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/raid1/www/Hosts/bankrupt/TCR_Public/130526.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, May 26, 2013, Vol. 17, No. 144 Headlines ALM VII: S&P Affirms 'BB' Rating on Class D Notes AMERICAN OPPORTUNITY: Moody's Cuts Rating on 2001B Bonds to Caa3 ANTHRACITE CDO II: Fitch Affirms 'CC' Ratings on 2 Note Classes ARES XVI: S&P Raises Rating on Class E Notes to From 'BB+' ARES XXV: S&P Affirms 'BB' Rating on Class E Notes BANC OF AMERICA 2000-1: Moody's Hikes Rating on Cl. K Certs to B1 BANC OF AMERICA 2005-1: S&P Lowers Rating on Class G Certs to 'D' BANC OF AMERICA 2005-5: Moody's Affirms Ratings on 15 CMBS Issues BLUEMOUNTAIN CLO 2013-1: S&P Assigns BB Rating on Class D Notes BMI CLO I: S&P Affirms 'BB+' Rating on Class D Notes BOSTON HARBOR 2004-1: S&P Raises Rating on Class D Notes to 'CCC' BROOKSIDE MILL: S&P Assigns Prelim. 'BB' Rating on Class E Notes CARFINANCE CAPITAL 2013-1: Moody's Rates Class D Notes '(P)Ba2' CEFA POOL 2007: Moody's Outlook on Ba1 Rating Changed to Negative CENT CLO 18: S&P Assigns Prelim. 'BB-' Rating on Class E Notes COAST INVESTMENT 2001-1: S&P Affirms CC Rating on 2 Note Classes COMM 2004-RS1: Fitch Lowers Ratings on 7 Cert. Classes to 'C' COMMERCIAL MORTGAGE 1998-2: Fitch Keeps 'D' Rating on Cl. K Certs DIVERSIFIED ASSET: Fitch Affirms 'CCC' Ratings on 2 Note Classes FCC PROUDREED 2005: S&P Lowers Rating on Class D Notes to 'BB-' FIRST UNION 1999-C2: Fitch Affirms 'D' Rating on Class M Notes FIRST UNION 2000-C1: Fitch Affirms 'D' Rating on Class M Notes G-FORCE 2006-1: Moody's Takes Action on 7 Note Classes GE CAPITAL 2002-1: Fitch Affirms 'D' Rating on Class N Certs. GMAC COMMERCIAL 1998-C2: Fitch Affirms 'D' Rating on $18.7MM Certs GMAC COMMERCIAL 2000-C3: Fitch Affirms 'D' Rating on Cl. L Certs IRVINE CORE 2013-IRV: S&P Assigns 'BB+' Rating on Class F Notes J.C. PENNEY: S&P Lowers Rating on 8 Cert. Classes to 'CCC-' JP MORGAN 2004-C3: Fitch Keeps 'D' Rating on Class P Certificates JP MORGAN 2007-CIBC19: Moody's Cuts Ratings on Five CMBS Classes JP MORGAN 2013-2: Fitch Rates $4.86-Mil. Class B-4 Certs 'BBsf' JP MORGAN 2013-JWRZ: Moody's Assigns (P)Ba3 Rating to Cl. E CMBS JP MORGAN 2013-JWRZ: S&P Assigns Prelim BB Rating on Class E Note KEYCORP STUDENT: Moody's Mulls Upgrade of Loan Issues from 3 Deals LEHMAN BROTHERS: Moody's Cuts Ratings on 8 Tranches From Two Deals LEHMAN XS 2005-8: Moody's Cuts Rating on Class 1-A2 Secs. to Caa1 LONG POINT 2013-1: S&P Assigns 'BB' Rating on Class A Notes MASTR 2006-FRE1: Moody's Hikes Ratings on 2 Subprime RMBS Tranches MERRILL LYNCH: Moody's Takes Action on $76-Mil. of RMBS Issues MERRILL LYNCH 2005-CIP1: Fitch Keeps D Rating on 4 Cert. Classes MERRILL LYNCH 2007-C1: Fitch Puts 'B-' Rating on AM Certs. on RWN MIDOCEAN CREDIT: S&P Affirms 'BB' Rating on Class D Notes MORGAN STANLEY 1998-HF2: Fitch Cuts Rating on Class L Certs to 'D' MORGAN STANLEY 2000-LIFE2: Fitch Affirms 'D' Rating on Cl. L Certs MORGAN STANLEY 2001-IQ: Fitch Affirms 'B-' Rating on Class N Certs MORGAN STANLEY 2003-HQ2: Fitch Ups Class H Cert. Rating to 'CCC' MORGAN STANLEY 2007-XLF: Fitch Affirms D Rating on 4 Cert. Classes MORGAN STANLEY 2011-C2: Fitch Affirms 'B-' Rating on Class H Certs NAVIGATOR CDO 2006: S&P Raises Rating on Class D Notes to 'BB+' NEWCASTLE CDO VIII: Moody's Affirms Ratings on 11 Note Classes OFFUTT AFB: Moody's Lifts Series 2005 Cl. I Bond's Rating to Ba1 OHA CREDIT VIII: S&P Assigns 'BB' Rating on Class E Notes OMI TRUST 2002-B: S&P Cuts A-1 Certs Rating to 'D' & Withdraws ORANGE COVE: Moody's Confirms Successor Agency Ba1 Tax Bond Rating PALMER SQUARE 2013-1: S&P Assigns 'BB' Rating on Class D Notes PARTS PRIVATE: Fitch Affirms 'C' Jr. Subordinate Notes Rating SANTA MONICA: Moody's Ups Successor Agency Tax Bond Rating to Ba1 SDART 2013-3: S&P Assigns 'BB+' Rating on Class E Notes SEQUOIA MORTGAGE 2013-7: Fitch Rates $2.49MM Class B-4 Certs 'BB' SOLOSO CDO 2005-1: Moody's Lowers Ratings on 3 CDO Note Tranches TABERNA PREFERRED: Supp. Indenture No Impact on Moody's Ratings THORNBURG MORTGAGE 2004-1: Moody's Ups Ratings on 3 RMBS Tranches US CAPITAL II: Moody's Raises Ratings on 2 Note Issues to Caa1 WACHOVIA BANK 2003-C5: Moody's Takes Action on 16 CMBS Classes WACHOVIA BANK 2005-C21: Moody's Keeps Ratings on $1.9-Bil of CMBS WFRBS 2011-C2: Moody's Ratings Unchanged After Transfer/Assumption WFRBS 2011-C5: New Special Servicer No Impact on Moody's Ratings * Fitch Puts 217 Tranches of U.S. Student Loan ABS on Rating Watch * Fitch Says 1Q 2013 U.S. Timeshare ABS Delinquencies Decline * Fitch Says Losses Dip Three Straight Months for U.S. Auto ABS * Fitch Says U.S. Auto loan ABS Losses Down for Three Months * Fitch Says U.S. CREL CDO Delinquencies Remain in Holding Pattern * Fitch: US Bank TruPS CDOs Combined Default & Deferrals Stable * Fitch Says Lack of Stringent CMBS Underwriting Can Affect REITs * Moody's Reviews Ratings on $11.5 Billion of RMBS Issues * Moody's Takes Action on $112MM of 24 Alt-A RMBS Tranches * Moody's Raises Rating on Santa Monica's Earthquake TABs to Ba1 * S&P Withdraws Ratings on 50 Classes from 24 CDO Transactions * S&P Lowers 7 Ratings on 2 US CMBS Transactions to 'D' * S&P Lowers 14 Ratings on 2 U.S. CMBS Transactions * S&P Lowers 308 Ratings on 169 U.S. RMBS Deals to 'D' * S&P Affirms 8 Ratings from 74 US RMBS Transactions * S&P Puts 3 Ratings on 3 US CDO Transactions on Creditwatch Pos. * S&P Puts 102 Ratings on 24 US CLO Transactions on CreditWatch * S&P Raises Ratings on 14 US Manufactured Housing and Marine ABS ********* ALM VII: S&P Affirms 'BB' Rating on Class D Notes ------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on ALM VII Ltd./ALM VII LLC's $669.4 million floating-rate notes following the transaction's effective date as of March 15, 2013. Most U.S. cash flow collateralized loan obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an "effective date rating affirmation"). An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to S&P by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that S&P assigned on the transaction's closing date. The effective date reports provide a summary of certain information that S&P used in its analysis and the results of its review based on the information presented to S&P. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. When S&P receive a request to issue an effective date rating affirmation, it perform quantitative and qualitative analysis of the transaction in accordance with its criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. S&P's analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee. In S&P's published effective date report, it discusses its analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, S&P intends to publish an effective date report each time it issues an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED ALM VII Ltd./ALM VII LLC Class Rating Amount (mil. $) X AAA (sf) 2.625 A-1 AAA (sf) 446.25 A-2 AA (sf) 78.75 B (deferrable) A (sf) 58.625 C (deferrable) BBB (sf) 34.125 D (deferrable) BB (sf) 29.75 E (deferrable) B (sf) 19.25 AMERICAN OPPORTUNITY: Moody's Cuts Rating on 2001B Bonds to Caa3 ---------------------------------------------------------------- Moody's downgrades the rating of American Opportunity For Housing Multifamily Housing Revenue Bonds (Dublin, Kingswood, and Waterford Apartments) $1,390,000 Subordinate Series 2001B to Caa3 from Caa2. The B2 rating of the $13,025,000 Senior Series 2001A has been confirmed. The Junior Subordinate Series C bonds are not rated. Rating Rationale This rating action is based on the overall bond program's continued decline in financial performance as indicated by the repeated tapping of the Series B debt service reserve fund with no replenishments due to insufficient revenue, as well as low balances in the repair and replacement reserve fund. Strengths The bonds are secured by the pooled revenues of all three projects. The Series A debt service reserve remains fully funded. Challenges The Series B debt service reserve fund (DSRF) has been tapped repeatedly, almost to depletion, with no replenishment. Owner contributions have been necessary in the past to assist in debt service coverage sufficiency. Low repair and replacement reserve fund balance What Could Change The Rating Up A deposit to the Subordinate Series 2001B debt service reserve fund resulting in an improved financial position Improved operating performance of the properties resulting in an improved financial position of the overall bond program What Could Change The Rating Down Depletion of the Subordinate Series 2001B debt service reserve Tapping of the Senior Series A debt service reserve Deterioration of operating performance of the properties Rating Methodology The principal methodology used in this rating was Global Housing Projects published in July 2010. ANTHRACITE CDO II: Fitch Affirms 'CC' Ratings on 2 Note Classes --------------------------------------------------------------- Fitch Ratings has affirmed six classes issued by Anthracite CDO II Ltd./Corp. (Anthracite CDO II). The affirmations are a result of amortization of the capital structure offsetting the negative credit migration of the underlying portfolio. Key Rating Drivers: Since the last rating action in June 2012, approximately 19.7% of the collateral has been downgraded. Currently, 55.8% of the portfolio has a Fitch-derived rating below investment grade with 35.1% having a rating in the 'CCC' category and below, compared to 36.6% and 25.4%, respectively, at the last rating action. Over this period, the transaction has received $74.5 million in paydowns which has resulted in the full repayment of the class A and B notes and $6.5 million in paydowns to the class C notes. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. The class C notes are passing above their current rating category. However, the notes were affirmed given the increased risk for interest shortfall on the notes as a result of increased concentration and adverse selection. The class D and E notes' breakeven rates are generally consistent with the ratings assigned below. For the class F and G notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class F and G notes have been affirmed at 'CCsf', indicating that default is probable. The Stable Outlook on the class C notes reflects Fitch's view that the transaction will continue to delever. The Negative Outlook on the class D and E notes reflects the risk of adverse selection as the portfolio continues to delever. Rating Sensitivities In addition to those sensitivities discussed above, further negative migration and defaults beyond those projected by SF PCM as well as increasing concentration in assets of a weaker credit quality could lead to downgrades. Anthracite CDO II is a commercial real estate collateralized debt obligation (CRE CDO) that closed on Dec. 10, 2002. The collateral is composed of 22 assets from 15 obligors of which 95.3% are commercial mortgage backed securities (CMBS) and 4.7% commercial real estate loans. Fitch has affirmed the following classes: -- $37,139,000 class C notes at 'BBB-sf'; Outlook to Stable from Negative; -- $4,320,699 class C-FL notes at 'BBB-sf'; Outlook to Stable from Negative; -- $19,991,000 class D notes at 'Bsf'; Outlook Negative; -- $10,442,404 class E notes at 'Bsf'; Outlook Negative; -- $14,579,422 class F notes at 'CCsf'; -- $11,836,214 class G notes at 'CCsf'. ARES XVI: S&P Raises Rating on Class E Notes to From 'BB+' ---------------------------------------------------------- Standard & Poor's Ratings Services withdrew its rating on Ares XVI CLO Ltd.'s class A notes, following the company's optional redemption of the notes. At the same time, S&P issued a 'AAA(sf)' rating on the replacement class A-R notes, the proceeds of which were used to redeem the class A notes, as outlined by provisions in the transaction documents. S&P raised its ratings on the class C, D, and E notes and affirmed its rating on the class B notes. Ares XVI CLO Ltd. is a collateralized loan obligation (CLO) transaction, managed by Ares Management LLC, that closed in March 2011. Ares XVI CLO Ltd. enters its amortization phase. The class A-R notes were issued via a supplemental indenture. All of the proceeds from the A-R notes were used to redeem the class A notes. The A-R notes were issued at 0.98% over three-month LIBOR--a reduction from the class A notes' interest rate of 1.60% over three-month LIBOR. The rating S&P assigned to the class A-R notes and its affirmation of the rating on the class B notes reflect its opinion that credit support available to the notes is sufficient at the current rating level. The upgrades reflects S&P's view that the lower interest rate on the class A-R notes will provide additional cash flow to support the class C, D, and E notes. S&P will continue to review whether, in its opinion, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1547.pdf RATINGS LIST Ares XVI CLO Ltd. New Rating Replacement class A-R notes AAA(sf) Rating Withdrawn To From Class A notes NR AAA(sf) Upgraded To From Class C AA+(sf) AA(sf) Class D A(sf) A-(sf) Class E BBB-(sf) BB+(sf) Rating Affirmed Class B AAA(sf) Increasing risks on external debt payments derived from the consequences of legal actions against Argentina in international courts, a worsening external position, mostly likely from financial outflows, or additional policy actions that exacerbate political polarization and further diminish Argentina's growth prospects could lead to a downgrade on Argentina. On the other hand, the ratings could stabilize if the government takes actions that restore investor confidence on medium-term prospects for the economy (on the monetary or structural front), and thus reduce uncertainty over its external liquidity position. A revision to stable on the sovereign outlook will trigger a similar rating action on the country's banks. ARES XXV: S&P Affirms 'BB' Rating on Class E Notes -------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Ares XXV CLO Ltd./Ares XXV CLO LLC's $507.25 million fixed- and floating-rate notes following the transaction's effective date as of Feb. 1, 2013. Most U.S. cash flow collateralized loan obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio. An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to S&P by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that S&P assigned on the ransaction's closing date. The effective date reports provide a summary of certain information that S&P used in its analysis and the results of its review based on the information presented to them. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of S&P's criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. In S&P's published effective date report, it discusses its analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, S&P intends to publish an effective date report each time it issues an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Ares XXV CLO Ltd./Ares XXV CLO LLC Class Rating Amount (mil. $) A AAA (sf) 339.50 B-1 AA (sf) 45.00 B-2 AA (sf) 23.75 C (deferrable) A (sf) 45.25 D (deferrable) BBB (sf) 29.00 E (deferrable) BB (sf) 24.75 BANC OF AMERICA 2000-1: Moody's Hikes Rating on Cl. K Certs to B1 ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes and affirmed two classes of Banc of America Commercial Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series 2000-1 as follows: Cl. H, Upgraded to A3 (sf); previously on May 25, 2012 Upgraded to B2 (sf) Cl. K, Upgraded to B1 (sf); previously on May 25, 2012 Upgraded to Caa2 (sf) Cl. L, Affirmed C (sf); previously on Jan 28, 2010 Downgraded to C (sf) Cl. X, Affirmed Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale: The upgrades of classes H and K are due to increased credit support as a result of paydowns from amortization and loan payoffs. The pool has paid down 60% since Moody's last full review. The rating of Class L is consistent with Moody's expected loss and thus is affirmed. The rating of the IO class, class X, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 1.7% of the current balance compared to 38% at last review. Moody's base expected losses plus realized losses is now 4.9% 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 in the commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector 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. The hotel sector continues to exhibit growth albeit at a slightly slower pace. The multifamily sector should remain stable with moderate growth. Gradual recovery in the office sector continues and will be assisted in the next quarter when absorption is likely to outpace completions. However, since office demand is closely tied to employment, Moody's expects regional employment growth to provide market differentiation. CBD markets continue to outperform secondary suburban markets. The retail sector exhibited a slight reduction in vacancies in the first quarter; the largest drop since 2005. However, consumers continue to be cautious as evidenced by sales growth continuing below historical trends. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic outlook indicates the global economy has lost momentum over the past quarter as it tries to recover. US GDP growth for 2013 is likely to remain close to 2%, however US sequestration cuts that came into effect in March may create a drag on the positive growth in the US private sector. While the broad economic impact in unclear, the direct effect is likely to shave 0.4% off US GDP growth in 2013. Continuing from the previous quarter, Moody's believes that the three most immediate risks are: i) the risk of an even deeper than currently expected recession in the euro area, accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating U.S. CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Class X was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. 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. The Interest-Only Methodology was used for the rating of Class X. 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 5, the same as at last review. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. This methodology uses the excel- based Large Loan Model v 8.5. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. 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 May 25, 2012. Deal Performance: As of the May 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $14.5 million from $771.2 million at securitization. The Certificates are collateralized by six mortgage loans ranging in size from less than 13% to 20% of the pool. One loan, representing 20% of the pool, has defeased and is secured by U.S. government securities. There are no loans with investment grade credit assessments. One loan, representing 13% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty loans have been liquidated from the pool since securitization resulting in an aggregate $37.9 million loss (31% loss severity on average), compared to $23.5 million at last review. There are currently no loans in special servicing. Moody's was provided with full year 2011 and partial year 2012 operating results for 100% and 83% of the pool, respectively. Moody's weighted average LTV is 60% compared to 68% at last review. Moody's net cash flow reflects a weighted average haircut of 11.8% 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 1.41X and 2.24X, respectively, compared to 1.25X and 2.27X, respectively, 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 53% of the pool balance. The largest loan is the Huntersville Square Loan ($2.9 million -- 20.3% of the pool), which is secured by an 85,000 square foot retail center located in Huntersville, North Carolina. The largest tenants are Food Lion (48% of the Net Rentable Area (NRA); lease expiration October 2025) and Tuesday Morning Inc. (11% of the NRA; lease expiration July 2013). As of December 2012, the property was 87% leased compared to 94% at last review. Performance has declined due to the decrease in occupancy. Moody's LTV and stressed DSCR are 58% and 1.76X, respectively, compared to 54% and 1.89X at last review. The second largest loan is the Bainbridge Market Place Loan ($2.7 million -- 19% of the pool), which is secured by a 46,000 square foot retail center located in Chesapeake, Virginia. As of June 2012, the property was 91% leased, the same as at last review. The two largest tenants are Food Lion (82% of the NRA; lease expiration February 2019) and Check into Cash (3% of the NRA; lease expiration September 2012). Moody's LTV and stressed DSCR are 81% and 1.34X, compared to 80% and 1.36X at last review. The third largest loan is the Venbury Trail Apartments ($2.0 million -- 14% of the pool), which is secured by a 96-unit multifamily garden apartment complex. As of December 31, 2012, the property was 97% leased, the same as at last review. Moody's LTV and stressed DSCR are 56% and 1.83X, respectively, compared to 69% and 1.49X at last review. BANC OF AMERICA 2005-1: S&P Lowers Rating on Class G Certs to 'D' ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class G commercial mortgage pass-through certificate from Banc of America Commercial Mortgage Inc.'s series 2005-1, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'D (sf)' from 'CCC- (sf)'. "We lowered our rating to 'D (sf)' on the class G certificate following principal losses detailed in the May 10, 2013, trustee remittance report. The principal loss on class G was attributable to the liquidation of the $39.4 million Tri-Star Estates Manufactured Housing Community asset, which was with the special servicer, C-III Asset Management LLC. According to the May remittance report, the loss severity for this asset was 86.2% (totaling $33.9 million in principal losses). Consequently, class G reported a 41.0% loss to its $20.3 million original principal balance, while class H lost 100% of its $25.6 million opening balance. We had previously lowered our rating on class H to 'D (sf)', 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. BANC OF AMERICA 2005-5: Moody's Affirms Ratings on 15 CMBS Issues ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 15 classes of Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2005-5 as follows: Cl. A-3B, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-J, Affirmed Aa3 (sf); previously on Nov 3, 2010 Downgraded to Aa3 (sf) Cl. A-M, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Affirmed A3 (sf); previously on Nov 3, 2010 Downgraded to A3 (sf) Cl. C, Affirmed Baa1 (sf); previously on Nov 3, 2010 Downgraded to Baa1 (sf) Cl. D, Affirmed Baa3 (sf); previously on Nov 3, 2010 Downgraded to Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Nov 3, 2010 Downgraded to Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Nov 3, 2010 Downgraded to B2 (sf) Cl. G, Affirmed Caa1 (sf); previously on Nov 3, 2010 Downgraded to Caa1 (sf) Cl. H, Affirmed Ca (sf); previously on Nov 3, 2010 Downgraded to Ca (sf) Cl. J, Affirmed C (sf); previously on Nov 3, 2010 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Nov 3, 2010 Downgraded to C (sf) Cl. XC, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of 14 principal and interest bonds are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class XC, is consistent with the credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 5.2% of the current pooled balance, the same as at last review. Moody's base expected loss plus realized losses is now 6.7% of the original pooled 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. 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 in the commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector continues to exhibit growth albeit at a slightly slower pace. The multifamily sector should remain stable with moderate growth. Gradual recovery in the office sector continues and will be assisted in the next quarter when absorption is likely to outpace completions. However, since office demand is closely tied to employment, Moody's expects regional employment growth to provide market differentiation. CBD markets continue to outperform secondary suburban markets. The retail sector exhibited a slight reduction in vacancies in the first quarter; the largest drop since 2005. However, consumers continue to be cautious as evidenced by sales growth continuing below historical trends. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic outlook indicates the global economy has lost momentum over the past quarter as it tries to recover. US GDP growth for 2013 is likely to remain close to 2%, however US sequestration cuts that came into effect in March may create a drag on the positive growth in the US private sector. While the broad economic impact in unclear, the direct effect is likely to shave 0.4% off US GDP growth in 2013. Continuing from the previous quarter, Moody's believes that the three most immediate risks are: i) the risk of an even deeper than currently expected recession in the euro area, accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The 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 Class XC was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. 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 credit neutral Herf score is 40. The pool has a Herf of 32 compared to 33 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (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 June 28, 2012. Deal Performance: As of the May 13, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 28% to $1.41 billion from $1.96 billion at securitization. The Certificates are collateralized by 86 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 46% of the pool. Two loans, representing 2% of the pool, have defeased and are secured by U.S. Government securities. The pool contains one loan with an investment grade credit assessment, representing 4% of the pool. Twelve 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 its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Seven loans have been liquidated from the pool, resulting in a realized loss of $50.4 million (27% loss severity). The trust has incurred an additional $6.5 million dollars in losses from principal forgiveness associated with loan modifications ($5.4 million) and additional trust expenses related to liquidated loans ($1.1 million). This brings the aggregate realized loss to $56.9 million. Currently three loans, representing 3% of the pool, are in special servicing. The largest specially serviced loan is the I.Park Hudson Loan ($28.2 million -- 2.0% of the pool), which is secured by a mixed use technology and office campus totaling 468,000 square feet (SF) located in Yonkers, New York. The loan transferred to special servicing in December 2011 due to imminent default. Borrower indicated that a tenant has made an offer to purchase a major portion of the collateral and has requested to pay off the loan in full. The borrower has provided a copy of an executed purchase and sale agreement along with a letter from the NY Attorney General indicating no objection to formation of the condominium which will be formed to accommodate the sale of the collateral. The second largest specially serviced loan is the Hotel Fort Wayne ($11.7 million -- 0.8% of the pool), which is secured by a 222 room full service hotel located in Fort Wayne, Indiana. The hotel was formerly a Marriot and was re-branded in 2013 with the termination of the franchise agreement at year end 2012. The loan was transferred to special servicing in February 2012 due to payment default. The borrower consented to a receivership in June 2012 with the authority to operate and sell the hotel. The special servicer indicated that a receivership short sale is being pursued. The property was taken to market and the highest offer accepted. The offer is in its due diligence stage. The third largest specially serviced loan is the AmericInn Hotel and Suites ($7.5 million -- 0.5% of the pool), which is secured by a 111- room full service hotel located in Sarasota, Florida. The loan was transferred to the special servicer in March 2013. The loan was previously modified in August 2010 with a term extension and rate reduction. The special servicer indicated it has not decided on a resolution strategy. Moody's has assumed a high default probability for eight poorly performing loans representing 15% of the pool and has estimated an aggregate $31.9 million loss (15.3% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 operating results for 100% of the pool and full year or partial year 2012 operating results for 87% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 97% compared to 105% 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 9.28%. Excluding special serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.51X and 1.08X, respectively, compared to 1.37X and 1.01X 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 Torre Mayor Loan ($51.0 million -- 3.6% of the pool), which is secured by an 823,000 SF Class A office building located in Mexico City, Mexico. The loan represents a 50% pari passu interest in a $102 million senior note. There is also a subordinate $18.8 million note held outside the trust. The property was 99% leased as of December 2012, the same at last review. Approximately 51% of the net rentable area (NRA) expires in 2012 and 2013. The servicer indicated that approximately 98% of the roll over will be renewed. Moody's current credit estimate and stressed DSCR are A1 and 2.71X, respectively, compared to A1 and 2.35X at last review. The top three conduit loans represent 19% of the pool. The largest conduit loan is the Sotheby's Building Loan ($96.2 million -- 6.8% of the pool), which is secured by a 406,000 SF office building located in New York City. The loan represents a 48% pari passu interest in a $202.1 million loan. The property is 100% leased to Sotheby's (Moody's senior unsecured rating Ba3, stable outlook) through December 2022 with two, ten year renewal options. Moody's utilized a Lit/Dark scenario in its analysis to account for the single tenant risk. Moody's LTV and stressed DSCR are 94% and 0.97X, respectively, compared to 97% and 0.95X at last review. The second largest conduit loan is the Fireman's Fund Loan ($86.9 million -- 6.2% of the pool), which is secured by a 710,000 SF office property located in Novato, California. The loan represents a 52% pari passu interest in a $165.8 million loan. The property is 100% leased to Fireman's Fund Insurance Company (Moody's insurance financial strength rating A2, stable outlook) through November 2018. Fireman's Fund occupied only 450,000 SF (64%) at securitization with the rest of the space subleased. Moody's utilized a Lit/Dark scenario in its analysis to account for the single tenant risk. Moody's LTV and stressed DSCR are 100% and 1.05X, respectively, compared to 107% and 0.99X at last review. The third largest conduit loan is the Wateridge Office Park ($86.6 million -- 6.1% of the pool), which is secured by a 513,000 SF office property located in Los Angeles, California. Occupancy has increased to 80% as of December 2012 compared to 69% in December 2011. However, the lease for a major tenant, Bae Systems (150,000 SF), is expiring in November 2013 and the servicer has indicated the tenant will only be renewing 10-19,000 SF of the space. Moody's net cash flow was stressed to incorporate the lease rollover risk. Moody's LTV and stressed DSCR are 146% and 0.69X, respectively, compared 121% and 0.82X at last review. BLUEMOUNTAIN CLO 2013-1: S&P Assigns BB Rating on Class D Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to BlueMountain CLO 2013-1 Ltd./BlueMountain CLO 2013-1 LLC's $460.6 million floating- and fixed-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable 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 0.28% to 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/1542.pdf RATINGS ASSIGNED BlueMountain CLO 2013-1 Ltd./BlueMountain CLO 2013-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 310.0 A-2A AA (sf) 57.0 A-2B AA (sf) 5.0 B (deferrable) A (sf) 39.0 C (deferrable) BBB (sf) 26.0 D (deferrable) BB (sf) 23.6 Subordinated notes NR 53.6 NR--Not rated. BMI CLO I: S&P Affirms 'BB+' Rating on Class D Notes ---------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on the class A-1 and A-2 notes from BMI CLO I, a U.S. cash flow collateralized loan obligation transaction managed by BlackRock Financial Management Inc., after the notes were redeemed in full. At the same time, S&P assigned ratings to the replacement class A-1R and A-2R notes whose proceeds were used to redeem the original class A-1 and A-2 notes, as outlined by provisions in the transaction documents. S&P also affirmed its ratings on the class B, C, and D notes from the same transaction. The collateral manager is terminating the reinvestment period today, causing the transaction to begin its amortization phase. The class A-1R and A-2R notes were issued via a supplemental indenture. The class A-1R notes were issued at 0.94% over three- month LIBOR, a reduction from the class A-1 note interest rate of 1.25% over three-month LIBOR. The class A-2R notes were issued at 1.45% over three-month LIBOR, a reduction from the class A-2 note interest rate of 1.90% over three-month LIBOR. The ratings assigned to the class A-1R and A-2R notes and the affirmations reflects S&P's opinion that credit support available to the notes is sufficient at the current rating level. S&P will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1554.pdf RATINGS WITHDRAWN BMI CLO I Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) NR-Not rated. RATINGS ASSIGNED BMI CLO I Class Rating A-1R AAA (sf) A-2R AAA (sf) RATINGS AFFIRMED BMI CLO I Class Rating B AA- (sf) C A- (sf) D BB+ (sf) BOSTON HARBOR 2004-1: S&P Raises Rating on Class D Notes to 'CCC' ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class C and D notes from Boston Harbor CLO 2004-1, Ltd., a collateralized loan obligation (CLO) transaction managed by Putnam Advisory Company LLC. Since the February 2011 rating action, the class A note has paid off in full. As of the April 2013 trustee report, the principal cash balance was $14.23 million. S&P upgraded the class C note to 'AAA(sf)' as a result of the increase in credit support available. Since the last rating action, the class D overcollateralization ratio has increased as a result of amortization. However, the amortization has left 19 performing obligors remaining in the portfolio as of the April 2013 trustee report. S&P notes that some of the 'CCC' rated assets currently have negative outlooks, and four other assets, representing over 14% of the portfolio, mature beyond the legal final maturity of the transaction. S&P will continue to review its ratings on the notes and assess whether, in its view, the ratings remain consistent with the credit enhancement available. RATING ACTIONS Boston Harbor CLO 2004-1, Ltd. Rating Class To From C AAA(sf) A+(sf) D CCC(sf) CCC-(sf) BROOKSIDE MILL: S&P Assigns Prelim. 'BB' Rating on Class E Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Brookside Mill CLO Ltd./Brookside Mill CLO LLC's $420.25 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of May 22, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy-remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated, speculative-grade, senior secured term loans. -- The asset manager's experienced management team. -- The timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.2751%-12.8133%. -- 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/1555.pdf PRELIMINARY RATINGS ASSIGNED Brookside Mill CLO Ltd./Brookside Mill CLO LLC Class Rating Amount (mil. $) X AAA (sf) 2.25 A-1 AAA (sf) 237.00(i) A-2 AAA (sf) 40.00(ii) B-1 AA (sf) 53.00 B-2 AA (sf) 11.00 C-1 (deferrable) A (sf) 21.50 C-2 (deferrable) A (sf) 10.00 D (deferrable) BBB (sf) 24.25 E (deferrable) BB (sf) 21.25 Subordinated notes NR 51.125 (i) Includes $40 million in aggregate of outstanding class A-2 notes that could be converted into class A-1 notes on the conversion date. (ii) This is a commitment amount. There will be no outstanding class A-2 notes on closing. NR--Not rated. CARFINANCE CAPITAL 2013-1: Moody's Rates Class D Notes '(P)Ba2' --------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to the notes to be issued by CarFinance Capital Auto Trust 2013-1 (CFCAT 2013-1). This transaction is a securitization of subprime auto loans originated and serviced by CarFinance Capital LLC (NR). The complete rating action is as follows: Class A Notes, Assigned (P)A3 (sf) Class B Notes, Assigned (P)Baa1 (sf) Class C Notes, Assigned (P)Baa3 (sf) Class D Notes, Assigned (P)Ba3 (sf) Ratings Rationale: Moody's said the ratings are based on the quality of the underlying auto loans and their expected performance, the strength of the structure, the availability of excess spread over the life of the transaction, and the experience and expertise of CarFinance Capital LLC as the servicer. Moody's median cumulative net loss expectation is 12.00% for the CFCAT 2013-1 pool. Moody's net loss expectation for the CFCAT 2013-1 transaction is based on an analysis of the credit quality of the underlying collateral, comparable issuer historical performance trends, the ability of CarFinance Capital LLC to perform the servicing functions, the backup servicing arrangement with Wells Fargo Bank, National Association (Aa3), and current expectations for future economic conditions. The V Score for this transaction is Medium/High, which is weaker than the Medium V score assigned for the U.S. Prime Retail Auto Loan ABS sector. The V Score indicates "Medium/High" uncertainty about critical assumptions. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). The principal methodology used in this rating was Moody's Approach to Rating U.S. Auto Loan-Backed Securities published in May 2011. Moody's Parameter Sensitivities: If the net loss used in determining the initial rating were changed from 12% to 28.0%, 30.0% or 32.0%, the initial model-indicated output might change from A3 to Baa1, Ba1, and B1, respectively. If the net loss used in determining the initial rating were changed to 16.0%, 20.0%, or 23.5%, the initial model-indicated output for the Class B notes might change from Baa1 to Baa2, Ba2, and B2, respectively. If the net loss used in determining the initial rating were changed to 12.5%, 15.5%, or 18.5%, the initial model-indicated output for the Class C notes might change from Baa3 to Ba1, B1, and respectively, and the initial model-indicated output for the Class D notes might change from Ba3 to B1, Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time, rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. CEFA POOL 2007: Moody's Outlook on Ba1 Rating Changed to Negative ----------------------------------------------------------------- Moody's Investors Service affirmed the A1 rating on pooled college and university projects series 1997C, Baa3 rating on CEFA Pool series 1999B, and Ba1 rating on CEFA Pool series 2007 Revenue Bond issued by the California Educational Facilities Authority (CEFA). The outlook remains stable on CEFA Pool series 1997C and series 1999B and is revised to stable from negative on CEFA Pool series 2007. Rating Rationale: The rating for the CEFA Pool Revenue Bonds is based on the "Weak Link Plus" approach, which places a greater emphasis on the probability of default by the weakest participant in the pool. CEFA's pooled financing is unenhanced, with each institution responsible only for its portion of total debt service. The revision to outlook to stable from negative on CEFA Pool Series 2007 bonds reflects the anticipated improvement in credit fundamentals of Keck Graduate Institute (KGI), a pool participant. Outlook: The revision of outlook to stable on CEFA Pool series 2007 bonds reflects expectations that Keck's operating performance will improve in the near term with a resulting increase in liquidity. The rating outlook on CEFA Pool series 1997C and 1999B bonds is stable based on stable outlook of the pool participants. What Could Make The Rating Go Up / Down? Rating can change due to the rating changes of the individual participants and also due to the change in relative share in the pool due to scheduled maturities and refundings. Methodology: The principal methodology used in this rating was U.S. Not-for- Profit Private and Public Higher Education published in August 2011. The secondary methodology used in this rating was Public Sector Pool Financings published in July 2012. CENT CLO 18: S&P Assigns Prelim. 'BB-' Rating on Class E Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Cent CLO 18 Ltd./Cent CLO 18 Corp.'s $473.75 million floating-rate notes. The note issuance is a collateralized loan obligation (CLO) securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of May 20, 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 0.27%-11.67%. -- 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/1553.pdf PRELIMINARY RATINGS ASSIGNED Cent CLO 18 Ltd./Cent CLO 18 Corp. Class Rating Amount (mil. $) X AAA (sf) 3.75 A AAA (sf) 315.00 B-1 AA (sf) 55.50 B-2 AA (sf) 10.00 C-1 (deferrable) A (sf) 31.25 C-2 (deferrable) A (sf) 2.00 D (deferrable) BBB (sf) 25.00 E (deferrable) BB- (sf) 26.25 P (i) AA+ (sf)NRi(ii) 5.00 Subordinated notes NR 53.75 (i) The class P notes are secured by a U.S. Treasury Strip, with a face value of $5 million. (ii) 'NRi' indicates that the interest is not rated. NR -- Not rated. COAST INVESTMENT 2001-1: S&P Affirms CC Rating on 2 Note Classes ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B-1 and B-2 notes from Coast Investment Grade 2001-1 Ltd., a collateralized debt obligation transaction, backed by tranches from mostly collateralized loan obligations. S&P also affirmed its ratings on the class C-1 and C-2 notes from the same transaction. The transaction is managed by Coast Asset Management LLC. Coast Investment Grade 2001-1 Ltd. ended its reinvestment period in October 2005 and principal proceeds are being used to pay down the notes. The class A notes have paid down completely. Since S&P's last affirmation on Dec. 8, 2011, the class B notes have paid down over $35 million in total and are currently only 3.42% of their original notional balance. Only 10 assets remain in the pool, the majority of which are non-investment-grade. Of these 10, two are considered defaulted, while three others are deferring their current interest, according to the April 4, 2013, trustee report. The handful of assets remaining in the pool increases the portfolio's concentration risk. However, there has been a large increase in the overcollateralization (O/C) ratios due to the paydowns since October 2011. The senior O/C ratio (the class B-2 ratio) has increased more than 86% to 227.41%, per the April 2013 trustee report, from 140.96% noted in the October 2011 report, which S&P used for its affirmation in December 2011. S&P upgraded the class B-1 and B-2 notes to 'BBB+ (sf)' because of the paydowns and small outstanding balances. S&P affirmed its 'CC (sf)' ratings on the class C-1 and C-2 notes to reflect the tail risk in the transaction. 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 Coast Investment Grade 2001-1 Ltd. Rating Class To From B-1 BBB+ (sf) CCC+ (sf) B-2 BBB+ (sf) CCC+ (sf) RATINGS AFFIRMED Coast Investment Grade 2001-1 Ltd. Rating C-1 CC (sf) C-2 CC (sf) TRANSACTION INFORMATION Issuer: Coast Investment Grade 2001-1 Ltd. Co-issuer: Coast Investment Grade 2001-1 Corp. Collateral manager: Coast Asset Management LLC Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO of CDO COMM 2004-RS1: Fitch Lowers Ratings on 7 Cert. Classes to 'C' ------------------------------------------------------------- Fitch Ratings has upgraded one, affirmed five, and downgraded eight classes issued by COMM 2004-RS1 Ltd./Corp. (COMM 2004-RS1). The affirmations are a result of amortization of the capital structure. The downgrades are a result of increased principal losses on the underlying collateral. Key Rating Drivers: Since the last rating action in June 2012, approximately 14.4% of the collateral has been downgraded and 52.6% has been upgraded. Currently, 34.9% of the portfolio has a Fitch derived rating below investment grade with 27.9% having a rating in the 'CCC' category and below, compared to 20.8% and 20.8%, respectively, at the last rating action. Over this period, the class A notes have received $98.8 million in pay downs for a total of $203.5 million since issuance. One obligor, Marquee 2004-1, comprises 50% of the portfolio. Marquee 2004-1 is a repack of one mezzanine class of CMCMT 1998- C1, a commercial mortgage-backed securities (CMBS) resecuritization. The current weighted average Fitch derived rating of the underlying bonds in CMCMT 1998-C1 has declined since last rating action at to 'CCC/CCC-' from 'B-/CCC+'. However, the Marquee notes within COMM 2004-RS1 have continued to delever. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The Rating Loss Rates (RLR) were then compared to the credit enhancement of the classes. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near- term maturities. Given the significant concentration of Marquee 2004-1 within the portfolio, Fitch analyzed the Marquee 2004-1 classes based on an analysis of the CMCMT 1998-C1 portfolio using PCM. The class A notes have been upgraded to reflect that they are covered by highly rated collateral, but the upgrade was limited due to the increased risk for interest shortfall on the notes as a result of increased concentration and adverse selection. The passing ratings on the class B notes are generally consistent with the ratings assigned below. For the class C through N notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class C notes have been downgraded to 'CCsf', indicating that default is probable. Similarly, the class D through K notes have been downgraded and the class L through N notes affirmed at 'Csf', indicating that default is inevitable. The Stable Outlook on the class A notes reflects its priority in the capital structure and Fitch's view that the transaction will continue to delever. The Negative Outlook on the class B notes reflects the risk of adverse selection as the portfolio continues to delever. Rating Sensitivities In addition to those sensitivities discussed above, further negative migration and defaults beyond those projected by SF PCM as well as increasing concentration in assets of a weaker credit quality could lead to downgrades. COMM 2004-RS1 is a CMBS mezzanine resecuritization that closed in November 2004. Currently, 50% of the portfolio is composed of five classes of Marquee 2004-1 and the remaining 50% is CMBS collateral from the 2001 and 2004 vintages. Fitch has upgraded the following class: -- $17,126,005 class A to 'Asf' from 'BBBsf'; Outlook to Stable from Negative. Fitch has affirmed the following classes: -- $39,020,000 class B-1 at 'Bsf'; Outlook Negative; -- $41,298,000 class B-2 at 'Bsf'; Outlook Negative; -- $1,520,000 class L at 'Csf'; -- $622,000 class M at 'Csf'; -- $2,384,528 class N at 'Csf'. Fitch has downgraded the following classes: -- $13,386,000 class C to 'CCsf' from 'CCCsf'; -- $12,955,000 class D to 'Csf' from 'CCsf'; -- $4,318,000 class E to 'Csf' from 'CCsf'; -- $3,023,000 class F to 'Csf' from 'CCsf'; -- $2,056,000 class G to 'Csf' from 'CCsf'; -- $2,176,000 class H to 'Csf' from 'CCsf'; -- $725,000 class J to 'Csf' from 'CCsf'; -- $1,313,000 class K to 'Csf' from 'CCsf'. COMMERCIAL MORTGAGE 1998-2: Fitch Keeps 'D' Rating on Cl. K Certs ----------------------------------------------------------------- Fitch Ratings has affirmed five classes of Commercial Mortgage Acceptance Corp. (CMAC) commercial mortgage pass-through certificates series 1998-C2 due to the stable performance of the pool since last review. Key Rating Drivers The affirmations are due to stable performance of the pool with sufficient credit enhancement to the remaining classes. Fitch modeled losses of 5.3% of the remaining pool; expected losses on the original pool balance total 3.2%, including $86.2 million (3% of the original pool balance) in realized losses to date. Fitch has designated 10 loans (18.4%) as Fitch Loans of Concern, which includes one specially serviced asset (0.7%). Several loans did not report recent operating information, for those loans Fitch added additional stresses to performance. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 95.5% to $131.2 million from $2.89 billion at issuance. Per the servicer reporting, 10 loans (28.9% of the pool) are defeased. Interest shortfalls are currently affecting classes J through M. The largest contributor to expected losses is secured by a 337 room full service hotel with a retail/commercial component in Newport Beach, CA (7.9% of the pool). The hotel has experienced recent performance decline due to low departmental revenue which is 29% below the underwritten level; the servicer reported year- end 2011 and year-end 2012 DSCR as 0.82x and 0.64x respectively. Recent occupancy information was not provided to Fitch. The next largest contributor to expected losses is secured by a 99,600 sf healthcare facility in Elmhurst, NY (2.5%). This property has experienced performance declines, as the servicer reports the year-end 2011 DSCR at 0.69x which compares to 1.50x at underwriting. Fitch was provided with neither year-end 2012 financials nor occupancy information. Rating Sensitivities The ratings on classes G and H are expected to be stable as the credit enhancement remains high through continued pay down and defeasance. The rating on class J could be downgraded further if expected losses increase, or tenant rollover issues result in additional loans being transferred to special servicing. Fitch affirms the ratings and revises the Recovery Estimates (RE) for the following classes: -- $65.1 million class J at 'CCsf', RE 95%; -- $763,449 class K at 'Dsf'; RE 0%. Fitch affirms the following classes: -- $21.7 million class G at 'AAAsf'; Outlook Stable; -- $36.1 million class H at 'AA-sf'; Outlook Stable; -- $0 class L at 'Dsf'; RE 0%. The class A-1, A-2, A-3, B, C, D and E certificates have paid in full. Fitch does not rate the class F and M certificates. Fitch previously withdrew the rating on the interest-only class X certificates. DIVERSIFIED ASSET: Fitch Affirms 'CCC' Ratings on 2 Note Classes ---------------------------------------------------------------- Fitch Ratings has affirmed two classes of notes issued by Diversified Asset Securitization Holdings I, L.P. (DASH I) as follows: -- $33,524,287 class A-1 notes at 'CCC'; and -- $6,920,151 class A-2 notes at 'CCC'. 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 and recovery levels for the underlying portfolio. Given the current rating levels and the relatively stable performance of the transaction since the last review, cash flow modeling analysis was not performed. Instead, Fitch considered qualitative factors in its analysis, as described below, to conclude the rating affirmations for the rated notes. Key Rating Drivers The affirmations are attributed to the increased credit enhancement (CE) available to the notes as a result of the continued deleveraging of the capital structure, offsetting modest deterioration of the underlying collateral and increased portfolio concentration. Since Fitch's last rating action in May 2012, the class A notes have received approximately $13.7 million, or 25.4% of its previous outstanding balance, in principal redemptions. In addition to normal principal amortization, the notes have also been benefiting from excess spread redirected to cure the failing class A overcollateralization (OC) test. Approximately $2.3 million of such interest proceeds were used to amortize the class A notes over the last four payment dates. The remaining combined balance of $40.4 million represents 15.4% of the original issued amount. While the par-based CE has improved since the last review, the increasing high single obligor concentration and adverse selection remain meaningful concerns. As of the April 2013 Trustee report, the current portfolio comprises of 22 obligors with the largest one representing 14% and the largest five representing 54.4% of the underlying pool, compared to 10.8% and 48.3%, respectively, at previous review. On the collateral performance side, there has been a modest deterioration in the credit quality of the portfolio, with 7.3% of the pool downgraded a weighted average of 5.6 notches. Approximately 47.9% of the current portfolio has a Fitch-derived rating below investment grade and 33.9% has a rating in the 'CCCsf' rating category or lower. The portfolio also contains three defaulted securities totaling $7.7 million and a number of distressed assets where further deterioration may occur. Rating Sensitivities Further negative migration and defaults beyond those projected by SF PCM as well as increasing concentration in assets of a weaker credit quality could lead to downgrades. Likewise, a buildup of credit enhancement could lead to future upgrades. DASH I is a cash flow structured finance collateralized debt obligation (SF CDO) that closed on December 18, 1999 and is monitored by Asset Allocation & Management, LLC. The portfolio is comprised of residential mortgage-backed securities (38.7%), commercial mortgage-backed securities (31.4%), commercial asset- backed securities (14.6%), U.S. Treasury Principal Only Notes (13.5%), corporate CDOs (1.6%), and consumer asset-backed securities (0.3%) from 1995 through 2002 vintage transactions. FCC PROUDREED 2005: S&P Lowers Rating on Class D Notes to 'BB-' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered and removed from CreditWatch negative its credit ratings on FCC Proudreed Properties 2005's class B, C, D, and E notes. S&P has also affirmed and removed from CreditWatch negative its rating on the class A notes. The rating actions follows S&P's review of the loan pools and the application of its updated European commercial mortgage-backed Securities (CMBS) criteria. On Dec. 6, 2012, S&P placed its ratings on FCC Proudreed Properties 2005's class A, B, C, D, and E notes on CreditWatch negative, following the update to S&P's European CMBS criteria. THE PARIS PROPERTIES LOAN (75% OF THE POOL BY LOAN BALANCE) The loan is secured against 74 mixed-use properties in France. The remaining portfolio mainly consists of warehouse/distribution facilities (67% by rental income), with the highest concentration in the Ile de France region (59% by rental income). The occupancy rate is currently 74.6%. The current loan balance is GBP247.6 million and the maturity date is August 2014. In May 2013, the servicer reported a loan-to-value (LTV) ratio of 65%, compared with a loan event of default covenant of 70%. The servicer also reported a 12-month backward-looking interest coverage ratio (ICR) of 4.97x and a three-month forward-looking ICR of 5.19x, compared with a loan event of default covenant of 1.20x. S&P do not expect full recovery of this loan under its base case scenario. THE PROUDREED FRANCE LOAN (25% OF THE POOL BY LOAN BALANCE) The Proudreed France Loan is secured against 29 mixed-use properties in France. The remaining portfolio mainly consists of warehouse/distribution facilities (63% by rental income), with the highest concentration in the Ile de France region (49% by rental income). The current loan balance is GBP83.4 million and the maturity date is August 2014. In May 2013, the servicer reported an LTV ratio of 57%, compared with a loan event of default covenant of 70%. The servicer also reported a 12-month backward-looking ICR of 6.98x and a three- month forward-looking ICR of 8.55x, compared with a loan event of default covenant of 1.20x. S&P do not currently anticipate principal losses on this loan. RATING RATIONALE S&P's analysis indicates that the available credit enhancement for the class A notes is sufficient to maintain its current rating on this class. Therefore, S&P has affirmed at 'AA- (sf)' and removed from CreditWatch negative its rating on the class A notes. However, the amount of available credit enhancement for the class B, C, and D notes is no longer sufficient to cover S&P's principal loss expectations under their current rating scenarios. S&P has therefore lowered and removed from CreditWatch negative its ratings on the class B, C, and D notes. In S&P's opinion, the class E notes are vulnerable to principal losses. S&P has therefore lowered to 'B- (sf)' from 'BB+ (sf)' and removed from CreditWatch negative its rating on the class E notes. FCC Proudreed Properties 2005 is a 2005 vintage secured loan transaction secured by 103 French commercial real estate properties. 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 LIST Class Rating Rating To From FCC Proudreed Properties 2005 EUR397.4 Million Commercial Mortgage-Backed Floating-Rate Notes Ratings Lowered And Removed From CreditWatch Negative B A- (sf) AA- (sf)/Watch Neg C BBB- (sf) A (sf)/Watch Neg D BB- (sf) BBB+ (sf)/Watch Neg E B- (sf) BB+ (sf)/Watch Neg Rating Affirmed And Removed From CreditWatch Negative A AA- (sf) AA- (sf)/Watch Neg FIRST UNION 1999-C2: Fitch Affirms 'D' Rating on Class M Notes -------------------------------------------------------------- Fitch Ratings has affirmed five classes issued by First Union National Bank-Chase Manhattan Bank Commercial Mortgage Trust (FUNC 1999-C2) commercial mortgage pass-through certificates, series 1999-C2. Key Rating Drivers The affirmations are due to increased credit enhancement from paydowns and stable performance of the pool. Fitch modeled losses of 8% of the remaining pool; expected losses on the original pool balance total 2.4%, including losses already incurred. The pool has experienced $23.8 million (2% of the original pool balance) in realized losses to date. Fitch has designated five loans (18.7%) as Fitch Loans of Concern, none of which are with the special servicer. As of the May 2013 distribution date, the pool's aggregate principal balance has been reduced by 95.8% to $49.6 million from $1.2 billion at issuance. 14 loans (45.2%) are currently defeased. Interest shortfalls are currently affecting classes L and M. The largest contributor to Fitch's modeled losses is a 156-room Days Inn limited service hotel (2.9%) located in Fredericksburg, VA. The property was constructed in 1966 and renovated in 1998. The property has experienced declining performance due to decreases in occupancy and RevPAR and increases in expenses. However, the loan remains current. The second largest contributor to Fitch's modeled losses is a 148- room Days Inn limited service hotel (2.6%) located in Shreveport, LA. The property has continued to experience poor performance due to high operating expenses. However, the loan remains current. Rating Sensitivities Fitch also performed an additional stress on the remaining performing loans. The ratings on the class H through L notes are expected to be stable as the credit enhancement remains high. Fitch has affirmed the following classes as indicated: -- $5.5 million class H notes at 'AAAsf'; Outlook Stable; -- $11.8 million class J notes at 'AAsf'; Outlook Stable; -- $11.8 million class K notes at 'BB+sf'; Outlook Stable; -- $11.8 million class L notes at 'Bsf'; Outlook Stable; -- $8.6 million class M notes at 'Dsf'; RE 50%. Fitch does not rate the class NR notes and previously withdrew the ratings on the IO notes. Classes A-1, A-2, B, C, D, E, F, and G have paid in full. FIRST UNION 2000-C1: Fitch Affirms 'D' Rating on Class M Notes -------------------------------------------------------------- Fitch Ratings has affirmed seven classes of First Union National Bank Commercial (FUNBC) Mortgage Trust's commercial mortgage pass- through certificates, series 2000-C1. Key Rating Drivers The affirmations are due to increased credit enhancement from significant paydowns and stable performance of the pool. Fitch modeled losses of 19.2% of the remaining pool; expected losses on the original pool balance total 3.7%, including losses already incurred. The pool has experienced $15.1 million (2% of the original pool balance) in realized losses to date. Fitch has designated four loans (29.1%) as Fitch Loans of Concern, which includes two specially serviced assets (25.9%). As of the May 2013 distribution date, the pool's aggregate principal balance has been reduced by 90.9% to $71.1 million from $776.3 million at issuance. Seven loans (22%) are currently defeased. Interest shortfalls are currently affecting classes K through N. The largest contributor to Fitch's modeled losses is a 70,853 square foot (sf) unanchored retail property (14.7%) located in Chicago, IL. The loan transferred to the special servicer in January 2010 due to pending loan maturity. The loan sale offering memorandum was distributed in March 2013 and the projected closing date is in June 2013. The second largest contributor to modeled losses is a specially serviced (11.2%) real estate owned (REO) 206,011 square foot (sf) retail center located in Decatur, IL. The loan was transferred to special servicing in January 2010 due to the borrower's request for a discounted payoff. The trust took title to the property through Deed in Lieu of Foreclosure in July 2011. Largest tenants at the property include K's Merchandise Mart, Schnucks, and Office Depot. Rating Sensitivities Fitch also performed an additional stress on the remaining performing loans. The ratings on the class F through H notes are expected to be stable as the credit enhancement remains high. Classes J through L notes may be subject to further downgrades as losses are realized. Fitch has affirmed the following classes as indicated: -- $8.6 million class F notes at 'AAAsf'; Outlook Stable; -- $29.1 million class G notes at 'A+sf'; Outlook Stable; -- $7.8 million class H notes at 'Asf'; Outlook to Stable from Negative; -- $3.9 million class J notes at 'BBBsf'; Outlook Negative; -- $7.8 million class K notes at 'B-sf'; Outlook Negative; -- $5.8 million class L notes at 'CCsf'; RE 10%; -- $8.2 million class M notes at 'Dsf'; RE 0%; Class N, which is not rated by Fitch has been reduced to zero from $14.6 million at issuance due to realized losses. Classes A-1, A- 2, B, C, D, and E have paid in full. Fitch has previously withdrawn the ratings of the interest-only class IO. G-FORCE 2006-1: Moody's Takes Action on 7 Note Classes ------------------------------------------------------ Moody's affirmed the ratings of seven classes of Notes issued by G-Force CDO 2006-1 Ltd. The affirmations are due to rapid redemption of the senior classes offsetting greater credit risk of the collateral pool as evidenced by the Moody's weighted average rating factor (WARF) and recovery rate (WARR). The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-Remic) transactions. Moody's rating action is as follows: Cl. A-2, Affirmed Aa1 (sf); previously on Jun 20, 2012 Downgraded to Aa1 (sf) Cl. A-3, Affirmed Caa2 (sf); previously on Jun 20, 2012 Downgraded to Caa2 (sf) Cl. B, Affirmed C (sf); previously on Jul 20, 2011 Downgraded to C (sf) Cl. C, Affirmed C (sf); previously on Dec 18, 2009 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Dec 18, 2009 Downgraded to C (sf) Cl. SSFL, Affirmed Baa3 (sf); previously on Jun 20, 2012 Downgraded to Baa3 (sf) Cl. JRFL, Affirmed Caa3 (sf); previously on Jun 20, 2012 Downgraded to Caa3 (sf) Ratings Rationale: G-Force CDO 2006-1 Ltd. is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100% of the pool balance). As of the April 25, 2013 Trustee report, the aggregate Note balance of the transaction, including preferred shares, has decreased to $705.3 million from $880.4 million at issuance, with the paydown directed to the Class A-2 Notes and the Class SSFL Notes, as a result of regular amortization of 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 collateral. Moody's modeled a bottom-dollar WARF of 3,572 compared to 2,500 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (7.3% compared to 17.2% at last review), A1-A3 (8.1% compared to 13.1% at last review), Baa1-Baa3 (12.7% compared to 11.4% at last review), Ba1-Ba3 (20.9% compared to 22.2% at last review), B1-B3 (19.1% compared to 16.8% at last review), and Caa1-C (32.0% compared to 19.4% at last review). Moody's modeled a WAL of 3 years compared to 2.5 years at last review. The current WAL is based upon assumptions about extensions on the underlying collateral assets. Moody's modeled a fixed WARR of 17.5% compared to 24.8% at last review. Moody's modeled a MAC of 11.1% compared to 12.1% at last review. Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating models, which was released on March 25, 2013. The cash flow model, CDOEdge v3.2.1.2, released on May 16, 2013, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Moody's analysis encompasses the assessment of stress scenarios. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 17.5% to 7.5% or up to 27.5% would result in a modeled rating movement on the rated tranches of 0 to 2 notches downward and 0 to 3 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery in the commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector continues to exhibit growth albeit at a slightly slower pace. The multifamily sector should remain stable with moderate growth. Gradual recovery in the office sector continues and will be assisted in the next quarter when absorption is likely to outpace completions. However, since office demand is closely tied to employment, Moody's expects regional employment growth to provide market differentiation. CBD markets continue to outperform secondary suburban markets. The retail sector exhibited a slight reduction in vacancies in the first quarter; the largest drop since 2005. However, consumers continue to be cautious as evidenced by sales growth continuing below historical trends. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic outlook indicates the global economy has lost momentum over the past quarter as it tries to recover. US GDP growth for 2013 is likely to remain close to 2%, however US sequestration cuts that came into effect in March may create a drag on the positive growth in the US private sector. While the broad economic impact is unclear, the direct effect is likely to shave 0.4% off US GDP growth in 2013. Continuing from the previous quarter, Moody's believes that the three most immediate risks are: i) the risk of an even deeper than currently expected recession in the euro area, accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in May 2012, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. GE CAPITAL 2002-1: Fitch Affirms 'D' Rating on Class N Certs. ------------------------------------------------------------- Fitch Ratings has affirmed five classes of GE Capital Commercial Mortgage Corp., commercial mortgage pass-through certificates, series 2002-1 (GECCMC 2002-1). Key Rating Drivers The affirmation is due to sufficient credit enhancement to the remaining Fitch rated class and minimal Fitch expected losses across the pool. The pool has experienced $24.1 million (2.3% of the original pool balance) in realized losses to date. As of the May 2013 distribution date, the pool's aggregate principal balance has been reduced by 96.8% to $33.4 million from $1.04 billion at issuance. There are three remaining loans in the pool, one of which is defeased (16.2% of the pool) and one is in special servicing (14.9%of the pool). Interest shortfalls are currently affecting classes N through P. The largest loan in the pool (69% of the pool) is a single-tenant office property in Dearborn, MI leased to a single tenant, Ford Motor Company (rated 'BBB-', Stable Outlook by Fitch). The loan is fully amortizing and the lease is co-terminus with the maturity date. The specially-serviced loan is secured by two office buildings totaling 77,839 sf located in Sacramento, CA. The loan transferred to special servicing in November 2011 for imminent maturity default. The two buildings are vacant. The borrower is paying taxes, insurance and basic utilities. While the maturity date has passed, a draft term sheet has been completed for a loan modification likely to occur in July or August 2013. Rating Sensitivity The ratings of classes K and L are expected to remain stable due to an expected increase in credit enhancement from future paydown. Fitch affirms the following classes as indicated: -- $12.1 million class K at 'BBBsf', Outlook Stable; -- $6.5 million class L at 'BBsf', Outlook to Stable from Negative; -- $7.8 million class M at 'Bsf', Outlook Negative; -- $7 million class N at 'Dsf', RE 50%; -- $0 class O at 'Dsf', RE 0%. The class A-1, A-2, A-3, B, C, D, E, F, G, H and J certificates, and the interest-only class X-2 certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class X-1 certificates. GMAC COMMERCIAL 1998-C2: Fitch Affirms 'D' Rating on $18.7MM Certs ------------------------------------------------------------------ Fitch Ratings has affirmed GMAC Commercial Mortgage Securities, Inc.'s mortgage pass-through certificates, series 1998-C2 (GMAC 1998-C2). Key Rating Drivers The affirmations are the result of improved performance relative to the previous rating action and the large percentage of defeased loans (37.1%) that are part of the remaining pool. Fitch modeled losses of 4% of the remaining pool; expected losses of the original pool are at 2.5% including losses already incurred to date. Fitch has designated six loans (12.1%) as Fitch Loans of Concern of which one (3.9%) is a specially serviced loan. Ratings Sensitivity Concerns surrounding the upcoming maturities of the collateral pool, asset concentration, and adverse selection of the remaining loans within the pool were a contributing factor for not upgrading the remaining classes at this time. Although the pool's leverage is has lowered significantly from issuance due to amortization. The pool's weak operating performance raises concerns that a large percentage of the seventeen 15 year term loans could default at maturity. As of the June 2012 distribution date, the pool's aggregate principal balance has been paid down by 94.6% to $136.6 million from $2.53 billion at issuance. The largest contributor to modeled losses, Georgetown Plaza Shopping Center (2.08% of the pool), is secured by an 109,800 square foot (sf) retail center in Indianapolis, IN. The borrower was unable to refinance partly due to environmental issues relating to a former tenant at the site. The special servicer has worked with the borrower and insurance company to complete remediation activities at the site. A plan has been approved and the clean-up has been ongoing. The special servicer is awaiting court ruling on a number legal issues before continuing with foreclosure proceedings. The second largest contributor to modeled losses, Bayhead Mobile Home Park, is a 238 pad manufactured housing community (1.1% of the pool) located in Tallahassee, FL. The community is located in a declining market that is in a state of transition. There have been multiple closings of mobile home communities that are in the market along with increased construction of multifamily properties. The market vacancy rate has spiked to 65% which is slight below the subject's year end vacancy rate of 67%. The loan is current and the servicer continues to monitor the subject for new developments. The third largest contributor to modeled losses, Flint Hill Pointe Apartments, is a 136 unit multifamily complex located Bessemer, AL (Birmingham MSA). The subject consists of 17 two story buildings. The property is underperforming the submarket with a vacancy rate of 7% with an average unit asking rate of $462. The loan is scheduled to mature on June 1, 2013. The sponsor has indicated that was working with lender to refinance the loan and pay the remaining balance by the maturity date. Fitch affirms the following classes as indicated: -- $35.6 million class F at 'AAAsf'; Outlook Stable; -- $44.3 million class G at 'AAAsf'; Outlook Stable; -- $19 million class H at 'Asf'; Outlook Stable; -- $19 million class J at 'BBsf'; Outlook Stable; -- $18.7 million class K at 'Dsf' RE 75. Fitch does not rate class N. Class M and L is currently rated 'Dsf' and have been reduced to zero due to realized losses. Classes A-1, A-2, B, C, D, and E have paid in full. Class X was previously withdrawn. GMAC COMMERCIAL 2000-C3: Fitch Affirms 'D' Rating on Cl. L Certs ---------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed eight classes of GMAC Commercial Mortgages Securities, Inc (GMAC 2000-C3) commercial mortgage pass-through certificates, series 2000-C3. Key Rating Drivers The affirmations are the result of stable performance of the pool and sufficient credit enhancement levels. The upgrade reflects better than expected resolution of a loan previously in special servicing and a higher valuation on the loan in special servicing. Fitch modeled losses of 7.2% of the remaining pool; expected losses on the original pool balance total 3.7%, including losses already incurred. The pool has experienced $41.7 million (3.2% of the original pool balance) in realized losses to date. Fitch has designated two loans (26.9%) as Fitch Loans of Concern, including one asset (18.7%) in special servicing. Rating Sensitivities The ratings of classes F through J are expected to remain stable based on defeasance and sufficient credit enhancement levels. Class J is susceptible to possible losses contingent on the resolution of loans unable to refinance at their maturity date and loans with exposure to single-tenant properties with limited-term lease expirations. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 95.1% to $64.3 million from $1.32 billion at issuance. Per the servicer reporting, two loans (41.8% of the pool) are defeased. Interest shortfalls are currently affecting classes K through P. The largest contributor to expected losses is a 128,185 sf office complex (18.7% of the pool) consisting of three buildings located in Golden Valley, MN. The asset was foreclosed upon in March 2012 and title was taken in October 2012. Occupancy of the property has improved to 80% as of March 2013 from a low of 71% in 2011. The servicer is working to increase occupancy prior to marketing the asset for sale. Fitch upgrades the following class: -- $25.5 million class J to 'CCCsf' from 'Csf', RE 100%; Fitch affirms the following classes and revises Rating Outlooks as indicated: -- $13.6 million class F at 'AAAsf', Outlook Stable; -- $8 million class G at 'AAsf', Outlook to Stable from Negative; -- $9.9 million class H at 'BBBsf', Outlook to Stable from Negative; -- $4.5 million class K at 'Csf', RE 65%; -- $2.9 million class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%; -- $0 class O at 'Dsf', RE 0%. Classes A-1, A-2, B, C, D, E, S-MAC-1, S-MAC-2, S-MAC-3, and S- MAC-4 have paid in full. Fitch does not rate the class P and S-AM certificates. Fitch previously withdrew the rating on the interest-only class X certificates. IRVINE CORE 2013-IRV: S&P Assigns 'BB+' Rating on Class F Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Irvine Core Office Trust 2013-IRV's $874.9 million commercial mortgage pass-through certificates series 2013-IRV. The note issuance is a commercial mortgage-backed securities transaction backed by 10 uncrossed commercial mortgage loans with an aggregate principal balance of $874.9 million, secured by the fee interests in 10 office properties in the Los Angeles, Irvine, and Newport Beach markets in California. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1505.pdf RATINGS ASSIGNED Irvine Core Office Trust 2013-IRV Class Rating(i) Amount ($) A-1 AAA (sf) 199,143,000 A-2 AAA (sf) 360,966,000 X-A AAA (sf) 199,143,000(ii) B AA (sf) 88,438,000 C A (sf) 88,438,000 D BBB+ (sf) 58,959,000 E BBB- (sf) 70,255,000 F BB+ (sf) 8,750,000 (i) The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii) Notional balance. J.C. PENNEY: S&P Lowers Rating on 8 Cert. Classes to 'CCC-' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of certificates linked to J.C. Penney Co. Inc. debentures. We lowered the ratings to 'CCC-' from 'CCC+'. The downgraded certificates relate to five J.C. Penney Co. Inc.-related transactions. S&P's ratings on the eight classes are dependent on its rating on the underlying security: J.C. Penny Co. Inc.'s 7.625% debentures due March 1, 2097 ('CCC-'). The rating actions reflect the May 10, 2013, lowering of S&P's rating on the underlying security to 'CCC-' from 'CCC+'. S&P may take additional rating actions on these transactions due to subsequent changes in its rating assigned to the underlying security. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST CABCO Trust for JC Penney Debentures US$52.65 mil ser: trust certificates due 03/01/2097 Class To From Certs. CCC- CCC+ CorTS Trust For J.C. Penney Debentures US$100 mil corporate-backed trust securities (CorTS) certificates Class To From Certs CCC- CCC+ Corporate Backed Callable Trust Certificates J C Penney Debenture- Backed Series 2006-1 US$27.5 mil Class To From A-1 CCC- CCC+ A-2 CCC- CCC+ Corporate Backed Callable Trust Certificates J.C. Penney Debenture Backed Series 2007-1 Trust US$55 mil corporate backed callable trust certificates J.C. Penney debentures-backed series 2007-1 Class To From A-1 CCC- CCC+ A-2 CCC- CCC+ Structured Asset Trust Unit Repackaging (SATURNS) J.C. Penny Company US$54.5 mil units Series 2007-1 Class To From A CCC- CCC+ B CCC- CCC+ JP MORGAN 2004-C3: Fitch Keeps 'D' Rating on Class P Certificates ----------------------------------------------------------------- Fitch Ratings has affirmed 19 classes of JP Morgan Chase Commercial Mortgage Securities Corp. commercial mortgage pass- through certificates series 2004-C3 (JPMCCM 2004-C3). Key Rating Drivers Fitch modeled losses of 8.9% of the remaining pool; expected losses on the original pool balance total 7.8%, including losses already incurred. The pool has experienced $30.8 million (2% of the original pool balance) in realized losses to date. Fitch has designated 34 loans (37.7%) as Fitch Loans of Concern, which includes four specially serviced assets (7.1%). As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 34.9% to $988.2 million from $1.52 billion at issuance. Per the servicer reporting, 14 loans (15.9% of the pool) are defeased. Interest shortfalls are currently affecting classes H through NR. The largest contributor to modeled losses is a real estate owned (REO) portfolio, the Everest Portfolio, (5.6% of the pool), which now consists of six industrial/office buildings located in the greater Boston metropolitan statistical area. The loan went into maturity default in January 2010, and the trust took title to the original eight building portfolio in 2012. Two buildings were sold in the first quarter of 2013 with proceeds applied towards the debt. The remaining six properties are expected to be listed for sale this quarter. The second largest contributor to expected losses is the Crossroads Shopping Center loan (6%), which is secured by a 310,000 square foot (sf) anchored retail center located in White Plains, NY. As of the March 2013 rent roll, occupancy at the property was approximately 77% compared with 82% in March 2012. Property performance significantly declined when bankrupt A&P Supermarket (12% of the NRA) vacated its space in 2011. An additional 13% of the space rolls over the next 12 months. The third largest contributor to expected losses is the Lakeshore Club Apartments loan (2.7%), which is secured by a 650 unit multifamily property located in Tampa, FL. As of January 2013, the servicer reported occupancy was 94%. The loan was returned to the master servicer from special servicing in December 2012 after a loan modification. The loan is now interest only through the remaining term, which was extended to November 2015. Rating Sensitivities The ratings of classes A through D are expected to remain stable. The ratings on classes E and F could be subject to further downgrades should realized losses be greater than Fitch expectations. The distressed classes (those rated below 'B') are expected to be subject to further downgrades as losses are realized. Fitch affirms the following classes and revises Outlooks as indicated: -- $116.7 million class A-1A at 'AAAsf', Outlook Stable; -- $11.8 million class A-3 at 'AAAsf', Outlook Stable; -- $166.1 million class A-4 at 'AAAsf', Outlook Stable; -- $421.4 million class A-5 at 'AAAsf', Outlook Stable; -- $87.3 million class A-J at 'AAsf', Outlook Stable; -- $43.6 million class B at 'Asf', Outlook Stable; -- $13.3 million class C at 'BBB-sf', Outlook Stable; -- $13.3 million class D at 'BBsf', Outlook Stable; -- $15.2 million class E at 'BBsf', Outlook to Negative from Stable; -- $15.2 million class F at 'Bsf', Outlook Negative; -- $19 million class G at 'CCCsf', RE 25%. -- $15.2 million class H at 'CCCsf', RE 0%; -- $20.9 million class J at 'CCsf', RE 0%; -- $7.6 million class K at 'Csf', RE 0%; -- $5.7 million class L at 'Csf', RE 0%; -- $9.5 million class M at 'Csf', RE 0%; -- $3.8 million class N at 'Csf', RE 0%; -- $2.8 million class P at 'Dsf', RE 0%; -- $0 class Q at 'Dsf', RE 0%. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. JP MORGAN 2007-CIBC19: Moody's Cuts Ratings on Five CMBS Classes ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of five classes and affirmed nine classes of J.P. Morgan Chase Commercial Mortgage Securities, Commercial Mortgage Pass-Through Certificates, Series 2007-CIBC19 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Jun 14, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-SB, Affirmed Aa2 (sf); previously on Oct 20, 2010 Downgraded to Aa2 (sf) Cl. A-4, Affirmed Aa2 (sf); previously on Oct 20, 2010 Downgraded to Aa2 (sf) Cl. A-1A, Affirmed Aa2 (sf); previously on Oct 20, 2010 Downgraded to Aa2 (sf) Cl. A-M, Downgraded to Baa3 (sf); previously on May 18, 2012 Downgraded to Baa1 (sf) Cl. A-J, Downgraded to B3 (sf); previously on May 18, 2012 Downgraded to B1 (sf) Cl. B, Downgraded to Caa2 (sf); previously on May 18, 2012 Downgraded to B2 (sf) Cl. C, Downgraded to C (sf); previously on May 18, 2012 Downgraded to Caa2 (sf) Cl. D, Downgraded to C (sf); previously on May 18, 2012 Downgraded to Caa3 (sf) Cl. E, Affirmed C (sf); previously on May 18, 2012 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on May 18, 2012 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Oct 20, 2010 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Oct 20, 2010 Downgraded to C (sf) Cl. X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The downgrades are due to higher than expected losses in the pool resulting from realized and anticipated losses from specially serviced and troubled loans. The affirmations of principal classes A-3, A-4, A-SB and A-1A are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The ratings of Classes E, F, G and H are consistent with Moody's expected loss and thus are affirmed. The rating of the IO Class, Class X, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 12.3% of the current balance. At last review, Moody's base expected loss was 11.7%. Realized losses have increased from 3.4% of the original balance to 4.8% since the prior review. Moody's base expected loss plus realized losses is now 15.2% of the original pooled balance compared to 14.2% at least review. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery in the commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector continues to exhibit growth albeit at a slightly slower pace. The multifamily sector should remain stable with moderate growth. Gradual recovery in the office sector continues and will be assisted in the next quarter when absorption is likely to outpace completions. However, since office demand is closely tied to employment, Moody's expects regional employment growth to provide market differentiation. CBD markets continue to outperform secondary suburban markets. The retail sector exhibited a slight reduction in vacancies in the first quarter; the largest drop since 2005. However, consumers continue to be cautious as evidenced by sales growth continuing below historical trends. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic outlook indicates the global economy has lost momentum over the past quarter as it tries to recover. US GDP growth for 2013 is likely to remain close to 2%, however US sequestration cuts that came into effect in March may create a drag on the positive growth in the US private sector. While the broad economic impact in unclear, the direct effect is likely to shave 0.4% off US GDP growth in 2013. Continuing from the previous quarter, Moody's believes that the three most immediate risks are: i) the risk of an even deeper than currently expected recession in the euro area, accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The 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 Class X was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. 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 63 compared to 70 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the April 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 15% to $2.8 billion from $3.3 billion at securitization. The Certificates are collateralized by 206 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans representing 27% of the pool. One loan, representing 1% of the pool, has defeased and is secured by U.S. Government securities. The pool does not contain any loans with investment grade credit assessments. Twenty-five 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 its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $156.6 million (46% loss severity on average). Twenty-three loans, representing 13% of the pool, are currently in special servicing. The largest specially serviced loan is the Doubletree Guest Suites Loan ($39.3 million -- 1.4% of the pool), which is secured by a 253-room full service hotel built in 1987 and renovated in 2005. The loan transferred to special servicing in February 2010 due to imminent default. Negotiations with Hilton resulted in a signed franchise acknowledgement agreement and a receiver was appointed in December 2010. The Trust took title as of February 2012. The remaining 22 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $216 million loss for the specially serviced loans (63% expected loss on average). Moody's has assumed a high default probability for twenty-nine poorly performing loans representing 11% of the pool and has estimated an aggregate $62.7 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 operating results for 89% of the pool's non-specially serviced and non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 111% compared to 114% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0%. Excluding special serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.28X and 0.91X, respectively, compared to 1.25X and 0.89X 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 15% of the pool. The largest conduit loan is the 599 Lexington Avenue Loan ($225.0 million -- 8.0% of the pool), which is secured by a 1.03 million square foot (SF) office building located in Midtown Manhattan in New York City. The loan represents a 40% pari-passu interest in a $750 million loan. As of December 2012, the property was 98% leased. Less than 4% of the property's leases expire over the next two years. Moody's expects performance to improve due to scheduled rent escalations. Moody's LTV and stressed DSCR are 130% and 0.71X, respectively, which is the same as at last review. The second largest conduit loan is the River City Marketplace Loan ($110.0 million -- 3.9% of the pool), which is secured by the borrower's interest in a 786,000 SF lifestyle retail center located in Jacksonville, Florida. As of December 2012, the center was 99% leased compared to 97% at last review. The center is shadow anchored by Wal-Mart and Lowe's. The largest in-line tenants are Gander Mountain, Wallace Theatre and Ashley Furniture. The loan is interest only for its entire 10-year term. Net operating income has improved over the past four years due to higher revenues. Moody's LTV and stressed DSCR are 126% and 0.75X, respectively, compared to 135% and 0.70X at last review. The third largest conduit loan is the Sabre Headquarters Loan ($83.9 million -- 3.0% of the pool), which is secured by a 474,000 SF Class A, Silver LEED certified office property located in Southlake, Texas. The property serves as the headquarters of the Sabre Holdings Corporation, which leases the entire property via a triple net lease through March 2022. Moody's analysis incorporates a lit/dark approach to reflect its concerns about single tenant exposure. The loan's 60-month interest only period expired in April 2012 and is now amortizing on a 360-month schedule. Moody's LTV and stressed DSCR are 121% and 0.85X, respectively, compared to 123% and 0.83X at last review. JP MORGAN 2013-2: Fitch Rates $4.86-Mil. Class B-4 Certs 'BBsf' --------------------------------------------------------------- Fitch Ratings expects to rate J.P. Morgan Mortgage Trust 2013-2 as follows: -- $398,288,000 class A-1 exchangeable certificate 'AAAsf'; Outlook Stable; -- $398,288,000 class A-2 exchangeable certificate 'AAAsf'; Outlook Stable; -- $338,545,000 class A-3 certificate 'AAAsf'; Outlook Stable; -- $59,743,000 class A-4 certificate 'AAAsf'; Outlook Stable; -- $398,288,000 class A-IO1 notional certificate 'AAAsf'; Outlook Stable; -- $398,288,000 class A-IO2 notional certificate 'AAAsf'; Outlook Stable; -- $4,647,000 class B-1 certificate 'AAsf'; Outlook Stable; -- $8,851,000 class B-2 certificate 'Asf'; Outlook Stable; -- $6,417,000 class B-3 certificate 'BBBsf'; Outlook Stable; -- $4,868,000 class B-4 certificate 'BBsf'; Outlook Stable; The $13,719,000 class A-M certificate and $5,753,300 class B-5 certificate will not be rated. Key Rating Drivers High-Quality Mortgage Pool: The collateral pool consists entirely of 30-year fixed rate mortgages (FRMs) to borrowers with strong credit profiles, full documentation, low leverage, and significant liquid reserves. A 69.4% CLTV provides a significant buffer against potential home price declines. Strong borrower quality is reflected in the 773 weighted average (WA) original FICO, $372,144 WA household income and $419,575 WA liquid reserves. In addition, third-party due diligence was conducted on 100% of the pool and the results indicated strong underwriting controls. Weak Representations and Warranties (R&Ws) Framework: While the transaction benefits from JPMCB and J.P. Morgan Mortgage Acquisition Corp. (JPMMAC) (rated 'A+'/'F1') as rep providers for more than 92% of the pool, Fitch believes the value of the R&W framework is significantly diluted by the presence of qualifying and conditional language that substantially reduces lender loan breach liability and the inclusion of sunsets on three provisions. The sunset trigger has been simplified and strengthened in this transaction. While the agency believes that the high credit quality pool and clean diligence results mitigate the R&W risks to some degree, Fitch considered the weaker framework in its analysis. Originators with Limited Performance History: The majority of the pool was originated by lenders with limited non-agency performance history. Although the significant contribution of loans from these originators is a concern, Fitch believes the lack of performance history is partially mitigated by the 100% third-party diligence conducted on these loans that resulted in immaterial findings. Fitch also considers the credit enhancement (CE) on this transaction sufficient to mitigate the originator risk. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis on areas where the model projected lower home price declines than that of the overall collateral pool. The model currently projects sustainable MVDs (sMVDs) at the MSA level. For one of the top 10 regions in the mortgage pool, Chicago-Joliet-Naperville, IL (11.7% of the mortgage pool), Fitch's SHP model does not project declines in home prices. Fitch conducted sensitivity analyses assuming sMVDs of 10%, 15%, and 20% for this identified metropolitan area. The sensitivity analyses indicated no impact on ratings for all bonds in each scenario. Another sensitivity analysis was focused on determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model-projected 14% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. In its analysis, Fitch considered placing a greater emphasis on recent economic performance in determining market value declines. While Fitch's current loan loss model looks to three years of historical data and one year of projections, this does not incorporate recent notable economic improvement. To reflect the more recent economic environment, a sensitivity analysis was performed using two years of historical economic data and two years of projections. The result of this sensitivity analysis was included in the consideration of the loss expectations for this transaction. This sensitivity analysis resulted in a base sMVD of 13.2%, down from 14.0%. Fitch's stress and rating sensitivity analysis are discussed in the presale report titled 'J.P. Morgan Mortgage Trust, Series 2013-2', dated May 23, 2013. JP MORGAN 2013-JWRZ: Moody's Assigns (P)Ba3 Rating to Cl. E CMBS ---------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to six classes of CMBS securities, issued by JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Commercial Mortgage Pass- Through Certificates, Series 2013-JWRZ. Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. X-CP, Assigned (P)Baa3 (sf) Ratings Rationale: The Certificates are collateralized by first mortgage liens related to three full-service hotel properties located in Phoenix, AZ and Orlando, FL. The ratings are based on the collateral and the structure of the transaction. Moody's rating approach for securities backed by a single loan compares the credit risk inherent in the underlying properties with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of the loan is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by the DSCR, and 2) Moody's assessment of the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. Moody's Trust LTV Ratio is 78.7%. Moody's Total LTV ratio (inclusive of mezzanine debt but not preferred equity of $67.5 million) of 143.5% is also considered when analyzing various stress scenarios for the rated debt. The Moody's Trust Stressed DSCR of 1.40X and Moody's Total Stressed DSCR (inclusive of mezzanine debt but not preferred equity of $67.5 million) is 0.77X. Moody's Trust LTV Ratio and Moody's Trust Stressed DSCR are considered to be in-line with other single-borrower, lodging portfolios that have been assigned a bottom-dollar credit assessment of Ba3 by Moody's. The properties are located in Phoenix, AZ (JW Marriott Desert Ridge Resort and Spa) and Orlando, FL (JW Marriott Orlando Grande Lakes and Ritz Carlton Orlando Grande Lakes). Lodging properties are more correlated than properties of other commercial real estate sector. In addition, this pool is geographically concentrated as approximately 58% of the collateral (by allocated loan balance) are located in Orlando, FL. The hotels' performance have tracked that of the US lodging sector as a whole, having deteriorated dramatically in 2009. Due to the portfolio's focus on meeting and group business, the rebound has been slower than those that cater mostly to transient demand. This portfolio's recovery started to materialize in 2012 as group and meeting business started to gain momentum. The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. The methodology used in rating Class X-CP was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's analysis employs the excel-based Large Loan Model v.8.5 which derives credit enhancement level based on an adjusted loan level proceeds derived from Moody's loan level LTV ratio. Major adjustments to determining proceeds include leverage, loan structure, property type, sponsorship and diversity. The CMBS IO calculator ver1.1 uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point . For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. The V Score for this transaction is assessed as Medium, the same as the V score assigned to the U.S. Single Borrower CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 15%, or 25%, the model-indicated rating for the currently assigned (P) Aaa (sf) class would be (P) Aa1 (sf), (P) Aa2 (sf), or (P) Aa3 (sf), respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. JP MORGAN 2013-JWRZ: S&P Assigns Prelim BB Rating on Class E Note ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ's $510.0 million commercial mortgage pass-through certificates, series 2013-JWRZ. The note issuance is a commercial mortgage-backed securitization (CMBS) backed by one two-year, floating-rate commercial mortgage loan totaling $510.0 million, secured by a first-lien mortgage on the borrower's fee interest in the J.W. Marriott Grande Lakes and the Ritz-Carlton Grande Lakes (Grande Lakes Resort) in Orlando, Fla. and the fee and leasehold interests in the J.W. Marriott Desert Ridge in Phoenix, Ariz. The preliminary ratings are based on information as of May 15, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings assigned to the J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ's (JPMCC 2013- JWRZ's) $510.0 million commercial mortgage pass-through certificates reflect Standard & Poor's Ratings Services' view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. S&P determined that the loan has a beginning and ending loan-to-value (LTV) ratio of 70.3%, based on its value of the three properties backing the transaction. 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/1539.pdf PRELIMINARY RATINGS ASSIGNED J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ Class Rating(i) Amount (mil. $)(i) A AAA (sf) 212,300,000 X-CP BB (sf) 510,000,000(ii) X-EXT BB (sf) 510,000,000(ii) B AA- (sf) 74,500,000 C A- (sf) 60,000,000 D BBB- (sf) 72,900,000 E BB (sf) 90,300,000 (i) The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii) Notional balance. The notional amount of the X-CP and X-EXT certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A, B, C, D, and E certificates. KEYCORP STUDENT: Moody's Mulls Upgrade of Loan Issues from 3 Deals ------------------------------------------------------------------ Moody's Investors Service has placed under review for upgrade the ratings of four classes of notes in three KeyCorp Student Loan transactions. The underlying collateral for these transactions includes loans originated under the Federal Family Education Loan Program (FFELP) and private student loans. The FFELP and the private student loan collateral is separated into Group I and Group II, respectively, with each group collateralizing its own set of notes with independent reserve accounts and payment waterfalls. The residual cash flow in each group can be used to cover any payment shortfalls in the other group. The reviews for upgrade affect the Group II notes. Ratings Rationale: The reviews for upgrade are prompted primarily by the continued build-up in the tranche level credit enhancement for the Group II notes. Subordination levels supporting Class II-B in the 2004-A transaction and Class II-A-4 in the 2006-A transactions have increased to approximately 33% and 34% as of the latest reporting date, respectively, as a result of a continued amortization of the senior notes in a sequential-pay structure. In addition, classes II-B and II-C in the 2005-A transaction benefit from a build-up in overcollateralization as a result of declining defaults in the Group II pool. The quarterly defaults for the Group II pool in the 2005-A transaction have been declining from the peak levels. The principal methodology used in these ratings was "Moody's Approach to Rating U.S. Private Student Loan-Backed Securities" published in January 2010. During the review period Moody's will project expected life-time collateral losses and evaluate whether the available credit enhancement supports the current ratings of the classes under review. The complete rating actions as follow: Issuer: KeyCorp Student Loan Trust 2004-A Class II-B, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 1, 2010 Confirmed at Aa3 (sf) Issuer: KeyCorp Student Loan Trust 2005-A Cl. II-B, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Nov 1, 2010 Downgraded to Baa2 (sf) Cl. II-C, Caa1 (sf) Placed Under Review for Possible Upgrade; previously on Nov 1, 2010 Downgraded to Caa1 (sf) Issuer: KeyCorp Student Loan Trust 2006-A Cl. II-A-4, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Nov 1, 2010 Downgraded to Aa3 (sf) LEHMAN BROTHERS: Moody's Cuts Ratings on 8 Tranches From Two Deals ------------------------------------------------------------------ Moody's Investors Service has downgraded eight tranches in the Lehman Brothers 2007-1 and 2007-2 securitizations of small balance commercial real estate loans. Ocwen Loan Servicing, LLC services the deals. Ratings Rationale: The rating actions are due to sustained high levels of delinquencies combined with consistent net charge-offs, which have decreased the amount of available credit enhancement for lower tranches in both securitizations. Additionally, Moody's raised its expected lifetime net loss for the 2007-1 securitization by 175 basis points. As of the April 2013 distribution date, for the 2007-1 securitization, cumulative realized net losses increased to 14.4% from 8.2% of the original pool balance since the last rating actions in September 2011. Additionally, loans 60 days or more past due, including foreclosure and REO, increased to 28.5% from 24.1% of the current pool balance. As of the April 2013 distribution date, for the 2007-2 deal, cumulative realized net losses increased to 11.8% from 10.3% of the original pool balance since the last rating actions in September 2012. Loans 60 days or more past due, including foreclosure and REO, have remained relatively constant at 20% to 23% of the outstanding pool balance. For the 2007-1 securitization as of the April 2013 distribution date, available hard credit enhancement is 23%, 23%, 5%, 1%, and 0% for the classes 1A, 2A3, M3, M4, and B, respectively. Additionally, the total amount of the notes outstanding exceeds the total collateral value by approximately $1.7 million. For the 2007-2 securitization as of the April 2013 distribution date, the total amount of notes outstanding exceeds the total collateral value by an amount that is greater than the Class B note balance. As a result, there is no hard credit enhancement available to the Classes M5 and B. The methodology is described as follows: Moody's evaluated the sufficiency of credit enhancement by first analyzing the loans to determine an expected lifetime net loss for each collateral pool. Moody's compared the remaining expected net losses with the available credit enhancement. Moody's evaluated the sufficiency of loss coverage provided by credit enhancement in light of the magnitude and projected variability of losses on the collateral. In order to determine the portion of loans that will default, Moody's assessed recent monthly roll rate behavior for loans according to their delinquency status and applied these roll rates for a 15 month stress period. After the stress period, Moody's then decreased the monthly roll rates to more stable historical norms. Moody's assumed that defaulted loans will have a 70% severity. Moody's lifetime net expected losses are 24.5%, and 20.9% as a percent of the original pool balances for the 2007-1 and 2007-2 securitizations, respectively, which translate to remaining expected net losses of 20.4% and 17.5% as a percent of the outstanding pool balances as of the April 2013 distribution date. The Aaa volatility proxies are 48% and 46% for the 2007-1 and 2007-2 securitizations, respectively, as a percent of the outstanding pool balances as of the April 2013 distribution date. Determining factors for the Aaa volatility proxies were the credit quality of the collateral pool, the historical variability in losses experienced by the issuer, the servicer quality as well as the industrial, geographical and obligor concentrations. The Aaa volatility proxy is the level of credit enhancement that would be consistent with a Aaa (sf) rating for the given transaction. Primary sources of assumption uncertainty are the general economic environment, commercial property values, and the ability of small businesses to recover from the recession. If the remaining expected net losses increase by 10%, then the tranches may be further downgraded. Other methodologies and factors that may have been considered in the process of rating these transactions can also be found on Moody's website. The complete rating actions are as follows: Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass- Through Certificates, Series 2007-1 Cl. 1A, Downgraded to Baa2 (sf); previously on Feb 28, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 2A3, Downgraded to Baa2 (sf); previously on Feb 28, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. M3, Downgraded to Caa1 (sf); previously on Feb 28, 2013 B2 (sf) Placed Under Review for Possible Downgrade Cl. M4, Downgraded to Caa3 (sf); previously on Feb 28, 2013 B3 (sf) Placed Under Review for Possible Downgrade Cl. B, Downgraded to C (sf); previously on Feb 28, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass- Through Certificates, Series 2007-2 Cl. M4, Downgraded to Caa2 (sf); previously on Sep 13, 2012 Downgraded to Caa1 (sf) Cl. M5, Downgraded to Ca (sf); previously on Feb 28, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade Cl. B, Downgraded to C (sf); previously on Feb 28, 2013 Caa3 (sf) Placed Under Review for Possible Downgrade LEHMAN XS 2005-8: Moody's Cuts Rating on Class 1-A2 Secs. to Caa1 ----------------------------------------------------------------- Moody's Investors Service downgraded one tranche from Lehman XS Trust Series 2005-8 backed by Alt-A loans. Complete rating actions are as follows: Issuer: Lehman XS Trust Series 2005-8 Cl. 1-A2, Downgraded to Caa1 (sf); previously on Aug 20, 2012 Downgraded to B2 (sf) Ratings Rationale: The action is a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The action reflects actual losses that have occurred on the bond. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. Moody's adjusts the methodologies for 1) Moody's current view on loan modifications and 2) small pool volatility. Loan Modifications: As a result of an extension of the Home Affordable Modification Program (HAMP) and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until 2014. Small Pool Volatility: For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on Alt-A pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For Alt-A pools, Moody's first applies a baseline delinquency rate of 10% for 2005, 19% for 2006 and 21% for 2007. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2005 pool with 75 loans, the adjusted rate of new delinquency is 10.1%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in September 2011 to 7.5% in April 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. LONG POINT 2013-1: S&P Assigns 'BB' Rating on Class A Notes ----------------------------------------------------------- Standard & Poor's Ratings Services said that it assigned its 'BB(sf)' rating to the Series 2013-1 Class A notes issued by Long Point Re III Ltd. The notes cover losses from hurricanes in selected states between Virginia and Maine on a per-occurrence basis. The rating is based on the lower of the rating on the catastrophe risk ('BB'), the rating on the assets in the collateral account ('AAAm'), and the risk of nonpayment by the ceding insurer (The Travelers Indemnity Co.; AA/Stable/--). The subject (ceded) business is a subset, and a majority, of Travelers' overall insurance portfolio from its personal-lines insurance business and its commercial-lines business. The commercial-lines business is a mix of Travelers' select accounts (small business policies) and commercial accounts (midsize business policies). Business units that cover large and unique exposures, complex financial structures, and mobile property have been excluded from the subject business. The notes will cover 54.55% of losses between the attachment point of $1.25 billion and the exhaustion point of $1.80 billion. RATINGS LIST New Rating Long Point Re III Ltd. Series 2013-1 Class A Notes BB(sf) MASTR 2006-FRE1: Moody's Hikes Ratings on 2 Subprime RMBS Tranches ------------------------------------------------------------------ Moody's Investors Service upgraded the ratings of two tranches backed by Subprime mortgage loans, issued by MASTR Asset Backed Securities Trust 2006-FRE1. Complete rating actions are as follows: Issuer: MASTR Asset Backed Securities Trust 2006-FRE1 Cl. A-3, Upgraded to Ba3 (sf); previously on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade Cl. A-4, Upgraded to Caa2 (sf); previously on May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade Ratings Rationale: The rating action reflects recent performance of the underlying pools and Moody's updated expected losses on the pools. The upgrades are primarily because the subordinate bonds of this transaction have been written up due to subsequent recoveries that the trust received from mortgage insurance. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. When assigning the final ratings to senior bonds, in addition to the methodologies, Moody's considered the volatility of the projected losses and timeline of the expected defaults. Moody's also adjusts the methodologies for Moody's current view on loan modifications. As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels into 2014. The methodologies only apply to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.1% in April 2012 to 7.5% in April 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. MERRILL LYNCH: Moody's Takes Action on $76-Mil. of RMBS Issues -------------------------------------------------------------- Moody's Investors Service downgraded seven tranches and upgraded three tranches from two RMBS transactions issued by Merrill Lynch. The collateral backing these deals primarily consists of first- lien, adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $76 million of RMBS issued in 2004. Complete rating actions are as follows: Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-B Cl. B-1, Upgraded to B2 (sf); previously on Jun 11, 2012 Confirmed at Caa1 (sf) Cl. B-2, Upgraded to Caa1 (sf); previously on Jun 11, 2012 Confirmed at Caa3 (sf) Cl. X-B, Upgraded to Caa1 (sf); previously on Jun 11, 2012 Confirmed at Caa3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-F Cl. A-1A, Downgraded to Baa3 (sf); previously on Jun 11, 2012 Confirmed at Baa2 (sf) Cl. A-1B, Downgraded to Baa3 (sf); previously on Jun 11, 2012 Confirmed at Baa2 (sf) Cl. A-2, Downgraded to Baa3 (sf); previously on Jun 11, 2012 Confirmed at Baa2 (sf) Cl. X-A, Downgraded to Baa3 (sf); previously on Jun 11, 2012 Confirmed at Baa2 (sf) Cl. X-B, Downgraded to Ca (sf); previously on Jun 11, 2012 Confirmed at Caa2 (sf) Cl. B-1, Downgraded to B3 (sf); previously on Jun 11, 2012 Confirmed at B1 (sf) Cl. B-2, Downgraded to Caa3 (sf); previously on Apr 18, 2011 Downgraded to Caa1 (sf) Ratings Rationale: The actions are a result of the recent performance of the prime jumbo pools originated before 2005 and reflect Moody's updated loss expectations on these pools. The downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for certain bonds than previously anticipated. The upgrades are due to significant improvement in collateral performance. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's adjusts the methodologies for 1) Moody's current view on loan modifications and 2) small pool volatility Loan Modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until 2014. Small Pool Volatility For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication. When assigning the final ratings to bonds, Moody's considered the volatility of the projected losses and timeline of the expected defaults. The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.1% in April 2012 to 7.5% in April 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. MERRILL LYNCH 2005-CIP1: Fitch Keeps D Rating on 4 Cert. Classes ---------------------------------------------------------------- Fitch Ratings has downgraded seven classes and affirmed 13 classes of Merrill Lynch Mortgage Trust (MLMT) commercial mortgage pass- through certificates series 2005-CIP1. Key Rating Drivers The downgrades reflect an increase in expected losses across the pool since Fitch's last rating action. Fitch modeled losses of 11.7% of the remaining pool; expected losses on the original pool balance total 10.4%, including losses already incurred. The pool has experienced $43.9 million (2.1% of the original pool balance) in realized losses to date. Fitch has designated 36 loans (36.3%) as Fitch Loans of Concern, which includes 13 specially serviced assets (17.2%). Five of the Fitch Loans of Concern (18.4%) are within the transaction's top 15 loans by unpaid principal balance. Rating Sensitivities The Negative Outlook on classes AJ, B, and C reflect the pools high concentration of retail properties (38% of the pool balance), with five loans (18.5%) secured by retail in secondary or tertiary markets within the top 15 loans of the pool. This includes the largest loan in the pool, the Glenbrook Square Mall (11.2%) in Fort Wayne, IN; Olmstead Plaza (1.72%) in North Olmstead, OH; Foothills Park Plaza (1.55%) in Phoenix, AZ; and Meridian Place (1.5%) located in Puyallap, WA. Should property performance significantly decline on any of these loans there can be reasonable probability that credit support on the investment grade classes would be eroded very quickly, negatively impacting the ratings. As of the May 2013 distribution date, the pool's aggregate principal balance has been reduced by 29.2% to $1.46 billion from $2.06 billion at issuance. Per the servicer reporting, three loans (3.7% of the pool) are defeased. Interest shortfalls are currently affecting classes E through Q. The largest contributor to Fitch-modeled losses is attributed to the Highwoods Portfolio (9.3% of the pool). The loan was originally secured by 31 cross-collateralized office properties in Charlotte, NC (18 properties) and Tampa, FL (13 properties). The original $160 million loan on this property, which matured in August 2010, had transferred to special servicing in March 2010 for imminent maturity default. The loan was modified in March 2011 while in special servicing. Terms of the modification included an extension to the original loan term and bifurcation of the loan into a senior ($100 million) and junior ($60 million) component. The senior A-note has since paid down to $75.5 million due to principal repayment from the sales proceeds of nine properties, leaving 22 properties in the portfolio as of May 2013. Although losses are not expected imminently, any recovery to the subject B- note is contingent upon full recovery to the A-note proceeds at the loan's maturity in May 2014. Unless collateral performance improves, recovery to the B-note component is unlikely. The loan sponsor group consists of Eola Capital, Utah State Retirement Investment Fund, and Banyan Street Partners. The second largest contributor to Fitch-modeled losses is the Morgan RV Portfolio (2.5%) loan. The loan is collateralized by three manufactured housing recreational vehicle parks with two located in upstate New York and one located in New Hampshire. The properties have struggled since issuance. The servicer has reported that the subject properties experience seasonal peaks and are out of season until April or May of each year. The combined servicer-reported year to date (YTD) September 2012 and (YE) 2011 debt service coverage ratio (DSCR) was 0.57x and 0.71x,respectively. The servicer reported occupancy at 80% as of September 2012. The third largest contributor to Fitch-modeled losses is attributed to University Village (2.1%), a 161,090 square foot retail center (2.1%) located in Riverside, CA, near the University of California at Riverside campus. The original $32 million loan on this property had transferred to special servicing in January 2009 upon the borrower's request for a loan modification due to property performance deterioration from occupancy declines. The loan was modified in June 2011 while in special servicing. Terms of the modification included bifurcation of the loan into a senior ($21 million) and junior ($10.1 million) component. Although losses are not expected imminently, any recovery to the subject B- note is contingent upon full recovery to the A-note proceeds at the loan's maturity in July 2015. Unless collateral performance improves, recovery to the B-note component is unlikely. Fitch downgrades the following classes and revises the Rating Outlook on class AJ as indicated: -- $138.8 million class AJ to 'BBBsf' from 'Asf'; Outlook to Negative from Stable; -- $43.7 million class B to 'Bsf' from 'BBB-sf'; Outlook Negative; -- $18 million class C to 'B-sf' from 'Bsf'; Outlook Negative; -- $25.7 million class E to 'CCsf' from 'CCCsf'; RE 0%; -- $33.4 million class F to 'Csf' from 'CCsf'; RE 0%; -- $20.6 million class G to 'Csf' from 'CCsf'; RE 0%; -- $25.7 million class H to 'Csf' from 'CCsf'; RE 0%. Fitch affirms the following classes as indicated: -- $121.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $157.9 million class A-3A at 'AAAsf'; Outlook Stable; -- $50 million class A-3B at 'AAAsf'; Outlook Stable; -- $43.1 million class A-SB at 'AAAsf'; Outlook Stable; -- $510.3 million class A-4 at 'AAAsf'; Outlook Stable; -- $205.7 million class AM at 'AAAsf'; Outlook Stable; -- $38.6 million class D at 'CCCsf'; RE 15%; -- $10.3 million class J at 'Csf'; RE 0%; -- $5.1 million class K at 'Csf'; RE 0%; -- $7.5 million 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 of classes M, N, and 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 XC and XP certificates. MERRILL LYNCH 2007-C1: Fitch Puts 'B-' Rating on AM Certs. on RWN ----------------------------------------------------------------- Fitch Ratings has placed eight classes of Merrill Lynch Mortgage Trust Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2007-C1 (MLMT 2007-C1) on Rating Watch Negative. Key Rating Drivers The placement of these classes on Rating Watch Negative reflects continued concerns surrounding the underperformance of the top 15 loans, as well as the possibility that interest shortfalls could affect these classes prior to class repayment. As of the May 2013 distribution date, there are 17 loans (19%) in special servicing. The transaction has realized losses of 4.3% of the original pool balance to date, an increase from 3.4% at Fitch's last rating action in November 2012. There has been a significant increase in interest shortfalls from approximately $23.3 million in November 2012 to approximately $35.7 million as of the May 2013 distribution date. The shortfalls currently impact classes A-J though Q. In addition to the concern with interest shortfalls, based on current loss expectations, the erosion of credit enhancement will be significant upon the disposition of these assets, most notably the Gwinnett Place asset (3.6% of the pool). Additionally, while a number of the performing larger loans have institutional quality borrowers, these loans continue to show declines in net operating income or fail to show performance improvement from stressed levels. Additionally, while these classes are senior in the waterfall, limited amortization occurs monthly and only roughly $180 million in principal payoffs (approximately 5% of the original pool balance) are expected to occur prior to the end of 2014. Since Fitch's last rating action, the appraisal valuation of the Gwinnett Place asset ($115 million; 3.6% of the pool) has declined further and indicates significant losses upon liquidation. The asset is comprised of 566,908 square feet of a 1.28 million square foot regional mall located in Duluth, GA. The asset was transferred to special servicing in October 2011 for imminent payment default and became real-estate owned in August 2012. The property has suffered a significant decline in occupancy and a reduction in tenant sales since issuance. As of March 2012, the property was reportedly 52% occupied compared to 81% at issuance. Occupancy is expected to be impacted further due to two collateral tenants, Belk and Gwinnett College, announcing they will vacate at the end of their lease terms by the end of summer of 2013. The loss of Gwinnett College could also trigger co-tenancy clauses. The asset was being listed in a portfolio sale with other large retail assets, according to the servicer. In addition to poor property performance, the property's valuation, sales pricing, and bidding activity volume have also been negatively impacted by the significant amount of available anchor space inventory within a one mile radius of the property. Fitch expects to resolve the Rating Watch Negative status within the next several months following a complete review of the transaction including updated valuation details and collateral/workout discussions with the loan servicers. Rating Sensitivities The classes placed on Rating Watch Negative may be downgraded by one or more rating categories. According to Fitch's global criteria for rating caps, Fitch will not assign or maintain 'AAAsf' or 'AAsf' ratings for notes that it believes have a high level of vulnerability to interest shortfalls or deferrals, even if permitted under the terms of the documents (for more information please see the full report titled 'Criteria for Rating Caps in Global Structured Finance Transactions', dated Aug. 2, 2012, at www.fitchratings.com). Fitch places the following classes on Rating Watch Negative: -- $40.4 million class A-2 'AAAsf'; -- $27 million class A-2FL 'AAAsf'; -- $322.2 million class A-3 'AAAsf'; -- $130 million class A-3FL 'AAAsf'; -- $76.4 million class A-SB 'AAAsf'; -- $442.2 million class A-4 'AAAsf'; -- $1.1 billion class A-1A 'AAAsf'; -- $405 million class AM 'B-sf'. MIDOCEAN CREDIT: S&P Affirms 'BB' Rating on Class D Notes --------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on MidOcean Credit CLO I/MidOcean Credit CLO I LLC's $370.75 million floating-rate notes following the transaction's effective date as of April 24, 2013. Most U.S. cash flow collateralized loan obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an "effective date rating affirmation"). An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to S&P by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that S&P assigned on the transaction's closing date. The effective date reports provide a summary of certain information that S&P used in its analysis and the results of its review based on the information presented to S&P. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of S&P's criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect S&P's assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee. In S&P's published effective date report, it discuss its analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, S&P intends to publish an effective date report each time it issues an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED 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 MORGAN STANLEY 1998-HF2: Fitch Cuts Rating on Class L Certs to 'D' ------------------------------------------------------------------ Fitch Ratings has downgraded one class, upgraded one class, and affirmed three classes of Morgan Stanley Capital I Trust's commercial mortgage pass-through certificates, series 1998-HF2 (MSCI 1998-HF2). Key Rating Drivers The upgrade is due to increased credit enhancement due to paydowns and defeasance. The downgrade reflects losses incurred on the class to date. The affirmations for the remaining classes are due to a high percentage of defeasance and sufficient credit enhancement relative to expected losses. Fitch modeled losses of 2.7% of the original pool balance, including $27.9 million (2.6% of the original pool balance) in realized losses to date. As of the May 2013 distribution date, the pool's aggregate principal balance has been reduced by 95.7% to $45.7 million from $1.06 billion at issuance. Per the servicer reporting, four loans (22.9% of the pool) of the remaining 21 loans are currently defeased. Interest shortfalls are currently affecting classes M through N. The largest contributor to expected losses is a loan (4.4% of the pool) secured by a 42,620 square foot (sf) retail center located in Gladstone, MO (Kansas City MSA). The property was 97.2% occupied as of December 2012 and the loan is performing. However, the rent roll includes mostly local tenants with near-term rollover pending for 2013 and 2014. Rating Sensitivity The ratings are expected to remain stable due to high credit enhancement and expected paydown from amortization and loan payoffs. Upgrades are not expected as the deal has become concentrated with loans in secondary and tertiary locations. Fitch downgrades the following class as indicated: -- $9.1 million class L to 'Dsf' from 'Csf', RE 75%. Fitch upgrades the following class as indicated: -- $21.2 million class J to 'Asf' from 'BBB-sf', Outlook Stable. Fitch affirms the following classes as indicated: -- $4.9 million class H at 'AAAsf', Outlook Stable; -- $10.6 million class K at 'BBsf', Outlook to Stable from Negative; -- $0 class M at 'Dsf', RE 0%. The class A-1, A-2, B, C, D, E, F and G certificates have paid in full. Fitch does not rate the class N certificates. Fitch previously withdrew the rating on the interest-only class X certificates. MORGAN STANLEY 2000-LIFE2: Fitch Affirms 'D' Rating on Cl. L Certs ------------------------------------------------------------------ Fitch Ratings has upgraded three classes and affirmed four classes of Morgan Stanley Dean Witter Capital I Trust's (MSDW) commercial mortgage pass-through certificates, series 2000-LIFE2. Key Rating Drivers The upgrades to the selected classes reflect the quality of the one remaining loan in the pool. The pool has experienced $17.9 million (2.3% of the original pool balance) in realized losses to date. As of the May 2012 distribution date, the pool's aggregate principal balance has been reduced by 97.5% to $19.3 million from $765.3 million at issuance. Interest shortfalls are currently affecting classes L through P. The remaining loan is secured by a 165,335 sf office building located on 7th Avenue between 53rd & 54th Street in New York, NY. Per the December 2012 rent roll, the property is 100% occupied by two tenants, both of whose leases expire shortly after the October 2014 maturity date: Young & Rubicam (81% NRA, expiration April 2015) and International Merchandising Corp. (19% NRA, expiration April 2015). Rating Sensitivity The ratings for investment grade classes H, J, and K are expected to remain stable. Upgrades are not expected due to the timing of the maturity date relative to the lease expirations. Fitch upgrades the following classes and assigns Rating Outlooks as indicated: -- $4.7 million class H to 'Asf' from 'BBB-sf'; Outlook Stable; -- $9.2 million class J to 'Asf' from 'CCCsf'; Outlook Stable; -- $3.1 million class K to 'Asf' from 'CCCsf'; Outlook Stable. Fitch affirms the following classes as indicated: -- $2.3 million class L at 'Dsf', RE 85%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%; -- $0 class O at 'Dsf', RE 0%. The class A-1, A-2, B, C, D, E, F and G certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class X certificates. MORGAN STANLEY 2001-IQ: Fitch Affirms 'B-' Rating on Class N Certs ------------------------------------------------------------------ Fitch Ratings has affirmed four classes of Morgan Stanley Dean Witter Capital I Trust (MSDW) commercial mortgage pass-through certificates series 2001-IQ due to stable performance. Key Rating Drivers The affirmations are due to the pool's stable performance, scheduled principal pay down, and credit enhancement sufficient to offset modeled losses. Fitch modeled losses of 9.1% of the remaining pool; expected losses on the original pool balance total 0.7%, including losses already incurred. The pool has experienced $3.6 million (0.5% of the original pool balance) in realized losses to date. Fitch has designated three loans (57.2%) of the six remaining loans as Fitch Loans of Concern. As of the April 2013 distribution date, the pool's aggregate principal balance has been reduced by 98% to $14.1 million from $713 million at issuance. No loans are defeased or specially serviced. Interest shortfalls are currently affecting class O. The largest loan of concern is secured by a 54,197 square foot (sf) suburban office complex in Charlotte, NC (32% of the pool). As reported by the master servicer, the borrower has refused to forward financial statements and/or rent rolls. Due to the lack of operating information, Fitch made conservative estimates of performance. The next largest loan of concern is secured by a 38,030 sf office complex in Nashville, TN (12.7%). The property has experienced performance declines due to a decrease in occupancy. Servicer reported year-end 2012 occupancy and debt service coverage ratio (DSCR) were 74% and 1.28x respectively. Additionally, 45% of the building's current tenants have leases which expire within the next one to two years. Rating Sensitivities The ratings on classes K and L are expected to be stable as the credit enhancement remains high through continued pay down. The ratings on classes M and N could be downgraded further if expected losses increase, or tenant rollover issues result in loan defaults. Fitch affirms the following class and revises the Rating Outlook as indicated: -- $5.3 million class M at 'Bsf', Outlook to Negative from Stable. Fitch affirms the following classes as indicated: -- $3.5 million class K at 'BBBsf', Outlook Stable; -- $1.8 million class L at 'BBsf', Outlook Stable; -- $1.8 million class N at 'B-sf', Outlook Negative. The class X-2, A-1, A-2, A-3, B, C, D, E, F, G, H and J certificates have paid in full. Fitch does not rate the class O certificates. Fitch previously withdrew the rating on the interest-only class X-1 certificates. MORGAN STANLEY 2003-HQ2: Fitch Ups Class H Cert. Rating to 'CCC' ---------------------------------------------------------------- Fitch Ratings has upgraded one class of Morgan Stanley Dean Witter Capital I Inc., commercial mortgage pass-through certificates, series 2003-HQ2 (MSDW 2003-HQ2). Key Rating Drivers The upgrade is due to improved credit enhancement to the remaining Fitch rated class resulting from the pay-off of approximately 40 loans and $658 million in principal reduction since the previous rating action. The pool has experienced $6.8 million (0.7% of the original pool balance) in realized losses to date. As of the May 2013 distribution date, the pool's aggregate principal balance has been reduced by 96.9% to $29.3 million from $931.6 million at issuance. There are seven remaining loans, none of which are currently defeased. Fitch has designated five of the seven loans (70.5% of the pool) as Fitch Loans of Concern, which includes four specially serviced assets (60% of the pool). Interest shortfalls are currently affecting classes M through O. The largest contributor to expected losses is a specially-serviced loan (16.5% of the pool) secured by a 62,715 sf office property located in Arlington Heights, IL (Chicago MSA). Per the March 2013 rent roll the property is 51.4% occupied. A foreclosure complaint was filed in July 2012 and a receiver took control in October 2012. A foreclosure sale is anticipated for July 2013. Rating Sensitivity The rating of class H is expected to remain stable. Class H is expected to pay off in full, although, some of the pay down is likely to come from disposition proceeds on the specially serviced loans. Fitch upgrades and assigns a Rating Outlook to the following class: -- $8.1 million class H to 'BBsf' from 'CCCsf'; Outlook Stable. The class A-1, A-2, B, C, D, E, F and G certificates and interest- only class X-2 certificates have paid in full. Fitch does not rate the class J, K, L, M, N and O certificates. Fitch previously withdrew the rating on the interest-only class X-1 certificates. MORGAN STANLEY 2007-XLF: Fitch Affirms D Rating on 4 Cert. Classes ------------------------------------------------------------------ Fitch Ratings has downgraded two classes and affirmed 11 classes of Morgan Stanley Capital I Trust series 2007-XLF (MSCI 2007-XLF). The downgrades reflect an increased base case expected loss for the transaction. Fitch's performance expectations incorporate prospective views regarding the outlook of the commercial real estate market. Key Rating Drivers While credit enhancement to the more senior classes has improved significantly over the last year, the transaction faces increased concentration risk with only three hotel loans remaining, two of which are currently in special servicing. Under Fitch's methodology, all loans are modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 7% and pooled expected losses are 4%. To determine a sustainable Fitch cash flow and stressed value, Fitch analyzed servicer-reported operating statements, recent valuations, STR reports, and market information. Fitch estimates that average recoveries will be strong at approximately 96% in the base case. With respect to the pooled classes, two loans were modeled to take a loss in the base case: HRO Hotel Portfolio (45.2% of the pooled trust balance), and the former Le Meridien Cancun (7.4%). Two junior non-pooled component HRO Hotel Portfolio classes have either incurred or are expected to incur losses. The largest component of Fitch's base case loss expectation is a defaulted A-note secured by the HRO Hotel Portfolio, which consists of five full-service hotels (1,910 keys) located in Stamford, CT; Sonoma, CA; Norfolk, VA; Atlanta, GA; and Southfield, MI. The hotels are under the Marriott, Hilton, Sheraton, and Westin flags. While performance has improved over the last few years, the portfolio has not performed up to initial expectations. As of the trailing 12 months (TTM) February 2013 STR report, the portfolio had a weighted average RevPAR of $79 up from $73 as of year-end (YE) 2011 and $68 as of YE 2010. The portfolio matured without repayment at its final extended maturity of October 2012. Discussions are underway between the borrower, subordinate debt holders, and special servicer regarding a potential loan modification/extension. The next largest component of Fitch's base case loss expectation is a specially serviced whole loan secured by the former Le Meridien Cancun, now known as the Sandos Cancun Luxury Experience Resort, an all-inclusive hotel containing 214 rooms. While to date all monthly debt service payments are current, the loan matured without full repayment in Dececember 2012. The loan has two remaining one-year extension options available, and the exercise of the first option is currently under discussion. The property has struggled over the past few years and the servicer reported YE 2012 NOI was negative. Cash flow is expected to improve as the transition to the Sandos flag is completed and hotel operations fully ramp up. Rating Sensitivities Upgrades to classes B and below are not expected due to the highly concentrated nature of the remaining portfolio. Further, classes B and below have been subjected to interest shortfalls; and while interest shortfalls to classes B through F have been cured, Fitch believes that there is a possibility that interest shortfalls could again affect these classes. Fitch will not assign or maintain 'AAAsf' or 'AAsf' ratings for notes that it considers to have a high level of vulnerability to interest shortfalls or deferrals. The Negative Outlook on class A2 reflects the possibility that this class could also be affected by a future interest shortfall. The ratings of classes G and H could be subject to further downgrades should additional losses be realized. Fitch downgrades the following classes and assigns Recovery Estimates (REs) as indicated: -- $13.5 million class H to 'CCCsf' from 'BBsf'; RE 90%; -- $6 million class M-HRO to 'CCCsf' from 'BBsf'; RE 0%; Fitch affirms the following classes and assigns or revises Outlooks and Recovery Estimates (REs) as indicated: -- $78.2 million class A-2 at 'AAAsf'; Outlook Negative; -- $41.2 million class B at 'Asf'; Outlook Stable; -- $41.2 million class C at 'Asf'; Outlook Stable; -- $25.2 million class D at 'Asf'; Outlook Stable; -- $27.4 million class E at 'Asf'; Outlook Stable; -- $26.3 million class F at 'BBBsf'; Outlook Stable; -- $26.6 million class G at 'BBsf'; Outlook to Negative from Stable; -- $10.4million class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $8 million class N-HRO at 'Dsf'; RE 0%. MORGAN STANLEY 2011-C2: Fitch Affirms 'B-' Rating on Class H Certs ------------------------------------------------------------------ Fitch Ratings has affirmed all 11 classes of Morgan Stanley Capital I Trust 2011-C2 commercial mortgage pass-through certificates. Key Ratings Drivers The affirmations are based on the stable performance of the underlying collateral pool. As of the April 2013 remittance, the pool had not experienced a realized loss. Fitch has not designated any loans as Fitch Loans of Concern, and there have been no defaulted or specially serviced loans. The pool's aggregate principal balance has been paid down by 1.9% to $1.190 billion from $1.214 billion at issuance. Based on full-year financial statements, the pools overall net operating income (NOI) has improved 1.4% since issuance. Ratings Sensitivity All classes maintain Stable Outlooks. Due to the recent issuance of the transaction and the stable performance, Fitch does not foresee positive or negative ratings migration until material economic or asset-level events change the transaction's overall portfolio-level metrics. Additional information on rating sensitivity is available in the report 'Morgan Stanley Capital I Trust, 2011-C2' (June 28, 2011), available at www.fitchratings.com. The largest loan of the pool (12.62%) is secured by Deerbrook Mall, a 1,203,612 square foot (sf) regional mall, of which 554,461 sf is collateral for the loan, located in Humble, TX. The mall features four non-collateral anchors, including Dillard's, Macy's, Sears, and JC Penney. The subject serves a large trade area that encompasses a population of more than 500,000 with an average household income of $68,000. The closest competitor is another regional mall that is owned by the same sponsor more than 21 miles to the southwest. The occupancy as of September 2012 was 99% versus 98% at issuance and the third-quarter 2012 reported debt service coverage ratio (DSCR) was 1.62x. The sponsor of the loan is General Growth Properties. The second largest loan (11.91%) is secured by a 1,125,747 sf regional mall, Ingram Park Mall, located in San Antonio, TX. The non-collateral anchors of the mall are Dillard's, Dillard's Home Center, Sears, JC Penney, and Macy's. The mall benefits from its proximity to the Lackland Airforce Base and Westover Hills master- planned community. The mall's occupancy as of September 2012 was 89% with a DSCR of 1.59x. The sponsor of the loan is Simon Property Group. The third largest loan (11.06%) is secured by 383,983 sf office building located in Midtown Manhattan in New York, NY. Built in 1962, the property is a 23-story office building containing 370,304 sf of office space and 13,679 sf of ground floor retail space. Major tenants at the location include Scripps HGTV, Misys International, and Snell & Weisheimer. The subject is less than one block from a metro subway station and benefits from its easy access to major New York City transit centers. The property has experienced a slight decline in performance since issuance, but is still above Fitch underwritten assumptions, with year-end 2012 occupancy of 98% and a DSCR of 1.73x. The sponsors are NNA Property Holding Group and Murray Hill Properties Real Estate. Fitch has affirmed the following classes as indicated: -- $43.9 million class A-1 at 'AAAsf'; Outlook Stable; -- $363.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $89 million class A-3 at 'AAAsf'; Outlook Stable; -- $439.5 million class A-4 at 'AAAsf'; Outlook Stable; -- $45.5 million class B at 'AAsf'; Outlook Stable; -- $50.1 million class C at 'Asf'; Outlook Stable; -- $31.9 million class D at 'BBB+sf'; Outlook Stable; -- $50.1 million class E at 'BBB-sf'; Outlook Stable; -- $15.2 million class F at 'BB+sf'; Outlook Stable; -- $12.1 million class G at 'BBsf'; Outlook Stable; -- $15.2 million class H at 'B-sf'; Outlook Stable; -- $936 million class X-A at 'AAAsf'; Outlook Stable; Fitch does not rate class J and X-B. NAVIGATOR CDO 2006: S&P Raises Rating on Class D Notes to 'BB+' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on six classes of notes from Navigator CDO 2006 Ltd., a cash flow collateralized loan obligation (CLO) transaction. This transaction is currently in its reinvestment period until September 2013. The upgrades reflect a principal cash balance of $65.8 million, which is up from $31.8 million in January 2011, according to the April 2013 trustee report. The deal also currently has 3.3% of its assets in the 'CCC' range according to the April 2013 trustee report, down from 6.1% according to the December 2010 report, which S&P used in its January 2011 rating actions. In addition, the deal had an increase in overcollateralization (O/C) ratios for the class A, B, C, and D notes. Standard & Poor's will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS RAISED Navigator CDO 2006 Ltd. Rating Class To From A AAA (sf) AA+ (sf) ARevolving AAA (sf) AA+ (sf) B-1 AA- (sf) A (sf) B-2 AA- (sf) A (sf) C BBB+ (sf) BBB (sf) D BB+ (sf) B+ (sf) NEWCASTLE CDO VIII: Moody's Affirms Ratings on 11 Note Classes -------------------------------------------------------------- Moody's affirmed the ratings of eleven classes of Notes issued by Newcastle CDO VIII 1, Limited and Newcastle CDO VIII 2, Limited due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. Moody's rating action is as follows: Cl. I-A, Affirmed A3 (sf); previously on Aug 15, 2012 Upgraded to A3 (sf) Cl. I-B, Affirmed Ba3 (sf); previously on Aug 15, 2012 Upgraded to Ba3 (sf) Cl. I-AR, Affirmed A3 (sf); previously on Aug 15, 2012 Upgraded to A3 (sf) Cl. II, Affirmed Caa1 (sf); previously on Sep 22, 2010 Downgraded to Caa1 (sf) Cl. III, Affirmed Caa3 (sf); previously on Sep 22, 2010 Downgraded to Caa3 (sf) Cl. V, Affirmed Ca (sf); previously on Sep 22, 2010 Downgraded to Ca (sf) Cl. VIII, Affirmed C (sf); previously on Sep 22, 2010 Downgraded to C (sf) Cl. IX-FL, Affirmed C (sf); previously on Sep 22, 2010 Downgraded to C (sf) Cl. X, Affirmed C (sf); previously on Sep 22, 2010 Downgraded to C (sf) Cl. XII, Affirmed C (sf); previously on Sep 22, 2010 Downgraded to C (sf) Cl. IX-FX, Affirmed C (sf); previously on Sep 22, 2010 Downgraded to C (sf) Ratings Rationale: Newcastle CDO VIII 1, Limited and Newcastle CDO VIII 2, Limited is a static (the reinvestment period ended in November 2011) cash transaction backed by a portfolio of: i) mezzanine debt interests (43.4%); ii) commercial mortgage backed securities (CMBS) (17.2% of the pool balance); iii) commercial real estate collateralized debt obligations (CRE CDOs) (14.9%); iv) asset backed securities (ABS) (8.8%) primarily in the form of subprime RMBS; real estate term loans (8.0%); v) A-Notes and whole loans (3.7%); vi) B-Notes (3.1%); and vii) rake bonds (1.0%). As of the April 18, 2013 trustee report, the aggregate Note balance of the transaction, including preferred shares, has decreased to $768.3 million from $983.9 million at issuance, due to the combination of full or partial junior notes cancellations of the Class IV, VI, VII, X and XI Notes and regular amortization of the collateral pool with the paydowns directed to the Class I-A and I-AR Notes. Per Moody's special comment, "Junior CDO Note Cancellations Should Concern Senior Noteholders in Structured Transactions," dated June 14, 2010, there is a concern that the cancellation of junior notes can lead to a diversion of cash flow away from the senior notes. During the current review, holding all key parameters static, the cancellations of the Class IV, VI, VII, X and XI Notes in the subject transaction did not result in higher expected losses and longer weighted average lives on the senior Notes, while having the opposite effect on mezzanine and junior Notes to cause, in and of itself, a downgrade or upgrade of any classes of Notes. There are three assets with a par balance of $26.2 million (3.3% of the current pool balance) that are considered defaulted securities as of the April 18, 2013 trustee report, the same as at last review. Two of these assets (80.9% of the defaulted balance) are CMBS and one asset (19.1%) is an ABS. There have been no realized losses to the deal to date, and Moody's does expect significant losses to occur from these defaulted securities once they are realized. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated collateral. Moody's modeled a bottom-dollar WARF of 4,899 compared to 4,982 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (0.1% compared to 1.8% at last review), A1-A3 (3.6% compared to 1.7% at last review), Baa1-Baa3 (15.6% compared to 15.1% at last review), Ba1-Ba3 (9.2% compared to 8.3% at last review), B1-B3 (24.8% compared to 21.1% at last review), and Caa1-C (46.6% compared to 52.0% at last review). Moody's modeled a WAL of 3.5 years, the same as at last review. The current WAL is based on the assumption about extensions on the underlying collateral assets. Moody's modeled a fixed WARR of 15.1%, compared to 15.4% at last review. Moody's modeled a MAC of 9.9%, compared to 15.0% at last review. Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating models, which was released on March 25, 2013. The cash flow model, CDOEdge v3.2.1.2, released on May 16, 2013, was used to analyze the cash flow waterfall and its effect on the capital structure of the deal. Moody's analysis encompasses the assessment of stress scenarios. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. Rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption, down from 15.1% to 5.1% or up to 25.1% would result in a rating movement on the rated tranches of 0 to 2 notches downward and 0 to 4 notches upward, respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery in the commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector continues to exhibit growth albeit at a slightly slower pace. The multifamily sector should remain stable with moderate growth. Gradual recovery in the office sector continues and will be assisted in the next quarter when absorption is likely to outpace completions. However, since office demand is closely tied to employment, Moody's expects regional employment growth to provide market differentiation. CBD markets continue to outperform secondary suburban markets. The retail sector exhibited a slight reduction in vacancies in the first quarter; the largest drop since 2005. However, consumers continue to be cautious as evidenced by sales growth continuing below historical trends. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic outlook indicates the global economy has lost momentum over the past quarter as it tries to recover. US GDP growth for 2013 is likely to remain close to 2%, however US sequestration cuts that came into effect in March may create a drag on the positive growth in the US private sector. While the broad economic impact in unclear, the direct effect is likely to shave 0.4% off US GDP growth in 2013. Continuing from the previous quarter, Moody's believes that the three most immediate risks are: i) the risk of an even deeper than currently expected recession in the euro area, accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating SF CDOs" published in May 2012, and "Moody's Approach to Rating Commercial Real Estate CDOs" published in July 2011. OFFUTT AFB: Moody's Lifts Series 2005 Cl. I Bond's Rating to Ba1 ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings on approximately $137.7 million of outstanding Offutt AFB America First Communities, L.L.C. Military Taxable Housing Revenue Bonds Series 2005 Class I to Ba1 from Ba3, and Series 2005 Class II to Ba2 from B1. The outlook on the ratings has been revised to positive from stable. Ratings Rationale: The upgrades of the ratings is supported by the Project's consistently improving financial performance, driven primarily by strong project occupancy, satisfactory rental increases in 2013, and history of effective property management. The ratings also take into consideration ongoing challenges to the project including presence of a debt service surety policy provided by a weak counterparty (Syncora Guarantee, Inc. -- rating WR as of Nov. 8, 2012), partial reliance on rental revenues from units slated to be demolished in the near- to medium-term, and commencement of bond principal amortization scheduled to begin in the current fiscal year. The positive outlook on the ratings reflects the positive momentum in financial performance exhibited over the last few years and the possibility of further upgrade contingent upon sustained strong credit performance. The bonds are special obligation of the issuer, secured by a pledge of rental and other revenues, including the Basic Allowance for Housing (BAH) receipts generated by Offutt AFB America First Communities, L.L.C., a 1640-unit privatized military housing facility located in Omaha, Nebraska; further security is provided by the assignment of a leasehold mortgage on the underlying property, improvements, and equipment therein; and certain pledged reserve funds held by the bond trustee. Strengths: Average occupancy of 96.5% in end-state units in 2012, a continuation of satisfactory market position 1.96x (Moody's-adjusted) senior debt service coverage in 2012, and increase over 1.82x (Moody's-adjusted) in the prior year Average BAH increase was a very strong 6.79% for 2013; however, the this follows several years of flat rental growth, thereby diluting the baseline effect of the current large increase which constrains rent levels for new incoming tenants; this is partially mitigated by an average annual BAH increase of 3% over the prior four years. Construction period virtually completed, with only 314 units awaiting demolition no earlier than 2015 Base essentiality remains strong Challenges: On a forward-looking basis, rental revenue growth is exposed to volatility and unpredictability of yearly BAH levels, which are subject to Federal budget appropriation risk. Such future risk applies to rent levels for incoming tenants who are newly assigned to the base. Debt service surety policy is provided by Syncora Guarantee, Inc. (rating WR as of Nov. 8, 2012), which increases counterparty risk in case of any future operating cash flow shortages The project benefits from increased rental revenue from currently occupied excess units, which are slated to be demolished no earlier than 2015. Expected drop-off of corresponding revenues will place some downward pressure on financial performance. Commencement of bond principal amortization is scheduled for the current fiscal year, which is expected to drive a downward adjustment in debt service coverage levels; this is partially mitigated by the strong BAH increase of 6.79% for 2013. Weak local housing market will continue to drive rental rate competition and unit uptake rates in the near future, partially mitigated by the project's on-base location Outlook: The positive outlook on the ratings reflects the positive momentum in financial performance exhibited over the last few years and the possibility of further upgrade contingent upon sustained strong credit performance. What could change the rating UP? - Continued growth in financial strength - Replacement of the debt service surety policy with one from a highly rated provider - Reinstatement and substantial improvement in the current surety policy provider's rating - Final completion of the IDP scope of work, including demolition, while maintaining strong financial performance What could change the rating DOWN? - Significant decline in debt service coverage levels, driven by outsized growth in expenses and/or stagnant rent levels - Substantial or prolonged declines in occupancy - Downsizing or closure of military facilities The principal methodology used in this rating was Global Housing Projects published in July 2010. OHA CREDIT VIII: S&P Assigns 'BB' Rating on Class E Notes --------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to OHA Credit Partners VIII Ltd./OHA Credit Partners VIII Inc.'s $378.5 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- 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 0.28%-12.87%. -- 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 50% of excess interest proceeds that are available (before paying subordinated and incentive collateral management fees, uncapped administrative expenses and hedge amounts, subordinated note payments, expenses related to a refinancing, and the supplemental reserve amount) to principal proceeds for the purchase of additional collateral assets or, after the noncall period, to pay the notes sequentially, at the election of the collateral manager, but only during the reinvestment period. After the end of the reinvestment period, up to 50% of the excess interest proceeds are used only to pay the notes sequentially. 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/1536.pdf RATINGS ASSIGNED OHA Credit Partners VIII Ltd./OHA Credit Partners VIII Inc. Class Rating Amount (mil. $) A AAA (sf) 244.0 B AA (sf) 57.0 C (deferrable) A (sf) 29.0 D (deferrable) BBB (sf) 21.5 E (deferrable) BB (sf) 18.0 F (deferrable) B (sf) 9.0 Subordinated notes NR 36.5 NR-Not rated. OMI TRUST 2002-B: S&P Cuts A-1 Certs Rating to 'D' & Withdraws -------------------------------------------------------------- Standard & Poor's Ratings Services, in a May 20, 2013 press release, corrected by reinstating its 'CC (sf)' rating on OMI Trust 2002-B's class A-1 notes. The transaction is an asset- backed securities transaction backed by fixed-rate manufactured housing loans originated by Oakwood Acceptance Corp. On May 16, 2013, S&P withdrew its rating on the class A-1 notes due to a system error. In a subsequent May 20, 2013 press release, S&P lowered its rating on the class A-1 certificates from OMI Trust 2002-B. S&P subsequently withdrew the rating. The downgrade and withdrawal reflect the nonpayment of full principal to investors by May 2013, the certificates' stated final maturity date. S&P's rating reflects the probability of the default of full principal and timely interest payments each month by the certificate's stated final maturity or legal final maturity date. Because cumulative net losses have been higher than initially expected, the transaction has not generated enough collections each month to pay the complete scheduled principal amount due to all the outstanding class A certificates per the transaction documents. As such, all of the class A certificates have now accumulated an unpaid principal shortfall of approximately $36.9 million. According to the transaction documents, the payment waterfall specifies that before the normal sequential principal payment distribution, any unpaid principal shortfall amount will be paid pro rata among all the still-outstanding class A certificates. Accordingly, the class A-1 certificates have been receiving an amount equal to their pro rata share of the available monthly collections. As of the May 15, 2013, distribution date, the class A-1 certificates had an outstanding balance of approximately $1.725 million and were not paid in full by the May 2013 legal final maturity date. 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 are available at: http://standardandpoorsdisclosure-17g7.com ORANGE COVE: Moody's Confirms Successor Agency Ba1 Tax Bond Rating ------------------------------------------------------------------ Moody's Investors Service confirmed the Ba1 rating to the Successor Agency of Orange Cove Redevelopment Agency's (CA) 2004 Tax Allocation Bonds, Series A. The bonds are secured by a pledge of tax increment revenues from the agency's Orange Cove Redevelopment Project Area. Rating Rationale: The Ba1 rating reflects the somewhat weaker credit quality that we have always incorporated into the rating and the additional risks and weakness compounded by the dissolution of redevelopment agencies (now known as successor agencies). The key factors are its adequate semi-annual debt service coverage, the small-sized rural tax base, the very low wealth level of residents, and the somewhat concentrated the tax base. Furthermore, the Successor Agency has only one bond outstanding, and no subordinate pass- through obligations that could challenge the seniority of debt service. Strengths: - Adequate semi-annual debt service coverage - Assessed value expected to be stable - No subordinate pass-through obligations Challenges: - Small-sized rural community - Very low wealth level of residents with high unemployment - Somewhat concentrated tax base What could move the rating-Up - Significant and sustained increase in assessed valuation - Substantial improvement in wealth levels What could move the rating-Down - Erosion of semi-annual debt service coverage - Protracted assessed value decline - Sizable ongoing population decline Rating Methodology: The principal methodology used in this rating was Moody's Analytic Approach To Rating California Tax Allocation Bonds published in December 2003. PALMER SQUARE 2013-1: S&P Assigns 'BB' Rating on Class D Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Palmer Square CLO 2013-1 Ltd./Palmer Square CLO 2013-1 LLC's $330.75 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 cash flow structure, as assessed by Standard & Poor's using the assumptions and methods outlined in the corporate collateralized debt obligation (CDO) criteria, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's expectation of the timely interest and ultimate principal payments on the rated notes, assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBORs ranging from 0.2761% to 12.8133%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the rated notes' outstanding balance. 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/1546.pdf RATINGS ASSIGNED Palmer Square CLO 2013-1 Ltd./Palmer Square CLO 2013-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 212.80 A-2 AA (sf) 59.70 B (deferrable) A (sf) 19.75 C (deferrable) BBB (sf) 16.20 D (deferrable) BB (sf) 13.65 E (deferrable) B (sf) 8.65 Subordinated notes NR 31.60 NR--Not rated. PARTS PRIVATE: Fitch Affirms 'C' Jr. Subordinate Notes Rating ------------------------------------------------------------- Fitch Ratings has affirmed the senior and junior subordinate notes, and downgraded the subordinate note for PARTS Private Student Loan Trust Series 2007-CT1. Fitch maintains a Negative Outlook on the senior note. Fitch used its 'Global Structured Finance Rating Criteria' and 'U.S. Private Student Loan ABS Criteria' to review the transaction. Key Rating Drivers The affirmation on the senior note reflects sufficient loss coverage multiples to support the existing rating. The Negative Outlook is maintained on the senior note due to deteriorating collateral performance. The junior subordinate note is affirmed at 'C' due to under- collateralization and insufficient coverage for principal payment. The downgrade on the subordinate note reflects deteriorating performance and insufficient loss coverage multiples to support existing rating. The level of defaults has increased to 18.65% from 15.66% last year, and subordinate and total parity levels have continued to decrease from the previous year (February 2012) to the current (February 2013), from 99.23% to 97.41% and 88.33% to 86.10% respectively. The trust has continued to show deterioration in excess spread. Loss coverage multiples were determined by comparing the projected net loss amount to available credit enhancement (CE). Fitch used market vintage loss data to form a loss timing curve representative of the collateral pool. After giving seasoning credit for those loans in repayment, Fitch applied the current cumulative gross loss level to the loss timing curve to derive the expected gross losses over the remaining life. Fitch estimated the remaining gross defaults for the trust are approximately 15%-20%. No credit is given to recovery, as data provided indicated minimal recovery after loans defaulted. The Recovery Estimate for the class B notes is RE 35% and for the class C note is RE 0%. CE consists of excess spread and overcollateralization. Furthermore, senior notes benefit from additional credit enhancement provided by the subordinate notes. Fitch assumed excess spread to be the lesser of the current annualized excess spread; the average historical excess spread; and the most recent 12-month average excess spread. That same rate was applied over the remaining life. The collateral securing the notes are private loans originated according to either TERI or LEARN underwriting guidelines. PHEAA services the loan portfolio. Rating Sensitivities As Fitch's base case default proxy is derived primarily from historical collateral performance, actual performance may differ from the expected performance, resulting in higher loss levels and/or prepayment speeds than the base case. This will result in a decline in available CE and the remaining loss coverage levels available to the notes. Therefore, note ratings may be susceptible to potential negative rating actions, depending on the extent of the decline in the coverage. Rating sensitivity results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. Rating sensitivity should not be used as an indicator of future rating performance. Fitch has taken the following rating actions: PARTS Private Student Loan Trust Series 2007-CT1 -- Class A affirmed at 'Asf', Outlook Negative; -- Class B downgraded to 'CCCsf' from 'B-sf, RE 35%; -- Class C affirmed at 'Csf', RE 0%. SANTA MONICA: Moody's Ups Successor Agency Tax Bond Rating to Ba1 ----------------------------------------------------------------- Moody's Investors Service upgraded to Baa3 from Ba1 the rating to the Successor Agency of the Redevelopment Agency of the City of Santa Monica's (CA) 2002 Tax Allocation Bonds. The bonds are secured by a pledge of tax increment revenues from the agency's Ocean Park Redevelopment Project Area. The project area is divided into two sub-areas: 1(a) and 1(b). Together, these sub-areas are pledged to pay debt service on the TABs, though the tax increment revenue pledged by one project area to cover the non-payment is limited. Due to its much small size, 1(b) would not be able to cover debt service for 1(a). Rating Rationale: The upgrade to Baa3 reflects the project area's relative strengths compared to other Moody's rated Tax Allocation Bonds (TABs), though there are weaknesses in a few areas outlined in Moody's February special comment. The Ocean Park project area's coverage for the second payment period falls below 2x, though remains sum- sufficient at a projected 1.07x in calendar year 2013, while coverage for the first period is notably strong. The project area is small at 33 acres and falls below Moody's standard threshold of 1,000 acres, though this weakness is offset somewhat by the area being an affluent residential portion of the city. Taxpayer concentration is moderately high at 35% of incremental AV. The project area's general weaknesses are offset somewhat by the area's strong wealth indicators and by the size of tax increment AV to total AV at 96.9% in fiscal 2013. The strength of the pledge is reflected in the Department of Finance's (DOF) approval of all bond and bank loan debt service payments as enforceable obligations. Review of the debt service in future ROPS will be limited to confirming the schedule payments required by the obligation. Importantly, however, is the state legislature's willingness to modify the cash flows available for bond debt service as a considerable source of uncertainty and a major factor for not placing the rating in the A category. Strengths - Strong first payment debt service coverage - Assessed value expected to be stable - No pass-through obligations Challenges - Small-sized project area - Moderately high taxpayer concentration The Ocean Park project area is 33 acres located in the City of Santa Monica, bordering the boundary with the City of Los Angles (near Venice Beach) and the Pacific Ocean. What could move the rating - UP - Significant and sustained increase in assessed valuation - Increased debt service coverage in the second payment period What could move the rating - DOWN - Erosion of semi-annual debt service coverage - Protracted assessed value decline - Sizable ongoing population decline The principal methodology used in this rating was Moody's Analytic Approach To Rating California Tax Allocation Bonds published in December 2003. SDART 2013-3: S&P Assigns 'BB+' Rating on Class E Notes ------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Santander Drive Auto Receivables Trust 2013-3's $1,202.35 million automobile receivables-backed notes series 2013-3. The note issuance is an asset-backed securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of 50.16%, 44.32%, 36.28%, 32.33%, and 27.50% of credit support for the class A, B, C, D, and E notes, respectively, based on stress cash flow scenarios (including excess spread), which provide coverage of more than 3.50x, 3.00x, 2.30x, 1.93x, and 1.60x its 13.50%-14.50% expected cumulative net loss. -- The timely interest and principal payments made under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- Its expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A, B, and C notes will remain within one rating category of the assigned ratings during the first year, and its ratings on the class D and E notes will remain within two rating categories of the assigned ratings, which is within the outer bounds of S&P's credit stability criteria. -- The originator/servicer's history in the subprime/specialty auto finance business. -- S&P's analysis of six years of static pool data on Santander Consumer USA Inc.'s lending programs. -- The transaction's payment/credit enhancement and legal structures. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1511.pdf RATINGS ASSIGNED Santander Drive Auto Receivables Trust 2013-3 Class Rating Type Interest Amount rate (mil. $) A-1 A-1+ (sf) Senior Fixed 172.00 A-2 AAA (sf) Senior Fixed 383.00 A-3 AAA (sf) Senior Fixed 222.40 B AA (sf) Subordinate Fixed 128.47 C A (sf) Subordinate Fixed 158.12 D BBB+ (sf) Subordinate Fixed 72.47 E BB+ (sf) Subordinate Fixed 65.89 SEQUOIA MORTGAGE 2013-7: Fitch Rates $2.49MM Class B-4 Certs 'BB' ----------------------------------------------------------------- Fitch Ratings assigns the following ratings to Sequoia Mortgage Trust 2013-7, mortgage pass-through certificates, series 2013-7 (SEMT 2013-7): -- $125,000,000 class A-1 certificate 'AAAsf'; Outlook Stable; -- $298,878,000 class A-2 certificate 'AAAsf'; Outlook Stable; -- $125,000,000 class A-IO1 notional certificate 'AAAsf'; Outlook Stable; -- $423,878,000 class A-IO2 notional certificate 'AAAsf'; Outlook Stable; -- $8,165,000 class B-1 certificate 'AAsf'; Outlook Stable; -- $7,711,000 class B-2 certificate 'Asf'; Outlook Stable; -- $6,577,000 class B-3 certificate 'BBBsf'; Outlook Stable; -- $2,494,000 non-offered class B-4 certificate 'BBsf'; Outlook Stable. The 'AAAsf' rating on the senior certificates reflects the 6.55% subordination provided by the 1.80% class B-1, 1.70% class B-2, 1.45% class B-3, 0.55% non-offered class B-4 and 1.05% non-offered class B-5. The $4,763,656 non-offered class B-5 certificates will not be rated by Fitch. Fitch's ratings reflect the high quality of the underlying collateral, the clear capital structure and the high percentage of loans reviewed by third party underwriters. In addition, Wells Fargo Bank, N.A. will act as the master servicer and Wilmington Trust will act as the Trustee for the transaction. For federal income tax purposes, elections will be made to treat the trust as one or more real estate mortgage investment conduits (REMICs). SEMT 2013-7 will be Redwood Residential Acquisition Corporation's seventh transaction of prime residential mortgages in 2013. The certificates are supported by a pool of prime fixed rate mortgage loans. All but 0.8% of the loans are fully amortizing. The aggregate pool included loans originated from Cole Taylor Bank (7.8%), PrimeLending (6.7%), George Mason (5.8%), and WJ Bradley Mortgage Capital (5.5%). The remainder of the mortgage loans was originated by various mortgage lending institutions, each of which contributed less than 5% to the transaction. As of the cut-off date, the aggregate pool consisted of 595 loans with a total balance of $453,588,656; an average balance of $762,334; a weighted average original combined loan-to-value ratio (CLTV) of 66.9%, and a weighted average coupon (WAC) of 3.8%. Rate/Term and cash out refinances account for 60.6% and 7.6% of the loans, respectively. The weighted average original FICO credit score of the pool is 770. Owner-occupied properties comprise 96.2% of the loans. The states that represent the largest geographic concentration are California (41.8%), Texas (9.8%) and Massachusetts (5.5%). Key Rating Drivers High-Quality Mortgage Pool: The collateral pool consists primarily of 30-year fixed-rate fully documented loans to borrowers with strong credit profiles, low leverage, and substantial liquid reserves. All but 0.8% of the loans are fully amortizing. Third- party loan-level due diligence was conducted on 98% of the overall pool, and Fitch believes the results of the review generally indicate strong underwriting controls. Originators With Limited Performance History: The majority of the pool was originated by lenders with limited non-agency performance history. While the significant contribution of loans from these originators is a concern, Fitch believes the lack of performance history is partially mitigated by the 100% third-party diligence conducted on these loans that resulted in immaterial findings. Fitch also considers the credit enhancement (CE) on this transaction sufficient to mitigate the originator risk. Geographically Diverse Pool: The collateral pool is geographically diverse. The percentage in the top three metropolitan statistical areas (MSAs) is 23.2% and concentration in California is 41.8% which is similar compared to recent SEMT transactions. The agency did not apply a default penalty to the pool due to the low geographic concentration risk. Transaction Provisions Enhance Performance: As in other recent SEMT transactions rated by Fitch, SEMT 2013-7 contains binding arbitration provisions that may serve to provide timely resolution to representation and warranty disputes. In addition, all loans that become 120 days or more delinquent will be reviewed for breaches of representations and warranties. Rating Sensitivities Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis on areas where the model projected lower home price declines than that of the overall collateral pool. The model currently projects sustainable MVDs (sMVDs) at the MSA level. For two of the top 10 regions, Fitch's SHP model does not project declines in home prices. These regions are Dallas-Plano-Irving in Texas (4.7%), and Chicago-Joliet- Naperville in Illinois (4.6%). Fitch conducted sensitivity analysis assuming sMVDs of 10%, 15%, and 20% compared with those projected by Fitch's SHP model for these regions. The sensitivity analysis indicated no impact on ratings for all bonds in each scenario. Another sensitivity analysis was focused on determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model projected 13.6% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. SOLOSO CDO 2005-1: Moody's Lowers Ratings on 3 CDO Note Tranches ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings on the following notes issued by Soloso CDO 2005-1, Ltd.: $170,000,000 Class A-1L Floating Rate Notes Due October 2035 (current outstanding balance of $137,330,355.47), Downgraded to B2 (sf); previously on June 26, 2012 Upgraded to Ba2 (sf); $126,000,000 Class A-1LA Floating Rate Notes Due October 2035 (current outstanding balance of $94,288,824.81), Downgraded to B1 (sf); previously on June 26, 2012 Upgraded to Ba1 (sf); $39,000,000 Class A-1LB Floating Rate Notes Due October 2035 (current outstanding balance of $39,002,477.12), Downgraded to B3 (sf); previously on June 26, 2012 Upgraded to B1 (sf). Moody's also affirmed the ratings of the following notes: $45,500,000 Class A-2L Deferrable Floating Rate Notes Due October 2035 (current outstanding balance of $46,103,584.68), Affirmed Ca (sf); previously on April 20, 2011 Downgraded to Ca (sf); $40,000,000 Class A-3L Floating Rate Notes Due October 2035 (current outstanding balance of $42,420,251.92), Affirmed C (sf); previously on October 30, 2009 Downgraded to C (sf); $19,000,000 Class A-3A Fixed/Floating Rate Notes Due October 2035 (current outstanding balance of $20,794,475.65), Affirmed C (sf); previously on October 30, 2009 Downgraded to C (sf); $19,000,000 Class A-3B Fixed/Floating Rate Notes Due October 2035 (current outstanding balance of $20,149,619.66), Affirmed C (sf); previously on October 30, 2009 Downgraded to C (sf); $30,500,000 Class B-1L Floating Rate Notes Due October 2035 (current outstanding balance of $34,108,357.94), Affirmed C (sf); previously on October 30, 2009 Downgraded to C (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of the default in the payment of periodic interest on the Class A-1L, Class A-1LA and Class A-1LB ("Class A1") Notes. As per the trustee notice dated April 24, 2013, this default in the payment of interest on the Class A1 Notes resulted in an Event of Default. Moody's notes that the rating actions on the Class A1 Notes are commensurate with the expected recoveries for the notes, as outlined in the methodology titled "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. Soloso CDO 2005-1, Ltd., issued on August 24, 2005, is a collateralized debt obligation backed by a portfolio of bank trust preferred securities. The portfolio of this CDO is mainly comprised of trust preferred securities (TruPS) issued by small to medium sized U.S. community banks that are generally not publicly rated by Moody's. To evaluate the credit quality of bank TruPS without public ratings, Moody's uses RiskCalc model, an econometric model developed by Moody's KMV, to derive their credit scores. Moody's evaluation of the credit risk for a majority of bank obligors in the pool relies on FDIC financial data reported as of Q4-2012. The principal methodologies used in this rating were "Moody's Approach to Rating TRUP CDOs" published in May 2011 and "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. The transaction's portfolio was modeled using CDOROM v.2.8 to develop the default distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model using CDOEdge. Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as its outlook on the banking sector remains negative, although there have been some recent signs of stabilization. The pace of FDIC bank failures continues to decline in 2013 compared to the last few years, and some of the previously deferring banks have resumed interest payment on their trust preferred securities. TABERNA PREFERRED: Supp. Indenture No Impact on Moody's Ratings --------------------------------------------------------------- Moody's Investor Service determined that certain changes to the permitted activities and investments of Star Asia Finance, LLC, as set forth in a supplemental indenture dated as of May 16, 2013 between the Company and The Bank of New York Mellon Trust Company, National Association (the "Trustee"), will not at this time in and of themselves result in the withdrawal, reduction or other adverse action to Moody's current ratings of any class of notes issued by Taberna Preferred Funding III, Ltd. and Taberna Preferred Funding IV, Ltd. The Transactions hold outstanding securities issued by the Company. Moody's does not express an opinion as to whether the Third Supplemental Indenture could have non-credit related effects on the Transactions that may be of interest to investors. Moody's has been informed that the Third Supplemental Indenture received the consent of the majority of the controlling classes and the required hedge counterparty consent for Taberna Preferred Funding IV, Ltd. The Third Supplemental Indenture may be summarized as follows: The Third Supplemental Indenture permits the Company to use interest or dividend payments or disposition proceeds from certain underlying assets to (a) reinvest in Japanese commercial real estate and real estate-related transactions and (b) enter into transactions to hedge interest rate or currency risks associated with such underlying assets or the Company's junior subordinated debt held by the Transactions. The principal methodology used in rating and monitoring of this transaction was "Moody's Approach to Rating TRUP CDOs" published in April 26, 2011. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. In addition, Moody's will continue monitoring the ratings. Any change in the ratings will be publicly disseminated by Moody's through appropriate media. Non-Prime Ratings for Taberna are: Taberna Preferred Funding III, Ltd. Class A-1a COLL NOTES, Caa2 Class A-1b COLL NOTES, Caa2 Class A-1c COLL NOTES, Caa2 Class A-2a COLL NOTES, Caa3 Class B-1, COLL NOTES, Ca Class B-2, COLL NOTES, Ca Taberna Preferred Funding IV, Ltd. Class A-1 COLL NOTES, Caa3 Class B-1 COLL NOTES, C Class B-2 COLL NOTES, C THORNBURG MORTGAGE 2004-1: Moody's Ups Ratings on 3 RMBS Tranches ----------------------------------------------------------------- Moody's Investors Service upgraded three tranches from one RMBS transaction issued by Thornburg Mortgage Securities Trust 2004-1. The collateral backing this deal primarily consists of first-lien, adjustable-rate prime Jumbo residential mortgages. The actions impact approximately $79 million of RMBS issued in 2004. Issuer: Thornburg Mortgage Securities Trust 2004-1 Cl. I-1A, Upgraded to Ba3 (sf); previously on Mar 11, 2011 Downgraded to B3 (sf) Cl. I-2A, Upgraded to Ba1 (sf); previously on Jun 15, 2012 Confirmed at Ba3 (sf) Cl. II-2A, Upgraded to Baa3 (sf); previously on Jun 15, 2012 Upgraded to Ba1 (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on these pools. The methodologies used in this rating were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. Moody's adjusts the methodologies for 1) Moody's current view on loan modifications and 2) small pool volatility Loan Modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until 2014. Small Pool Volatility For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on prime jumbo pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For prime jumbo pools, Moody's first applies a baseline delinquency rate of 3.5% for 2005, 6.5% for 2006 and 7.5% for 2007. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2005 pool with 75 loans, the adjusted rate of new delinquency is 3.54%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication. When assigning the final ratings to bonds, Moody's considered the volatility of the projected losses and timeline of the expected defaults. The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.1% in April 2012 to 7.5% in April 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. US CAPITAL II: Moody's Raises Ratings on 2 Note Issues to Caa1 -------------------------------------------------------------- Moody's Investors Service upgraded the ratings on the following notes issued by US Capital Funding II Ltd.: $70,000,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2034; Upgraded to Caa1 (sf); previously on March 9, 2012 Upgraded to Caa3 (sf); $40,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2034; Upgraded to Caa1 (sf); previously on March 9, 2012 Upgraded to Caa3 (sf). Moody's has also affirmed the rating of the following class of notes: $171,000,000 Class A-1 Floating Rate Senior Notes Due 2034, (current balance of $81,378,803.09); affirmed Baa1 (sf); previously on March 9, 2012 Downgraded to Baa1 (sf); $33,500,000 Class A-2 Floating Rate Senior Notes Due 2034; affirmed Ba1 (sf); previously on March 27, 2009 Downgraded to Ba1 (sf). Rationale According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the Class A-1 notes as well as the improvement in the credit quality of the underlying portfolio since the last rating action in March 2012. Moody's notes that the Class A-1 notes have been paid down by approximately $43M (34%) since the last rating action, due to diversion of excess interest proceeds and disbursement of principal proceeds from redemptions of underlying assets. Going forward, the Class A-1 notes will continue to benefit from the diversion of excess interest and the proceeds from future redemptions of any assets in the collateral pool. Moody's also notes that the deal benefited from an improvement in the credit quality of the underlying portfolio. Based on Moody's calculation, the weighted average rating factor (WARF) improved to 839 compared to 1247 as of the last rating action date. Due to the impact of revised and updated key assumptions referenced in Moody's rating methodology, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, Moody's Asset Correlation, 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 $210 million, defaulted/deferring par of$48 million, a weighted average default probability of 19.01% (implying a WARF of 839), Moody's Asset Correlation of 20.19%, and a weighted average recovery rate upon default of 10%. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of triggering an Event of Default, recent deal performance under current market conditions, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. US Capital Funding II, Ltd., issued on June 24, 2004, is a collateral debt obligation backed by a portfolio of bank trust preferred securities. The portfolio of this CDO is mainly comprised of trust preferred securities (TruPS) issued by small to medium sized U.S. community banks that are generally not publicly rated by Moody's. To evaluate the credit quality of bank TruPS without public ratings, Moody's uses RiskCalc model, an econometric model developed by Moody's KMV, to derive their credit scores. Moody's evaluation of the credit risk for a majority of bank obligors in the pool relies on FDIC financial data reported as of Q4-2012. Moody's also evaluates the sensitivity of the rated transaction to the volatility of the credit estimates, as described in Moody's Rating Implementation Guidance "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009. The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs" published in May 2011. The transaction's portfolio was modeled using CDOROM v.2.8 to develop the default distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model using CDOEdge. Moody's performed a number of sensitivity analyses of the results to certain key factors driving the ratings. Moody's analyzed the sensitivity of the model results to changes in the portfolio WARF (representing an improvement or a deterioration in the credit quality of the collateral pool), assuming that all other factors are held equal. If the WARF is increased to 950from the base case of 839 the model-implied rating of the Class A-1 notes is one notch worse than the base case result. Similarly, if the WARF is decreased to 740, the model-implied rating of the Class A-1 notes is one notch better than the base case result. In addition, Moody's also performed two additional sensitivity analyses as described in the Special Comment "Sensitivity Analyses on Deferral Cures and Default Timing for Monitoring TruPS CDOs" published in August 2012. In the first, Moody's gave par credit to banks that are deferring interest on their TruPS but satisfy specific credit criteria and thus have a strong likelihood of resuming interest payments. Under this sensitivity analysis, Moody's gave par credit to $4 million of bank TruPS. In the second sensitivity analysis, Moody's ran alternative default-timing profile scenarios to reflect the lower likelihood of a large spike in defaults. Below is a summary of the impact on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Sensitivity Analysis 1: Class A-1: 0 Class A-2: +1 Class B-1: +1 Class B-2: +1 Sensitivity Analysis 2: Class A-1: 0 Class A-2: +1 Class B-1: +1 Class B-2: +1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as its outlook on the banking sector remains negative, although there have been some recent signs of stabilization. The pace of FDIC bank failures continues to decline in 2013 compared to the last few years, and some of the previously deferring banks have resumed interest payment on their trust preferred securities. WACHOVIA BANK 2003-C5: Moody's Takes Action on 16 CMBS Classes -------------------------------------------------------------- Moody's Investors Service upgraded the ratings of four classes and affirmed 12 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-through Certificates, Series 2003-C5 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Jul 8, 2003 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jul 8, 2003 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Dec 21, 2006 Upgraded to Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Dec 21, 2006 Upgraded to Aaa (sf) Cl. D, Affirmed Aaa (sf); previously on Nov 11, 2010 Upgraded to Aaa (sf) Cl. E, Affirmed Aaa (sf); previously on Jun 28, 2012 Upgraded to Aaa (sf) Cl. F, Upgraded to Aa1 (sf); previously on Jun 28, 2012 Upgraded to Aa3 (sf) Cl. G, Upgraded to Aa3 (sf); previously on Jun 28, 2012 Upgraded to A2 (sf) Cl. H, Upgraded to A3 (sf); previously on Jun 28, 2012 Upgraded to Baa1 (sf) Cl. J, Upgraded to Baa3 (sf); previously on Jul 8, 2003 Definitive Rating Assigned Ba1 (sf) Cl. K, Affirmed B1 (sf); previously on Nov 11, 2010 Downgraded to B1 (sf) Cl. L, Affirmed B3 (sf); previously on Nov 11, 2010 Downgraded to B3 (sf) Cl. M, Affirmed Caa1 (sf); previously on Nov 11, 2010 Downgraded to Caa1 (sf) Cl. N, Affirmed Caa2 (sf); previously on Nov 11, 2010 Downgraded to Caa2 (sf) Cl. O, Affirmed Caa3 (sf); previously on Nov 11, 2010 Downgraded to Caa3 (sf) Cl. X-C, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The upgrades of the four principal and interest classes are due to increased credit support from amortization and pay downs. The pool has paid down by 59% since Moody's prior review. The affirmations of the 11 principal and interest classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class, Class X-C, is consistent with the credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 5.0% of the current balance compared to 2.1% at last review. The base expected loss is higher on a percentage basis than at last review due to the significant paydowns that have occurred since last review. Base expected loss plus realized losses to date now totals 1.9% of the original 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. 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 in the commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector continues to exhibit growth albeit at a slightly slower pace. The multifamily sector should remain stable with moderate growth. Gradual recovery in the office sector continues and will be assisted in the next quarter when absorption is likely to outpace completions. However, since office demand is closely tied to employment, Moody's expects regional employment growth to provide market differentiation. CBD markets continue to outperform secondary suburban markets. The retail sector exhibited a slight reduction in vacancies in the first quarter; the largest drop since 2005. However, consumers continue to be cautious as evidenced by sales growth continuing below historical trends. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic outlook indicates the global economy has lost momentum over the past quarter as it tries to recover. US GDP growth for 2013 is likely to remain close to 2%, however US sequestration cuts that came into effect in March may create a drag on the positive growth in the US private sector. While the broad economic impact in unclear, the direct effect is likely to shave 0.4% off US GDP growth in 2013. Continuing from the previous quarter, Moody's believes that the three most immediate risks are: i) the risk of an even deeper than currently expected recession in the euro area, accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The methodologies used in this rating were "Moody's Approach to Rating 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 Class X-C was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a pay down analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade 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 16 compared to 41 at last review. In cases where the Herf falls below 20, Moody's employs the large loan/single borrower methodology. This methodology uses the excel- based Large Loan Model v 8.5. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated June 28, 2012. Deal Performance As of the April 15, 2013 distribution date, the transaction's aggregate certificate balance had decreased by 59% to $306.8 million from $1.2 billion at securitization. The Certificates were collateralized by 49 mortgage loans ranging in size from less than 1% to 19% of the pool, with the top ten loans representing 55% of the pool. There are two loans that have defeased, representing 2% of the pool which are backed by U.S. government securities. The pool also includes one loan with investment grade credit assessment, representing 19% of the pool. Since the April 15, 2013 distribution date, ten loans have paid off totaling approximately $82.5 million with an additional $68.8 million poised to pay off, according to the master servicer. There were 39 loans, representing 91% of the pool, on the master servicer's watchlist compared to only 22 loans, representing 23% of the pool, at last review. The significant increase in loans on the watchlist is due to the looming maturity of many loans in the pool. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of 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 since securitization resulting in an aggregate realized loss totaling $7.6 million (average loss severity of 14%). There are currently three loans, representing 4% of the pool, in special servicing. Moody's has estimated an aggregate $5.1 million loss (41% overall expected loss) for the three specially serviced loans. Moody's has assumed a high default probability for eight poorly performing loans representing 12% of the pool and has estimated an $7.4 million aggregate loss (20% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2011 and full year 2012 operating results for 76% and 100% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 66% compared to 77% at last review. Moody's net cash flow reflects a weighted average haircut of 10.7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.73X and 1.68X, respectively, compared to 1.52X and 1.41X, respectively, 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 Lloyd Center Loan ($59.6 million -- 19.1%), which represents a 50% participation interest in a $117.2 million mortgage loan. The loan is secured by the borrower's interest in a 1.2 million square foot (SF) regional center located in Portland, Oregon. The mall's anchor tenants include Macy's, Sears and Nordstrom. Property performance declined in 2012 over the prior year and occupancy declined to 95% compared to 98% at last review. The borrower had initially informed the master servicer that the loan would not pay off as of the anticipated repayment date of June 2013. Consequently, the interest rate would have increased to the greater of the current interest rate of 5.42% plus 5.0% or ten-year Treasuries plus 5.0%. The borrower recently provided notice of its intent to pay off the loan in June 2013. Moody's current credit assessment and stressed DSCR for the loan are Baa3 and 1.26X, respectively, compared to Baa1 and 1.55X at last review. The top three performing conduit loans represent 16% of the pool balance. The largest conduit loan is the 16 West 61st Street Loan ($21.2 million -- 6.9% of the pool), which is secured by an 112,080 SF office building located in the Upper West Side of Manhattan. The property was 100% leased as of April 2013, the same as at last review. Property performance has steadily increased in recent years. Moody's LTV and stressed DSCR are 44% and 2.32X, respectively, compared to 48% and 2.13X at last review. The second largest conduit loan is the 90 and 110 South Bedford Road Loan ($15.2 million -- 5.0% of the pool), which is secured by a 120,211 SF office building located in Mt. Kisco, New York. The property is 100% leased, the same as at last review. Property performance has steadily increased in recent years. Moody's LTV and stressed DSCR are 63% and 1.67X, respectively, compared to 66% and 1.59X at last review. According to the master servicer, this loan paid off in full on May 13, 2013. The third largest conduit loan is the Georgetown Plaza Loan ($14.0 million -- 4.6% of the pool) which is secured by a 140,495 SF office building located in the Georgetown section of Washington, D.C. The property is 83% leased compared to 74% at last review. Property performance has steadily increased in recent years. Moody's LTV and stressed DSCR are 59% and 1.74X, respectively, compared to 68% and 1.51X at last review. WACHOVIA BANK 2005-C21: Moody's Keeps Ratings on $1.9-Bil of CMBS ----------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 2005-C21 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Nov 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Nov 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Nov 10, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed Aa2 (sf); previously on Oct 28, 2010 Confirmed at Aa2 (sf) Cl. B, Affirmed A1 (sf); previously on Oct 28, 2010 Confirmed at A1 (sf) Cl. C, Affirmed A3 (sf); previously on Oct 28, 2010 Confirmed at A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Oct 28, 2010 Downgraded to Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Oct 28, 2010 Downgraded to Ba2 (sf) Cl. F, Affirmed B1 (sf); previously on Oct 28, 2010 Downgraded to B1 (sf) Cl. G, Affirmed Caa1 (sf); previously on Oct 28, 2010 Downgraded to Caa1 (sf) Cl. H, Affirmed Caa3 (sf); previously on Oct 28, 2010 Downgraded to Caa3 (sf) Cl. J, Affirmed Caa3 (sf); previously on Oct 28, 2010 Downgraded to Caa3 (sf) Cl. K, Affirmed Ca (sf); previously on Oct 28, 2010 Downgraded to Ca (sf) Cl. IO, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of the 13 principal and interest bonds are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index (Herf), remaining within acceptable ranges. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The rating of the IO Class is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 6.2% of the current pooled balance compared to 5.5% at last review. Moody's base expected loss plus realized losses is now 5.6% of the original pool 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 the 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 in the commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The hotel sector continues to exhibit growth albeit at a slightly slower pace. The multifamily sector should remain stable with moderate growth. Gradual recovery in the office sector continues and will be assisted in the next quarter when absorption is likely to outpace completions. However, since office demand is closely tied to employment, Moody's expects regional employment growth to provide market differentiation. CBD markets continue to outperform secondary suburban markets. The retail sector exhibited a slight reduction in vacancies in the first quarter; the largest drop since 2005. However, consumers continue to be cautious as evidenced by sales growth continuing below historical trends. Across all property sectors, the availability of debt capital continues to improve with robust securitization activity of commercial real estate loans supported by a monetary policy of low interest rates. Moody's central global macroeconomic outlook indicates the global economy has lost momentum over the past quarter as it tries to recover. US GDP growth for 2013 is likely to remain close to 2%, however US sequestration cuts that came into effect in March may create a drag on the positive growth in the US private sector. While the broad economic impact in unclear, the direct effect is likely to shave 0.4% off US GDP growth in 2013. Continuing from the previous quarter, Moody's believes that the three most immediate risks are: i) the risk of an even deeper than currently expected recession in the euro area, accompanied by deeper credit contraction, potentially triggered by a further intensification of the sovereign debt crisis; ii) slower-than-expected recovery in major emerging markets following the recent slowdown; and iii) an escalation of geopolitical tensions, resulting in adverse economic developments. The 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 Class IO was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Moody's Herfindahl score (Herf), a measure of loan level diversity, is a primary determinant of pool level diversity and has a greater impact on senior certificates. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. CMBS Conduit Model v 2.62 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 30 compared to 34 at Moody's prior review. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance As of the April 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 40% to $1.9 billion from $3.3 billion at securitization. The Certificates are collateralized by 190 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 46% of the pool. Three loans, representing 2% of the pool, have been defeased and are collateralized with U.S. Government Securities. Forty-nine loans, representing 40% 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. Thirteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $60 million (56% average loss severity). Five loans, representing 6% of the pool, are currently in special servicing. The largest specially serviced loan is the Park Place II Loan ($44.7 million -- 2.0% of the pool), which is secured by a 254,000 square foot (SF) retail property located in Sacramento, California. The loan transferred to special servicing in January 2012 after Bed Bath & Beyond, which leased 10% of net rentable area (NRA), exercised its early termination option in December 2011. The poor performance is caused by a low occupancy. The property was 76% leased as of September 2012. The special servicer has recognized an appraisal reduction of $16.45 million for this loan. The remaining four specially serviced loans are secured by a mixed of the property types. Moody's has estimated a $45 million or 40% expected loss for all of the specially serviced loans. Moody's has assumed a high default probability for 14 poorly performing loans representing 2% of the pool and has estimated a $6 million aggregate loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 and full or partial year 2012 operating results for 97% and 90% of the pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 102% compared to 101% at last review. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.34X and 1.02X, respectively, compared to 1.31X and 1.02X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 23% of the pool balance. The largest conduit loan is the NGP Rubicon GSA Pool(1) Loan ($187 million -- 9.6% of the pool), which represents a 50% pari passu interest in a $374 million first mortgage. The loan is secured by a portfolio of 13 office properties and one distribution center, located in ten U.S. states plus the District of Columbia. The portfolio was 100% leased as of year-end 2012 reporting, the same as at Moody's last review. Over 90% of the portfolio is leased to the General Services Administration. The loan is currently on the watchlist due to upcoming GSA lease expirations, which will affect several of the properties. Moody's analysis considers the upcoming lease rollover risk and potential vacant space is leased up to market rent and vacancy rates. Negative impacts from the GSA lease expirations on the loan metrics are mitigated in part by loan amortization. Moody's current LTV and stressed DSCR are 102% and 0.91X, respectively, compared to 100% and 0.93X at last review. The second largest conduit loan is the Abbey Pool Loan ($138 million -- 7.1% of the pool), which is secured by the fee and leasehold interests in a portfolio of 20 retail, office, industrial and mixed use properties located in Southern California. The portfolio was 63% leased as of March 2013 compared to 80% at last review. Performance has declined due lower revenues caused by the reduced rents across the portfolio and higher vacancy. Moody's LTV and stressed DSCR are 129% and 0.77X, respectively, compared to 122% and 0.82X at last review. The third largest conduit loan is the Metropolitan Square Loan ($124 million -- 6.4% of the pool), which is secured by a 42-story Class A office tower located in the central business district of Saint Louis, Missouri. The collateral is also encumbered by a $25.5 million B-note held outside the trust. The property was 80% leased as of December 2012 compared to 78% as of December 2011. Performance has been stable. The loan was modified and returned to master servicer in March 2013. Moody's LTV and stressed DSCR are 136% and 0.71X, respectively, compared to 138% and 0.70X at last review. WFRBS 2011-C2: Moody's Ratings Unchanged After Transfer/Assumption ------------------------------------------------------------------ Moody's Investors Service was informed that CIM/H&H Retail L.P. (the borrower) of the Hollywood & Highland Loan has requested a permitted Transfer/Assumption. The proposed Transfer/Assumption will become effective upon satisfaction of the conditions set forth in the governing documents. Moody's has reviewed the proposed transfer and has determined that this action will not in and of itself, result in a downgrade or withdrawal of the current ratings to any class of certificates rated by Moody's for WF-RBS Commercial Mortgage Trust 2011-C2, Commercial Mortgage Pass-Through Certificates, Series 2011-C2. Moody's opinion only addresses the credit impact associated with the proposed action. Moody's is not addressing any opinion as to whether this change, has or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. The last rating action for WFRBS 2011-C2 was taken on March 7, 2013 where Moody's affirmed the ratings of 11 classes as follows: Cl. A-1, Affirmed Aaa (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 11, 2011 Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 11, 2011 Assigned Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed Baa3 (sf); previously on Mar 11, 2011 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Mar 11, 2011 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 11, 2011 Definitive Rating Assigned Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) The methodologies used in this rating were "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. WFRBS 2011-C5: New Special Servicer No Impact on Moody's Ratings ---------------------------------------------------------------- Moody's Investors Service was informed that the Majority Subordinate Certificate holder intends to replace Midland Loan Services as the Special Servicer and to appoint Rialto Capital Advisors, LLC as the successor Special Servicer. The proposed special servicer replacement will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the proposed special servicer replacement from Midland to Rialto. Moody's has determined that this proposed special servicing transfer will not, in and of itself, and at this time, result in a downgrade or withdrawal of the current ratings to any class of certificates rated by Moody's for WFRBS Commercial Mortgage Trust 2011-C5, Commercial Mortgage Pass-Through Certificates, Series 2011-C5. Moody's opinion only addresses the credit impact associated with the proposed transfer of special servicing rights. Moody's is not expressing any opinion as to whether the this change has, or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. The last rating action for WFRBS 2011-C5 was taken on September 20, 2012. The methodologies used in monitoring this transaction were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's will continue to monitor the ratings. Any change in the ratings will be publicly disseminated by Moody's through appropriate media. Non-prime ratings for WFRBS Commercial Mortgage Trust 2011-C5 are: Cl. F PASS-THRU CTFS, Ba2 Cl. G PASS-THRU CTFS, B2 Cl. X-B PASS-THRU CTFS, Ba3 * Fitch Puts 217 Tranches of U.S. Student Loan ABS on Rating Watch ------------------------------------------------------------------ Fitch Ratings has updated its criteria for FFELP student loan- backed securitizations and placed 192 U.S. student loan ABS tranches on Rating Watch Negative and 25 tranches on Rating Watch Positive. The criteria update reflects a new analytical tool Fitch has introduced as part of its rating process. The new tool simulates cashflows based on collateral stratifications and deal structure, and incorporates the stresses for various rating categories, as outlined in the criteria. In taking the actions, Fitch has identified trusts most likely to be affected by the implementation of the new analytical tool. Rating Watch Negative is assigned to deals containing Tax Exempt Auction Rate notes, while Rating Watch Positive is assigned to the subordinate tranches, rated 'BBsf' or below, of LIBOR-indexed trusts with a parity of at least 100%. Fitch will conduct individual reviews on each affected trust. The magnitude of the upgrades and downgrades is expected to range from three to six notches in severity. Fitch expects to complete its review and resolve the Rating Watch status for all trusts over the next six months. The updated criteria, 'Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria', dated May 17, 2013, can be found at www.fitchratings.com. * Fitch Says 1Q 2013 U.S. Timeshare ABS Delinquencies Decline ------------------------------------------------------------- U.S. timeshare ABS delinquencies dropped again last quarter and are also lower than levels seen this time last year, according to the latest timeshare index results from Fitch Ratings. Total delinquencies for first quarter-2013 (1Q'13) were 3.27%, down from 3.55% in 4Q'12 and 3.58% in 1Q'12. The improvement in timeshare ABS delinquencies last quarter is typical of springtime performance. Defaults for 1Q'13 also decreased to 0.72% from 0.75% in 4Q'12. Delinquencies are 0.82% lower than levels seen at the same time last year. While improvement this quarter is evident across all issuers, some of the overall improvement is attributed to slight shifts in the composition of the index. Transactions from issuers with lower historical delinquency and default rates were added in 2012. Delinquency trends have largely normalized at their historical levels following the dramatic increases that occurred in 2008 and 2009. However, defaults still remain elevated from pre- recessionary levels. Fitch's Rating Outlook for timeshare ABS remains Stable due in part to the delevering structures found in timeshare transactions and ample credit enhancement levels. Fitch's timeshare ABS index is an aggregation of performance statistics on pools of securitized timeshare loans originated by various developers. Expected cumulative gross defaults on underlying transactions can range from 10% to above 20%. While delinquencies and defaults may vary on an absolute basis, most transactions supporting the index exhibit similar overall trends. The Fitch timeshare performance index summarizes average monthly delinquency (over 30 days) and gross default trends tracked in Fitch's database of timeshare asset backed securities (ABS) dating back to January 1997 and is available on a quarterly basis. * Fitch Says Losses Dip Three Straight Months for U.S. Auto ABS --------------------------------------------------------------- Annualized net losses (ANL) for both U.S. prime and subprime auto ABS dropped in April for the third consecutive month this year, according to the latest index results from Fitch Ratings. Strong seasonal performance is typical for this time of year for auto ABS. That coupled with improving economic indicators continues to support robust asset performance this year. Overall auto ABS performance is likely to remain strong entering the summer months. Prime ANL dipped 27% in April over March to 0.24%, the fourth lowest loss rate ever. In the subprime sector, ANL were at 4.10%, a 12% improvement versus the prior month. On the ratings front, Fitch upgraded 13 prime outstanding notes year-to-date in 2013, well above the four upgrades issued during the same four month period in 2012. The outlook for prime auto ABS asset performance is stable, while the ratings performance outlook remains positive for 2013. Fitch's prime and subprime auto ABS indices are comprised of $68.6 billion of outstanding notes issued from 129 transactions. Of this amount, 72% comprise prime auto loan ABS and the remaining 28% subprime ABS. * Fitch Says U.S. Auto loan ABS Losses Down for Three Months ------------------------------------------------------------ For the third consecutive month, losses declined for prime and subprime auto loan ABS indices, coinciding with three consecutive monthly declines in the U.S. unemployment rate and lower jobless claims, Fitch Ratings states. "If these trends continue and U.S. consumers remain resolute in their auto loan payments, we would expect a positive impact on all our indices," Fitch says. Fitch's prime 60+ days delinquency index dropped to 0.29% in April, down 12% month over month (MOM); the rate was also 12% lower year over year (YOY). Prime annualized net losses (ANL) sank 27% in April to 0.24% from March. ANL were 40% higher than the 0.14% posted a year earlier, which was a record low, but performance is still strong. Prime cumulative net losses (CNL) were at 0.29%, a 3% drop MOM and almost 30% lower YOY. Subprime 60+ days delinquencies dropped for a third consecutive month in April to 2.68%, down 11% over March and 15% higher YOY. ANL ended April at 4.1%, a 12% drop from March and down 1% from April 2012. Robust credit underwriting standards in the 2009-2012 vintages, combined with healthy wholesale vehicle market (WVM) over the past two years, have supported prime asset performance. However, some softening in the WVM has begun, as Fitch expected, with increased supply in the market in 2013. Fitch expects loss rates to increase in 2013, albeit only marginally from current levels, with no material impact on asset performance. * Fitch Says U.S. CREL CDO Delinquencies Remain in Holding Pattern ------------------------------------------------------------------ U.S. CREL CDO late-pays remained flat in the month of April at 13.2%, according to the latest index results from Fitch Ratings. Only one new delinquency was reported in the month. This newly matured balloon B-note is secured by a full service hotel located in Los Cabos, Mexico. Further, two assets included in last month's Index are no longer considered delinquent. These assets include a mezzanine loan backed by a hotel portfolio disposed of at a nearly full loss, and a rated security that is no longer considered credit impaired. Asset managers have steadily reduced the overall balance of delinquent assets through resolutions over the past year, which has helped keep CREL CDO delinquencies largely flat. In April, asset managers reported approximately $70 million in realized principal losses from the disposal of three assets. The majority of the reported loss was related to the above mentioned mezzanine loan interest disposal. * Fitch: US Bank TruPS CDOs Combined Default & Deferrals Stable --------------------------------------------------------------- According to latest index results from Fitch Ratings, combined defaults and deferrals for U.S. bank TruPS CDOs has remained stable at 28.2% at the end of April. One new bank, totaling $5 million of collateral in one CDO, defaulted during the month, while another bank, representing $10 million of collateral in one CDO, began deferring interest on its TruPS. The decrease in cumulative default rate was attributed to the removal of a defaulted issuer from the portfolio in one CDO. There were no new cures in April. The decrease of $37.5 million in the dollar notional of cures is due to the redemption of cured collateral by three issuers in five CDOs. Across 79 TruPS CDOs, 218 bank issuers have defaulted since the index's inception in 2007, representing approximately $6.4 billion. Additionally, 312 issuers are currently deferring interest payments on $4.2 billion of collateral, and 111 issuers representing $2.4 billion of collateral deferred in the past but are currently cured. * Fitch Says Lack of Stringent CMBS Underwriting Can Affect REITs ----------------------------------------------------------------- Changes in the availability, pricing, and underwriting stringency of CMBS financing could affect REITs directly and indirectly according to Fitch Ratings. In the near term, the CMBS financing market's acceptance of pro forma assumptions may be indicative of increased risk appetites, improving the already strong liquidity of REITs and driving additional cap rate compression in secondary asset classes/markets that are more dependent upon CMBS. Over the longer term, continued usage of pro forma assumptions will ultimately increase the uncertainty and volatility of CMBS performance and therefore the requisite spread to compensate for the risk. In addition, a boom-or-bust cycle for CMBS loan performance would negatively affect REITs that regularly access the CMBS market, seek to sell to entities that finance the transactions with CMBS, and/or increase the volatility of and perception of risk for commercial real estate. "Recently, we stated that a recent CMBS transaction backed by a single loan on the Seagram Building (CGCMT 2013-375P) contains significant pro forma income that makes the credit enhancement insufficient at 'AAA'. In this transaction, the issuer's net operating income (NOI) of $74 million and 96.4% occupancy relies on significant leasing achievements to improve from NOI of $54 million and 94.4% occupancy," Fitch says. "A major reason for highly rated bonds in CMBS 1.0 being downgraded is pro forma income, underwritten when the loans were made in 2005 through 2008 not being fulfilled. Often, the downgrades are by one or two categories, not just single notches. For that reason, we have been vocal in our resolution not to include pro forma income in analyzing loans in CMBS 2.0. "We note that the Seagram building property is not owned nor is the debt originated by any of Fitch's rated REIT issuers and there is no impact to our coverage universe." * Moody's Reviews Ratings on $11.5 Billion of RMBS Issues --------------------------------------------------------- Moody's Investors Service has placed the ratings of 228 tranches from 94 transactions issued by several issuers on review with the direction uncertain. In addition to these tranches, 6 tranches from 3 related transactions remain on review for downgrade. Ratings Rationale: The review actions reflect errors in the Structured Finance Workstation (SFW) cash flow models previously used by Moody's in rating these transactions, specifically in how the model handles principal and interest allocation for these transactions. The cash flow models used in the past rating actions had incorrectly used separate interest and principal waterfalls, or incorrectly used commingled waterfalls. In the majority of the impacted deals, all collected principal and interest is commingled into one payment waterfall to pay all promised interest due on bonds first, then to pay scheduled principal. With commingling of funds, even principal proceeds will be used to pay accrued interest, which could result in reduced principal recovery for bonds outstanding. In Ameriquest Mortgage Securities Inc., Series 2005-R10 and Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-5, the model should not have commingled collected principal and interest into one waterfall, but should instead have maintained separate principal and interest waterfalls until after independent principal and interest payments were made. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, "Pre-2005 US RMBS Surveillance Methodology" published in January 2012, "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011, and "Rating Transactions Based on the Credit Substitution Approach: Letter of Credit- backed, Insured and Guaranteed Debts" published in March 2013. Moody's adjusts the methodologies for Moody's current view on loan modifications. As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels into 2014. The methodologies only apply to pools with at least 40 loans and a pool factor of greater than 5%. Moody's may withdraw its rating when the pool factor drops below 5% and the number of loans in the pool declines to 40 loans or lower unless specific structural features allow for a monitoring of the transaction (such as a credit enhancement floor). The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.1% in April of 2012 to 7.5% in April of 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. Non-prime ratings covered by this action: Impac CMB Trust Series 2003-11, Cl. 1-M-2 Ba3 Impac CMB Trust Series 2003-11, Cl. 1-M-3 B2 RALI Series 2003-QA1 Trust, Cl. M-1 Ba3 RALI Series 2003-QA1 Trust, Cl. M-2 Caa3 Impac CMB Trust Series 2004-5 Collateralized Asset-Backed Bonds, Series 2004-5, Cl. 1-M-1, Ba2 Impac CMB Trust Series 2004-5 Collateralized Asset-Backed Bonds, Series 2004-5, Cl. 1-M-2, B1 Impac CMB Trust Series 2004-5 Collateralized Asset-Backed Bonds, Series 2004-5, Cl. 1-M-3, B2 Impac CMB Trust Series 2004-5 Collateralized Asset-Backed Bonds, Series 2004-5, Cl. 1-M-4, Caa1 Impac CMB Trust Series 2004-5 Collateralized Asset-Backed Bonds, Series 2004-5, Cl. 1-M-5, Caa3 Impac CMB Trust Series 2004-6 Collateralized Asset-Backed Bonds, Series 2004-6, Cl. 1-A-1, Ba1 Impac CMB Trust Series 2004-6 Collateralized Asset-Backed Bonds, Series 2004-6, Cl. 1-A-3, Ba3 Impac CMB Trust Series 2004-6 Collateralized Asset-Backed Bonds, Series 2004-6, Cl. M-1, B1 Impac CMB Trust Series 2004-6 Collateralized Asset-Backed Bonds, Series 2004-6, Cl. M-2, B3 Impac CMB Trust Series 2004-6 Collateralized Asset-Backed Bonds, Series 2004-6, Cl. M-3, Caa2 American Home Mortgage Investment Trust 2004-2, Cl. II-A, Ba3 American Home Mortgage Investment Trust 2004-2, Cl. III-A, B1 American Home Mortgage Investment Trust 2004-2, Cl. V-A, Ba1 Impac CMB Trust Series 2004-7 Collateralized Asset-Backed Bonds, Series 2004-7, Cl. M-1, B1 Impac CMB Trust Series 2004-7 Collateralized Asset-Backed Bonds, Series 2004-7, Cl. 2-A, Ba2 Impac CMB Trust Series 2004-7 Collateralized Asset-Backed Bonds, Series 2004-7, Cl. M-2, B2 Impac CMB Trust Series 2004-7 Collateralized Asset-Backed Bonds, Series 2004-7, Cl. M-3, Caa3 Impac CMB Trust Series 2004-7 Collateralized Asset-Backed Bonds, Series 2004-7, Cl. 1-A-2, Ba1 MASTR Adjustable Rate Mortgages Trust 2004-7, Cl. 6-M-2, Caa2 HomeBanc Mortgage Trust 2004-1, Cl. I-A, B3 HomeBanc Mortgage Trust 2004-1, Cl. II-A, B1 Impac CMB Trust Series 2004-9 Collateralized Asset-Backed Bonds, Series 2004-9, Cl. 1-A-1, Ba2 Impac CMB Trust Series 2004-9 Collateralized Asset-Backed Bonds, Series 2004-9, Cl. 1-A-2, Caa3 Impac CMB Trust Series 2004-9 Collateralized Asset-Backed Bonds, Series 2004-9, Cl. 2-A, Caa1 HomeBanc Mortgage Trust 2004-2, Cl. A-1, Ba3 HomeBanc Mortgage Trust 2004-2, Cl. A-2, Caa1 Impac CMB Trust Series 2004-10, Cl. 1-A-1, B2 Impac CMB Trust Series 2004-10, Cl. 1-A-2, Caa3 Impac CMB Trust Series 2004-10, Cl. 2-A, Caa2 Impac CMB Trust Series 2004-10, Cl. 3-A-1, Ba1 Impac CMB Trust Series 2004-10, Cl. 3-A-2, B1 Impac CMB Trust Series 2004-10, Cl. 3-M-1, Caa2 Impac CMB Trust Series 2004-11 Collateralized Asset-Backed Bonds, Series 2004-11, Cl. 1-A-1, Caa3 Impac CMB Trust Series 2004-11 Collateralized Asset-Backed Bonds, Series 2004-11, Cl. 1-A-2, Caa3 Impac CMB Trust Series 2004-11 Collateralized Asset-Backed Bonds, Series 2004-11, Cl. 2-A-1, Caa2 Impac CMB Trust Series 2005-1 Collateralized Asset-Backed Bonds, Series 2005-1, Cl. 1-A-2, B2 Impac CMB Trust Series 2005-1 Collateralized Asset-Backed Bonds, Series 2005-1, Cl. 2-A-2, B3 RALI Series 2005-QA1 Trust, Cl. A-2, Ba2 RALI Series 2005-QA1 Trust, Cl. M-1, Caa2 Impac CMB Trust Series 2005-3 Collateralized Asset-Backed Bonds, Series 2005-3, Cl. A-1, Caa1 Impac CMB Trust Series 2005-3 Collateralized Asset-Backed Bonds, Series 2005-3, Cl. A-3, Caa2 American Home Mortgage Investment Trust 2005-3, Cl. I-A-1, B1 American Home Mortgage Investment Trust 2005-3, Cl. I-A-2, Caa1 American Home Mortgage Investment Trust 2005-3, Cl. III-A-1, B3 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-IM, Cl. A-1, Caa3 MortgageIT Trust 2005-5, Mortgage-Backed Notes, Series 2005-5, Cl. A-1, B1 MortgageIT Trust 2005-5, Mortgage-Backed Notes, Series 2005-5, Cl. A-2, Caa3 Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-5, Cl. I-APT, Caa1 American Home Mortgage Investment Trust 2006-1, Cl. I-1A-1, Caa2 Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-5, Cl. I-A1C, B2 Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-5, Cl. I-A1D, Caa2 Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-5, Cl. II-A1B, B3 Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-5, Cl. II-A1C, Caa2 Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-5, Cl. II-A1D1, Caa3 Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-5, Cl. II-AN, B2 CHL Mortgage Pass-Through Trust 2006-3, Cl. 1-A-1, Caa3 CHL Mortgage Pass-Through Trust 2006-3, Cl. 2-A-1, Caa2 CHL Mortgage Pass-Through Trust 2006-3, Cl. 3-A-1, Caa3 MASTR Adjustable Rate Mortgages Trust 2006-OA1, Cl. 1-A-1, Caa2 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA3, Cl. 1-A-1, Caa3 American Home Mortgage Investment Trust 2006-1, Cl. I-2A-1, Caa2 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA3, Cl. 2-A-1, Caa3 MASTR Adjustable Rate Mortgages Trust 2006-OA1, Cl. 3-A-1, Caa2 MASTR Adjustable Rate Mortgages Trust 2006-OA1, Cl. 4-A-1, Caa1 RALI Series 2006-QO4 Trust, Cl. II-A-1, Caa3 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA7, Cl. 1-A-2, Caa3 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA7, Cl. 2-A-1, Caa3 RALI Series 2006-QO5 Trust, Cl. I-A-1, Caa3 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA8, Cl. 1-A-1, Caa3 RALI Series 2006-QO5 Trust, Cl. II-A-1, Caa3 RALI Series 2006-QO5 Trust, Cl. III-A-2, Caa3 American Home Mortgage Investment Trust 2006-2, Cl. II-A-1B, Caa2 American Home Mortgage Investment Trust 2006-2, Cl. II-A-1C, Caa2 American Home Mortgage Investment Trust 2006-2, Cl. III-A-1, Caa3 American Home Mortgage Investment Trust 2006-2, Cl. III-A-2, Caa3 American Home Mortgage Investment Trust 2006-2, Cl. III-A-3, Caa3 American Home Mortgage Investment Trust 2006-2, Cl. III-A-4, Caa3 American Home Mortgage Investment Trust 2006-2, Cl. III-A-5, Caa3 GSR Mortgage Loan Trust 2006-OA1, Cl. 2-A-1, Ba1 American Home Mortgage Assets Trust 2006-4, Cl. II-A-1, Caa1 American Home Mortgage Assets Trust 2006-5, Cl. A-1, Caa3 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA14, Cl. 2-A-1, Caa3 American Home Mortgage Investment Tr 2006-3, Cl. I-1A-1, Caa2 RALI Series 2006-QO8 Trust, Cl. I-A2A, Caa3 RALI Series 2006-QO9 Trust, Cl. I-A2A, Caa3 Banc of America Funding 2006-I Trust, Cl. 6-A-1, Caa2 RALI Series 2006-QO10 Trust, Cl. A-1, Caa3 American Home Mortgage Investment Tr 2006-3, Cl. I-2A-1, Caa2 American Home Mortgage Investment Tr 2006-3, Cl. III-A-1, Caa3 American Home Mortgage Assets Trust 2007-1, Cl. A-1, Caa3 RALI Series 2007-QO1 Trust, Cl. A-1, Caa3 MASTR Adjustable Rate Mortgages Trust 2007-1, Cl. I-2A1, Caa1 MASTR Adjustable Rate Mortgages Trust 2007-1, Cl. I-2A3, Caa3 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-OA3, Cl. 1-A-1, Caa3 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-OA3, Cl. 2-A-1, Caa3 American Home Mortgage Investment Trust 2007-2, Cl. I-1A-1, Caa2 RALI Series 2007-QH3 Trust, Cl. A-1, Caa3 Banc of America Funding 2007-B Trust, Cl. A-1, Caa3 RALI Series 2007-QO3 Trust, Cl. A-1, Caa3 RALI Series 2007-QH4 Trust, Cl. A-1, Caa3 American Home Mortgage Investment Trust 2007-2, Cl. I-2A-1, Caa3 American Home Mortgage Investment Trust 2007-2, Cl. I-3A-1, Caa3 RALI Series 2007-QH5 Trust, Cl. A-I-1, Caa3 RALI Series 2007-QO4 Trust, Cl. A-1, Caa3 Banc of America Funding 2007-D Trust, Cl. 1-A-1, Caa2 RALI Series 2007-QO4 Trust, Cl. A-1-a, Caa3 Banc of America Funding 2007-D Trust, Cl. 1-A-4, Caa2 RALI Series 2007-QH6 Trust, Cl. A-1, Caa3 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-OA8, Cl. 1-A-1, Caa3 CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-OA8, Cl. 2-A-1, Caa3 GSR Mortgage Loan Trust 2007-OA1, Cl. 2A-3A, Caa3 Bear Stearns Asset-Backed Securities Trust 2003-AC3, Cl. A-1, Ba2 Bear Stearns Asset-Backed Securities Trust 2003-AC3, Cl. M-1, B2 Bear Stearns Asset-Backed Securities Trust 2003-AC3, Cl. M-2, Caa3 Bear Stearns Asset-Backed Securities Trust 2003-AC3, Cl. M-3, Caa3 ABFS Mortgage Loan Trust 2000-1, Cl. A-1, Caa3 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2000-C, Cl. AV, B2 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2000-C, Cl. AF-5, Caa3 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2000-C, Cl. AF-6, B3 ABFS Mortgage Loan Trust 2000-4, Cl. A, Caa3 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD 2001-A AV, Caa1 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD 2001-A, AF-5, Caa3 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD 2001-A, AF-6, B3 ABFS Mortgage Loan Trust 2001-1, Cl. A-1, Caa2 RASC Series 2001-KS2 Home Equity Mortgage Asset-Backed Pass- Through Certificates, Series 2001-KS2, Cl. A-II, Ba1 RASC Series 2001-KS2 Home Equity Mortgage Asset-Backed Pass- Through Certificates, Series 2001-KS2, Cl. A-I-5, Caa2 RASC Series 2001-KS2 Home Equity Mortgage Asset-Backed Pass- Through Certificates, Series 2001-KS2, Cl. A-I-6, Caa1 RASC Series 2001-KS2 Home Equity Mortgage Asset-Backed Pass- Through Certificates, Series 2001-KS2, Cl. M-II-1, Caa3 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2001-B, Cl. MF-1, Caa3 Conseco Finance Home Equity Loan Trust 2001-D, Cl. M-2, Caa1 Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2001-C, Cl. M-2, Caa2 ABFS Mortgage Loan Trust 2001-4, Mortgage-Backed Notes, Series 2001-4, Cl. A, Caa2 Aames Mortgage Trust 2002-1, Cl. A-3, B3 Aames Mortgage Trust 2002-1, Cl. A-4, Ba3 Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2002-A, Cl. M-1, Caa2 Conseco Finance Home Equity Loan Trust 2002-B, Cl. M-2, Ba3 Conseco Finance Home Equity Loan Trust 2002-B, Cl. B-1, Caa3 Conseco Finance Home Equity Loan Trust 2002-C, Cl. BF-2, Ba2 Conseco Finance Home Equity Loan Trust 2002-C, Cl. BV-1, B2 Conseco Finance Home Equity Loan Trust 2002-C, Cl. BV-2, B3 Accredited Mortgage Loan Trust 2002-1, Cl. A-1, Ba1 IndyMac Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2002-B, Cl. M-1, Ba3 Accredited Mortgage Loan Trust 2002-2, Cl. A-1, Caa1 Accredited Mortgage Loan Trust 2002-2, Cl. A-2, Ba3 RASC Series 2002-KS8 Trust, A-5, Caa3 RASC Series 2002-KS8 Trust, A-6, Caa2 RASC Series 2003-KS2 Trust, Cl. M-I-1, Caa3 RASC Series 2003-KS2 Trust, Cl. A-I-5, B1 RASC Series 2003-KS2 Trust, Cl. A-I-6, Ba3 Accredited Mortgage Loan Trust 2003-1, Cl. A-1, Caa1 RAMP Series 2003-RZ4 Trust, Cl. M-1, B2 Accredited Mortgage Loan Trust 2003-2, Asset-Backed Notes, Series 2003-2, Cl. A-1, B3 Accredited Mortgage Loan Trust 2003-2, Asset-Backed Notes, Series 2003-2, Cl. A-2, Ba3 Accredited Mortgage Loan Trust 2003-3, Asset-Backed Notes, Series 2003-3, Cl. A-1, B3 Accredited Mortgage Loan Trust 2003-3, Asset-Backed Notes, Series 2003-3, Cl. A-2, Caa2 Accredited Mortgage Loan Trust 2004-1, Asset-Backed Notes, Series 2004-1, Cl. A-1, B2 Accredited Mortgage Loan Trust 2004-1, Asset-Backed Notes, Series 2004-1, Cl. A-2, B3 Accredited Mortgage Loan Trust 2004-2, Asset-Backed Notes, Series 2004-2, Cl. A-1, Caa2 Accredited Mortgage Loan Trust 2004-2, Asset-Backed Notes, Series 2004-2, Cl. A-2, Caa2 RAMP Series 2003-RZ1 Trust, Cl. A-I-5, B2 RAMP Series 2003-RZ1 Trust, Cl. A-I-6, B3 RAMP Series 2003-RZ1 Trust, Cl. A-I-7, B2 RAMP Series 2003-RZ1 Trust, Cl. A-II, B2 RASC Series 2004-KS11 Trust, Cl. M-1, Caa3 Ameriquest Mortgage Securities Inc., Series 2005-R10, Cl. M-1, Ba1 Ameriquest Mortgage Securities Inc., Series 2005-R10, Cl. M-2, Caa1 Home Loan Mortgage Loan Trust 2005-1, Cl. A-3, Caa2 RASC Series 2005-EMX5 Trust Cl. A-2, Caa3 Nationstar Home Equity Loan Trust 2006-B, Cl. AV-3, B3 Nationstar Home Equity Loan Trust 2006-B, Cl. AV-4, Caa3 Home Loan Mortgage Loan Trust 2006-1, Cl. A-2, B2 Nationstar Home Equity Loan Trust 2007-A, Cl. AV-3, Caa2 Nationstar Home Equity Loan Trust 2007-B, Cl. 1-AV-1, Caa3 Nationstar Home Equity Loan Trust 2007-B, Cl. 2-AV-2, Caa2 Nationstar Home Equity Loan Asset-Backed Certificates, Series 2007-C, Cl. 1-AV-1, Caa3 Nationstar Home Equity Loan Asset-Backed Certificates, Series 2007-C, Cl. 2-AV-2, Caa2 Home Equity Loan Asset-Backed Certificates, Series 2007-FRE1, Cl. 1-AV-1, Caa2 Home Equity Loan Asset-Backed Certificates, Series 2007-FRE1, Cl. 2-AV-1, Caa1 * Moody's Takes Action on $112MM of 24 Alt-A RMBS Tranches ---------------------------------------------------------- Moody's Investors Service upgraded the ratings of seven tranches and downgraded the ratings of 17 tranches from 6 transactions from miscellaneous issuers, backed by Alt-A loans. Complete rating actions are as follows: Issuer: Banc of America Alternative Loan Trust 2004-12 Cl. 4-A-1, Downgraded to Ba3 (sf); previously on Jun 21, 2012 Upgraded to Ba1 (sf) Issuer: Banc of America Funding 2004-C Trust Cl. 1-A-1, Downgraded to Ba1 (sf); previously on Jun 21, 2012 Downgraded to Baa1 (sf) Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Jun 21, 2012 Downgraded to B3 (sf) Cl. 4-A-3B, Upgraded to Baa3 (sf); previously on Jun 21, 2012 Upgraded to Ba1 (sf) Issuer: Charlie Mac Trust 2004-1 Cl. A-3, Downgraded to Baa1 (sf); previously on Jun 15, 2012 Downgraded to Aa3 (sf) Cl. A-4, Downgraded to Baa1 (sf); previously on Jun 15, 2012 Downgraded to Aa3 (sf) Cl. A-6, Downgraded to Baa1 (sf); previously on Jun 15, 2012 Downgraded to Aa3 (sf) Cl. A-7, Downgraded to Baa1 (sf); previously on Jun 15, 2012 Downgraded to Aa3 (sf) Cl. A-8, Downgraded to Baa1 (sf); previously on Jun 15, 2012 Downgraded to Aa3 (sf) Cl. A-9, Downgraded to Baa1 (sf); previously on Jun 15, 2012 Downgraded to Aa3 (sf) Cl. PO, Downgraded to Baa1 (sf); previously on Jun 15, 2012 Downgraded to Aa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-16CB Cl. 2-A-2, Upgraded to A2 (sf); previously on Jun 25, 2012 Upgraded to Baa1 (sf) Cl. 2-A-3, Upgraded to Baa1 (sf); previously on Jun 25, 2012 Upgraded to Ba1 (sf) Cl. 4-A-1, Upgraded to A2 (sf); previously on Mar 28, 2011 Downgraded to Baa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J7 Cl. 1-A-4, Upgraded to Baa3 (sf); previously on Mar 22, 2011 Downgraded to Ba3 (sf) Cl. 1-A-5, Upgraded to Baa2 (sf); previously on Jun 25, 2012 Upgraded to Baa3 (sf) Cl. 2-A-1, Upgraded to Baa3 (sf); previously on Mar 22, 2011 Downgraded to Ba2 (sf) Issuer: RFSC Series 2001-RM2 Trust Cl. A-I, Downgraded to A2 (sf); previously on Jun 15, 2012 Downgraded to Aa1 (sf) Cl. AP-I, Downgraded to A2 (sf); previously on Jun 15, 2012 Downgraded to Aa1 (sf) Cl. A-II, Downgraded to Ba1 (sf); previously on Jun 15, 2012 Downgraded to Baa1 (sf) Cl. M-I-1, Downgraded to Ba3 (sf); previously on Jun 15, 2012 Downgraded to Baa3 (sf) Cl. M-I-2, Downgraded to Caa2 (sf); previously on Jun 15, 2012 Downgraded to B3 (sf) Cl. M-II-1, Downgraded to B1 (sf); previously on Jun 15, 2012 Downgraded to Ba2 (sf) Cl. M-II-2, Downgraded to Caa1 (sf); previously on Jun 15, 2012 Downgraded to B3 (sf) Ratings Rationale: These actions reflect recent performance of the underlying pools and Moody's updated loss expectations on the pools. The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Pre-2005 US RMBS Surveillance Methodology" published in January 2012. The methodology used in rating interest-only securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Moody's adjusts the methodologies for 1) Moody's current view on loan modifications and 2) small pool volatility. Loan Modifications As a result of an extension of the Home Affordable Modification Program (HAMP) to 2013 and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until the end of 2014. Small Pool Volatility The RMBS approach only applies to structures with at least 40 loans and pool factor of greater than 5%. Moody's can withdraw its rating when the pool factor drops below 5% and the number of loans in the deal declines to lower than 40. If, however, a transaction has a specific structural feature, such as a credit enhancement floor, that mitigates the risks of small pool size, Moody's can choose to continue to rate the transaction. For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate. To project losses on Alt-A pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For Alt-A pools, Moody's first applies a baseline delinquency rate of 10% for 2004, 5% for 2003 and 3% for 2002 and prior. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2004 pool with 75 loans, the adjusted rate of new delinquency is 10.1%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate by a factor ranging from 0.50 to 2.0 for current delinquencies that range from less than 2.5% to greater than 30% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.1% in April 2012 to 7.5% in April 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. * Moody's Raises Rating on Santa Monica's Earthquake TABs to Ba1 ---------------------------------------------------------------- Moody's Investors Service upgraded to Baa1 from Ba1 the rating to the Successor Agency of the Redevelopment Agency of the City of Santa Monica's (CA) 2006 Tax Allocation Bonds, Series A and Series B. The bonds are secured by a pledge of tax increment revenues from the agency's Earthquake Redevelopment Project Area. Ratings Rationale: The upgrade to Baa1 rating reflects the project area's strong credit factors that surpass the thresholds outlined in Moody's February special comment, with one small credit deficiency. The size of the project area is greater than 1,000 acres at 1,851 acres and the project area's total assessed value (AV) is slightly less than half of the city's total AV. The wealth indicators for the city are strong and strengthen the credit quality of the project area. While the largest taxpayers are moderately concentrated, the strong incremental tax coverage ratios mitigate this weakness should there be an unexpected loss of any of the largest taxpayers. The tax increment AV is sufficiently large at 65.4%, though less than the 80% ratio coverage recommended. Moody's believes this deficiency is mitigated by the strong growth in incremental AV at 5.8% in fiscal 2013. The strength of the pledge is reflected in the Department of Finance's (DOF) approval of all bond and bank loan debt service payments as enforceable obligations. Review of the debt service in future ROPS will be limited to confirming the schedule payments required by the obligation. Importantly, however, is the state legislature's willingness to modify the cash flows available for bond debt service as a considerable source of uncertainty and a major factor for not placing the rating in the A category. Strengths - Strong debt service coverage in both payment periods - Assessed value expected to be stable Challenges - Moderately high taxpayer concentration - Somewhat low incremental assessed value to total assessed value The Earthquake project area represents a significant component of the City of Santa Monica's economic activity and benefits from the favorable economic conditions existing within the city. The project area was created in response to the Northridge earthquake of January 1994. What could move the rating-UP - Significant and sustained increase in assessed valuation - Increased debt service coverage What could move the rating-DOWN - Erosion of semi-annual debt service coverage - Protracted assessed value decline - Sizable ongoing population decline The principal methodology used in this rating was Moody's Analytic Approach To Rating California Tax Allocation Bonds published in December 2003. * S&P Withdraws Ratings on 50 Classes from 24 CDO Transactions -------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on 50 classes of notes from 19 collateralized loan obligation (CLO) transactions, two collateralized debt obligation (CDO) transactions backed by mezzanine structured finance assets), one CDO transaction backed by commercial mortgage backed securities (CMBS), one CDO transaction predominantly backed by tranches from other CDOs of corporate securities (CDO of corporate CDOs) and one collateralized fund obligation (CFO) backed primarily by interests in private equity funds. The withdrawals follow the complete pay-down of the notes on their most recent payment dates. Standard & Poor's notes that following transactions redeemed their classes in full after providing notice to S&P that the equity noteholders directed optional redemptions: -- Atrium II -- Centurion CDO VII Limited In addition, S&P withdrew its ratings on the class C and D notes from ACAS Business Loan Trust 2007-2 following a notice S&P received from the trustee stating that the notes had been cancelled. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS WITHDRAWN ACA ABS 2004-1 Limited Rating Class To From A-1 NR A+ (sf) ACAS Business Loan Trust 2007-2 Rating Class To From C NR CCC- (sf) D NR CC (sf) Atrium II Rating Class To From A-1 NR AAA (sf) A-2a NR AA+ (sf) A-2b NR AA+ (sf) B NR A+ (sf) C-1 NR BB-(sf) C-2 NR BB- (sf) CapitalSource Comm Ln Trust 2006-2 Rating Class To From D NR BB+ (sf) Centurion CDO VII Limited Rating Class To From A-1a NR AAA (sf) A-1b NR AAA (sf) A-2 NR AAA (sf) B-1 Defer NR A (sf) B-2 Defer NR A (sf) C-1 Defer NR BBB- (sf) C-2 Defer NR BBB- (sf) D-1 Defer NR B+ (sf) D-2 Defer NR B+ (sf) FriedbergMilstein Private Capital Fund I Rating Class To From B-1 NR AAA (sf) B-2 NR AAA (sf) C-1 NR AAA (sf) C-2 NR AAA (sf) D-1 NR A+ (sf) D-2 NR A+ (sf) Galaxy IV CLO, Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) A-1VB NR AAA (sf) GSC Partners Gemini Fund Limited Rating Class To From A NR AAA (sf) B NR AAA (sf) G-Star 2002-1 Ltd. Rating Class To From BFL NR CCC+ (sf) BFX NR CCC+ (sf) C NR CC (sf) Integral Funding Ltd. Rating Class To From D NR CCC+ (sf) Landmark III CDO Ltd. Rating Class To From A-2L NR AAA (sf) Market Square CLO Ltd. Rating Class To From A NR AAA (sf) MCG Commercial Loan Trust 2006-1 Rating Class To From B NR AA (sf) Monument Park CDO Ltd. Rating Class To From A-1 NR AAA (sf) Navigator CDO 2005 Ltd. Rating Class To From A-1A NR AAA (sf) A-1B NR AAA (sf) OWS CLO I Ltd. Rating Class To From A-1 NR AAA (sf) Pacific Coast CDO Ltd. Rating Class To From A NR CCC+ (sf) Premium Loan Trust I Ltd. Rating Class To From B NR A (sf) Sound Point CLO I Ltd. To From Class X NR AAA (sf) Stone Tower CDO Ltd. Rating Class To From A-1LB NR A+ (sf) SVG Diamond Private Equity PLC Rating Class To From A-1 NR AA (sf) A-2 NR AA (sf) Venture II CDO 2002, Limited Rating Class To From A-2 NR AAA (sf) Venture III CDO Ltd. Rating Class To From A-1 NR AAA (sf) Whitney CLO I Ltd. Rating Class To From A-1LA NR AAA (sf) NR--Not rated. * S&P Lowers 7 Ratings on 2 US CMBS Transactions to 'D' ------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes of commercial mortgage pass-through certificates from two U.S. commercial mortgage-backed securities (CMBS) transactions to 'D (sf)' due to current and potential interest shortfalls. The downgrades reflect current and potential interest shortfalls. S&P lowered these ratings because it expects the accumulated interest shortfalls to remain outstanding for the foreseeable future. The seven classes that S&P downgraded to 'D (sf)' have had accumulated interest shortfalls outstanding between two and 11 months. The recurring interest shortfalls for the respective certificates are primarily because of one or more of the following factors: -- Appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets. -- The lack of servicer advancing for loans for which the servicer has made nonrecoverable advance declarations. -- Special servicing fees. 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 servicer nonrecoverable advance declarations and special servicing fees that are likely, in its view, 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 Member of the Appraisal Institute (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. Servicer nonrecoverable advance declarations can prompt shortfalls due to a lack of debt service advancing, the recovery of previously made advances deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. S&P details the seven downgraded classes from the two U.S. CMBS transactions below. Wachovia Bank Commercial Mortgage Trust Series 2007-C34 S&P lowered its ratings on Classes H, J, K, L, and M from Wachovia Bank Commercial Mortgage Trust's Series 2007-C34 to 'D (sf)' to reflect accumulated interest shortfalls outstanding between two and 10 months and its expectation that these shortfalls will remain outstanding in the near term. According to the April 17, 2013, trustee remittance report, the monthly interest shortfalls totaled $255,284 and were primarily due to: -- ASER amounts of $366,958 related to 10 ($210.3 million, 16.0%) of the 13 assets ($216.4 million, 16.5%) that are currently with the special servicer, CWCapital Asset Management LLC. -- Special servicing fees of $45,617. -- Interest reduction due to nonrecoverability determinations of $16,656 for the specially serviced GSA - Meeker Co asset ($2.8 million, 0.2%). -- Workout fees of $5,731. The current reported interest shortfalls were offset by ASER recoveries of $181,524 on three specially serviced assets ($6.1 million, 0.5%) this month. The net interest shortfalls have affected all classes subordinate to and including Class J. LB-UBS Commercial Mortgage Trust 2006-C3 S&P lowered its ratings on Classes H and J to 'D (sf)' from LB-UBS Commercial Mortgage Trust 2006-C3 to reflect accumulated interest shortfalls outstanding for 11 months and S&P's expectation that these accumulated interest shortfalls will remain outstanding for the foreseeable future. According to the April 17, 2013, trustee remittance report, the trust experienced monthly interest shortfalls totaling $553,781, primarily due to: -- ASER amounts of $203,972 related to five ($79.5 million, 6.0%) of the 10 specially serviced assets ($177.9 million, 13.4%) with ARA balances totaling $45.3 million. -- Special servicing fees of $37,111. -- A workout fee of $769. -- Shortfalls due to interest rate modification of $5,691. The interest shortfalls were offset by a one-time ASER recovery of $1.4 million for the specially serviced Eastpoint Mall asset ($89.5 million, 6.7%) this month. The current reported interest shortfalls have affected all classes subordinate to and including Class J. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Ratings Lowered Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-C34 Reported Rating Credit Interest shortfalls Class To From enhancement(%) Current Accumulated($) H D (sf) CCC- (sf) 5.54 (55,475) 37,675 J D (sf) CCC- (sf) 4.13 96,184 340,998 K D (sf) CCC- (sf) 3.00 76,950 526,763 L D (sf) CCC- (sf) 2.16 44,926 314,479 M D (sf) CCC- (sf) 1.74 22,465 192,072 LB-UBS Commercial Mortgage Trust 2006-C3 Commercial mortgage pass-through certificates Reported Rating Credit Interest shortfalls Class To From enhancement(%) Current Accumulated ($) H D (sf) CCC-(sf) 4.85 (215,382) 625,172 J D (sf) CCC-(sf) 3.26 107,160 1,157,879 * S&P Lowers 14 Ratings on 2 U.S. CMBS Transactions --------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on 14 classes of commercial mortgage pass-through certificates from two U.S. commercial mortgage-backed securities (CMBS) transactions due to current and potential interest shortfalls. S&P lowered its ratings on 10 of these classes to 'D (sf)' because it expects the accumulated interest shortfalls to remain outstanding for the foreseeable future. The 10 classes that S&P downgraded to 'D (sf)' have had accumulated interest shortfalls outstanding for seven to 12 months. The recurring interest shortfalls for the respective certificates are primarily because of one or more of the following factors: -- Appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets. -- The lack of servicer advancing for loans where the servicer has made nonrecoverable advance declarations. -- Special servicing fees. 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 servicer-nonrecoverable advance declarations and special servicing fees that are likely, in its view, 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. Servicer-nonrecoverable advance declarations can prompt shortfalls due to a lack of debt-service advancing, the recovery of previously made advances being deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. JPMorgan Chase Commercial Mortgage Securities Trust, series 2006- LDP9 S&P lowered its ratings on the Class A-MS, A-JS, B-S, C-S, D, D-S, E, and E-S certificates from JPMorgan Chase Commercial Mortgage Securities Trust's Series 2006-LDP9. S&P lowered its ratings to 'D (sf)' on Classes A-JS, B-S, C-S, D, D-S, E, and E-S to reflect accumulated interest shortfalls outstanding between seven and 10 months. S&P lowered its rating on Class A-MS to reflect accumulated interest shortfalls outstanding for two months and the potential for this class to experience interest shortfalls in the future relating to the specially serviced assets. According to the May 15, 2013, trustee remittance report, the interest shortfalls totaling approximately $2.57 million resulted primarily from: -- ASER amounts ($917,784) related to 18 ($416.9 million, 9.8%) of the 22 assets ($814.6 million, 20.8%) that are currently with the special servicers, CW Capital Asset Management (CWCapital) and LNR Partners LLC (LNR) and two loans ($66.7 million, 1.6%) that were currently with the special servicer and have been returned to the trust. -- Shortfalls due to modified interest rate reductions ($1.35 million). -- Special servicing fees ($178,646). -- An interest reduction because of nonrecoverability determinations ($55,353) for the specially serviced Best Western O'Hare asset. -- Work-out fees ($3,419). The current reported interest shortfalls have affected all classes subordinate to and including Class A-J. As of the May 15, 2013, trustee remittance report, ARAs totaling $352.7 million were in effect for 20 assets. Wachovia Commercial Mortgage Trust, series 2003-C7 S&P lowered its rating on the Class G, H, J, K, L and M certificates from Wachovia Commercial Mortgage Trust Series 2003- C7. S&P lowered its ratings on Classes K, L, and M to 'D (sf)' to reflect accumulated interest shortfalls outstanding for 12 months. S&P lowered its rating on Classes G, H, and J to reflect reduced liquidity support available to these classes and the potential for these classes to experience interest shortfalls in the future. According to the May 15, 2013, trustee remittance report, the interest shortfalls totaling $218,261 included a reimbursement of advances to the servicer ($34,874) related to the Sheridan Office Phases I & II loan, which was modified on March 28, 2012. According to the May trustee remittance report, a balance of $709,388 comprising previous servicer advances remains to be recouped. S&P expects that the master servicer--Wells Fargo Bank N.A.--will recoup the remaining balance by year-end 2013. The remaining interest shortfalls are attributable to ASER amounts ($152,965) related to: -- Two ($67.7 million, 13.7%)loans that are currently with the special servicer, Torchlight Investors LLC. -- Special servicing fees ($19,748). -- Shortfalls due to modified interest rate reductions ($9,900) and workout fees ($773). The current reported interest shortfalls have affected all classes subordinate to and including Class J. As of the May 15, 2013, trustee remittance report, ARAs totaling $33.8 million were in effect for the specially serviced 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 Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LIST Ratings Lowered J.P. Morgan Chase Commercial Mortgage Securities Trust Commercial mortgage pass-through certificates Series 2006-LDP9 Reported Rating Credit Interest shortfalls Class To From enhancement(%) Current Accumulated A-MS B+(sf) BB+(sf) 18.71 0 63,484 A-JS D(sf) CCC-(sf) 8.70 476,899 4,131,490 B-S D(sf) CCC-(sf) 6.41 109,818 1,207,995 C-S D(sf) CCC-(sf) 5.70 34,498 379,482 D D(sf) CCC-(sf) 4.12 231,852 1,118,105 D-S D(sf) CCC-(sf) 4.12 76,458 841,042 E D(sf) CCC-(sf) 2.84 191,402 1,561,269 E-S D(sf) CCC-(sf) 2.84 62,064 692,492 Wachovia Commercial Mortgage Trust Commercial mortgage pass- through certificates series 2003-C7 Reported Rating Credit Interest shortfalls Class To From enhancement(%) Current Accumulated G BBB(sf) A-(sf) 13.06 0 0 H B-(sf) BBB(sf) 9.99 0 0 J CCC-(sf) B+(sf) 7.68 50,221 101,073 K D(sf) CCC+(sf) 6.39 28,065 37,686 L D(sf) CCC(sf) 5.11 28,065 340,552 M D(sf) CCC-(sf) 4.09 22,454 272,653 * S&P Lowers 308 Ratings on 169 U.S. RMBS Deals to 'D' ------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 308 classes of mortgage pass-through certificates from 169 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2009 to 'D(sf)'. The downgrades reflect S&P's assessment of the impact that principal write-downs had on the affected classes during recent remittance periods. Prior to the rating actions, S&P rated two of the lowered classes 'B(sf)' and 'B-(sf)'. S&P previously rated all other lowered classes in this review at 'CCC(sf)' or 'CC(sf)'. Approximately 74.03% of the defaulted classes were from transactions backed by Alternative-A (Alt-A) or prime jumbo mortgage loan collateral. The 308 defaulted classes consist of the following: -- 127 classes from prime jumbo transactions (41.23% of all defaults); -- 101 classes from Alt-A transactions (32.79%); -- 54 from subprime transactions (17.53%); -- 17 from RMBS negative amortization transactions (5.52%); -- Three from reperforming transactions; -- Three from resecuritized real estate mortgage investment conduit (re-REMIC) transactions; -- Two from small balance commercial transactions; and -- One from an outside the guidelines transaction. A combination of subordination, excess spread, and overcollateralization (where applicable) provide credit enhancement for all of the transactions in this review. Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and it will adjust its ratings as it considers appropriate in accordance with 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 * S&P Affirms 8 Ratings from 74 US RMBS Transactions ---------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on 143 classes from 72 U.S. residential mortgage-backed securities (RMBS) transactions. S&P also affirmed its ratings on eight additional classes from three transactions, one of which contained classes that S&P upgraded, and removed them from CreditWatch with negative implications. All but six of these classes are insured by MBIA Insurance Corp. (MBIA). The remaining six classes are resecuritized real estate mortgage investment conduit (re-REMIC) classes that have their underlying classes insured by MBIA. The rating actions follows the May 8, 2013, upgrade of S&P's financial strength rating on MBIA to 'B' from 'CCC'. The outlook on the company is stable. Based on S&P's criteria, the rating on a bond-insured class reflects the higher of the rating on the respective bond insurer or the rating on the class without the bond insurance benefit. Six re-REMIC securities that are not bond-insured were also part of this review because the underlying classes are MBIA bond- insured and the insured payments are passed through to the re- REMIC securities. These classes do not benefit from additional credit enhancement. The underlying collateral for these transactions consists of Alternative-A, prime jumbo, subprime, closed-end second-lien, re- REMIC, and home equity line of credit securities. Standard & Poor's will continue to monitor its ratings on all MBIA-insured U.S. RMBS classes and take further rating actions as we deem appropriate based on S&P's 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 Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com * S&P Puts 3 Ratings on 3 US CDO Transactions on Creditwatch Pos. ----------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on three tranches from 3 U.S. cash flow trust preferred transactions on CreditWatch with positive implications. The affected tranches are from cash flow trust preferred transactions backed by banks and financial institutions. These tranches had an original issuance amount of $5.22 billion. The CreditWatch placement follows the continued pay-downs to the notes that have increased coverage and credit enhancement levels. S&P will resolve the CreditWatch placements after it completes a comprehensive cash flow analysis and committee review for each of the affected transactions. S&P expects to resolve these CreditWatch placements within 90 days. S&P will continue to monitor the CDO transactions we rate and take rating actions, including CreditWatch placements, as it deems appropriate. 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 PLACED ON CREDITWATCH POSITIVE ALESCO Preferred Funding V, Ltd. Rating Class To From Class A-1 Notes B+ (sf)/Watch Pos B+ (sf) MMCapS Funding XVII, Ltd. Rating Class To From Class A-1 Notes B+ (sf)/Watch Pos B+ (sf) U.S. Capital Funding II Ltd Rating Class To From Class A-1 Notes B+ (sf)/Watch Pos B+ (sf) * S&P Puts 102 Ratings on 24 US CLO Transactions on CreditWatch --------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 102 tranches from 22 U.S. collateralized loan obligation (CLO) transactions and two U.S. collateralized debt obligation (CDO) of corporate CLO transactions on CreditWatch with positive implications. The affected tranches are from transactions backed by securities issued by corporate obligors. These tranches had an original issuance amount of $53.38 billion. These transactions that were placed on CreditWatch continue to benefit from deleveraging. All of the 24 transaction ratings placed on CreditWatch have exited their reinvestment period and have commenced the process of pay-down of the notes. The benign credit conditions have also aided in the performance of tranches backed by corporate obligations. The trailing-12-month U.S. corporate speculative-grade default rate was at 2.5% for March 2013. The expectation for the 12-month speculative-grade default rate for March 2014 is 3.3%--substantially lower than the long-term average of 4.5% S&P will resolve CreditWatch placements after it completes a comprehensive cash flow analysis and committee review for each of the affected transactions. S&P expects to resolve these CreditWatch placements within 90 days. S&P will continue to monitor the CDO transactions we rate and take rating actions, including CreditWatch placements, as it deems appropriate. 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 PLACED ON CREDITWATCH POSITIVE AMMC CLO III, Limited Rating Class To From A Notes AA+ (sf)/Watch Pos AA+ (sf) B Revolving Notes A+ (sf)/Watch Pos A+ (sf) C Notes BBB+ (sf)/Watch Pos BBB+ (sf) D Notes B+ (sf)/Watch Pos B+ (sf) AMMC CLO IV Limited Rating Class To From A-1 Notes AA+ (sf)/Watch Pos AA+ (sf) A-3 Notes AA+ (sf)/Watch Pos AA+ (sf) B Notes AA- (sf)/Watch Pos AA- (sf) C Notes A (sf)/Watch Pos A (sf) D Notes B+ (sf)/Watch Pos B+ (sf) Apidos CDO III Ltd Rating Class To From A-1 Notes AA+ (sf)/Watch Pos AA+ (sf) A-2 Notes AA- (sf)/Watch Pos AA- (sf) B Notes BBB+ (sf)/Watch Pos BBB+ (sf) C Notes BB+ (sf)/Watch Pos BB+ (sf) D Notes BB- (sf)/Watch Pos BB- (sf) Avalon Capital Ltd. 3 Rating Class To From B Notes AA+ (sf)/Watch Pos AA+ (sf) C Def Notes A- (sf)/Watch Pos A- (sf) D Def Notes BB+ (sf)/Watch Pos BB+ (sf) Avenue CLO II, Ltd. Rating Class To From A-2L AA+ (sf)/Watch Pos AA+ (sf) A-3L AA- (sf)/Watch Pos AA- (sf) Ballyrock CLO III, Ltd. Rating Class To From A-1 Notes AA+ (sf)/Watch Pos AA+ (sf) A-2 Notes AA+ (sf)/Watch Pos AA+ (sf) B Notes AA+ (sf)/Watch Pos AA+ (sf) C Notes BBB+ (sf)/Watch Pos BBB+ (sf) D Notes B+ (sf)/Watch Pos B+ (sf) Callidus Debt Partners CLO Fund IV, Ltd. Rating Class To From A-1A Notes AA+ (sf)/Watch Pos AA+ (sf) A-1B Notes AA+ (sf)/Watch Pos AA+ (sf) A-2 Notes AA+ (sf)/Watch Pos AA+ (sf) B Notes A+ (sf)/Watch Pos A+ (sf) C Notes BBB (sf)/Watch Pos BBB (sf) D Notes BB (sf)/Watch Pos BB (sf) CoLTS 2007-1 Ltd Rating Class To From C Notes AA+ (sf)/Watch Pos AA+ (sf) D Notes A+ (sf)/Watch Pos A+ (sf) E Notes BB (sf)/Watch Pos BB (sf) Connecticut Valley Structured Credit CDO II Ltd Rating Class To From A-2 Notes BBB (sf)/Watch Pos BBB (sf) Connecticut Valley Structured Credit CDO III, Ltd. Rating Class To From A-1 Notes BBB+ (sf)/Watch Pos BBB+ (sf) A-2 Notes BBB (sf)/Watch Pos BBB (sf) A-3A Notes BB+ (sf)/Watch Pos BB+ (sf) A-3B Notes BB+ (sf)/Watch Pos BB+ (sf) C-1 Notes B (sf)/Watch Pos B (sf) C-2 Notes B (sf)/Watch Pos B (sf) Denali Capital CLO VI, Ltd. Rating Class To From A-1L Notes AA+ (sf)/Watch Pos AA+ (sf) A-1LR Notes AA+ (sf)/Watch Pos AA+ (sf) A-2L Notes A+ (sf)/Watch Pos A+ (sf) A-3L Notes BBB+ (sf)/Watch Pos BBB+ (sf) B-1L Notes BBB- (sf)/Watch Pos BBB- (sf) B-2L Notes B+ (sf)/Watch Pos B+ (sf) Emporia Preferred Funding I Ltd Rating Class To From C Notes AA (sf)/Watch Pos AA (sf) D Notes BBB- (sf)/Watch Pos BBB- (sf) E-1 Notes BB (sf)/Watch Pos BB (sf) E-2 Notes BB (sf)/Watch Pos BB (sf) Flagship CLO IV Rating Class To From A Funded N AA (sf)/Watch Pos AA (sf) A Rev Note AA (sf)/Watch Pos AA (sf) B A- (sf)/Watch Pos A- (sf) C BB+ (sf)/Watch Pos BB+ (sf) D B+ (sf)/Watch Pos B+ (sf) FM Leveraged Capital Fund I Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D B+ (sf)/Watch Pos B+ (sf) Global Leveraged Capital Credit Opportunity Fund I Rating Class To From A Notes AA+ (sf)/Watch Pos AA+ (sf) B Notes A+ (sf)/Watch Pos A+ (sf) C Notes BB+ (sf)/Watch Pos BB+ (sf) D Notes B+ (sf)/Watch Pos B+ (sf) E-1 Notes CCC- (sf)/Watch Pos CCC- (sf) E-2 Notes CCC- (sf)/Watch Pos CCC- (sf) Golub Capital Funding CLO-8 Ltd Rating Class To From A-1 Senior Notes AA+ (sf)/Watch Pos AA+ (sf) A-2 Senior Notes AA- (sf)/Watch Pos AA- (sf) B Deferrab Notes A- (sf)/Watch Pos A- (sf) Hewett's Island CLO III, Ltd. Rating Class To From A-2 AA+ (sf)/Watch Pos AA+ (sf) B-1 AA+ (sf)/Watch Pos AA+ (sf) B-2 A+ (sf)/Watch Pos A+ (sf) C BB+ (sf)/Watch Pos BB+ (sf) Landmark IV CDO Ltd. Rating Class To From A-3L Notes AA+ (sf)/Watch Pos AA+ (sf) B-1L Notes A- (sf)/Watch Pos A- (sf) B-2L Notes B+ (sf)/Watch Pos B+ (sf) LightPoint CLO VIII Ltd Rating Class To From A-1-B Notes AA+ (sf)/Watch Pos AA+ (sf) B Notes AA (sf)/Watch Pos AA (sf) C Notes A (sf)/Watch Pos A (sf) D Notes BBB- (sf)/Watch Pos BBB- (sf) E Notes BB (sf)/Watch Pos BB (sf) Moselle CLO S.A. Rating Class To From A3E A+ (sf)/Watch Pos A+ (sf) A3L A+ (sf)/Watch Pos A+ (sf) B1E BBB+ (sf)/Watch Pos BBB+ (sf) B1L BBB+ (sf)/Watch Pos BBB+ (sf) MSIM Peconic Bay Ltd Rating Class To From A-1-B Notes AA (sf)/Watch Pos AA (sf) B Notes A+ (sf)/Watch Pos A+ (sf) C Notes BBB+ (sf)/Watch Pos BBB+ (sf) D Notes BB+ (sf)/Watch Pos BB+ (sf) E Notes CCC+ (sf)/Watch Pos CCC+ (sf) NACM CLO I Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2 AA (sf)/Watch Pos AA (sf) B A (sf)/Watch Pos A (sf) C BBB (sf)/Watch Pos BBB (sf) D BB (sf)/Watch Pos BB (sf) Navigator CDO 2005 Ltd Rating Class To From B-1 Notes AA+ (sf)/Watch Pos AA+ (sf) B-2 Notes AA+ (sf)/Watch Pos AA+ (sf) C-1 Notes BBB+ (sf)/Watch Pos BBB+ (sf) C-2 Notes BBB+ (sf)/Watch Pos BBB+ (sf) Sargas CLO I Ltd Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2A AA (sf)/Watch Pos AA (sf) A-2B AA (sf)/Watch Pos AA (sf) B A (sf)/Watch Pos A (sf) C BBB (sf)/Watch Pos BBB (sf) D BB (sf)/Watch Pos BB (sf) * S&P Raises Ratings on 14 US Manufactured Housing and Marine ABS ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on 12 classes from 10 Greenpoint-related transactions and one United Companies Funding Corp. (UCFC) manufactured housing transaction. In addition, S&P raised its rating on the certificate class from CIT Marine Trust 1999-A. Each of the ratings are linked to the rating on MBIA Insurance Corp. (MBIA; B/Stable/--). MBIA provides a full financial guarantee insurance policy guaranteeing full principal and interest payments to the noteholders of the upgraded classes. Under S&P's criteria, the issue credit rating on a fully credit-enhanced bond issue is the higher of either the rating on the credit enhancer or Standard & Poor's underlying rating (SPUR) on the class. A SPUR is S&P's opinion of the stand-alone creditworthiness of an obligation; that is, the capacity to pay debt service on a debt issue according to its terms without considering an otherwise applicable bond insurance policy. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS RAISED (Insured by MBIA Insurance Corp.) GreenPoint Credit Manufactured Housing Contract Trust Rating Series Class To From 1998-1 IA B (sf) CCC (sf) 1998-1 IIA B (sf) CCC (sf) 1999-1 A-5 B (sf) CCC (sf) 1999-2 A-2 B (sf) CCC (sf) 1999-3 IA-7 B (sf) CCC (sf) 1999-3 IIA-2 B (sf) CCC (sf) GreenPoint Credit Manuf Hsg Contract Trust Rating Series Class To From 1999-4 A-2 B (sf) CCC (sf) Manufactured Housing Contract Trust Rating Series Class To From 1999-6 A-2 B (sf) CCC (sf) GreenPoint Credit Manufactured Hsg Contract Trust Rating Series Class To From 2000-2 A-2 B (sf) CCC (sf) Manufactured Housing Contract Trust Pass-Thru Cert Rating Series Class To From 2000-3 IIA-2 B (sf) CCC (sf) 2000-5 A-3 B (sf) CCC (sf) 2000-7 A-2 B (sf) CCC (sf) United Companies Funding Corp. Rating Series Class To From 1996-2 A-1 B (sf) CCC (sf) CIT Marine Trust Rating Series Class To From 1999-A Certs B (sf) CCC+ (sf) ********* 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, 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 ***