2007-CSTOB-7A-2 Rating Class To From CSTON-7A-2 D (sf) CCC- (sf) ARLO VII Ltd. Series 2007-CSTON-10A-2 Rating Class To From CSTON-10A-2 CCC- (sf) CCC- (sf) Tiers Wolcott Synthetic CDO Floating Rate Credit Linked Trust Series 2007-27 Rating Class To From Certificate D (sf) CC (sf) Aphex Capital NSCR 2007-7SR Ltd. Rating Class To From A-1A D (sf) CC (sf) A-1B D (sf) CC (sf) RATINGS WITHDRAWN STARTS (Cayman) Ltd. Series 2006-6 Rating Class To From B1-A1 NR B (sf) Iridal Public Ltd. Co. Series 4 Rating Class To From CreditLink NR AAA (sf) Morgan Stanley ACES SPC AUD20 mil class III floating rate secured combination notes series 2007-9 Class To From Class III interest NR CCC- (sf) Class III principle NR BB-p (sf) NR - Not rated. * S&P Lowers Rating on 16 Classes From 43 US CDO Transactions ------------------------------------------------------------- Standard & Poor's Ratings Services said that it affirmed its ratings on 24 tranches from 24 corporate-backed synthetic collateralized debt obligations (CDOs). S&P lowered its ratings on 16 tranches from 16 corporate-backed CDOs. At the same time, S&P withdrew its ratings on two tranches from two corporate-backed synthetic CDO transactions and one from one of CDO transaction. The affirmed ratings reflect S&P's belief that the credit support available is commensurate with the current rating level. The downgrades are from tranches with attachment points that were breached. The withdrawals result from lack of timely information on the tranches. 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: Cloverie PLC Series 2007-24 Rating Class To From 2007-24 CCC- (sf) CCC- (sf) Credit Default Swap Rating Class To From Tranche CCC-srb (sf) CCC-srb (sf) Deutsche Bank AG Rating Class To From Tranche CCC-srp (sf) CCC-srp (sf) Infiniti SPC Limited Series 2007-4 Rating Class To From B CCC- (sf) CCC- (sf) Landgrove Synthetic CDO SPC Series 2007-2 Rating Class To From C2 CCC- (sf) CCC- (sf) PARCS Master Trust Series 2006-8 TRIPOLI Rating Class To From Trust Unit CCC- (sf) CCC- (sf) PARCS Master Trust Series 2007-4 CALVADOS Rating Class To From Trust Unit CCC- (sf) CCC- (sf) PARCS Master Trust Series 2007-8 Rating Class To From Trust Unit CCC- (sf) CCC- (sf) PARCS Master Trust Rating Class To From Unit CCC- (sf) CCC- (sf) PARCS Master Trust Series 2007-19 Rating Class To From TrustUnits CCC- (sf) CCC- (sf) Rutland Rated Investments Series 2007-1 (48) Rating Class To From A3A-F CCC- (sf) CCC- (sf) Rutland Rated Investments Series 48 Rating Class To From A3A-L CCC- (sf) CCC- (sf) STARTS (Cayman) Ltd. Series 2006-8 Rating Class To From C1-D1 CCC- (sf) CCC- (sf) STARTS (Cayman) Ltd. Series 2007-14 Rating Class To From A2-A CCC- (sf) CCC- (sf) STARTS (Cayman) Ltd. 2007-18 Rating Class To From B1-A1 CCC- (sf) CCC- (sf) STARTS (Cayman) Ltd. 2007-29 Rating Class To From B3-D3 CCC- (sf) CCC- (sf) STARTS (Ireland) PLC 2007-15 Rating Class To From Notes CCC- (sf) CCC- (sf) STEERS Randolph Gate CDO Trust 2006-1 Rating Class To From Trust Unit CCC- (sf) CCC- (sf) STEERS Thayer Gate CDO Trust Series 2006-6 Rating Class To From Trust Unit CCC- (sf) CCC- (sf) Strata Trust Series 2007-4 Rating Class To From Notes CCC- (sf) CCC- (sf) Tribune Ltd. Series 28 Rating Class To From Aspen061A3 CCC- (sf) CCC- (sf) Tribune Ltd. 39 Rating Class To From Tranche CCC- (sf) CCC- (sf) UBS AG (Jersey Branch) 3832 Rating Class To From Notes CCC- (sf) CCC- (sf) UBS AG (Jersey Branch) 4012 Rating Class To From Notes CCC- (sf) CCC- (sf) RATINGS LOWERED: US$10 mil Swap Risk Rating Portfolio - CDS Reference # C1304925M Rating Class To From Swap D (sf) CCsrp (sf) US$10 mil Swap Risk Rating Portfolio - CDS Reference # C1315268M Rating Class To From Swap D (sf) CCsrp (sf) US$50 mil Swap Risk Rating Portfolio - CDS Reference # C1355189M Rating Class To From Swap D (sf) CCsrp (sf) Primoris SPC Ltd Series A1-7 Rating Class To From Nts D (sf) CC (sf) Primoris SPC Ltd Series A1-7-2 Rating Class To From Nts D (sf) CC (sf) Primoris SPC Ltd Series A2-7 Rating Class To From Nts D (sf) CC (sf) Primoris SPC Ltd Series A5-7 Rating Class To From Nts D (sf) CC (sf) Primoris SPC Ltd Series A6-7 Rating Class To From Nts D (sf) CC (sf) Primoris SPC Ltd Series B1-7 Rating Class To From Nts D (sf) CC (sf) Primoris SPC Ltd Series B2-10-2 Rating Class To From Nts D (sf) CC (sf) Primoris SPC Ltd Series C3-7 Rating Class To From Nts D (sf) CC (sf) Primoris SPC Ltd Series D1-7-2 Rating Class To From Nts D (sf) CC (sf) Primoris SPC Ltd Series D3-10 Rating Class To From Nts D (sf) CC (sf) Primoris SPC Ltd Series E3-7 Rating Class To From Nts D (sf) CC (sf) Primoris SPC Ltd Series F1-10 Rating Class To From Nts D (sf) CC (sf) Signum Platinum II Ltd. Series 2006-01 2006-01 Rating Class To From 2006-01 D (sf) CC (sf) RATINGS WITHDRAWN: Aphex Pacific Capital Ltd. 5 DESIGN 2006 Rating Class To From NR CCC- (sf) Morgan Stanley ACES SPC Series 2006-16 Rating Class To From III NR CCC- (sf) Sceptre Capital B.V. 2007-2 Rating Class To From NR CC (sf) NR-Not Rated * S&P Lowers Ratings on 6 Classes From 3 U.S. CMBS Transactions --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on six classes of commercial mortgage pass-through certificates from three U.S. commercial mortgage-backed securities (CMBS) transactions due to current and potential interest shortfalls and reduced liquidity support. S&P lowered its ratings on four of these classes to 'D (sf)' because it expects the accumulated interest shortfalls to remain outstanding for the foreseeable future. The four classes that S&P downgraded to 'D (sf)' have had accumulated interest shortfalls outstanding for nine to 12 months. The recurring interest shortfalls for the respective certificates are primarily due to one or more of the following factors: -- Appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets. -- Special servicing fees. -- Shortfalls due to rate modifications. Standard & Poor's analysis primarily considered the ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. S&P also considered special servicing fees that it believes are likely to cause recurring interest shortfalls. The servicer implements ARAs and resulting ASER amounts in accordance with each respective transaction's terms. Typically, these terms call for the automatic implementation of an ARA equal to 25% of the stated principal balance of a loan when a loan is 60 days past due and an appraisal or other valuation is not available within a specified timeframe. S&P primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals. Credit Suisse First Boston Mortgage Securities Corp., Series 2002- CP5 S&P lowered its ratings on the Class H, J, and K certificates from Credit Suisse First Boston Mortgage Securities Corp., Series 2002- CP5. S&P lowered its ratings on the Class J and K certificates to 'D (sf)' to reflect accumulated interest shortfalls outstanding nine months, primarily due to ASER amounts related to 13 ($81.8 million; 67.6%) of the 21 assets ($119.4 million; 98.6%) that are currently with the special servicer, LNR Partners Inc., and special servicing fees of $24,998. S&P expects these accumulated interest shortfalls to remain outstanding for the foreseeable future. S&P lowered its rating on Class H due to reduced liquidity support available to the class resulting from the continued interest shortfall. Class H has outstanding accumulated interest shortfalls for six months. As of the Jan. 17, 2013, trustee remittance report, ARAs totaling $38.5 million were in effect for 15 of the 21 specially serviced assets, and the total reported ASER amount was $12,437. The net reported monthly interest shortfalls totaled $41,758 and affected Class J and all bonds subordinate to it. Credit Suisse First Boston Mortgage Securities Corp., Series 2003- C5 S&P lowered its ratings on the Class J and K certificates from Credit Suisse First Boston Mortgage Securities Corp., Series 2003- C5, due to interest shortfalls. S&P lowered its rating on the Class K certificate to 'D (sf)' to reflect accumulated interest shortfalls outstanding for nine months, primarily due to ASER amounts related to four ($22.8 million; 3.3%) of the five ($34.1 million; 4.9%) assets that are currently with the special servicer, Torchlight Investors LLC, and special servicing fees of $18,999. S&P lowered its rating on the Class J certificate due to reduced liquidity support available to the class and the potential for the class to experience interest shortfalls related to the specially serviced assets. As of the Jan. 17, 2013, trustee remittance report, ARAs totaling $7.1 million were in effect for five specially serviced assets. The total reported monthly ASER amount was $36,067. Of the monthly shortfalls, $232,503 is workout fees. Given the liquidation of one asset, it is expected that $231,221 of the shortfall will not be ongoing. The reported monthly interest shortfalls totaled $358,454 and affected Class F and all of the classes subordinate to it. Credit Suisse First Boston Mortgage Securities Corp., Series 2005- C3 S&P lowered its rating on the Class E certificate from Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, to 'D (sf)' due to accumulated interest shortfalls outstanding for 12 months. The accumulated interest shortfalls were primarily as a result of ASER amounts related to five ($33.3 million; 3.0%) of the seven ($35.1 million; 3.1%) assets that are currently with the special servicer, LNR Partners Inc., and special servicing fees of 24,179. As of the Jan. 17, 2013, trustee remittance report, ARAs totaling $11.7 million were in effect for five of the specially serviced loans. The reported ASER amount was $53,775. The reported monthly interest shortfalls totaled $ 80,086 and affected all bonds subordinate to and including Class E. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED Credit Suisse First Boston Mortgage Securities Corp., Series 2002- CP5 Reported Rating Credit Interest shortfalls Class To From enhcmt(%) Current Accumulated H CCC(sf) BB+(sf) 36.45 0 97,250 J D(sf) CCC(sf) 18.09 97,234 753,776 K D(sf) CCC-(sf) 13.19 25,931 230,896 Credit Suisse First Boston Mortgage Securities Corp., Series 2003- C5 Reported Rating Credit Interest shortfalls Class To From enhcmt(%) Current Accumulated J CCC-(sf) CCC(sf) 3.63 41,194 41,194 K D(sf) CCC-(sf) 2.72 27,464 141,428 Credit Suisse First Boston Mortgage Securities Corp., Series 2005- C3 Reported Rating Credit Interest shortfalls Class To From enhcmt(%) Current Accumulated E D(sf) CCC-(sf) 1.1 31,485 57,205 * S&P Lowers Ratings on 43 Classes From 24 US RMBS Transactions --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 43 classes from 15 U.S. residential mortgage-backed securities (RMBS) transactions and removed 22 of them from CreditWatch with negative implications, four from CreditWatch with positive implications, and 16 from CreditWatch with developing implications. S&P also raised its rating on one class from one transaction and removed it from CreditWatch developing. S&P also affirmed its ratings on 72 classes from 21 transactions and removed five from CreditWatch negative, one from CreditWatch positive, and 10 from CreditWatch developing. Furthermore, S&P withdrew its ratings on five classes because they were supported by mortgage pools containing less than 20 loans, paid in full, or in accordance with S&P's interest-only (IO) criteria. The transactions in this review were issued between 1995 and 2008 and are backed by a mix of adjustable- and fixed-rate subprime and "scratch-and-dent" loans secured primarily by first liens on one- to four-family residential properties. On Aug. 15, 2012, S&P placed its ratings on 63 classes from 19 of the transactions within this review on CreditWatch negative or developing, along with ratings from a group of other RMBS securities due to the implementation of S&P's recently revised criteria for surveilling pre-2009 U.S. RMBS ratings. S&P completed its review of the transactions herein using the revised assumptions and these rating actions resolve some of the CreditWatch placements. The directional movements of the CreditWatch resolutions within this review are as follows: Three or fewer More than three From Watch Affirmations notches notches Up Down Up Down Watch Pos 1 0 3 0 0 Watch Neg 5 0 3 0 19 Watch Dev 10 0 11 1 5 * S&P withdrew its ratings on an additional four classes, which were also on CreditWatch. The high percentage of CreditWatch negative placements reflected S&P's projection that remaining losses for the majority of the subprime transactions will increase. S&P may have placed its ratings on CreditWatch negative for certain structures that had reduced forecasted losses due to an increased multiple of loss coverage for certain investment-grade rated tranches as set forth in its revised criteria. The increase in projected losses resulted from one or more of the following factors: -- An increase in our 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 have 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 described above, S&P increased its remaining loss projections for the majority of the transactions in this review from its previous projections. The remaining projected losses ranged from an increase of 1.61% (to 39.58% from 38.96%) for Accredited Mortgage Loan Trust 2007-1 to an increase of 140.44% (to 30.56% from 12.71%) for OwnIt Mortgage Loan Trust, Series 2005-1. "We lowered our ratings on 43 classes from 15 transactions. Of the lowered ratings, we lowered our ratings on 21 classes out of investment-grade, including 16 that we lowered to 'CCC (sf)' or lower. Of the classes we downgraded out of investment-grade, 13 classes from three transactions had ratings in the 'AAA (sf)' categories before today's actions. Some of the downgrades to speculative-grade from 'AAA (sf)' reflect significant increases to our updated loss severities for the related transactions. Another nine ratings remain at investment-grade after being lowered. We rated the remaining classes with lowered ratings in the speculative-grade category before today's rating actions. Of the ratings lowered, class B-2 from Structured Asset Securities Corp. 2005-RF2 reflected the application of our interest shortfall criteria," S&P said. Despite the increase in remaining projected losses, S&P raisedthe rating on class A-2B from Merrill Lynch Mortgage Investors Trust Series 2005-HE3, which S&P originally rated in an investment-grade category. In general, the upgrade reflects two general trends S&P have seen in this type of transaction: -- The transaction has failed its cumulative loss trigger, resulting in the permanent sequential payment of principal to its respective class, thereby locking out any principal payments to lower-rated subordinate classes, which prevents credit support erosion; and -- The class has a first priority in interest and principal payments driven by the occurrence of the above. The raised rating has sufficient projected credit support to absorb the projected remaining losses associated with those rating stresses. For certain transactions, S&P considered specific performance characteristics that, in S&P's view, may add a layer of volatility to its loss assumptions when they are stressed at the rating as suggested by its cash flow models. In these circumstances, S&P either limited the extent of its upgrades or affirmed its ratings on those classes in order to buffer against this uncertainty and promote ratings stability. In general, the bonds that were affected reflect the following: -- 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. The five 'AAA (sf)' ratings from four transactions that S&P affirmed affect bonds that: -- Have more than sufficient credit support to absorb the projected remaining losses associated with this rating stress; and -- Benefit from permanently failing cumulative loss triggers. The five affirmations from three transactions in the 'AA (sf)' and 'A (sf)' categories affect classes that: -- Are currently in first, second, or third payment priority; and -- Benefit from permanently failing cumulative loss triggers. In addition, S&P affirmed its ratings on six classes from six transactions in the 'BBB (sf)' through 'B (sf)' rating categories. The projected credit support on these particular bonds remained relatively consistent with prior projections. S&P affirmed its ratings on 56 additional classes in the 'CCC (sf)' or 'CC (sf)' rating categories. S&P believes that the projected credit support for these classes will remain insufficient to cover the revised projected losses to these classes. "We withdrew our ratings on three classes in accordance with our IO criteria because the referenced classes no longer sustain ratings above 'A+ (sf)'. We withdrew one other rating because the class is within a structure or transaction that is backed by less than 20 loans outstanding. We withdrew one other rating because the class paid in full," S&P noted. Standard & Poor's believes that the liquidation of one or more of the loans in transactions with a small number of remaining loans may have an adverse effect on the stability of its outstanding ratings. Therefore, in cases where a structure contained fewer than 100 loans or was approaching 100 loans remaining, S&P addressed tail risk by conducting additional loan-level analysis that stressed the loan concentration risk within the specific pool. In accordance with S&P's counterparty criteria, it considered any applicable hedges related to these securities when performing these rating actions. Subordination, overcollateralization (when available), and excess interest generally provide credit support for the reviewed transactions. 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 Lowers Ratings on 33 Classes From 7 US RMBS Transactions -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 33 classes from seven U.S. residential mortgage-backed securities (RMBS) transactions. Of these, S&P removed 31 from CreditWatch with negative implications. In addition, S&P raised its ratings on nine classes from two transactions and removed eight of these ratings from CreditWatch developing. S&P also affirmed its ratings on 26 classes from seven transactions, removed three from CreditWatch negative, and took three off CreditWatch developing. S&P also withdrew its ratings on four classes from two transactions due to its current interest-only criteria which prompts withdrawal on these classes that would be rated below 'AA- (sf)'. Each of the nine structures reviewed are backed by prime jumbo collateral. The transactions in this review were issued between 2002 and 2007 and are backed by adjustable- and fixed-rate mortgage loans secured primarily by first liens on one- to four- family residential properties. On Aug. 15, 2012, S&P placed its ratings on 49 classes from six of these transactions on CreditWatch negative or developing, along with ratings from a group of other RMBS securities due to the implementation of S&P's recently revised criteria for surveilling U.S. RMBS ratings assigned before 2009. Ratings on CreditWatch negative accounted for about 78% of the resolved CreditWatch actions in this review, with the remainder ratings on CreditWatch developing. S&P completed its review of these transactions using its revised assumptions, and these rating actions resolve these CreditWatch placements. 3 or fewer More than 3 From Affirmations notches notches Up Down Up Down Watch Pos 0 0 0 0 0 Watch Neg 3 0 24 0 7 Watch Dev 3 0 0 8 0 The high percentage of CreditWatch negative placements reflected S&P's projection that remaining losses for a majority of the prime jumbo transactions will increase. The ratings on certain structures were on CreditWatch negative because of decreased forecasted losses because of a higher multiple of loss coverage for certain investment-grade rated tranches, as set forth in S&P's revised criteria. The increased projected losses resulted from one or more of the following factors: -- An increase in S&P's default and loss multiples at higher investment-grade rating levels. -- An increased portion (generally 1%-8%) of nondelinquent loans are now categorized as reperforming (many of these loans have been modified) and -- have a default frequency of 25%-30%. -- S&P's extended liquidation curves that eroded projected credit support prior to when it would be needed. In addition, some of the reviewed transactions or respective structures within a transaction are backed by a small remaining population of mortgage loans. Standard & Poor's believes that the liquidation of one or more of the loans in transactions with a small number of remaining loans may have an adverse effect on credit. This potential tail risk to the rated classes resulted from one or more of the following factors: -- Shifting-interest payment structures increase the possibility of volatile credit performance. The cash flow mechanics within these transactions allow unscheduled principal to be repaid to subordinate classes while more senior classes remain outstanding if certain performance triggers are met. This decreases the actual dollar amount of credit enhancement available to cover losses; -- The lack of optional terminations (clean-up calls) in which a designated participant can purchase the remaining loans within a trust when the pool factor declines to a defined percentage, effectively retiring the securities; and -- The lack of credit enhancement floors that could add additional protection to the classes within a structure. Securities currently rated 'AAA (sf)' in transactions that have shifting-interest pay mechanisms and do not benefit from a credit enhancement floor or an equivalent functional mechanism will be rated no higher than 'AA+ (sf)'. In cases where a structure contained fewer than 100 loans or is approaching 100 loans remaining, S&P addressed tail risk by conducting additional loan-level analysis that stresses the loan concentration risk within the specific pool. S&P may calculate loss severities at the loan level using assumptions, such as market-value declines published in S&P's 2009 RMBS criteria, instead of using pool-level assumptions. Because S&P developed its loss severity assumptions using an aggregate sample set of data, S&P applied a 1.2x adjustment factor to the loss severity assumption for each loan when calculating loan-level loss severities to account for potential variation between actual and calculated loss severities when a loan is liquidated. The loss severity S&P used in its analysis is equal to the higher of the calculated loss severity and 20%. S&P uses a 20% minimum loss severity to mitigate potential information risk differences between the actual property profile and condition and the reported estimated value using a housing price index. Finally, S&P apply a 50% minimum loss severity to the largest remaining loan balance if the calculated amount is lower. The final rating assigned to each class will be the lower of the rating derived by applying S&P's revised surveillance criteria and the rating derived by applying S&P's tail risk criteria. Some of the transactions in this review have failed their current delinquency triggers, which can affect the allocation of principal to their classes. However, the payment priority of the deals that failed these triggers might allow for additional allocation of principal to the subordinate classes if they begin passing their delinquency triggers again. In these instances, according to S&P's criteria, it lowered the ratings to 'AA+ (sf)' even though some of these classes pass S&P's 'AAA (sf)' stress scenario. Of the 33 downgraded classes, S&P lowered its ratings on six to speculative-grade from investment-grade. Each of these classes were lowered to ratings between 'BB+ (sf)' and 'B- (sf)'. In addition, 16 of the lowered ratings remain at investment-grade. The remaining 11 downgraded classes already had speculative-grade ratings prior to the downgrades. S&P affirmed its ratings on 20 classes in the 'CCC (sf)' or 'CC (sf)' categories. S&P believes that the projected credit support for these classes will remain insufficient to cover the revised base-case projected losses to these classes. In accordance with S&P's counterparty criteria, it considered any applicable hedges related to these securities when performing these rating actions and resolving the CreditWatch placements. For prime jumbo transactions subordination generally provides the credit support, while overcollateralization (prior to its depletion) and excess spread, when applicable, provide support for additional structures. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The 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 BellaVista Mortgage Trust 2004-1 Series 2004-1 Rating Rating Class CUSIP To From II-A-1 07820QAC9 A+ (sf) AA+ (sf)/Watch Neg II-A-2 07820QAD7 A+ (sf) AA+ (sf)/Watch Neg II-A-3 07820QAF2 A+ (sf) AA+ (sf)/Watch Neg II-A-4 07820QAG0 A+ (sf) AA+ (sf)/Watch Neg II-A-5 07820QAH8 A+ (sf) AA+ (sf)/Watch Neg II-M 07820QAQ8 B- (sf) BB (sf)/Watch Neg Citigroup Mortgage Loan Trust 2007-10 Series 2007-10 Rating Rating Class CUSIP To From 3A3A 17313QBP2 CC (sf) CCC (sf) GSR Mortgage Loan Trust 2003-9 Series 2003-9 Rating Rating Class CUSIP To From A-1 36228FWR3 B+ (sf) AAA (sf)/Watch Neg A-2 36228FWS1 B+ (sf) AAA (sf)/Watch Neg A3 36228FWT9 B+ (sf) AAA (sf)/Watch Neg X1 36228FWX0 NR AAA (sf)/Watch Neg X2 36228FWY8 NR AAA (sf)/Watch Neg X3 36228FWZ5 NR AAA (sf)/Watch Neg B1 36228FWU6 B+ (sf) AA- (sf)/Watch Neg B2 36228FWV4 CCC (sf) B- (sf)/Watch Neg Prime Mortgage Trust 2005-4 Series 2005-4 Rating Rating Class CUSIP To From I-A-1 74160MJX1 BBB+ (sf) A- (sf)/Watch Neg I-A-2 74160MJY9 BB+ (sf) BBB- (sf)/Watch Neg I-A-3 74160MJZ6 BB+ (sf) AA+ (sf)/Watch Neg I-A-4 74160MKA9 B (sf) BB+ (sf)/Watch Neg I-A-5 74160MKB7 BB (sf) BB (sf)/Watch Dev I-A-6 74160MKC5 BBB- (sf) BBB (sf)/Watch Neg I-A-7 74160MLM2 B (sf) BB (sf)/Watch Neg I-PO 74160MKD3 B (sf) BB (sf)/Watch Neg I-X 74160MKE1 NR AA+ (sf)/Watch Neg II-A-8 74160MKT8 B- (sf) CC (sf) II-A-10 74160MKV3 CC (sf) CCC (sf) Structured Asset Securities Corp. Series 2002-6 Rating Rating Class CUSIP To From 1-A5 86358RZK6 AA+ (sf) AAA (sf)/Watch Neg 2-A2 86358RZM2 AA+ (sf) AAA (sf)/Watch Neg AP 86358RZY6 AA+ (sf) AAA (sf)/Watch Neg AX 86358RZZ3 AA+ (sf) AAA (sf)/Watch Neg PAX 86358RZX8 AA+ (sf) AAA (sf)/Watch Neg IAX 86358RZW0 AA+ (sf) AAA (sf)/Watch Neg B1 86358RA23 AA (sf) AA (sf)/Watch Dev B2 86358RA31 B (sf) B (sf)/Watch Dev Structured Asset Securities Corp. Series 2002-5A Rating Rating Class CUSIP To From 1-A1 86358RYP6 A (sf) BB (sf)/Watch Dev 1-A2 86358RYQ4 A (sf) BB (sf)/Watch Dev 1-A3 86358RYR2 A (sf) BB (sf)/Watch Dev 1-A4 86358RYS0 A (sf) BB (sf)/Watch Dev 2-A1 86358RYU5 A (sf) BB (sf)/Watch Dev 2-A2 86358RYV3 A (sf) BB (sf)/Watch Dev 3-A 86358RYX9 B+ (sf) BB (sf)/Watch Neg 4-A 86358RYY7 A (sf) BB (sf)/Watch Dev 5-A 86358RYZ4 A (sf) BB (sf)/Watch Dev 6-A 86358RZA8 B (sf) BB (sf)/Watch Neg B1 86358RZB6 B (sf) B (sf)/Watch Neg B2 86358RZC4 CCC (sf) B (sf)/Watch Neg B3 86358RZD2 CCC (sf) B (sf)/Watch Neg Thornburg Mortgage Securities Trust 2004-1 Series 2004-1 Rating Rating Class CUSIP To From II-1A 885220EV1 AAA (sf) AAA (sf)/Watch Neg II-2A 885220EW9 AA+ (sf) AAA (sf)/Watch Neg II-3A 885220EX7 AA+ (sf) AAA (sf)/Watch Neg II-4A 885220EY5 AAA (sf) AAA (sf)/Watch Neg II-M 885220FA6 BBB (sf) A (sf)/Watch Neg RATINGS AFFIRMED BellaVista Mortgage Trust 2004-1 Series 2004-1 Class CUSIP Rating II-B-1 07820QAR6 CC (sf) Citigroup Mortgage Loan Trust 2007-10 Series 2007-10 Class CUSIP Rating 2A5A 17313QAW8 CCC (sf) 2A5B 17313QAX6 CC (sf) 3A1A 17313QBG2 CCC (sf) 3A2A 17313QBM9 CC (sf) GSR Mortgage Loan Trust 2003-9 Series 2003-9 Class CUSIP Rating B3 36228FWW2 CC (sf) Prime Mortgage Trust 2005-4 Series 2005-4 Class CUSIP Rating II-A-2 74160MKM3 CC (sf) II-A-3 74160MKN1 CC (sf) II-A-4 74160MKP6 CC (sf) II-A-7 74160MKS0 CC (sf) II-A-9 74160MKU5 CC (sf) II-A-11 74160MKW1 CC (sf) II-A-12 74160MKX9 CC (sf) II-PO 74160MKY7 CC (sf) I-B-1 74160MKH4 CCC (sf) I-B-2 74160MKJ0 CC (sf) I-B-3 74160MKK7 CC (sf) I-B-4 74160MLF7 CC (sf) I-B-5 74160MLG5 CC (sf) Structured Asset Securities Corp. Series 2002-6 Class CUSIP Rating B3 86358RA49 CCC (sf) * S&P Lowers Ratings on 217 Classes From 66 U.S. RMBS Deals ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 217 classes from 66 U.S. residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions and removed 210 of them from CreditWatch with negative implications and one from CreditWatch with developing implications. S&P also affirmed its ratings on 1,109 classes from 116 transactions and removed 751 of them from CreditWatch negative and 29 of them from CreditWatch developing. In addition, S&P is keeping 1,663 classes from 88 transactions on CreditWatch, negative or developing. Furthermore, S&P withdrew its ratings on 90 classes because they were paid in full or in accordance with its interest-only (IO) criteria. The transactions in this review were issued between 2003 and 2010 and are supported by underlying RMBS backed by an assortment of different collateral types including, but not limited to, prime, Alt-A, and subprime mortgage loans. Subordination, overcollateralization (when available), and excess interest as applicable generally provide credit support for underlying securities of the re-REMIC transactions. In addition, subordination within the capital structures of the re-REMICs themselves is generally existent in most transactions. On Oct. 26, 2012, S&P placed its ratings on 2,847 classes from 205 re-REMIC transactions on CreditWatch negative or developing due to the implementation of S&P's revised criteria, "U.S. RMBS Surveillance Credit and Cash Flow Analysis for Pre-2009 Originations," published Aug. 9, 2012. S&P completed its review for a portion of the transactions herein using the revised assumptions, and therefore these rating actions resolve some of the CreditWatch placements. The directional movements for the CreditWatch resolutions within this review are as follows: Three or fewer More than three From Watch Affirmations notches notches Down Down Watch Neg 751 130 80 Watch Dev 29 1 0 Overall, the CreditWatch resolutions indicated in the table above represent that most re-REMIC classes may have possessed adequate credit enhancement, which was indicative of a rating affirmation. The revised criteria did, however, result in a number of downward rating movements. S&P attributed roughly 10% of the downgrades to projected interest shortfalls applied to the re-REMIC classes based on the analysis. In particular, the revised criteria resulted in additional stress to certain underlying securities, thus affecting some re-REMIC classes. Such additional stresses include, but are not limited to, one or more of the following factors: -- An increase in our loss multiples at higher investment- grade rating levels; -- A substantial portion of nondelinquent loans now categorized as reperforming (many of these underlying loans have been modified) and have a default frequency from 25%- to-50%; -- Overall increases in roll rates (expected default) for 30- and 60-day delinquent loans; -- Application of a high prepayment/front end stress liquidation scenario under investment-grade rating scenarios; and -- An overall continued elevated level of observed loss severities. For certain transactions, S&P's lowest rating in the re-REMIC may be different than the lowest rating on an underlying class. S&P attribute this to the mechanics of the re-REMIC (such as additional credit enhancement or rapid pay-down at the re-REMIC level) or the application of additional stress at the re-REMIC level in concert with tempered upward rating movement compared with that of the underlying security. S&P resolved the CreditWatch placements for roughly half of the transactions within this review. When doing so, S&P applied its loss projections to the underlying collateral in order to identify the magnitude of losses that S&P believes could be passed through from the underlying securities to the applicable re-REMIC classes. In addition, S&P stressed its loss projections at various rating categories to assess whether the re-REMIC classes could withstand the stressed losses associated with their ratings, while receiving the appropriate level of interest and principal due. The remaining half, approximately, of re-REMIC transactions in this review have ratings that are remaining on CreditWatch. For roughly half of these, the CreditWatch resolutions are pending S&P's analysis of projected, if any, interest shortfalls that may affect the re-REMIC classes under the applicable rating scenario. For the other half, or so, the resolutions are pending S&P's evaluation of certain structural features of the re-REMIC and/or the mechanics of the underlying securities which may require additional analysis. As such, the CreditWatch placements for the associated classes will remain until S&P has concluded the extent of any applicable rating actions. S&P intends on completing these in subsequent weeks ahead. S&P lowered its ratings on three classes to 'D (sf)' due to defaults. Additionally, S&P affirmed a number of 'CCC' and 'CC' re-REMIC ratings based on its evaluation of the change in overall losses and associated downward rating movements of underlying securities, combined with S&P's overall view that the securities lack sufficient credit enhancement when compared with S&P's base- case outlook. S&P also withdrew its ratings on 90 classes either because the classes have been paid in full or in accordance with S&P's interest-only (IO) criteria in which the referenced classes no longer sustain ratings above 'A+ (sf)'. 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 Lowers Rating on 614 Classes From 120 US RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 614 classes from 120 U.S. residential mortgage-backed securities (RMBS) transactions and removed 390 of them from CreditWatch with negative implications and 110 of them from CreditWatch with developing implications. S&P also raised its ratings on 83 classes from 30 transactions and removed 13 of them from CreditWatch with positive implications, 37 of them from CreditWatch developing, and 12 of them from CreditWatch negative. S&P also affirmed its ratings on 464 classes from 136 transactions and removed 16 of them from CreditWatch negative, 18 from CreditWatch developing, and three of them from CreditWatch positive. Six classes from six transactions will remain on CreditWatch negative, and two classes from two transactions will remain on CreditWatch developing. S&P also withdrew its ratings on 65 classes from 30 transactions. Of the withdrawn ratings, 43 were on CreditWatch negative and four were on CreditWatch developing. Three of the withdrawn ratings were lowered prior to withdrawal. The transactions in this review were issued between 1999 and 2008 and are backed primarily by adjustable- and fixed-rate Alt-A and Neg-am mortgage loans secured primarily by first liens on one- to four-family residential properties. The IndyMac Loan Trust and IndyMac Residential Mortgage-Backed Trust transactions in this review are backed by residential lot loans. On Aug. 15, 2012, S&P placed its ratings on 654 classes from 105 transactions within this review on CreditWatch negative, positive, or developing, along with ratings from a group of other RMBS securities after implementing S&P's recently revised criteria for surveillance on pre-2009 U.S. RMBS ratings. CreditWatch negative placements were approximately 57% of the actions, CreditWatch developing placements were approximately 36%, and CreditWatch positive placements were approximately 7%. S&P completed its review using the new methodology and assumptions, and the rating actions resolve some of the CreditWatch placements; an overview of the directional change of the CreditWatch resolutions is as follows: Three or fewer More than three From Affirmations notches notches Up Down Up Down Watch Pos 3 2 0 11 0 Watch Neg 16 8 162 4 228 Watch Dev 18 12 89 25 21 The high number of CreditWatch negative placements reflected S&P's projection that remaining losses for most of the transactions in this review will increase. S&P may have also placed its ratings on CreditWatch negative for certain structures that had reduced forecasted losses due to an increased multiple of loss coverage for certain investment-grade rated tranches as set forth in S&P's revised criteria. Increases in projected losses resulted from one or more of the following factors: -- An increase in our default and loss multiples at higher investment-grade rating levels; -- A substantial portion of non-delinquent loans now categorized as reperforming (many of these loans have been modified) and having a default frequency of between 30% and 45%; -- Increased roll-rates for 30- and 60-day delinquent loans; and -- An overall continued elevated level of observed loss severities. S&P used deal- or shelf-specific loss severities for the majority of the transactions within this review: 38% of the Alt-A and 45% of the Neg-am structures had loss severities that were greater than the default loss severity for its respective cohort. Shelf No.deals/ structures Name reviewed American General Mortgage Loan Trust (AGT0) 1/1 American Home Mortgage Assets Trust (AHA0) 1/1 American Home Mortgage Investment Trust (AHM0) 8/25 Banc of America Alternative Loan Trust (BAA0) 3/5 Banc of America Funding Trust (BAF0) 2/5 BCAP LLC Trust (BCP0) 2/2 Bear Stearns Mortgage Funding (BSF0) 6/9 Chevy Chase Funding LLC (CCF0) 2/2 Citicorp Mortgage Securities Inc. (CMA0) 2/2 Citigroup Mortgage Loan Trust (CML0/SB70) 4/8 Credit Suisse First Boston Mtg. Sec. Corp. (CSF0) 8/13 CSMC Mortgage-Backed Trust (CSM0) 2/4 Alternative Loan Trust (CWA0/CWF0) 15/18 Deutsche Alt-A Securities Mortgage Loan Tr (DAA0) 4/4 Deutsche Alt-B Securities Mortgage Loan Tr (DAB0) 1/1 Deutsche Mortgage Securities (DMS0) 3/4 DSLA Mortgage Loan Trust (DSLA) 1/1 First Horizon Alternative Mortgage Sec. Tr (FHAT) 3/3 Freddie Mac Securities REMIC Trust (FHL0) 1/2 Fannie Mae Grantor Trust (FNM0) 1/1 FNT Trust (FNT0) 1/1 Greenpoint Mortgage Funding (GPM0) 4/5 GSAA Trust (GSAA) 1/1 Home Re (HMRE) 1/1 Homestar Mortgage Acceptance Corp. (HMS0) 1/1 HomeBanc Mortgage Trust (HMT0) 3/4 Harborview Mortgage Loan Trust (HVML) 1/4 IndyMac Loan Trust (ILT0) 4/4 Impac CMB Trust (IMHE) 5/12 IndyMac IMJA Mortgage Loan Trust (IMJA) 1/1 IndyMac IMSC Mortgage Loan Trust (IMSC) 2/2 IndyMac INDA Mortgage Loan Trust (INA0) 3/3 IndyMac INDB Mortgage Loan Trust (INDB) 1/1 IndyMac Residential Mortgage-Backed Trust (INRM) 2/2 IndyMac INDX Mortgage Loan Trust (INX0) 2/2 Impac Secured Assets (ISC0) 9/13 JPMorgan Alternative Loan Trust (JMA0) 2/3 Lehman Mortgage Trust (LMT0) 6/22 Luminent Mortgage Trust (LUM0) 1/1 Lehman XS Trust (LXS0) 1/1 MASTR Alternative Loan Trust (MALT) 13/17 MASTR Adjustable Rate Mortgages Trust (MARM) 2/2 Morgan Stanley Mortgage Loan Trust (MSM0) 4/6 Wells Fargo Bank (NAA0) 1/1 Opteum Mortgage Acceptance Corporation (OMAC) 1/1 PHH Alternative Mortgage Trust (PHHA) 1/1 PNC Mortgage Securities Corp. (PNC9) 1/1 Residential Asset Securitization Trust (RAS0) 1/1 RALI/RAMP Trust (RFC0) 9/12 RBSGC Mortgage Loan Trust (RGC0) 2/3 Structured Asset Mortgage Investments II (SAMI) 4/4 Structured Adjustable Rate Mortgage Loan Tr (SAR0) 4/6 Structured Asset Securities Corp. (SAS0) 7/7 SBI Home Equity Loan Trust (SBI0) 1/2 Terwin Mortgage Trust (TMT0/TWM0) 2/4 Washington Mutual Mtg.Pass-Thr. Cert. Tr (WAL0) 3/3 Wachovia Mortgage Loan Trust (WML0) 1/1 WaMu Mortgage Pass-Through Certificates (WMS0) 3/3 Shelf # IG # Non-IG # IG to # Down/Up Name Affirmed Affirmed Non-IG >3 notches AGT0 6 0 0 0/0 AHA0 0 1 0 0/0 AHM0 3 28 7 17/1 BAA0 0 5 0 7/6 BAF0 0 17 1 1/0 BCP0 0 1 0 1/1 BSF0 0 10 0 0/0 CCF0 0 2 0 0/3 CMA0 0 6 0 0/1 CML0 0 3 4 7/0 CSF0 6 7 10 21/0 CSM0 0 45 0 0/9 CWA0 0 42 7 13/0 CWF0 0 8 8 10/4 DAA0 0 7 1 1/0 DAB0 0 0 0 0/0 DMS0 4 14 2 6/0 DSLA 0 1 3 5/0 FHAT 0 3 0 0/0 FHL0 0 0 0 0/0 FNM0 4 0 0 0/0 FNT0 0 0 0 0/0 GPM0 0 6 0 1/0 GSAA 0 2 0 3/0 GSR0 0 0 0 0/0 HMRE 0 0 0 0/0 HMS0 0 2 0 1/0 HMT0 0 9 1 2/1 HVML 3 1 0 0/0 ILT0 0 0 0 0/0 IMHE 0 1 4 8/0 IMJA 0 0 0 0/0 IMSC 0 0 0 0/0 INA0 0 7 0 0/0 INDB 0 4 0 0/0 INRM 0 0 0 0/0 INX0 0 4 4 4/0 ISC0 1 8 6 9/0 JMA0 0 2 0 0/0 LMT0 0 32 0 0/1 LUM0 0 1 0 0/0 LXS0 0 1 0 0/0 MALT 0 65 16 61/5 MARM 0 4 4 21/0 MSM0 0 16 0 7/0 NAA0 1 0 0 0/0 OMAC 4 2 0 0/1 PHHA 0 3 0 0/0 PNC9 0 0 0 0/0 RAS0 0 0 0 0/0 RFC0 0 8 6 13/0 RGC0 0 0 2 2/0 SAMI 0 8 0 0/1 SAR0 0 17 0 4/0 SAS0 0 6 2 4/18 SB70 0 2 1 6/0 SBI0 0 0 0 2/1 TMT0 0 4 0 0/1 TWM0 0 1 0 3/0 WAL0 0 10 0 0/0 WML0 0 3 0 0/0 WMS0 0 3 7 9/0 IG - Investment Grade The tables below detail information by vintage and on each reviewed shelf as of November 2012. Structure Count Vintage Alt-A Neg-Am High-LTV Lot Loan Small Bal. Comm Pre-05 81 12 4 1 1 2005 28 12 0 2 3 2006 27 20 0 3 3 2007 52 17 0 0 0 2008 3 1 0 0 0 Total DQ (%) Vintage Alt-A Neg-Am High-LTV Lot Loan Small Bal. Comm 1999 33.00 2000 29.39 2001 13.26 2002 13.11 2003 12.35 2004 14.75 21.83 12.32 78.64 0.00 2005 18.96 29.49 48.20 0.60 2006 25.76 48.33 91.88 4.93 2007 26.07 40.26 2008 26.54 Severe DQ (%) Vintage Alt-A Neg-Am High LTV Lot Loan Small Bal. Comm 1999 17.96 2000 24.74 2001 9.35 2002 8.59 2003 8.94 2004 11.37 17.28 9.05 78.64 0.00 2005 14.82 25.18 46.20 0.37 2006 21.10 43.21 89.22 3.01 2007 21.35 35.77 2008 22.39 Losses and Delinquencies* Shelf Avg. Pool Cum. Loss Serious DQ Total DQ Name Factor (%) Avg. (%) Avg. (%) Avg. (%) AGT0 33.83 0.66 5.34 9.57 AHA0 48.48 25.28 32.18 36.34 AHM0 21.07 15.16 16.67 19.66 BAA0 26.32 0.86 6.48 8.87 BAF0 41.03 9.68 17.91 20.62 BCP0 45.31 11.77 19.92 24.85 BSF0 44.63 25.39 39.68 43.95 CCF0 16.59 5.02 19.77 22.48 CMA0 39.38 9.01 12.05 17.16 CML0 18.95 2.07 12.92 15.55 CSF0 5.36 0.91 11.97 15.24 CSM0 52.99 8.30 21.50 25.17 CWA0 27.65 8.14 27.45 31.77 CWF0 12.94 1.77 23.16 27.09 DAA0 39.70 16.03 28.57 31.91 DAB0 47.68 18.75 35.22 40.09 DMS0 11.65 0.97 12.30 15.56 DSLA 9.83 2.50 14.39 21.10 FHAT 33.87 5.46 13.79 18.27 FHL0 25.57 4.59 14.76 20.27 GPM0 39.17 24.97 35.22 39.08 GSAA 13.74 0.99 23.96 23.96 HMS0 16.76 2.33 12.34 13.03 HMT0 38.60 13.52 16.89 18.75 HVML 24.87 17.73 48.57 52.55 ILT0 5.28 20.80 85.70 87.57 IMHE 21.63 4.82 9.03 11.68 IMJA 44.43 7.61 16.80 22.10 IMSC 47.57 17.66 27.31 35.63 INA0 35.03 5.82 11.81 15.63 INDB 28.11 32.30 40.34 53.31 INRM 6.33 16.08 47.16 49.05 INX0 4.69 1.80 24.22 34.03 ISC0 32.57 9.78 13.58 17.33 JMA0 35.75 7.84 22.30 28.66 LMT0 32.02 10.14 21.18 27.16 LUM0 30.25 20.91 41.06 48.23 LXS0 37.71 28.45 32.31 37.51 MALT 24.04 1.39 10.59 15.10 MARM 7.14 0.42 16.74 22.11 MSM0 31.80 8.17 23.58 27.79 NAA0 32.34 18.70 31.73 36.22 OMAC 18.34 5.79 10.47 13.30 PHHA 48.01 11.23 21.57 25.34 PNC9 1.65 0.57 17.96 33.00 RAS0 47.30 13.44 21.12 28.41 RFC0 20.37 6.33 10.90 16.27 RGC0 39.25 7.15 14.57 19.10 SAMI 51.36 21.48 45.50 51.75 SAR0 40.61 9.55 23.73 28.06 SAS0 18.97 2.12 17.97 21.84 SB70 5.81 0.38 9.02 12.13 SBI0 31.05 0.72 1.87 2.98 TMT0 26.58 25.94 23.50 32.32 TWM0 17.71 3.28 10.23 11.46 WAL0 43.16 9.33 19.00 24.73 WML0 34.13 17.38 23.26 25.71 WMS0 11.77 1.22 12.86 16.57 * Cumulative losses represent the percentage of the original pool balance, and total and severe delinquencies represent the percentage of the current pool balance. In line with the factors described above, S&P revised its remaining loss projections for all of the transactions in this review from S&P's previous projections. As a result of a majority of these transactions having increased loss projections, 50% of the rating actions in this review were downgrades and most of the remaining actions were affirmations. Despite the increase in remaining projected losses for a majority of the transactions, S&P upgraded 83 classes from 30 transactions and removed 13 of them from CreditWatch positive, 37 of them from CreditWatch developing, and 12 of them from CreditWatch negative. The 12 classes that were upgraded and removed from CreditWatch negative were previously placed on CreditWatch negative due to tail risk associated with the related structures having a small amount of loans remaining. The upgrades reflect sufficient credit enhancement to support projected losses at the respective rating level. Some of these classes are the most senior tranches outstanding in their respective transactions. S&P's decisions on these classes primarily reflected the structural mechanics of these transactions, namely situations where cumulative loss triggers embedded in the deals have failed, causing principal to be distributed sequentially, which helps prevent credit support erosion and increases the likelihood that these tranches will receive their full share of principal payments prior to the realization of S&P's projected losses. Other classes have been upgraded due to an extended loss curve that increases the amount of excess spread available for credit support in S&P's projections. Lastly, the upgrades of some senior classes that receive principal and interest from a particular loan group were as a result of better projected group level performance. S&P affirmed its ratings on 464 classes from 136 transactions and removed 16 of them from CreditWatch negative, 18 of them from CreditWatch developing, and three of them from CreditWatch positive. Of these, 421 classes are rated 'CCC (sf)' or 'CC (sf)'. S&P believes that the projected credit support for these classes will remain insufficient to cover the revised projected losses. Conversely, the affirmations for classes with ratings above 'CCC' reflect S&P's opinion that the credit support for these classes will remain sufficient to cover the revised projected losses. S&P lowered its ratings on 614 classes from 120 transactions and removed 390 of them from CreditWatch with negative implications and 110 of them from CreditWatch with developing implications. Of the lowered ratings, S&P downgraded 96 classes out of investment- grade, including 19 that S&P downgraded to 'CCC (sf)'. Another 313 ratings remain at investment-grade after being lowered. The remaining downgraded classes already had speculative-grade ratings prior to the actions. S&P downgraded 65 classes to 'D (sf)' from observed principal write-downs and 21 classes to 'D (sf)' from interest shortfalls in accordance with S&P's interest shortfall criteria. Senior tranches accounted for the bulk of the lowered ratings (552); the remaining downgrades affected mezzanine classes. Contrary to the characteristics that distinguished the upgrades and affirmations highlighted above, these downgraded tranches generally did not exhibit either a high priority in payment or a short projected life. The downgrades were primarily from significantly greater lifetime loss projections driven by increased loss severities and loans classified as reperforming, which caused an increase in S&P's projected default rates on non-delinquent loans. Also, ratings that S&P lowered but that remain at investment-grade were primarily driven by its increased stress multiples applied to ratings 'A (sf)' and above. Six classes from six transactions will remain on CreditWatch negative, and two classes from two transactions will remain on CreditWatch developing. The related structures within these transactions are backed by small balance commercial loans and are not in scope for this review. Two ratings from two transactions were withdrawn due to the classes being paid in full. S&P withdrew four ratings from Home Re 2005-2 Limited because the transaction has no loans remaining. Each of the classes within the transaction previously carried a rating of 'D (sf)'. S&P withdrew 17 ratings from six transactions issued by IndyMac Loan Trust and IndyMac Residential Mortgage- Backed Trust as all the classes within each transaction previously carried a rating of 'D (sf)'. Each of these classes was not paid by their final maturity date. S&P withdrew its ratings on 39 classes from 18 transactions in accordance with its interest-only criteria because the referenced classes no longer sustained ratings above 'A+ (sf)'. In addition, S&P withdrew its ratings on Credit Suisse First Boston Mortgage Securities Corp. 2002-AR17 and FNT Trust Series 2000-1 because the transactions had less than 20 loans outstanding. Three classes from these transactions were downgraded prior to withdrawal because of the tail risk associated with the loan group of the respective class. S&P addresses tail risk in transactions by conducting additional loan-level analysis that stresses the loan concentration risk within the applicable transactions. Each rating withdrawal follows the application of our policy for withdrawal of ratings. In accordance with S&P's counterparty criteria, it considered any applicable hedges related to these securities when performing these rating actions and resolving the CreditWatch placements. Subordination, overcollateralization (when available), and excess interest as applicable generally provide credit support for these transactions. Some classes may also benefit from bond insurance. In these cases, the long-term rating on the class reflects the higher of the rating on the bond insurer and the underlying credit rating on the security without the benefit of such bond insurance. 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 Cuts Ratings on 95 Classes From 15 US RMBS Transactions ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 95 classes from 15 U.S. residential mortgage-backed securities (RMBS) transactions. Of these, Standard & Poor's removed 52 from CreditWatch with negative implications and 32 from CreditWatch developing. In addition, S&P raised its ratings on three classes from one transaction and removed one of these ratings from CreditWatch developing. S&P also affirmed its ratings on 47 classes from eight transactions, removed four from CreditWatch negative, and took five off CreditWatch developing. Standard & Poor's also withdrew its ratings on 16 classes from seven transactions; of these, 14 had been on CreditWatch negative, and two had been on CreditWatch developing. S&P withdrew 10 of the ratings, which were from six transactions, because of S&P's current interest-only criteria, which prompts the withdrawal of the classes that would be rated below 'AA- (sf)'. Five withdrawn ratings from three transactions were because the classes have been paid in full, and one was due to S&P's view of the potential for performance volatility associated with collateral groups that contain fewer than 20 loans. Of the 22 structures reviewed, 14 are prime jumbo, five are Re- REMIC, and two are synthetic risk-transfer deals. The two U.S. RMBS synthetic risk-transfer transactions reviewed were issued by RESIX Finance Ltd. The transactions in this review were issued between 1992 and 2007 and are backed by adjustable- and fixed-rate mortgage loans secured primarily by first liens on one- to four-family residential properties. On Aug. 15, 2012, S&P placed its ratings on 110 classes from these 16 transactions on CreditWatch negative, positive, or developing, along with ratings from a group of other RMBS securities due to the implementation of S&P's recently revised criteria for surveilling U.S. RMBS ratings assigned before 2009. Ratings on CreditWatch negative accounted for about 60% of the resolved CreditWatch actions in this review, with the remainder ratings on CreditWatch developing. S&P completed its review of these transactions using its revised assumptions, and thes rating actions resolve these CreditWatch placements. 3 or fewer More than 3 From Affirmations notches notches Up Down Up Down Watch Pos 0 0 0 0 0 Watch Neg 4 0 10 0 42 Watch Dev 5 1 2 0 30 The high percentage of CreditWatch negative placements reflected S&P's projection that remaining losses for a majority of the prime jumbo transactions will increase. The ratings on certain structures were on CreditWatch negative because of decreased forecasted losses due to a higher multiple of loss coverage for certain investment-grade rated tranches, as set forth in S&P's revised criteria. The increased projected losses resulted from one or more of the following factors: -- An increase in S&P's default and loss multiples at higher investment-grade rating levels. -- An increased portion (generally 1%-8%) of nondelinquent loans are now categorized as reperforming (many of these loans have been modified) and have a default frequency of 25%-30%. -- S&P's extended liquidation curves that eroded projected credit support prior to when it would be needed. For the re-REMIC structures reviewed, S&P intends its ratings to address the timely payment of interest and ultimate payment of principal. S&P reviewed the interest and principal amounts due on the underlying securities, which are then passed through to the applicable re-REMIC classes. S&P applied its loss projections, incorporating its loss assumptions, to the underlying collateral to identify the principal and interest amounts that could be passed through from the underlying securities under S&P's rating scenario stresses. S&P stressed its loss projections at various rating categories to assess whether the re-REMIC classes could withstand the stressed losses associated with their ratings while receiving timely payment of interest and principal consistent with S&P's criteria. In risk-transfer transactions, the owner of a pool of mortgage loans (the protection buyer) enters a financial guarantee contract with the issuer (the protection seller) of the securities. Pursuant to the guarantee agreement, the protection seller guarantees to pay the protection buyer an amount equal to certain losses realized on the underlying pool of mortgage loans, known as the reference portfolio. The mortgage pools in the RESIX transactions consist primarily of first-lien, fixed-rate, and adjustable-rate prime jumbo mortgage loans. In risk-transfer transactions, unlike traditional mortgage-backed securitizations, the actual cash flow from the reference portfolio is not paid to the issuer and ultimately to the transactions' security holders. Rather, the proceeds from the issuance of the securities are deposited in an eligible account and are then invested in eligible investments. The interest payable to the security-holders is paid from income earned on these investments as well as from payments made by the protection buyer under the financial guarantee contract. The principal payable to the security-holders is paid from funds initially deposited into the eligible account. Principal payments on the securities mirror the principal payments made on the reference portfolio. If S&P was unable to obtain loan-level information for a transaction structure, it applied its criteria as outlined in Paragraph 64 of "Methodology And Assumptions: U.S. RMBS Surveillance Credit And Cash Flow Analysis For Pre-2009 Originations," which was published on Aug. 9, 2012. S&P reviewed and withdrew its rating on Class A-2 from Housing Securities Inc. because it is backed by a collateral group that contains fewer than 20 loans. If any of the remaining loans in this pool were to default, the resulting loss could have a greater effect on the pool's performance than if the pool consisted of a larger number of loans. Due to the small number of loans remaining, this performance volatility could have an adverse effect on the stability of the rating. In addition, S&P withdrew its ratings on 15 other classes from six transactions. Ten of these ratings, which were from six transactions, were withdrawn in accordance with S&P's current interest-only criteria. few withdrew five ratings from three transactions because the classes have been paid in full. Some of the transactions in this review have failed their current delinquency triggers, which can affect the allocation of principal to their classes. However, the payment priority of the deals that failed these triggers might allow for additional allocation of principal to the subordinate classes if they begin passing their delinquency triggers again. In these instances, according to S&P's criteria, it lowered the ratings to 'AA+ (sf)' even though some of these classes pass S&P's 'AAA (sf)' stress scenario. Of the 95 downgraded classes, S&P lowered its ratings on 39 to speculative-grade from investment-grade. Of these classes, S&P lowered 30 to ratings between 'BB+ (sf)' and 'B- (sf)' and lowered nine to the 'CCC (sf)' or 'CC (sf)' categories. In addition, 35 of the lowered ratings remain at investment-grade. The remaining 21 downgraded classes already had speculative-grade ratings prior to the downgrades. S&P affirmed its ratings on 38 classes in the 'CCC (sf)' or 'CC (sf)' categories. S&P believes that the projected credit support for these classes will remain insufficient to cover the revised base-case projected losses to these classes. In accordance with S&P's counterparty criteria, it considered any applicable hedges related to these securities when performing these rating actions and resolving the CreditWatch placements. For the prime jumbo transactions we review, subordination generally provides the credit support, while overcollateralization (prior to its depletion) and excess spread, when applicable, provide support for additional structures. When reviewing the risk-transfer transactions, S&P applied its criteria described in "Methodology: U.S. RMBS Synthetic Risk Transfers," published Feb. 6, 2009. S&P looked at several factors, including the recent performance of the prime collateral backing these transactions, S&P's current projected losses, the projected credit support to cover those losses, and the rating on the applicable party responsible for making certain interest payments (the protection buyer). Temporary telephone contact numbers: Michael Graffeo, (1) 646-584- 7722); Jessica Barbara, (1) 201-341-9193; Terry Osterweil, (1) 718-986-8140 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 Banc of America Funding 2005-3 Trust Series 2005-3 Rating Rating Class CUSIP To From 1-A-4 05946XVL4 NR AA (sf)/Watch Dev 1-A-9 05946XVR1 BBB (sf) AA (sf)/Watch Dev 1-A-10 05946XVS9 BB (sf) AA (sf)/Watch Dev 1-A-11 05946XVT7 NR AA (sf)/Watch Dev 1-A-12 05946XVU4 AA (sf) AA (sf)/Watch Dev 1-A-13 05946XW2 BB (sf) AA (sf)/Watch Dev 1-A-14 05946XVW0 CC (sf) AA (sf)/Watch Dev 1-A-18 05946XWA7 BBB (sf) AA (sf)/Watch Dev 1-A-19 05946XWB5 BBB (sf) AA (sf)/Watch Dev 1-A-20 05946XWC3 CCC (sf) AA (sf)/Watch Dev 1-A-22 05946XWE9 AA (sf) AA (sf)/Watch Dev 1-A-23 05946XWF6 BB (sf) AA (sf)/Watch Dev 1-A-24 05946XWG4 CCC (sf) AA (sf)/Watch Dev 1-A-25 05946XWH2 B (sf) AA (sf)/Watch Dev 30-IO 05946XWL3 AA (sf) AA (sf)/Watch Dev 30-PO 05946XWM1 CCC (sf) AA (sf)/Watch Dev B-1 05946XWX7 CC (sf) CCC (sf) GSR Mortgage Loan Trust 2005-9F Series 2005-9F Rating Rating Class CUSIP To From 1A-P 362341U56 D (sf) CC (sf) 2A-P 362341U64 D (sf) CC (sf) Housing Securities Inc. Series 1992-SL1 Rating Rating Class CUSIP To From A-1 44182DCX5 A+ (sf) AAA (sf)/Watch Neg A-2 44182DCY3 NR AAA (sf)/Watch Neg Lehman Mortgage Trust 2007-3 Series 2007-3 Rating Rating Class CUSIP To From 1-A3 52521JAC3 CC (sf) CCC (sf) 2-A1 52521JAE9 D (sf) CC (sf) MASTR Asset Securitization Trust 2004-4 Series 2004-4 Rating Rating Class CUSIP To From 1-A-2 57643MAE4 A+ (sf) AAA (sf)/Watch Neg 1-A-3 57643MAF1 A+ (sf) AAA (sf)/Watch Neg 1-A-5 57643MBE3 NR AAA (sf)/Watch Neg 1-A-6 57643MAG9 A+ (sf) AAA (sf)/Watch Neg 1-A-7 57643MAH7 A+ (sf) AAA (sf)/Watch Neg 1-A-8 57643MAJ3 NR AAA (sf)/Watch Neg 2-A-5 57643MAP9 NR AAA (sf)/Watch Neg 2-A-6 57643MAQ7 BB- (sf) AAA (sf)/Watch Neg 2-A-7 57643MBF0 BB- (sf) AAA (sf)/Watch Neg 2-A-8 57643MBG8 B- (sf) AAA (sf)/Watch Neg 3-A-1 57643MAR5 A (sf) AAA (sf)/Watch Neg PO 57643MAS3 B- (sf) AAA (sf)/Watch Neg 15-A-X 57643MAT1 NR AAA (sf)/Watch Neg 30-A-X 57643MAU8 NR AAA (sf)/Watch Neg MASTR Asset Securitization Trust 2004-6 Series 2004-6 Rating Rating Class CUSIP To From 1-A-2 57643MDU5 BB- (sf) AAA (sf)/Watch Neg 2-A-7 57643MCU6 A (sf) AAA (sf)/Watch Neg 2-A-8 57643MCV4 BB (sf) AAA (sf)/Watch Neg 2-A-10 57643MCX0 AAA (sf) AAA (sf)/Watch Neg 2-A-11 57643MCY8 BB (sf) AAA (sf)/Watch Neg 2-A-12 57643MCZ5 BBB (sf) AAA (sf)/Watch Neg 2-A-13 57643MDA9 BB (sf) AAA (sf)/Watch Neg 2-A-14 57643MDB7 BB (sf) AAA (sf)/Watch Neg 3-A-1 57643MDD3 BB (sf) AAA (sf)/Watch Neg 4-A-1 57643MDE1 BB (sf) AAA (sf)/Watch Neg 5-A-1 57643MDF8 BBB (sf) AAA (sf)/Watch Neg 5-A-2 57643MDT8 BB- (sf) AAA (sf)/Watch Neg 6-A-1 57643MDG6 BB (sf) AAA (sf)/Watch Neg 7-A-1 57643MDH4 BB- (sf) AAA (sf)/Watch Neg 15-PO 57643MDJ0 BB- (sf) AAA (sf)/Watch Neg 30-PO 57643MDK7 BB- (sf) AAA (sf)/Watch Neg 15-A-X 57643MDL5 NR AAA (sf)/Watch Neg 30-A-X 57643MDM3 AAA (sf) AAA (sf)/Watch Neg 1-B-1 57643MDV3 B- (sf) AA (sf)/Watch Dev B-1 57643MDQ4 CCC (sf) A (sf)/Watch Dev 1-B-2 57643MDW1 CCC (sf) A (sf)/Watch Dev B-2 57643MDR2 CCC (sf) B (sf)/Watch Dev 1-B-3 57643MDX9 CCC (sf) BBB (sf)/Watch Dev 1-B-4 57643MDY7 CCC (sf) BB (sf)/Watch Dev MASTR Asset Securitization Trust 2004-9 Series 2004-9 Rating Rating Class CUSIP To From 1-A-1 57643MFC3 BB (sf) AAA (sf)/Watch Neg 2-A-2 57643MFE9 NR AAA (sf)/Watch Neg 2-A-3 57643MFF6 BBB (sf) AAA (sf)/Watch Neg 2-A-4 57643MFG4 BBB (sf) AAA (sf)/Watch Neg 3-A-4 57643MFL3 NR AAA (sf)/Watch Neg 3-A-5 57643MFM1 BB (sf) AAA (sf)/Watch Neg 3-A-6 57643MFN9 BB (sf) AAA (sf)/Watch Neg 3-A-7 57643MFP4 BB- (sf) AAA (sf)/Watch Neg 4-A-1 57643MFQ2 BBB (sf) AAA (sf)/Watch Neg 5-A-1 57643MFR0 BBB (sf) AAA (sf)/Watch Neg 6-A-1 57643MFS8 BBB (sf) AAA (sf)/Watch Neg 7-A-1 57643MFT6 AA (sf) AAA (sf)/Watch Neg PO 57643MFU3 BB (sf) AAA (sf)/Watch Neg 15-A-X 57643MFV1 NR AAA (sf)/Watch Neg 30-A-X 57643MFW9 NR AAA (sf)/Watch Neg 8-A-2 57643MGG3 BBB (sf) AAA (sf)/Watch Neg 15-B-1 57643MFZ2 B- (sf) AA (sf)/Watch Dev 8-B-1 57643MGH1 CCC (sf) A (sf)/Watch Dev 15-B-2 57643MGA6 CCC (sf) BBB (sf)/Watch Dev 8-B-2 57643MGJ7 CCC (sf) BB (sf)/Watch Dev 15-B-3 57643MGB4 CCC (sf) B (sf)/Watch Dev PNCMT Trust Series 2000-1 Series 2000-1 Rating Rating Class CUSIP To From II-A-1 23321P5P9 AAA (sf) AAA (sf)/Watch Neg II-X 23321P5U8 AAA (sf) AAA (sf)/Watch Neg V-P 23321P5Y0 AA+ (sf) AAA (sf)/Watch Neg Popular Securities-Mortgage Trust 2004-1 Series 2004-1 Rating Rating Class CUSIP To From A-3 733194AC8 AA+ (sf) AAA (sf)/Watch Neg A-4 733194AD6 AA+ (sf) AAA (sf)/Watch Neg A-5 733194AE4 AA+ (sf) AAA (sf)/Watch Neg Prime Mortgage Trust 2005-1 Series 2005-1 Rating Rating Class CUSIP To From I-A-3 74160MGL0 BBB (sf) AAA (sf)/Watch Neg I-A-4 74160MGM8 NR AAA (sf)/Watch Neg I-A-5 74160MGN6 BBB (sf) AAA (sf)/Watch Neg I-A-6 74160MGP1 BBB (sf) AAA (sf)/Watch Neg I-A-7 74160MGQ9 NR AAA (sf)/Watch Neg I-A-8 74160MGZ9 BB (sf) AAA (sf)/Watch Neg I-PO 74160MGR7 BB (sf) AAA (sf)/Watch Neg II-A-3 74160MHC9 AA+ (sf) AAA (sf) II-A-4 74160MHD7 AA+ (sf) AAA (sf) II-A-5 74160MHE5 AA+ (sf) AAA (sf) RESIX Finance Limited Series 2006-1-B8 Rating Rating Class CUSIP To From B8 76116LCZ5 D (sf) CC (sf) RFMSI Series 2005-S6 Trust Series 2005-S6 Rating Rating Class CUSIP To From A-1 76111XXJ7 CCC (sf) BB (sf)/Watch Dev A-2 76111XXK4 CCC (sf) BB (sf)/Watch Dev A-3 76111XXL2 CCC (sf) BB- (sf)/Watch Dev A-4 76111XXM0 CCC (sf) BB- (sf)/Watch Dev A-5 76111XXN8 B (sf) BB+ (sf)/Watch Dev A-6 76111XXP3 CCC (sf) BB- (sf)/Watch Dev A-7 76111XXQ1 CCC (sf) BB (sf)/Watch Dev A-8 76111XXR9 CCC (sf) BB- (sf)/Watch Dev A-P 76111XXS7 CCC (sf) BB- (sf)/Watch Dev Sequoia Mortgage Trust 2004-12 Series 2004-12 Rating Rating Class CUSIP To From A-1 81744FFY8 A (sf) AAA (sf)/Watch Neg A-2 81744FFZ5 AA (sf) AAA (sf)/Watch Neg X-A1 81744FGB7 AA (sf) AAA (sf)/Watch Neg X-B 81744FGD3 NR AA+ (sf)/Watch Neg A-3 81744FGA9 AA (sf) AAA (sf)/Watch Neg B-1 81744FGF8 BB (sf) AA+ (sf)/Watch Dev Structured Asset Mortgage Investments Trust 1999-2 Series 1999-2 Rating Class CUSIP To From 3-A 86358HHV4 AA+ (sf) AAA (sf)/Watch Neg 3-X 86358HHW2 AA+ (sf) AAA (sf)/Watch Neg Structured Asset Securities Corporation Trust 2005-15 Series 2005-15 Rating Rating Class CUSIP To From 1-A1 86359DND5 B- (sf) B- (sf)/Watch Dev 1-A2 86359DNE3 B (sf) CCC (sf) 1-A4 86359DNG8 B (sf) CCC (sf) 2-A1 86359DNK9 B (sf) B (sf)/Watch Dev 2-A6 86359DNQ6 BB (sf) B (sf)/Watch Dev 6-A1 86359DNZ6 CCC (sf) B- (sf) 6-A2 86359DPA9 CCC (sf) B- (sf) RATINGS AFFIRMED Banc of America Funding 2005-3 Trust Series 2005-3 Class CUSIP Rating B-2 05946XWY5 CC (sf) B-3 05946XWZ2 CC (sf) GSR Mortgage Loan Trust 2005-9F Series 2005-9F Class CUSIP Rating 1A-4 362341Q69 CCC (sf) 1A-6 362341Q85 CCC (sf) 1A-7 362341Q93 CCC (sf) 1A-9 362341R35 CCC (sf) 1A-10 362341R43 CCC (sf) 1A-14 362341R84 CCC (sf) 2A-2 362341S34 CCC (sf) 2A-6 362341S75 CCC (sf) 5A-1 362341T74 CC (sf) 6A-1 362341T90 CC (sf) MASTR Asset Securitization Trust 2004-6 Series 2004-6 Class CUSIP Rating B-3 57643MDS0 CC (sf) B-4 57643MEB6 CC (sf) B-5 57643MEC4 CC (sf) 1-B-5 57643MDZ4 CCC (sf) MASTR Asset Securitization Trust 2004-9 Series 2004-9 Class CUSIP Rating 8-B-3 57643MGK4 CCC (sf) 30-B-3 57643MGE8 CC (sf) 15-B-4 57643MGP3 CCC (sf) 8-B-4 57643MGL2 CC (sf) 15-B-5 57643MGQ1 CC (sf) 8-B-5 57643MGM0 CC (sf) RESIX Finance Limited Series 2003-AB10S Class CUSIP Rating B10-S 76116LAX2 CCC (sf) Sequoia Mortgage Trust 2004-12 Series 2004-12 Class CUSIP Rating B-2 81744FGG6 CCC (sf) Structured Asset Securities Corporation Trust 2005-15 Series 2005-15 Class CUSIP Rating 1-A5 86359DNH6 CCC (sf) 1-A6 86359DNJ2 CCC (sf) 2-A2 86359DNL7 CC (sf) 2-A4 86359DNN3 CC (sf) 2-A5 86359DNP8 CC (sf) 2-A7 86359DNR4 CC (sf) 2-A8 86359DNS2 CC (sf) 2-A9 86359DNT0 CC (sf) 3-A1 86359DNU7 CC (sf) 3-A2 86359DNV5 CC (sf) 4-A1 86359DNW3 CC (sf) 4-A2 86359DNX1 CC (sf) 5-A1 86359DNY9 CC (sf) AP 86359DPC5 CC (sf) * U.S. CMBS Delinquencies Begin Lower in 2013, Fitch Says --------------------------------------------------------- U.S. CMBS delinquencies started 2013 on a positive note while struggles continue for one of the more hard-hit regions, according to the latest index results from Fitch Ratings. CMBS late-pays declined eight basis points (bps) in January to 7.91% from 7.99% a month earlier. This marks the eighth straight month of declines and the lowest level since October 2010 (when it stood at 7.78%). In January, resolutions of $1.4 billion outpaced additions to the index of $1.1 billion. However, Fitch-rated new issuance volume of $600 million fell short of $2.9 billion in portfolio runoff last month. Offsetting the positive movement in overall delinquencies is Georgia, which continues to be a problem spot. The two largest loans entering the index last month - the $71.1 million Millennium in Midtown (GSMS 2006-GG6) and $67.7 million Southlake Mall (BSCMS 2007-PWR18) are both located in Atlanta. This helped push the delinquency rate for Georgia to 20%. This represents the second- highest rate of any state with at least $5 billion in CMBS outstanding (behind Nevada at 20.7%). And it appears the worst is not over for this region. Fitch took a closer look at Atlanta office loans greater than $10 million that were REO as of the start of last year. Of those, four loans totaling $88 million were disposed of. It took an average of 18.2 months for those properties to be sold from the time they were foreclosed upon (with an average loss severity of 78% of the original balance). Additionally, loss severities for another six Atlanta office properties that were REO at the start of last year and remain outstanding would be 52% based on recent appraisals. However, Fitch expects actual severities to be higher. Current and previous delinquency rates are: -- Multifamily: 9.73% (from 10.12% in December) -- Hotel: 8.76% (from 8.87%) -- Industrial: 8.69% (from 8.61%) -- Office: 8.33% (from 8.41%) -- Retail: 7.43% (from 7.14%) ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, 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 2013. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000 or Nina Novak at 202-241-8200. *** End of Transmission ***