/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/130922.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, September 22, 2013, Vol. 17, No. 263 Headlines ABFC 2003-OPT1: Moody's Confirms Ratings on Three RMBS Classes ABFS MORTGAGE: Moody's Takes Action on $25MM of Subprime RMBS ACCESS GROUP 2004-2: S&P Lowers Rating on Class A-2 Notes to B ACCESS TO LOANS: Fitch Cuts Ratings on 17 Note Classes to 'B-' ACCREDITED MORTGAGE: Moody's Confirms Ratings on $195MM RMBS Deals AIR CANADA 2013-1: Fitch Affirms 'BB-' Rating on Class C Certs. ALM VII(R): S&P Assigns 'BB-' Rating to Class D Notes ALM VII(R)-2: S&P Assigns 'BB-' Rating to Class D Notes AMAC CDO I: Moody's Affirms 'Ca' Ratings on 3 Note Classes AMERICAN HOME: Moody's Takes Action on $2BB Secs Issued 2006-2007 AMERICAN HOME 2006-4: Moody's Cuts Rating on II-A-1 Secs. to Caa3 ARBOR REALTY 2004-1: Fitch Affirms 'CCC' Ratings on 2 Note Classes ARBOR REALTY 2004-1: Moody's Affirms Caa3 Rating on Cl. D Notes ARBOR REALTY 2005-1: Fitch Affirms 'CCC' Ratings on 4 Note Classes ARCAP 2004-1: Fitch Affirms 'C' Ratings on Class G to K Notes ARES VR: S&P Raises Rating on Class D Notes From 'BB-' ARGENT SECURITIES 2003-W2: Moody's Cuts Rating on M-3 Notes to B1 ARROYO CDO I: Moody's Upgrades Two Note Classes to Caa2 BALLYROCK CLO 2006-2: S&P Raises Rating on Class E Notes to 'BB+' BOCA HOTEL: Fitch Expects to Rate $77MM Class D Certs 'BB+' BOCA HOTEL: S&P Assigns Prelim. 'BB' Rating on Class E Notes CAPTEC FRANCHISE: Fitch Affirms 'D' Ratings on 5 Note Classes CEDAR FUNDING II: S&P Affirms 'BB' Rating on Class E Notes CGBAM 2013-BREH: Rights Transfer No Impact on Moody's Ratings CGMT 2013-GC15- DBRS Assigns BB Rating to Class E Certificates CIFC FUNDING 2013-III: S&P Assigns 'BB' Rating to Class D Notes CITIGROUP COMMERCIAL 2012-GC8: Fitch Affirms B Rating on F Certs COBALT CMBS 2006-C1: Fitch Affirms 'D' Rating on Class D Certs. COMM 2003-LNB1: Rockefeller Loan Defeasance No Impact on Ratings COMM 2004-LNB3: Moody's Cuts Rating on Class H Certs to 'Csf' COMM 2005-C6: Moody's Hikes Rating on Class E Certs to 'Caa2' COMM 2005-FL11: Moody's Cuts Rating on 2 CMBS Tranches to 'Caa3' COMM 2013-LC13: S&P Assigns Prelim. 'BB-' Rating on Class E Notes COMM 2013-THL: Moody's Assigns B1 Rating to Cl. F Certificates CONCORD REAL 2006-1: Moody's Affirms Caa3 Rating on Cl. L Notes CONTINENTAL AIRLINES 2012-3: Fitch Affirms BB- Cl. C Cert. Rating CREDIT SUISSE 2004-C1: Moody's Affirms C Rating on 2 Certificates CREDIT SUISSE 2005-C5: Fitch Cuts Ratings on Class G Certs. to CCC CREST EXETER: Fitch Cuts Ratings on 2 Note Classes to 'C' ELEMENT EQUIPMENT: S&P Assigns 'BB' Rating on Class C Notes EXETER AUTOMOBILE 2013-2: DBRS Assigns BB Rating to Class D Notes EXETER AUTOMOBILE 2013-2: S&P Assigns 'BB' Rating on Class D Notes FIRST UNION 2001-C4: S&P Raises Rating on Class O Notes to 'B+' FIRST UNION 2001-C2: S&P Lowers Rating on Class N Notes to 'B-' FREMF 2011-K703: Moody's Affirms 'Ba3' Rating on Cl. X-2 Certs FREMF 2011-K704: Moody's Affirms 'Ba3' Rating on Class X2 Secs. FREMF MORTGAGE 2012-KF01: Moody's Affirms Ba3 Rating for X Certs G-FORCE CDO 2006-1: Fitch Affirms 'D' Ratings on 4 Note Classes GE COMMERCIAL 2004-C1: Moody's Affirms C Rating on Cl. O Certs GOLDMAN SACHS 2006-GG8: Rights Transfer No Impact on Ratings GRAMERCY REAL 2007-1: Moody's Hikes Rating on Cl. A-2 Notes to B3 HIGHBRIDGE LOAN 2013-2: S&P Assigns 'BB' Rating on Class D Notes JP MORGAN 2004-PNC1: Fitch Affirms 'D' Rating on Class H Certs. JP MORGAN 2005-LDP2: Moody's Affirms C Ratings on 2 Certs JP MORGAN 2006-CIBC16: Moody's Cuts Rating on Cl. C Certs to Caa3 JP MORGAN 2007-C1: Moody's Affirms C Ratings on 10 Certs JP MORGAN 2007-CIBC20: Moody's Affirms C Ratings on 3 Certs JP MORGAN 2012-PHH: Moody's Affirms Ba1 Rating on Class E Notes LEAF RECEIVABLES 2013-1: Moody's Rates Cl. E-2 Notes '(P)Ba2sf' KEYCORP STUDENT 2006-A: Fitch Affirms 'CC' Jr. Sub. Notes Rating LAKESIDE CDO II: Moody's Lifts Rating on $1BB Notes to 'Caa2' LATITUDE CLO I: S&P Raises Rating on Class C Notes to 'B+' LB COMMERCIAL 1998-C4: Moody's Lifts Rating on Cl. J Notes to Ba1 LB-UBS COMMERCIAL 2004-C2: Moody's Cuts Cl. K Certs Rating to C LB-UBS COMMERCIAL 2006-C4: Moody's Affirms C Ratings on 5 Certs LB-UBS COMMERCIAL 2007-C2: Fitch Affirms 'D' Rating on A-J Certs LB-UBS MORTGAGE 2005-C2: Moody's Affirms C Ratings on 4 Certs LEHMAN MORTGAGE 2008-4: Moody's Cuts Cl. A1 Notes Rating to Caa3 MADISON PARK III: Moody's Affirms Ba2 Rating on Class D Notes MARATHON CLO II: Moody's Hikes Rating on $12MM Cl. D Notes to Ba1 MERRILL LYNCH 2005-CANADA 15: Moody's Affirms L Certs' Caa2 Rating MORGAN STANLEY: Moody's Affirms Caa3 Rating on $4MM Cl. E Notes MORGAN STANLEY 2000-PRIN: Moody's Affirms Ba3 Rating on X Secs. MORGAN STANLEY 2004-4: Moody's Hikes Rating on 5 RMBS Secs. to Ba1 MORGAN STANLEY 2006-35: Moody's Hikes Rating on $75MM Notes to B3 NORTHWOODS CAPITAL: S&P Assigns Prelim 'BB-' Rating on Cl. E Notes NOVASTAR MORTGAGE: Moody's Raises Ratings on 2 Transactions OHA LOAN 2012-1: S&P Affirms 'BB' Rating on Class E Notes PALMER SQUARE 2013-2: S&P Assigns 'BB' Rating on Class D Notes PEGASUS 2006-1: Moody's Affirms 'Ba1' Rating on Class A1 Notes PEGASUS 2007-1: Moody's Cuts Rating on Class A-1 Notes to 'B2' PREFERRED TERM XI: Moody's Raises Ratings on 3 Notes to 'Caa3' PREFERRED TERM XIII: Moody's Hikes Rating on 3 Notes to Caa3 PREFERRED TERM XXV: Moody's Lifts Ratings on 2 Notes to 'Ca' RALI TRUST: Moody's Takes Action on $1BB RMBS Issued 2006 to 2007 ROCK 2001-C1: Moody's Lowers Rating on Class X2 Notes to 'Caa3' SAGAMORE CLO: Moody's Hikes $3MM Class D Junior Notes to 'Caa3' SALOMON BROTHERS 2001-C1: S&P Ups Rating on Cl. H Certs to 'B-' SALOMON BROTHERS 2001-C2: S&P Affirms 'B+' Rating on Class J Certs SATURNS SEARS 2003-1: Moody's Cuts Rating on $47MM Secs. to Caa2 SCHOONER TRUST 2004-CCF1: Moody's Affirms Ba3 Rating on 2 Certs SHELLPOINT ASSET: S&P Assigns Prelim. BB Rating on Class B-4 Notes SECURITY NATIONAL 2002-2: Moody's Cuts Ratings on 2 RMBS Classes SORIN REAL IV: Moody's Affirms 'C' Ratings on 4 Note Classes SUMMIT LAKE: Moody's Confirms $14.5MM Ba2 Rating on B-2L Notes SYMPHONY CLO II: Moody's Affirms Ba3 Rating on $14MM Class D Notes TRIMARAN CLO IV: Moody's Hikes Rating on Cl. B-2L Notes to Ba1 WACHOVIA BANK 2007-C32: S&P Cuts Ratings on Cl. E & F Certs to 'D' WASATCH CLO: Moody's Hikes Rating on Class C Notes to 'Ba2' WELLS FARGO 2010-C1: Fitch Affirms 'B' Rating on Class F Certs. WELLS FARGO 2012-LC5: Fitch Affirms 'B' Rating on Class F Certs * Fitch: Bank TruPS CDOs Combined Default & Deferral Rate Stable * Fitch: US Timeshare ABS Delinquencies Dips to Lowest in 5 Years * Fitch Notes Tame August for U.S. CMBS Delinquencies * Moody's Takes Action on $628MM of RMBS Issued 2005 to 2008 * Moody's Takes Action on $206MM Housing Loans Issued 1995-2006 * Moody's Takes Action on $378MM of RMBS from Lehman and IndyMac * Moody's Takes Action on $399MM RMBS Tranches from Five Issuers ********* ABFC 2003-OPT1: Moody's Confirms Ratings on Three RMBS Classes -------------------------------------------------------------- Moody's Investors Service has confirmed the ratings of three tranches from ABFC 2003-OPT1 Trust, backed by Subprime mortgage loans Complete rating actions are as follows: Issuer: ABFC 2003-OPT1 Trust Cl. A-1A, Confirmed at Ba3 (sf); previously on Jun 14, 2013 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. A-3, Confirmed at Baa3 (sf); previously on Jun 14, 2013 Baa3 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Confirmed at Caa1 (sf); previously on Jun 14, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The rating actions also reflect the late recognition of losses related to principal forbearance modifications that Homeward undertook before July 2012 for this transaction. Homeward Residential Inc. had serviced the transaction until Ocwen Loan Servicing acquired Homeward in December 2012. Previously, on June 14, 2013 , following Ocwen's announcement of the loss recognition, Moody's had placed these tranches on review for downgrade. The rating action on the bonds concludes this review. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in June 2013. The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.1% in August 2012 to 7.3% in August 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for 2013. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. ABFS MORTGAGE: Moody's Takes Action on $25MM of Subprime RMBS ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches and confirmed the underlying ratings of two other tranches from four transactions issued by ABFS Mortgage Loan Trust, backed by subprime mortgage loans. Complete rating actions are as follows: Issuer: ABFS Mortgage Loan Trust 2000-1 Cl. A-1, Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Underlying Rating: Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: ABFS Mortgage Loan Trust 2000-4 Cl. A, Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Underlying Rating: Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: ABFS Mortgage Loan Trust 2001-1 Cl. A-1, Current Rating B3 (sf); previously on May 22, 2013 Upgraded to B3 (sf) Underlying Rating: Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3, Outlook Positive on May 21, 2013) Issuer: ABFS Mortgage Loan Trust 2001-4, Mortgage-Backed Notes, Series 2001-4 Cl. A, Current Rating B3 (sf); previously on May 22, 2013 Upgraded to B3 (sf) Underlying Rating: Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3, Outlook Positive on May 21, 2013) Ratings Rationale: The rating actions reflect the recent performance of the underlying pools and Moody's updated expected losses on the pools. The rating actions also reflect correction of errors in the Structured Finance Workstation (SFW) cash flow models previously used by Moody's in rating these transactions. The cash flow models used in previous rating actions for these transactions incorrectly applied separate interest and principal waterfalls. In the impacted deals, all collected principal and interest is commingled into one payment waterfall to pay all interest due on the bonds first, and then pay principal. Due to the discovery of these errors, these tranches were placed on review on May 14, 2013. The errors have now been corrected, and these rating actions reflect the changes. The methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.1% in August 2012 to 7.3% in August 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for 2013. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. ACCESS GROUP 2004-2: S&P Lowers Rating on Class A-2 Notes to B -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its 'AA+ (sf)' rating on the class A-2 notes from Access Group Inc.'s series 2004-2 to 'B (sf)' from 'AA+ (sf)' and placed it on CreditWatch with negative implications. S&P also placed the 'A (sf)' rating on the class B notes from the same transaction on CreditWatch with negative implications. The lowered rating on the class A-2 notes reflects the likelihood that this class will not receive full and timely principal at its legal maturity date of Jan. 25, 2016. In contrast to the class A-2 notes, the ratings on the class A-3, A-4, and A-5 notes are unaffected, as their legal maturity dates are longer dated (2024, 2032, and 2043, respectively). Aside from the shorter maturity date, S&P believes a number of secondary factors contribute to the risk of non-payment of this class, including: the rate at which the student loan collateral pool is amortizing, the transaction's cash releasing structure at 101% total parity (transaction has been releasing since April 2009), and the pro rata payment of principal to the class B notes after the step-down date (October 2012). The CreditWatch placement on the class B notes reflects S&P's view that the non-payment of the class A-2 note principal at its legal maturity raises the risk that the class B notes could experience an interest shortfall concurrently. According to the transaction's payment waterfall, if a senior class of notes has an outstanding balance on its respective maturity date, then the transaction will make the necessary principal payments to the respective class of senior notes (in this case, class A-2) before making any interest payments due to the class B notes. The funds that would otherwise be available to pay the class B note interest could be allocated to pay principal to the class A-2 notes. S&P expects to resolve the CreditWatch placements within the next 90 days. Upon the conclusion of further analysis and scenario testing around the class A-2 and B note payment prospects, S&P will then take any further rating actions it considers 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 Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING ACTIONS Access Group Inc. Floating-rate student loan asset-backed notes series 2004-2 Rating Rating To From A-2 B (sf)/Watch Neg AA+(sf) ACCESS TO LOANS: Fitch Cuts Ratings on 17 Note Classes to 'B-' -------------------------------------------------------------- Fitch Ratings has downgraded the senior and subordinate notes for Access to Loans for Learning Student Loan Corp - 1998 Master Trust IV (ALL SLC 1998). The notes were removed from Rating Watch Negative and assigned a Negative Rating Outlook. Fitch used its 'Global Structured Finance Rating Criteria' and 'U.S. FFFELP Student Loan ABS Criteria' to review the transaction. Key Rating Drivers The downgrade on the senior and subordinate notes reflects insufficient credit enhancement to support the current ratings. CE consists of excess spread and overcollateralization. Furthermore, senior notes benefit from additional credit enhancement provided by the subordinate notes. On May 17, 2013, Fitch updated its FFELP student loan ABS criteria to include a new surveillance analytical tool. Based on its updated criteria, Fitch has determined that the notes do not have sufficient enhancement to support the current ratings at their release levels of 110% for senior parity and 102% for total parity. The main driver of the downgrades is due to interest rate risk embedded in the tax-exempt auction rate securities which make up approximately 28% of the outstanding notes, in addition to the 56% that are taxable auction rate securities, which are paying interest at a contractually determined maximum rate due to failed auctions. All notes do not benefit from a net loan rate and as such interest rates can increase to maximum rates of 14% to 17%. Fitch analyzed the current interest rates on the bonds in addition to the effect on the trust if the interest rates on the bonds were to increase to the maximum rates applying the LIBOR up interest rate stresses. In both scenarios, the bond's coupon will increase enough to compress excess spread and erode parity. Fitch applied qualitative adjustments to the ratings in order to account for long maturity horizon that leaves some limited upside potential (such as favorable rate environment or successful auction). Rating Sensitivities Since FFELP student loan ABS rely on the U.S. government to reimburse defaults, 'AAAsf' FFELP ABS ratings will likely move in tandem with the 'AAA' U.S. sovereign rating. Aside from the U.S. sovereign rating, defaults, interest and basis risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults, interest and basis shock beyond Fitch's published stresses could result in future downgrades. Likewise, a buildup of credit enhancement driven by positive excess spread given favorable interest rate and basis factor conditions could lead to future upgrades. Fitch has taken the following rating actions: Access to Loans for Learning Student Loan Corp - 1998 Master Trust IV Senior Class Notes -- Series 2000 Class A-3 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2002 Class A-4 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2002 Class A-5 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2003-1 Class A-7 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2003-1 Class A-8 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2003-1 Class A-9 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2003-1 Class A-10 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2003-2 Class A-11 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2003-2 Class A-12 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2004 Class A-13 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2007 Class IV-A-14 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2007 Class IV-A-15 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2007 Class IV-A-16 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2007 Class IV-A-17 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2007 Class IV-A-18 downgraded to 'B-sf' from 'BBBsf'; Removed from Rating Watch Negative and placed on Outlook Negative. Access to Loans for Learning Student Loan Corp - 1998 Master Trust IV Senior Class Notes Subordinate Class Notes -- Series 1998 Class C-1 downgraded to 'B-sf' from 'Bsf'; Removed from Rating Watch Negative and placed on Outlook Negative; -- Series 2003-1 Class C-2 downgraded to 'B-sf' from 'Bsf'; Removed from Rating Watch Negative and placed on Outlook Negative. ACCREDITED MORTGAGE: Moody's Confirms Ratings on $195MM RMBS Deals ------------------------------------------------------------------ Moody's Investors Service has confirmed the ratings of 14 tranches from seven transactions backed by subprime mortgage loans issued by Accredited Mortgage Loan Trust. Complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2002-1 Cl. A-1, Confirmed at Ba1 (sf); previously on May 14, 2013 Ba1 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Confirmed at A3 (sf); previously on May 14, 2013 A3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2002-2 Cl. A-1, Confirmed at Caa1 (sf); previously on May 14, 2013 Caa1 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Confirmed at Ba3 (sf); previously on May 14, 2013 Ba3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-3, Confirmed at A2 (sf); previously on May 14, 2013 A2 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2003-1 Cl. A-1, Confirmed at Caa1 (sf); previously on May 14, 2013 Caa1 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2003-2, Asset-Backed Notes, Series 2003-2 Cl. A-1, Confirmed at B3 (sf); previously on May 14, 2013 B3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Confirmed at Ba3 (sf); previously on May 14, 2013 Ba3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2003-3, Asset-Backed Notes, Series 2003-3 Cl. A-1, Confirmed at B3 (sf); previously on May 14, 2013 B3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2004-1, Asset-Backed Notes, Series 2004-1 Cl. A-1, Confirmed at B2 (sf); previously on May 14, 2013 B2 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Confirmed at B3 (sf); previously on May 14, 2013 B3 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Accredited Mortgage Loan Trust 2004-2, Asset-Backed Notes, Series 2004-2 Cl. A-1, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Underlying Rating: Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-2, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Underlying Rating: Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Ratings Rationale: The rating actions reflect the recent performance of the underlying pools and Moody's updated expected losses on the pools. In addition, the rating actions reflect correction of errors in the Structured Finance Workstation (SFW) cash flow models previously used by Moody's in rating these transactions. For all of the transactions, the pooling and servicing agreements state that principal and interest collections are commingled first and then used to make payments on the bonds. However, the cash flow models used in prior rating actions incorrectly applied separate interest and principal waterfalls. Due to the discovery of this error, these tranches were placed on watch on May 14, 2013. In addition, the cross-collateralization and allocation of losses were incorrectly coded in the cash flow models used for the previous rating actions. The errors have now been corrected, and these rating actions reflect these changes. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.1% in August 2012 to 7.3% in August 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for 2013. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. AIR CANADA 2013-1: Fitch Affirms 'BB-' Rating on Class C Certs. --------------------------------------------------------------- Fitch Ratings has updated the ratings for multiple enhanced equipment trust certificates (EETC) subordinated tranches to reflect the updated ratings criteria which was published on Sept. 12, 2013. The following ratings have been affirmed: Air Canada 2013-1 Pass Through Trust: -- Class B certificates at 'BB+'; -- Class C certificates at 'BB-'. Hawaiian Airlines 2013-1 Pass Through Trust: -- Class B certificates at 'BB'. US Airways 2012-1 Pass Through Trust: -- Class B certificates at 'BB+'. US Airways 2012-2 Pass Through Trust: -- Class B certificates at 'BB+'. US Airways 2013-1 Pass Through Trust: -- Class B certificates at 'BB+'. United Airlines Pass Through Trust Series 2013-1 -- Class B certificates at 'BB+'. Based on the application of Fitch's updated criteria, the following rating has been upgraded: British Airways Pass Through Trust Series 2013-1 -- Class B certificates to 'BBB' from 'BBB-'. Rationale: The one notch upgrade reflects Fitch's expectation that the British Airways 2013-1 B tranche would receive superior recovery in a potential liquidation scenario. Based on the application of Fitch's updated criteria, the following ratings have been downgraded: US Airways 2012-1 Pass Through Trust: -- Class C certificates to 'B+' from 'BB-'. US Airways 2012-2 Pass Through Trust -- Class C certificates to 'B+' from 'BB-'. The one notch downgrade of the US Airways C tranches reflects a recalibration of Fitch's ratings based on the newly incorporated recovery component of the subordinated tranche methodology. In a potential liquidation scenario where the aircraft are rejected and repossessed, Fitch expects the C-tranche holders would experience minimal recovery. Notching for these two tranches now consists of a +2 notch adjustment for a high-to-moderate affirmation factor and a -2 notch adjustment based on expected recovery, and the ratings are now equal to US Airways' IDR of 'B+'. The update to the criteria does not impact Fitch's view on the underlying credit quality of US Airways. US Airways' IDR remains 'B+', Outlook Positive. Criteria Update: Fitch's revised methodology incorporates a recovery component into the subordinated tranche ratings process and breaks up the prior maximum four notch uplift from the affirmation factor into two components, including the presence of a liquidity facility. Ratings are assigned through a three step approach: 1) Between 0-3 notches of uplift are applied based on the affirmation factor (i.e. the likelihood that the airline will affirm the aircraft in a bankruptcy scenario). 2) One notch of uplift is assigned for the inclusion of a liquidity facility. In most cases, EETC B tranches will include a liquidity facility, whereas C tranches will not. 3) Fitch then incorporates a recovery analysis. For B tranches, Fitch may choose to assign one additional notch of uplift (for a maximum potential of 5 notches from the underlying IDR) in cases where the expected recovery is well above average compared to similar transactions. For C tranches, Fitch generally expects recovery to be minimal. Therefore, Fitch will generally adjust the ratings downward by 1-2 notches based on Fitch's Corporates recovery criteria. ALM VII(R): S&P Assigns 'BB-' Rating to Class D Notes ----------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to ALM VII(R) Ltd./ALM VII(R) LLC's $777.1 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of zroadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread) and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- The timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.2676% to 12.8655%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test during the reinvestment period, a failure of which will lead to the reclassification of up to 50% of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, subordinated hedge payments, collateral manager subordinated fees, supplemental reserve account deposits, and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1699.pdf RATINGS ASSIGNED ALM VII(R) Ltd./ALM VII(R) LLC Class Rating Amount (mil. $) A-1 AAA (sf) 498.850 A-2 AA (sf) 95.950 B (deferrable) A (sf) 77.100 C (deferrable) BBB- (sf) 55.050 D (deferrable) BB- (sf) 25.775 E (deferrable) B (sf) 24.375 Subordinated notes NR 80.000 NR-Not rated. ALM VII(R)-2: S&P Assigns 'BB-' Rating to Class D Notes ------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to ALM VII(R)-2 Ltd./ALM VII(R)-2 LLC's $846.125 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread) and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- The timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.2676% to 12.8655%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test during the reinvestment period, a failure of which will lead to the reclassification of up to 50% of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, subordinated hedge payments, collateral manager subordinated fees, supplemental reserve account deposits, and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1702.pdf RATINGS ASSIGNED ALM VII(R)-2 Ltd./ALM VII(R)-2 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 543.175 A-2 AA (sf) 104.475 B (deferrable) A (sf) 83.950 C (deferrable) BBB- (sf) 59.950 D (deferrable) BB- (sf) 28.050 E (deferrable) B (sf) 26.525 Subordinated notes NR 86.175 NR-Not rated. AMAC CDO I: Moody's Affirms 'Ca' Ratings on 3 Note Classes ---------------------------------------------------------- Moody's has affirmed the ratings of eight classes of Notes issued by AMAC CDO Funding I 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. A-1, Affirmed A2 (sf); previously on Nov 17, 2010 Downgraded to A2 (sf) Cl. A-2, Affirmed Ba3 (sf); previously on Nov 17, 2010 Downgraded to Ba3 (sf) Cl. B, Affirmed B3 (sf); previously on Nov 17, 2010 Downgraded to B3 (sf) Cl. C, Affirmed Caa3 (sf); previously on Nov 17, 2010 Downgraded to Caa3 (sf) Cl. D-1, Affirmed Ca (sf); previously on Nov 17, 2010 Downgraded to Ca (sf) Cl. D-2, Affirmed Ca (sf); previously on Nov 17, 2010 Downgraded to Ca (sf) Cl. E, Affirmed Ca (sf); previously on Nov 17, 2010 Downgraded to Ca (sf) Cl. F, Affirmed C (sf); previously on Nov 17, 2010 Downgraded to C (sf) Ratings Rationale: AMAC CDO Funding I is a static (the reinvestment period ended in November, 2011) cash transaction backed by a portfolio of: i) whole loans and senior participations in whole loans (94.8% of the pool balance); ii) B-Note debt (3.5%); and iii) mezzanine loan interests (1.7%). As of the August 20, 2013 trustee report, the aggregate note balance of the transaction, including preferred shares, has decreased to $320.4 million from $400 million at issuance, with the principal paydown directed to the senior most outstanding class of notes. The paydowns are a result of regular amortization of collateral and the failure of certain par value tests. There are no assets that are considered impaired interests as of the August 20, 2013 trustee report, the same as at last review. 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 4,009 (compared to 4,153 at last review). The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (0.9% compared to 0.8% at last review), Baa1-Baa3 (7.3% compared to 0.0% at last review), Ba1-Ba3 (6.0% compared to 15.0% at last review), B1-B3 (25.8% compared to 20.0% at last review), and Caa1-C (60.0% compared to 64.2% at last review). Moody's modeled a WAL of 2.9 years, compared to 3.4 years 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 55.2%, compared to 54.4% at last review. Moody's modeled a MAC of 29.3%, compared to 29.1% 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 55.2% to 50.2% or up to 60.2% would result in a rating movement on the rated tranches of 0 to 2 notches downward and 0 to 2 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 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. AMERICAN HOME: Moody's Takes Action on $2BB Secs Issued 2006-2007 ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 11 tranches and confirmed the ratings of six tranches from six transactions, backed by Option ARM RMBS loans, issued by American Home Mortgage. Complete rating actions are as follows: Issuer: American Home Mortgage Assets Trust 2006-5 Cl. A-1, Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: American Home Mortgage Assets Trust 2007-1 Cl. A-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: American Home Mortgage Investment Tr 2006-3 Cl. I-1A-1, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Cl. I-2A-1, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Cl. III-A-1, Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: American Home Mortgage Investment Trust 2006-1 Cl. I-1A-1, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Cl. I-2A-1, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Issuer: American Home Mortgage Investment Trust 2006-2 Cl. II-A-1B, Downgraded to Ca (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Cl. II-A-1C, Downgraded to Ca (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Cl. III-A-1, Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. III-A-2, Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. III-A-3, Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. III-A-4, Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. III-A-5, Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: American Home Mortgage Investment Trust 2007-2 Cl. I-1A-1, Downgraded to Caa3 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain Cl. I-2A-1, Downgraded to Ca (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. I-3A-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Ratings Rationale: These actions reflect recent performance of the underlying pools and Moody's updated loss expectations on the pools. These rating actions consist of 11 downgrades and six confirmations. The actions also reflect the correction of an error in the Structured Finance Workstation (SFW) cash flow models used by Moody's in rating these transactions, specifically in how the models handle principal and interest allocation. The cash flow models used in past rating actions incorrectly used separate interest and principal waterfalls. However, the pooling and servicing agreements for these transactions provide that all collected principal and interest is commingled into one payment waterfall to pay all promised interest due on bonds first, and then to pay scheduled principal. Due to the discovery of this error, these tranches were placed on review on May 14, 2013. The errors have been corrected, and these rating actions take into account the correct interest and principal waterfall. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. 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 August 2012 to 7.3% in August 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. AMERICAN HOME 2006-4: Moody's Cuts Rating on II-A-1 Secs. to Caa3 ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one tranche from one transaction, backed by Option ARM RMBS loans, issued by American Home Mortgage Assets Trust 2006-4. Complete rating actions are as follows: Issuer: American Home Mortgage Assets Trust 2006-4 Cl. II-A-1, Downgraded to Caa3 (sf); previously on May 14, 2013 Caa1 (sf) Placed Under Review Direction Uncertain Ratings Rationale: These actions reflect recent performance of the underlying pool and Moody's updated loss expectations on the pool. The action also reflects the correction of an error in the Structured Finance Workstation (SFW) cash flow model used by Moody's in rating this transaction, specifically in how the model handles principal and interest allocation. The cash flow model used in past rating actions incorrectly used separate interest and principal waterfalls. However, the pooling and servicing agreements for this transaction provides that all collected principal and interest is commingled into one payment waterfall to pay all promised interest due on bonds first, and then to pay scheduled principal. Due to the discovery of this error, the Cl. II-A-1 tranche was placed on review on May 14, 2013. The error has been corrected, and the rating action takes into account the correct interest and principal waterfall. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in June 2013. 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 August 2012 to 7.3% in August 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. ARBOR REALTY 2004-1: Fitch Affirms 'CCC' Ratings on 2 Note Classes ------------------------------------------------------------------ Fitch Ratings has affirmed all rated classes of Arbor Realty Mortgage Securities Series 2004-1, Ltd. / LLC (ARMSS 2004-1) reflecting Fitch's base case loss expectation of 61.6%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. Key Rating Drivers ARMSS 2004-1 is a CRE collateralized debt obligation (CDO) managed by Arbor Realty Collateral Management, LLC (Arbor). As of the July 2013 trustee report and per Fitch categorizations, the CDO was substantially invested as follows: B-notes (55%), whole loans/A- notes (21%), preferred equity (15%), mezzanine debt (8%), and cash (2%). Approximately 11.7% of the pool is currently defaulted while a further 51.7% are considered Loans of Concern. Fitch expects significant losses on many of the assets as they are highly leveraged subordinate positions. The CDO exited its reinvestment period in April 2009. Total paydown to class A-1 from loan payoffs scheduled amortization and asset sales since last review was minimal at $9.8 million. Realized losses totaled more than $15 million over the same period. The CDO is currently under collateralized by approximately $23 million. As of the July 2013 trustee report, all par value and interest coverage test were in compliance. Under Fitch's methodology, approximately 89.7% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 6.4% from, generally, year-end 2012 or trailing 12 months 1Q 2013. Recoveries are below average at 31.3% due to the high percentage of subordinate debt. The largest component of Fitch's base case loss expectation is a preferred equity position (13.1% of the pool) on an over 150 property multifamily property portfolio located across nine states. As of Dec. 31, 2012, occupancy was 85%. In early 2013, the senior debt was modified into an A/B note structure and transferred out of special servicing. Fitch modeled a full loss in its base case scenario on this overleveraged position. The next largest component of Fitch's base case loss expectation is related to an A-note and B-note (10.9%) secured by a portfolio of five full and limited service hotels located in Daytona Beach, FL. The portfolio was previously in bankruptcy, and an Arbor affiliate took title to the properties in February 2011. While new management has been installed at the properties, it is expected to take time for performance at all five properties to stabilize. A sixth poorly performing hotel was sold in December 2012 with proceeds applied to the senior debt. Fitch modeled a term default and a substantial loss on these loan interests in its base case scenario. The transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The breakeven rates for classes A and B are generally consistent with the ratings listed below. The Stable Outlook on class A generally reflects the class's seniority in the capital stack and expectation of continued further paydown over the near term. The Negative Outlook to class B reflects the potential for further negative credit migration of the underlying collateral. The ratings for classes C and D are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each classes credit enhancement. Rating Sensitivities If the collateral continues to repay at or near par, classes may be upgraded. The junior classes are subject to further downgrade should realized losses begin to increase. Fitch affirms the following classes: -- $65.5 million class A at 'BBBsf'; Outlook Stable; -- $51.6 million class B at 'Bsf'; Outlook Negative; -- $27.6 million class C at 'CCCsf'; RE 10%; -- $11.2 million class D at 'CCCsf'; RE 0%. ARBOR REALTY 2004-1: Moody's Affirms Caa3 Rating on Cl. D Notes --------------------------------------------------------------- Moody's has affirmed the ratings of four classes of notes issued by Arbor Realty Mortgage Securities Series 2004-1. The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. Moody's rating action is as follows: Cl. A, Affirmed A1 (sf); previously on Dec 1, 2010 Downgraded to A1 (sf) Cl. B, Affirmed Ba2 (sf); previously on Dec 1, 2010 Downgraded to Ba2 (sf) Cl. C, Affirmed Caa2 (sf); previously on Dec 1, 2010 Downgraded to Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Dec 1, 2010 Downgraded to Caa3 (sf) Ratings Rationale: Arbor Realty Mortgage Securities Series 2004-1 is a currently static (reinvestment period ended in April 2009) cash transaction backed by a portfolio of b-note debt (39.5% of the pool balance); whole loans and a-notes (37.3%); and mezzanine loan interests (23.2%). As of the August 30, 2013 Trustee report, the aggregate note balance of the transaction, including preferred shares, has decreased to $319.6 million from $469.0 million at issuance, with the paydown currently directed to the senior most outstanding class on notes. The Class C and Class D note balances are lower than issuance as a result of a "turbo" feature that was active during the transaction reinvestment period. There are seven assets with a par balance of $36.7 million (12.6% of the current pool balance) that are considered defaulted securities as of the August 30, 2013 Trustee report. While there have been realized losses on the underlying collateral to date, Moody's does expect moderate losses to occur on the 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 7,919 compared to 8,177 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (0.0% compared to 0.5% at last review), Ba1-Ba3 (0.0% compared to 1.1% at last review), B1-B3 (7.1% compared to 6.8% at last review), and Caa1-C (92.9% compared to 91.6% at last review). Moody's modeled a WAL of 2.1 years compared to 2.7 years at last review. The current WAL is based on the assumption about extensions on the underlying collateral. Moody's modeled a fixed WARR of 19.4% compared to 21.7% at last review. Moody's modeled a MAC of 99.9%, the same as that 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 19.4% to 9.4% or up to 29.4% would result in a modeled rating movement on the rated tranches of 0 to 8 notches downward and 0 to 5 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 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. ARBOR REALTY 2005-1: Fitch Affirms 'CCC' Ratings on 4 Note Classes ------------------------------------------------------------------ Fitch Ratings has affirmed all rated classes of Arbor Realty Mortgage Securities Series 2005-1, Ltd. / LLC (ARMSS 2005-1) reflecting Fitch's base case loss expectation of 42.8%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. Key Rating Drivers ARMSS 2005-1 is a CRE collateralized debt obligation (CDO) managed by Arbor Realty Collateral Management, LLC (Arbor). As of the August 2013 trustee report and per Fitch categorizations, the CDO was substantially invested as follows: whole loans/A-notes (50%), B-notes (29%), mezzanine debt (12%), preferred equity (5%), and cash (5%). Approximately 12% of the pool is currently defaulted while a further 38% are considered loans of concern. Fitch expects significant losses on many of the assets as they are highly leveraged subordinate positions. The CDO exited its reinvestment period in April 2011. Total paydown to class A-1 from loan payoffs scheduled amortization and asset sales since last review was minimal at $5.7 million. Realized losses totaled approximately $8 million over the same period. The CDO is slightly under collateralized by approximately $5 million. As of the August 2013 trustee report, all par value and interest coverage test were in compliance. Under Fitch's methodology, approximately 78.4% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 11.7% from, generally, year-end 2012 or trailing 12 months 1Q 2013. Recoveries are average at 45.5%. The largest component of Fitch's base case loss expectation is a B-note (6.2% of the pool) secured by a 43-story office building located in downtown St. Louis, MO. The loan transferred to special servicing in August 2012 due to imminent default. A subsequent loan restructure, which closed in November 2012, eliminated amortization payments and provided an interest rate reduction, among other terms. Fitch modeled a full loss in its base case scenario on this overleveraged position. The next largest component of Fitch's base case loss expectation is a preferred equity position (4.7% of the pool) on an over 150 property multifamily property portfolio located across nine states. As of Dec. 31, 2012, occupancy was 85%. In early 2013, the senior debt was modified into an A/B note structure and transferred out of special servicing. Fitch modeled a full loss in its base case scenario on this overleveraged position. The transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The breakeven rates for classes A-1 through D are generally consistent with the ratings listed below. The Stable Outlook on class A-1 through C generally reflect the classes' seniority in the capital stack and expectation of continued further paydown over the near term. The Negative Outlook to class D reflects the potential for further negative credit migration of the underlying collateral. The ratings for classes E through H are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each classes credit enhancement. Rating Sensitivities If the collateral continues to repay at or near par, class A-1 may be upgraded. The junior classes are subject to further downgrade should realized losses begin to increase. Fitch affirms and revises the Rating Outlook for the following classes as indicated: -- $111.7 million class A-1 at 'BBBsf'; Outlook Stable; -- $40.4 million class A-2 at 'BBBsf'; Outlook Stable; -- $57 million class B at 'BBsf'; Outlook Stable; -- $22.5 million class C at 'Bsf; Outlook Stable; -- $7.7 million class D at 'Bsf'; Outlook to Negative from Stable; -- $6.8 million class E at 'CCCsf'; RE 0%; -- $13.3 million class F at 'CCCsf'; RE 0%; -- $9.9 million class G at 'CCCsf'; RE 0%; -- $13.5 million class H at 'CCCsf'; RE 0%. ARCAP 2004-1: Fitch Affirms 'C' Ratings on Class G to K Notes ------------------------------------------------------------- Fitch Ratings has affirmed 10 classes issued by ARCap 2004-1 Resecuritization, Inc. (ARCap 2004-1). The affirmations are a result of amortization of the capital structure. Key Rating Drivers: Since the last rating action in October 2012, approximately 17.4% of the collateral has been downgraded. Currently, 99% of the portfolio has a Fitch derived rating below investment grade and 66.6% has a rating in the 'CCC' category and below, compared to 97.3% and 67.7%, respectively, at the last rating action. Over this time, the class A notes have received $11.7 million for a total of $31.6 million in principal paydowns since issuance. 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. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Based on this analysis, the credit enhancements for the class A through D notes is consistent with the rating indicated below. For the class E through K 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 E and F notes have been affirmed at 'CCsf', indicating that default is probable. Similarly, the class G through K notes have been affirmed at 'Csf', indicating that default is inevitable. The Stable Outlook on the class A notes reflects Fitch's view that the notes will continue to delever. The Negative Outlook on the class B notes reflects the increasing obligor concentration and the potential for adverse selection as the portfolio continues to amortize. 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. ARCAP 2004-1 is backed by 43 tranches from 10 commercial mortgage backed securities (CMBS) transactions and is considered a CMBS B- piece resecuritization (also referred to as first loss commercial real estate collateralized debt obligation [CRE CDO]/ReREMIC) as it includes the most junior bonds of CMBS transactions. The transaction closed April 19, 2004. Fitch has affirmed the following classes as indicated: -- $25,483,439 class A notes at 'BBsf'; Outlook revised to Stable from Negative; -- $30,600,000 class B notes at 'Bsf'; Outlook Negative; -- $26,500,000 class C notes at 'CCCsf' -- $8,500,000 class D notes at 'CCCsf' -- $30,700,000 class E notes at 'CCsf'; -- $13,600,000 class F notes at 'CCsf; -- $36,000,000 class G notes at 'Csf'; -- $13,000,000 class H notes at 'Csf'; -- $31,500,000 class J notes at 'Csf'; -- $20,500,000 class K notes at 'Csf'. ARES VR: S&P Raises Rating on Class D Notes From 'BB-' ------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class C and D notes from Ares VR CLO Ltd., a cash flow collateralized loan obligation (CLO) transaction managed by Ares Management LLC. At the same time S&P affirmed its 'AAA (sf)' ratings on the class A-1, A-2, A-3, and B notes. Ares VR CLO Ltd. ended its reinvestment period in February 2011. Since S&P's October 2012 rating actions, the transaction has experienced substantial paydowns. These paydowns were significantly more than what S&P anticipated in its analysis based on the maturity profile of the loans in the portfolio, as noted by the trustee in the Sept. 20, 2012, report that S&P referenced for its October actions. The paydowns were a combination of unscheduled and scheduled prepayments. Since S&P's October 2012 actions, the class A-1, A-2, and A-3 notes have collectively paid down a total of $132.5 million and are currently less than 5% of their original notional balance. The total paydown since S&P's October 2012 actions was approximately 49% of the then-total pool of assets. Due to lower senior note balances, the overcollateralization (O/C) ratios increased significantly. Based on the August 2013 trustee report, the O/C ratios have improved as follows: -- The class A/B ratio is 231.7%, up from 154.9% in September 2012; -- The class C ratio is 175.3%, up from 136.8% in September 2012; and -- The class D ratio is 115.7%, up from 109.8% in September 2012. In addition, the transaction continues to have a low level of defaults. According to the August 2013 trustee report, Ares VR CLO had only two defaulted obligations with a par of $3 million. Based on S&P's review of the cash flow and the supplemental test results, it raised its ratings on the class C and D notes to reflect the increased credit support. The affirmations reflect the class A-1, A-2, A-3, and B notes' sufficient credit support at their current ratings. S&P will continue to review whether, in its view, the ratings it assigned to the notes remain consistent with the credit enhancement available to support them. 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 RATINGS RAISED Ares VR CLO Ltd. Rating Rating Class To From C AAA (sf) AA+ (sf) D BBB+ (sf) BB- (sf) RATINGS AFFIRMED Ares VR CLO Ltd. Class Rating A-1 AAA (sf) A-2 AAA (sf) A-3 AAA (sf) B AAA (sf) ARGENT SECURITIES 2003-W2: Moody's Cuts Rating on M-3 Notes to B1 ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one tranche backed by Subprime RMBS loans, issued by Argent Securities 2003- W2. Complete rating action is as follows: Issuer: Argent Securities Inc., Series 2003-W2 Cl. M-3, Downgraded to B1 (sf); previously on Mar 18, 2013 Downgraded to Baa3 (sf) Ratings Rationale: The action reflects the recent performance of the underlying pool and reflect Moody's updated loss expectations on the pool. The downgrade is primarily the result of recent interest shortfalls that are unlikely to be recouped because of a weak interest shortfall reimbursement mechanism. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in June 2013. The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.1% in August 2012 to 7.3% in August 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for 2013. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. ARROYO CDO I: Moody's Upgrades Two Note Classes to Caa2 ------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Arroyo CDO I Limited: $38,800,000 Class B Senior Subordinated Floating Rate Notes Due 2036 (current balance of $10,186,002), Upgraded to Aa2 (sf); previously on July 13, 2011 Upgraded to Aa3 (sf); $10,000,000 Class C-1 Subordinated Floating Rate Notes Due 2036, Upgraded to Caa2 (sf); previously on February 26, 2009 Downgraded to Ca (sf); $16,000,000 Class C-2 Subordinated Fixed Rate Notes Due 2036, Upgraded to Caa2 (sf); previously on February 26, 2009 Downgraded to Ca (sf) Ratings Rationale: According to Moody's, the rating action taken on the notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since December 2012. Moody's notes that the Class B Notes have been paid down by approximately 50.7%, or $10.5 million since December 2012. Based on Moody's calculation, the Class B and Class C overcollateralization (OC) ratios are at 384% and 98%, respectively. Additionally, Moody's notes that the Class B Notes benefit from receiving excess interest proceeds that are diverted upon the failure of the Class C OC test. Moody's expects that Class C Notes will also benefit from such interest proceeds diversion after Class B Notes are paid off. Moody's said that it expects this test to continue to fail in the near term, resulting in the continued diversion of such interest proceeds to benefit the Class B Notes and Class C Notes. Arroyo CDO I Limited is a collateralized debt obligation backed primarily by a diversified portfolio of corporate assets and structured finance securities such as CMBS, RMBS and other ABS securities. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's applied the Monte Carlo simulation framework within CDOROMv2.8-9 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model . The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. Moody's rating action factors in a number of sensitivity analyses and stress scenarios. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal: Moody's Investment grade and below rated assets notched up by 2 rating notches: Class B: +1 Class C-1: +1 Class C-2: +1 Moody's Investment grade and below rated assets notched down by 2 rating notches: Class B: -1 Class C-1: -1 Class C-2: -1 BALLYROCK CLO 2006-2: S&P Raises Rating on Class E Notes to 'BB+' ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the Class A, B, C, D, and E notes from Ballyrock CLO 2006-2 Ltd., a U.S. collateralized loan obligation (CLO) managed by Ballyrock Investment Advisors LLC. At the same time, Standard & Poor's removed all of these ratings from CreditWatch, where they had been placed with positive implications on July 9, 2013. The upgrades mainly reflect increased credit support available to the rated notes as the deal continues to amortize and pay down the senior notes. The transaction's reinvestment period ended in January 2013. Since then, it has paid down approximately $241.1 million to the Class A note, which is now at 46% of its original note balance. The paydown of the notes increased the overcollateralization (O/C) ratios in the transaction. The trustee provided the following O/C ratios in the August 2013 monthly report: -- The Class B O/C ratio was 151.50%, up from 125.80% in the October 2011 trustee report, which S&P used for its November 2011 analysis. -- The Class C O/C ratio was 134.0% compared with 118.20% in October 2011. -- The Class D O/C ratio was 118.70% compared with 110.80% in October 2011. -- The Class E O/C ratio was 112.40% compared with 107.50% in October 2011. Defaults among assets have decreased since October 2011. Based on the August 2013 trustee report, which S&P referenced for the rating actions, the transaction contained no defaulted assets, down from the $2.91 million noted in the October 2011 trustee report, which S&P used for its last rating action in November 2011. Furthermore, the amount of assets from obligors rated in the 'CCC' category was reported at $15.08 million in August 2013, down from $31.99 million in October 2011. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATING AND CREDITWATCH ACTIONS Ballyrock CLO 2006-2 Ltd. Rating Class To From A AAA (sf) AA+ (sf)/Watch Pos B AAA (sf) A+ (sf)/Watch Pos C AA+ (sf) BBB+ (sf)/Watch Pos D BBB+ (sf) BB+ (sf)/Watch Pos E BB+ (sf) B+ (sf)/Watch Pos TRANSACTION INFORMATION Issuer: Ballyrock CLO 2006-2 Ltd. Co-issuer: Ballyrock CLO 2006-2 Inc. Collateral manager: Ballyrock Investment Advisors LLC Trustee: U.S. Bank National Association Transaction type: Cash flow CLO BOCA HOTEL: Fitch Expects to Rate $77MM Class D Certs 'BB+' ----------------------------------------------------------- Fitch Ratings has issued a presale report on Boca Hotel Portfolio Trust 2013-BOCA Commercial Mortgage Pass-Through Certificates, Series 2013-BOCA. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $176,800,000 class A 'AAAsf'; Outlook Stable; -- $425,000,000* class X-CP 'NR'; -- $425,000,000* class X-EXT 'NR'; -- $64,200,000 class B'AA-sf'; Outlook Stable; -- $33,000,000 class C 'A-sf'; Outlook Stable; -- $77,000,000 class D 'BB+sf; Outlook Stable; -- $74,000,000 class E 'NR'. * Notional and interest-only. The expected ratings are based upon information received from the issuer as of Aug. 28, 2013. The certificates in this transaction represent the beneficial interests in a trust that holds a $425 million mortgage loan secured by four hotel properties located in Florida. The loan is sponsored by entities managed by affiliates of Blackstone Group, L.P. and Blackstone Real Estate Partners IV L.P. Key Rating Drivers Geographic and Asset Concentration: The loan is secured by four hotels (1,852 keys) located in Florida, with two in Fort Lauderdale and one each in Boca Raton and Naples. In addition, the Waldorf Astoria Boca Raton Resort & Club accounts for approximately 60.8% of the trailing 12-months (TTM) ended June 2013 net cash flow (NCF) and 69% of the appraised value. The loan is more susceptible to single-event risk related to a market. Hotel performance is considered to be more volatile due to the segment's operating nature High Leverage on Full Debt Stack: The total debt package includes mezzanine financing in the amount of $370 million that is not included in the trust. Fitch's stressed debt service coverage ratio (DSCR) and loan to value (LTV) for the full debt stack are 0.73x and 152.9%, respectively. However, Fitch's DSCR and LTV for the trust component of the debt are 1.37x and 81.8%, respectively. Asset Quality and Market Positioning: The properties received Fitch property quality scores ranging from 'A-' to 'B'. The properties offer resort-type amenities, two 18-hole golf courses, and marinas located along the intercoastal waterway. Since acquiring the portfolio in 2004, approximately $309 million has been invested in the renovation of the hotels by the sponsor since 2005, with an additional $28.5 million in capital improvements planned at the Boca Raton Resort & Club and $16 million in marina improvements at the Hyatt Regency Pier Sixty-Six Resort & Spa. Diversified Revenue Sources: For the TTM ended June 2013, approximately $81 million of non-room and non-F&B revenue was generated by the portfolio, representing 32.9% of the portfolio's total revenues. Ancillary revenues include marina operations, membership dues and initiation fees and rental income. Rating Sensitivities Fitch found that the pool could withstand a 83.7% decline in value and an approximately 69.9% decrease in the most recent actual cash flow prior to experiencing $1 of loss to the 'AAAsf' rated class. Fitch evaluated the sensitivity of the ratings of class A (rated 'AAAsf' by Fitch) and found that a 17% decline in Fitch NCF would result in a one-category downgrade, while a 42% decline would result in a downgrade to below investment grade. BOCA HOTEL: S&P Assigns Prelim. 'BB' Rating on Class E Notes ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Boca Hotel Portfolio Trust 2013-BOCA's $425.0 million commercial mortgage pass-through certificates series 2013-BOCA. The note issuance is an commercial mortgage-backed securities zransaction backed by one two-year, floating-rate commercial mortgage loan totaling $425.0 million, secured by first lien mortgages on the borrowers' fee and leasehold interests in four full-service hotels and three marinas in Florida, all furniture, fixtures, and equipment and personal property owned by the borrowers used to operate the properties, and any of the borrowers' interests in the operating leases. The preliminary ratings are based on information as of Sept. 13, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. S&P determined that the loan has a beginning and ending loan-to-value ratio of 72.1%, based on its estimate of long-term sustainable value of the properties backing the transaction. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1803.pdf PRELIMINARY RATINGS ASSIGNED Boca Hotel Portfolio Trust 2013-BOCA Class Rating Amount ($) A AAA (sf) 176,800,000 X-CP BB (sf) 425,000,000(i) X-EXT BB (sf) 425,000,000(i) B AA- (sf) 64,200,000 C A (sf) 33,000,000 D BBB- (sf) 77,000,000 E BB (sf) 74,000,000 (i) Notional balance. CAPTEC FRANCHISE: Fitch Affirms 'D' Ratings on 5 Note Classes ------------------------------------------------------------- Fitch Ratings has taken the following rating actions on the outstanding Captec Franchise Receivables Trusts: Series 1996-A -- Class A affirmed at 'Csf', RE revised to 60% from 70%, and subsequently withdrawn; -- Class B affirmed at 'Csf'/RE 0% and subsequently withdrawn. Series 1998-1 -- Class A-3 affirmed at 'BBsf'; Outlook Stable; -- Class B affirmed at 'CCCsf'/RE 100%; -- Class C affirmed at 'Dsf'/RE 0%. Series 2000-1 -- Class B affirmed at 'CCCsf'/RE 100%; -- Class C affirmed at 'Dsf' RE revised to 10% from 0%; -- Class D affirmed at 'Dsf/RE 0%'; -- Class E affirmed at 'Dsf/RE 0%'; -- Class F affirmed at 'Dsf/RE 0%'. Key Rating Drivers The affirmation of the class A and B notes of the 1996-A series reflects the fact that Fitch believes that default remains inevitable for both classes. The revision of the RE for the class A notes to 60% from 70% is based on future expected principal receipts. Fitch has withdrawn its ratings as they are no longer considered relevant to the agency's coverage as default of all remaining notes is considered inevitable. Furthermore, the series contains only one remaining obligor. As a result, the ability of the transaction to continue to make payments on any class of notes has become reliant on the performance of this single obligor. The affirmations reflect each class of notes' ability to pass stress case scenarios consistent with the current rating levels. The Stable Outlook assigned to class A-3 in series 1998-1 reflects Fitch's view that the current rating is not expected to change within the next 12-24 months, based on recent performance trends and available credit enhancement. The revision of the RE for the class C notes in 2000-1 reflects the change in principal recovery expectation to that class. Fitch will continue to monitor this transaction and may take additional rating action in the event of changes in performance and credit enhancement measures. Sensitivity Analysis Unanticipated increases in the frequency of defaults could produce loss levels higher than the current expectations and impact available loss coverage. Lower loss coverage could impact ratings and Rating Outlooks, depending on the extent of the decline in coverage. The performance of the transactions will be affected by the performance of the largest obligors. Any prepayments will have a positive impact on the performance and future net loss coverage. Conversely, delinquencies and defaults from the loans to the largest obligor will have a negative impact on the remaining life of the transaction. CEDAR FUNDING II: S&P Affirms 'BB' Rating on Class E Notes ---------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Cedar Funding II CLO Ltd./Cedar Funding II CLO LLC's $330.50 million fixed- and floating-rate notes following the transaction's effective date as of July 23, 2013. Most U.S. cash flow collateralized loan obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an "effective date rating affirmation"). An effective date rating affirmation reflects S&P's opinion that the portfolio collateral purchased by the issuer, as reported to S&P by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that S&P assigned on the transaction's closing date. The effective date reports provide a summary of certain information that S&P used in its analysis and the results of its review based on the information presented to S&P. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P added. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com RATINGS AFFIRMED Cedar Funding II CLO Ltd./Cedar Funding II CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 228.00 A-X AAA (sf) 6.50 B-1 AA (sf) 25.00 B-2 AA (sf) 10.00 C (deferrable) A (sf) 20.00 D (deferrable) BBB (sf) 17.00 E (deferrable) BB (sf) 24.00 CGBAM 2013-BREH: Rights Transfer No Impact on Moody's Ratings ------------------------------------------------------------- Moody's Investors Service was informed that the Directing Certificate Holder has elected to terminate Wells Fargo Bank, National Association, the existing Special Servicer, and to appoint Strategic Asset Services LLC as the successor Special Servicer. The Proposed Special Servicer Transfer and 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. Moody's has determined that this proposed special servicing replacement 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 CGBAM Commercial Mortgage Pass-Through Certificates, Series 2013-BREH (the Certificates). Moody's opinion only addresses the credit impact associated with the proposed designation and transfer of special servicing rights. Moody's is not expressing 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 CGBAM 2013-BREH was taken on July 30, 2013. The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. On July 30, 2013, Moody's assigned ratings to nine classes of CMBS securities, issued by CGBAM Commercial Series 2013-BREH: Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. X-ACP, Definitive Rating Assigned Aaa (sf) Cl. X-BCP, Definitive Rating Assigned A2 (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. X-NCP, Definitive Rating Assigned Aa2 (sf) CGMT 2013-GC15- DBRS Assigns BB Rating to Class E Certificates -------------------------------------------------------------- DBRS Inc. has assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2013-GC15 (the Certificates), to be issued by Citigroup Commercial Mortgage Trust 2013-GC15. The trends are Stable. -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class PEZ at A (sf) -- Class C at A (sf) -- Class X-B at AAA (sf) -- Class X-C at AAA (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (high) (sf) Classes X-B, X-C, D, E and F have been privately placed pursuant to Rule 144A. The Class X-A, X-B and X-C balances are notional. DBRS ratings on interest-only certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the interest-only certificate's position within the transaction payment waterfall when determining the appropriate rating. Up to the full certificate balance of the Class A-S, Class B and Class C certificates may be exchanged for Class PEZ certificates. Class PEZ certificates may be exchanged for up to the full certificate balance of the Class A-S, Class B and Class C certificates. The collateral consists of 97 fixed-rate loans secured by 129 commercial, multifamily and manufactured housing properties. The transaction has a balance of $1,115,180,033. The pool exhibits a DBRS weighted-average term debt service coverage ratio (DSCR) and debt yield of 1.51 times (x) and 9.4%, respectively. The DBRS sample included 35 loans, representing 61.9% of the pool. The pool has a high concentration of properties located in urban markets (25.5% of the pool), which benefit from a larger investor, consumer and tenant base even in times of stress. The pool benefits from diversity in terms of location, loan size and property, with a concentration level equivalent to a pool of 44 equal-sized loans. Loans secured by hotels represent 14.8% of the pool, including two of the largest ten loans. Hotel properties have higher cash flow volatility than traditional property types because their income (which is derived from daily contracts rather than multi-year leases) and their expenses (which are often mostly fixed) are quite high as a percentage of revenue. These two factors cause revenue to fall swiftly during a downturn and cash flow to fall even faster because of the high operating leverage. None of the loans in the pool have additional existing secured debt in place that is subordinate in right of payment to the trust balance. Future additional secured debt is not permitted for any of the loans in the pool. The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. CIFC FUNDING 2013-III: S&P Assigns 'BB' Rating to Class D Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to CIFC Funding 2013-III Ltd./CIFC Funding 2013-III LLC's $369 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 ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated, speculative-grade, senior secured term loans. -- The collateral manager's experienced management team. -- The timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.2590%-12.8133%. -- The transaction's overcollateralization 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. -- The transaction's reinvestment overcollateralization test, a failure of which would lead to the reclassification of up to 50.00% of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, collateral manager subordinated and incentive management fees, and subordinated note payments to principal proceeds to purchase additional collateral assets during the reinvestment period. 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/1798.pdf RATINGS ASSIGNED CIFC Funding 2013-III Ltd./CIFC Funding 2013-III LLC Class Rating Amount (mil. $) A-1A AAA (sf) 119.00 A-1B AAA (sf) 125.00 A-2A AA (sf) 21.00 A-2B AA (sf) 33.00 B (deferrable) A (sf) 30.00 C (deferrable) BBB (sf) 23.00 D (deferrable) BB (sf) 18.00 Subordinated notes NR 49.00 NR-Not rated. CITIGROUP COMMERCIAL 2012-GC8: Fitch Affirms B Rating on F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of Citigroup Commercial Mortgage Trust 2012-GC8 commercial mortgage pass-through certificates. Key Rating Drivers The affirmations are based on stable performance of the underlying collateral pool. As of the August 2013 distribution date, the pool's aggregate principal balance has been reduced by 0.9% to $1.03 billion from $1.04 billion at issuance. Full year 2012 financials were available for 52 (95.4%) of the remaining 57 loans in the pool. The largest loan of the pool (11%) is the Miami Center, which is secured by a 786,836 square foot (sf), class A office tower located on Biscayne Bay in downtown Miami. The property is the second largest office building in the state of Florida. It is 35- stories and includes an attached 9-story parking garage with 918 spaces. Additionally, 45% of the property's net rentable area (NRA) is leased to investment-grade tenants or top law firms. The servicer-reported occupancy as of first-quarter 2013 was 82%. The second largest loan, 222 Broadway (9.7%), is secured by a 786,552 sf office tower located in Manhattan's Financial District. Bank of America (BofA) had owned and occupied the property from 2008 to 2012 when they entered into a sale-and-leaseback transaction with a 10-year lease agreement for approximately 76% of the NRA. In May 2013, BofA gave back 15% of their space upon its expiration, which has been re-leased to a new tenant, We Works. As per the property's rent roll, the first-quarter 2013 occupancy increased to 84.6% from 79.1% at issuance. The third largest loan, 17 Battery Place South (8.8%), is secured by a 428,450 sf office tower located in Manhattan's Financial District, adjacent to Battery Park and overlooking New York Harbor. The 13-story office tower is part of a 31-story building, which also contains luxury rental apartments. As of the second- quarter 2013, the servicer-reported occupancy was approximately 94.6%. Rating Sensitivity The Rating Outlook for all classes remains stable. Due to the recent issuance of the transaction and stable performance, Fitch does not foresee positive or negative ratings migration until a material economic or asset level event changes the transaction's overall portfolio-level metrics. Fitch affirms the following classes: -- $49.5 million class A-1 at 'AAAsf'; Outlook Stable; -- $181.6 million class A-2 at 'AAAsf'; Outlook Stable; -- $27.7 million class A-3 at 'AAAsf'; Outlook Stable; -- $379.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $80.3 million class A-AB at 'AAAsf'; Outlook Stable; -- $93.6 million class A-S at 'AAAsf'; Outlook Stable; -- $61.1 million class B at 'AA-sf'; Outlook Stable; -- $39 million class C at 'A-sf'; Outlook Stable; -- $45.5 million class D at 'BBB-sf'; Outlook Stable; -- $19.5 million class E at 'BBsf'; Outlook Stable; -- $19.5 million class F at 'Bsf'; Outlook Stable; -- $812.3 million* class X-A at 'AAAsf'; Outlook Stable. Fitch does not rate classes G and X-B certificates. COBALT CMBS 2006-C1: Fitch Affirms 'D' Rating on Class D Certs. --------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed the super senior classes of commercial mortgage pass-through certificates from Cobalt CMBS Commercial Mortgage Trust series 2006-C1. Key Rating Drivers The downgrades reflect an increase in Fitch modeled losses primarily due to the declining valuations of the specially serviced assets. Fitch modeled losses of 17.1% of the remaining pool; expected losses on the original pool balance total 19.5%, including $190.4 million (7.5% of the original pool balance) in realized losses to date. Fitch has designated 33 loans (33.4%) as Fitch Loans of Concern, which includes 16 specially serviced assets (21.5%). As of the August 2013 distribution date, the pool's aggregate principal balance has been reduced by 30.8% to $1.77 billion from $2.56 billion at issuance. One loan (0.6% of the pool) is defeased. Interest shortfalls are currently affecting classes A-J through P. Rating Sensitivity The 'AAA' rated classes are expected to remain stable due to continued paydown. The 'BB' rated class may be subject to future downgrades should pool performance deteriorate and losses exceed projections. In addition, the distressed classes (rated below 'B') may be subject to further rating actions as losses are realized. The largest contributor to modeled losses is a loan (representing 3.5% of the pool) secured by a 537,400 SF class A office property located in downtown Cincinnati, OH. The loan transferred to the special servicer in December 2012 after the former largest tenant, Chiquita Brands International, vacated upon its lease expiration in November 2012. In January 2013, a majority of the TIC ownership structure filed bankruptcy. The Special Servicer is pursuing lift stay to proceed with foreclosure in Ohio State court. A receiver (CBRE) was recently appointed. The property is currently 66% occupied. Cash management is in place. The second largest contributor to modeled losses (2.4%) consists of a 227,000 SF class A office campus located in Scottsdale, AZ. At issuance this property was 100% leased to DHL with a lease expiration date of June 20, 2012. In fourth quarter 2009, DHL paid a lease termination fee and vacated the building. The loan transferred to the special servicer in March 2010 and the property became a REO asset in November 2011 through foreclosure. The property is currently 48% occupied by two tenants. Cushman and Wakefield is engaged to lease the asset. The third largest contributor to modeled losses is a loan (2.9%) secured by a 585,222 SF office property located in Windsor, Connecticut. The loan transferred to special servicing in July 2012 for monetary default. A large tenant (22.7% of the property), whose lease expires in October 2013, has vacated but is still paying rent. Currently, the property is 87% leased. Asset manager is dual tracking foreclosure and loan modification. Fitch downgrades the following classes and revises Recovery Estimates (REs) as indicated: -- $253.1 million class A-M to 'BBsf' from 'Asf'; Outlook Negative; -- $208.8 million class A-J to 'Csf' from 'CCsf'; RE 10%. Fitch affirms the following classes: -- $107.7 million class A-AB at 'AAAsf'; Outlook Stable; -- $74.9 million class A-3 at 'AAAsf'; Outlook Stable; -- $723.7 million class A-4 at 'AAAsf'; Outlook Stable; -- $292.7 million class A-1A at 'AAAsf'; Outlook Stable; -- $50.6 million class B at 'Csf'; RE 0%; -- $28.5 million class C at 'Csf'; RE 0%; -- $29.8 million class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%. The class A-1, A-2, AMP-E1 and AMP-E2 certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class IO certificates. COMM 2003-LNB1: Rockefeller Loan Defeasance No Impact on Ratings ---------------------------------------------------------------- Moody's Investors Service was informed that 75 Plaza, LLC, the Borrower for the 75 Rockefeller Plaza mortgage loan, has elected to defease the loan with U.S. Government Securities. The proposed defeasance will become effective upon satisfaction of the conditions precedent set forth in the governing documents. Moody's has reviewed the defeasance transaction. Moody's has determined that this proposed defeasance 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 COMM 2003-LNB1, Commercial Mortgage Pass-Through Certificates. Moody's opinion only addresses the credit impact associated with the proposed defeasance. Moody's is not expressing any opinion as to whether this change has, or could have, other noncredit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. The last rating action for COMM 2003-LNB1, Commercial Mortgage Pass-Through Certificates was taken on July 18, 2013. 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. In the July 18, 2013 action, Moody's upgraded the ratings of two classes, downgraded one classes and affirmed ten classes of COMM 2003-LNB1, Commercial Mortgage Pass-Through Certificates as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Feb 7, 2013 Affirmed Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Feb 7, 2013 Affirmed Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Feb 7, 2013 Affirmed Aaa (sf) Cl. D, Upgraded to Aaa (sf); previously on Feb 7, 2013 Affirmed Aa3 (sf) Cl. E, Upgraded to A1 (sf); previously on Feb 7, 2013 Affirmed Baa1 (sf) Cl. F, Affirmed Ba1 (sf); previously on Feb 7, 2013 Affirmed Ba1 (sf) Cl. G, Affirmed B2 (sf); previously on Feb 7, 2013 Affirmed B2 (sf) Cl. H, Affirmed Caa1 (sf); previously on Feb 7, 2013 Affirmed Caa1 (sf) Cl. J, Affirmed Ca (sf); previously on Feb 7, 2013 Affirmed Ca (sf) Cl. K, Affirmed C (sf); previously on Feb 7, 2013 Affirmed C (sf) Cl. L, Affirmed C (sf); previously on Feb 7, 2013 Affirmed C (sf) Cl. M, Affirmed C (sf); previously on Feb 7, 2013 Affirmed C (sf) Cl. X-1, Downgraded to B3 (sf); previously on Feb 7, 2013 Affirmed Ba3 (sf) COMM 2004-LNB3: Moody's Cuts Rating on Class H Certs to 'Csf' ------------------------------------------------------------- Moody's Investors Service downgraded the ratings of three classes and affirmed 13 classes of COMM 2004-LNB3, Commercial Mortgage Pass-Through Certificates as follows: Cl. A-4, Affirmed Aaa (sf); previously on Jul 1, 2004 Assigned Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Jul 1, 2004 Assigned Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Jul 1, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Oct 29, 2008 Upgraded to Aaa (sf) Cl. C, Affirmed Aa2 (sf); previously on Dec 2, 2010 Confirmed at Aa2 (sf) Cl. D, Affirmed A2 (sf); previously on Dec 2, 2010 Confirmed at A2 (sf) Cl. E, Affirmed Baa3 (sf); previously on Oct 11, 2012 Downgraded to Baa3 (sf) Cl. F, Downgraded to B3 (sf); previously on Oct 11, 2012 Downgraded to B1 (sf) Cl. G, Downgraded to Caa2 (sf); previously on Oct 11, 2012 Downgraded to B3 (sf) Cl. H, Downgraded to C (sf); previously on Oct 11, 2012 Downgraded to Caa3 (sf) Cl. J, Affirmed C (sf); previously on Oct 11, 2012 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Dec 2, 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 from specially serviced and troubled loans. The affirmations of the investment grade P&I 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. The ratings of the below-investment grade P&I classes are commensurate 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. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 5.9% of the current balance. At last review, Moody's base expected loss was 5.6%. Realized losses have increased from 1.4% of the original balance to 1.6% since the prior review. 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. 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. 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. 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 12 compared to 14 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the August 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 36% to $862 million from $1.3 billion at securitization. The Certificates are collateralized by 75 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten non-defeased loans representing 54% of the pool. Twelve loans, representing 23% of the pool, have defeased and are secured by U.S. Government securities. The pool contains three loans with investment grade credit assessments, representing 32% of the pool. Eighteen loans, representing 12% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Six loans have been liquidated from the pool, resulting in an aggregate realized loss of $21.9 million (51% loss severity on average). One loan, representing 4% of the pool, is currently in special servicing. The specially serviced loan is the Beau Terre Office Building Loan ($33 million -- 4% of the pool), which is secured by a 371,000 square foot Class B office property located in Bentonville, Arkansas. The loan transferred into special servicing in May 2010 due to imminent monetary default. A foreclosure sale occurred in September 2011, and the property is now real estate owned (REO). Occupancy was 53% in December 2012 compared to 45% in February 2012, and 97% at securitization. The special servicer is pursuing a leasing opportunities for the property. Moody's has assumed a high default probability for three poorly performing loans representing 2% of the pool. Moody's estimates an aggregate $37.2 million loss (69% expected loss overall) for the specially serviced and troubled loans. Moody's was provided with full year 2012 operating results for 95% of the pool's non-specially serviced and non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 87% compared to 91% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 16% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.9%. Excluding special serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.39X and 1.17X, respectively, compared to 1.35X and 1.12X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the Garden State Plaza Loan ($130 million -- 15% of the pool), which represents a participation interest in a $520 million mortgage loan. The loan is secured by a super-regional mall owned by Westfield in Paramus, New Jersey. The mall anchors are Macy's, Nordstrom, JC Penney, Neiman Marcus, and Lord and Taylor. As of year-end 2012 reporting, the mall was 98% leased compared to 97% the prior year. Moody's credit assessment and stressed DSCR are Aa3 and 1.61X, respectively, compared to Aa3 and 1.58X at last review. The second-largest loan with a credit assessment is the 731 Lexington Avenue Loan ($93 million -- 11% of the pool), which represents a participation interest in a $233 million senior mortgage loan. The loan is secured by a 690,000 square foot office condominium located within the East Side office submarket of Midtown Manhattan. The property is 100% leased to media firm Bloomberg, L.P. through February 2029. The property is also encumbered by an $86 million B-Note, which is held outside the trust. Moody's credit assessment and stressed DSCR are A3 and 2.41X, respectively, compared to A3 and 2.31X at last review. The third loan with a credit assessment is the Tysons Corner Center Loan ($55 million -- 6% of the pool), which represents a participation interest in a $298 million mortgage loan. The loan is secured by a three-level super-regional mall located in McLean, Virginia, a suburb of Washington, D.C. The mall was 100% leased as of year-end 2012 reporting compared to 99% at Moody's last review. The loan sponsor is Macerich. The mall has been a consistent strong performer and stands to benefit from the planned 2014 opening of an extension to the Washington Metro subway system. The new Tysons Corner station will provide direct access to the property. Moody's current credit assessment and stressed DSCR are Aaa and 2.50X respectively, compared to Aaa and 2.38X at last review. The top three performing conduit loans represent 14% of the pool. The largest loan is the Centreville Square I & II Loan ($55 million -- 6% of the pool), which is secured by a 312,000 square foot grocery-anchored retail center located in Centreville, Virginia. The property, located 30 miles southwest of Washington, D.C., was 85% leased as of June 2013. The anchor tenant -- Shopper's Food and Pharmacy, a regional discount grocery retailer and a subsidiary of SuperValu, Inc. (47,000 square feet, 15% of property NRA) -- vacated in June 2013. Moody's analysis incorporates higher vacancy due to loss of the anchor tenant. Moody's current LTV and stressed DSCR are 91% and 1.04X, respectively, compared to 89% and 1.07X at last review. The second largest loan is the 3 Beaver Valley Loan ($36 million - - 4% of the pool). The loan is secured by a 263,000 square foot office building located in Wilmington, Delaware. The property is 100% leased to a subsidiary of Farmers Insurance Group. The tenant's lease expiration is co-terminus with loan maturity in January 2015. Moody's analysis incorporated a lit/dark calculation, using a 50% lit renewal probability to account for the risk of the property going "dark" - or being vacant following the lease expiration of the current single tenant. The lit/dark analysis considers a "dark" value based on current market rents. Moody's current LTV and stressed DSCR are 90% and 1.08X, respectively, compared to 94% and 1.03X at last review. The third largest loan is a multifamily portfolio ($33 million -- 4% of the pool), secured by three cross-collateralized apartment properties located in suburban Buffalo, New York. The largest property is Williamstowne Apartments, a 525-unit complex located in Cheektowaga, New York. The two remaining properties have a combined 372 units and are located in Cheektowaga, and Tonawanda, New York. Portfolio occupancy was 88% as of July 2013 reporting. Moody's current LTV and stressed DSCR are 108% and 0.95X, respectively, compared to 120% and 0.85X at last review. COMM 2005-C6: Moody's Hikes Rating on Class E Certs to 'Caa2' ------------------------------------------------------------- Moody's Investors Service upgraded the ratings of seven classes affirmed eight classes of COMM 2005-C6 Commercial Mortgage Pass- Through Certificates as follows: Cl. A-4, Affirmed Aaa (sf); previously on Oct 20, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Oct 20, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-5A, Affirmed Aaa (sf); previously on Oct 20, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-5B, Upgraded to Aaa (sf); previously on Dec 2, 2010 Downgraded to Aa2 (sf) Cl. A-1A, Upgraded to Aaa (sf); previously on Dec 2, 2010 Downgraded to Aa2 (sf) Cl. A-J, Upgraded to Baa1 (sf); previously on Dec 2, 2010 Downgraded to Baa3 (sf) Cl. B, Upgraded to B1 (sf); previously on Dec 2, 2010 Downgraded to B3 (sf) Cl. C, Upgraded to B2 (sf); previously on Oct 20, 2011 Upgraded to Caa1 (sf) Cl. D, Upgraded to B3 (sf); previously on Oct 20, 2011 Upgraded to Caa2 (sf) Cl. E, Upgraded to Caa2 (sf); previously on Oct 20, 2011 Upgraded to Caa3 (sf) Cl. F, Affirmed Ca (sf); previously on Oct 20, 2011 Upgraded to Ca (sf) Cl. G, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Oct 7, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Oct 7, 2010 Downgraded to C (sf) Cl. X-C, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The upgrade are due increased credit support due to paydowns and amortizations, lower than expected realized losses since last review and improved deal performance. The affirmations of the investment-grade P&I 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. The ratings below-investment grade classes are consistent with Moody's expected loss and thus affirmed. The rating of the IO Class, Class XC, is consistent with the expected credit performance of its referenced classes and thus affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 5.1% of the current balance. At last full review, Moody's cumulative base expected loss was 8.6%. 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. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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. 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 21 compared to 24 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 August 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 29% to $1.61 billion from $2.27 billion at securitization. The Certificates are collateralized by 110 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 53% of the pool. Five loans, representing 3% 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 less than 1% of the pool. Thirteen loans, representing 11% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirteen loans have been liquidated from the pool, resulting in a realized loss of $73.3 million (48% loss severity on average). Currently eight loans, representing 6% of the pool, are in special servicing. The largest specially serviced loan is the Tropicana Center Loan ($51.6 million -- 3.2% of the pool), which is secured by a 578,000 square foot (SF) retail property located in Las Vegas, Nevada. The loan was transferred to special servicing in March 2009 due to payment default and is currently 90+ days delinquent. A receiver is in place and the loan currently in the process of being sold. The remaining seven specially serviced loans are secured by a mix of property types. The master servicer has recognized appraisal reductions totaling $45.1 million for the specially serviced loans. Moody's has estimated an aggregate $35.1 million loss (36% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for eight poorly performing loans representing 5% of the pool and has estimated an aggregate $16.4 million loss (19% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2011 and 2012 operating results for 99% of the pool. Excluding special serviced and troubled loans, Moody's weighted average conduit LTV is 86% compared to 91% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Excluding special serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.71X and 1.22X, respectively, compared to 1.66X and 1.07X 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 an investment grade credit assessment is the 9701 Apollo Drive Loan ($4.1 million -- 0.3% of the pool), which is secured by a 94,000 SF office building located in Largo (Prince George's County), Maryland. The loan is fully amortizing and has paid down 44% since securitization. The loan matures in May 2020. Moody's current credit assessment and stressed DSCR are Aaa and 3.02X, respectively, compared to Aaa and 2.21X at last review. The top three performing conduit loans represent 31.2% of the pool. The largest loan is the Lakewood Center Loan ($218.0 million -- 13.5% of the pool), which is secured by the borrower's interest in a 2.1 million SF super-regional mall located in Lakewood (Los Angeles County), California. The loan is also encumbered by additional debt in the form of a $32 million B-Note, held outside of the Trust. The mall is anchored by Macy's, J.C. Penney and Target. The property was 94% leased as of July 2013, which was the same at last review. Performance has remain stable since last review and the trailing twelve-month anchor tenant sales are in- line with national averages. The loan is interest only throughout the entire term. Moody's LTV and stressed DSCR are 77% and 1.15X, respectively, compared to 75% and 1.18X at last review. The second largest loan is the Kaiser Center Loan ($147 million -- 9.1% of the pool), which is secured by a 914,000 SF Class A office building located in Oakland, California. The property was 88% leased as of July 2013 compared to 97% at last review. The largest tenants are BART (34% of the net rentable area (NRA); lease expiration July 2021) and the Regents of the University of California (UCLA) (13% of the NRA; lease expiration April 2021). The property's cashlow has increased considerably since 2011, largely due to rent steps and increases in other income. The loan is interest-only throughout the entire term. Moody's LTV and stressed DSCR are 105% and 0.96X, respectively, compared to 120% and 0.84X at last review. The third largest loan is the Private Mini Storage Portfolio Loan ($139.3 million -- 8.6% of the pool), which is secured by a portfolio of 38 self-storage facilities totaling 23,410 units located in six states. The loan is also encumbered by additional debt in the form of a $33 million mezzanine loan. Portfolio performance has improved largely due to increased occupancy, which was 82% as of June 2013 compared to 77% at last review. Moody's LTV and stressed DSCR are 88% and 1.13X, respectively, compared to 97% and 1.03X at last review. COMM 2005-FL11: Moody's Cuts Rating on 2 CMBS Tranches to 'Caa3' ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of two Interest Only (IO) Classes that were Under Review for Possible Downgrade in Deutsche Mortgage & Asset Receiving Corporation, Commercial Mortgage Pass-Through Certificates, COMM 2005-FL11. Moody's rating action is as follows: Cl. X-2-DB, Downgraded to Caa3 (sf); previously on June 20, 2013 B3 (sf) Remained On Review for Possible Downgrade Cl. X-3-DB, Downgraded to Caa3 (sf); previously on June 20, 2013 B3 (sf) Remained On Review for Possible Downgrade Ratings Rationale: The downgrades are due to the realization of an anticipated loan payoff of a high credit quality loan. On December 20, 2012, Moody's placed Classes X-2-DB and X-3-DB under review for possible downgrade citing the status of the specially serviced Whitehall/Starwood Golf Portfolio Loan which was expected to pay off. This would have left the ratings on the IO Classes linked to one REO loan. On March 20, 2013, and on June 20, 2013, Moody's continued the reviews as the Whitehall/Starwood Golf Portfolio Loan had not paid off, but was still expected to pay off. The loan paid off in August 2013. Moody's does not rate the two remaining principal Classes K and L. This review concludes the prior rating action dated June 20, 2013. 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. The methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based 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 Remittance Statements. Deal Performance: As of the August 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by approximately 89% to $11.4 million from $105.2 million at the prior review. The pay down is due to pay off of the Whitehall/Starwood Golf Portfolio Loan which had a credit assessment of Ba3. The two IO classes reference the one remaining loan in the pool. The only loan in the pool, the DDR/Macquarie Mervyn's Portfolio Loan ($11.4 million), is in special servicing. This loan represents a pari-passu interest in a $153.4 million first mortgage loan. The pari-passu pieces are included in two other transactions, GECMC 2005-C4 and GMACC 2006-C1. The loan has paid down 41% since securitization. The loan was originally secured by 35 single tenant buildings leased to Mervyn's. Mervyn's filed for Chapter 11 bankruptcy protection in July 2008, closed all its stores and rejected the leases on all the properties in this portfolio. The loan was transferred to special servicing in October 2008 due to Mervyn's filing for bankruptcy protection. The special servicer is focused on selling or releasing the properties. Eighteen properties have been sold. Seven of these sales happened in March 2013. Fourteen properties are fully or partially leased. Three properties are vacant. The loan is REO. Moody's loan to value (LTV) ratio is over 100%, the same as last review. Moody's current credit assessment is C, the same as last review. The pooled Class L has experienced losses of $71,206 as of the current payment date. In addition, there are interest shortfalls totaling $89,168 to Class L. Moody's does not rate the two remaining principal classes K and L. COMM 2013-LC13: S&P Assigns Prelim. 'BB-' Rating on Class E Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to COMM 2013-LC13 Mortgage Trust's $1.077 billion commercial mortgage pass-through certificates series 2013-LC13. The note issuance is a commercial mortgage-backed securities transaction backed by 57 commercial mortgage loans with an aggregate principal balance of $1.077 billion, secured by the fee and leasehold interests in 97 properties across 27 states. The preliminary ratings are based on information as of Sept. 16, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect the credit support provided by the transaction structure, S&P's view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and S&P's overall qualitative assessment of the transaction. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1813.pdf PRELIMINARY RATINGS ASSIGNED COMM 2013-LC13 Mortgage Trust Class Rating Amount ($) A-1 AAA (sf) 68,822,000 A-2 AAA (sf) 237,427,000 A-SB AAA (sf) 73,298,000 A-3 AAA (sf) 47,500,000 A-4 AAA (sf) 100,000,000 A-5 AAA (sf) 227,408,000 X-A AAA (sf) 847,415,000(i) X-B NR 164,363,000(i) X-C NR 66,015,713(i) A-M AAA (sf) 92,960,000 B AA- (sf) 68,709,000 C A- (sf) 45,806,000 D BBB- (sf) 49,848,000 E BB- (sf) 28,292,000 F B+ (sf) 9,431,000 G NR 28,292,713 (i) Notional amount. NR - Not rated. COMM 2013-THL: Moody's Assigns B1 Rating to Cl. F Certificates -------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of CMBS securities, issued by COMM 2013-THL, Commercial Mortgage Pass-Through Certificates. Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. X-CP*, Definitive Rating Assigned A2 (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B1 (sf) CONCORD REAL 2006-1: Moody's Affirms Caa3 Rating on Cl. L Notes --------------------------------------------------------------- Moody's has affirmed the rating of seven classes of notes issued by Concord Real Estate CDO 2006-1. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. Moody's rating action is as follows: Cl. A-1, Affirmed A1 (sf); previously on Dec 9, 2010 Downgraded to A1 (sf) Cl. A-2, Affirmed Baa3 (sf); previously on Dec 9, 2010 Downgraded to Baa3 (sf) Cl. B, Affirmed Ba3 (sf); previously on Dec 9, 2010 Downgraded to Ba3 (sf) Cl. C, Affirmed B2 (sf); previously on Dec 9, 2010 Downgraded to B2 (sf) Cl. D, Affirmed Caa1 (sf); previously on Dec 9, 2010 Downgraded to Caa1 (sf) Cl. E, Affirmed Caa2 (sf); previously on Dec 9, 2010 Downgraded to Caa2 (sf) Cl. F, Affirmed Caa3 (sf); previously on Dec 9, 2010 Downgraded to Caa3 (sf) Ratings Rationale: Concord Real Estate CDO 2006-1 is a static (the reinvestment period ended in December, 2011) cash transaction backed by a portfolio of: i) commercial mortgage backed securities (CMBS) (23.6% of the pool balance); ii) whole loans (23.2%); iii) B-Note debt and rake bonds (28.5%); iv) mezzanine loan interests (21.4%); and v) CRE CDO and Re-remic debt (3.2%). As of the August 26, 2013 Trustee Report, the aggregate note balance of the transaction, including preference shares, has decreased to $276.8 million from $465.0 million at issuance, as a result of the combination of the junior notes cancellation to Classes C through H notes and of the paydown directed to the senior most outstanding class of notes from voluntary and involuntary prepayment of collateral and failing of certain par value tests. In general, holding all key parameters static, the junior note cancellations results in slightly higher expected losses and longer weighted average lives on the senior Notes, while producing slightly lower expected losses on the mezzanine and junior Notes. However, this does not cause, in and of itself, a downgrade or upgrade of any outstanding classes of notes. Five assets with a par balance of $47.7 million (14.7% of the pool balance) were listed as defaulted securities as of the August 26, 2013 Trustee Report. Moody's expects significant losses to occur on these assets 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 4,724 compared to 4,417 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (7.1% compared to 10.7% at last review), A1-A3 (2.4% compared to 6.0% at last review), Baa1-Baa3 (5.4% compared to 0.0% at last review), Ba1-Ba3 (9.7% compared to 1.1% at last review), B1-B3 (12.9% compared to 11.7% at last review), and Caa1-C (62.4% compared to 70.5% at last review). Moody's modeled a WAL of 2.7 years, compared to 3.0 years at last review. The current WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 26.3% compared to 24.8 % at last review. Moody's modeled a MAC of 11.0%, compared to 14.1% 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. In general, the rated Notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption up from 26.3% to 36.3% or down to 16.3% would result in average rating movement on the rated tranches of 0 to 4 notches upward and 2 to 4 notches downward respectively. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. 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. CONTINENTAL AIRLINES 2012-3: Fitch Affirms BB- Cl. C Cert. Rating ----------------------------------------------------------------- Fitch Ratings has affirmed the following ratings: Continental Airlines 2012-2 Pass Through Trust -- Series 2012-2 Class A certificates at 'A', -- Series 2012-2 Class B certificates at 'BBB-' Continental Airlines 2012-3 Pass Through Trust -- Series 2012-3 Class C certificates at 'BB-' The 'A' rating on the class A certificates is based on a top down analysis that focuses on overcollateralization and the ability of the structure to withstand a severe stress scenario. Fitch's stress analysis applies various haircuts to the collateral value, assumes a full draw of the transaction's 18 month liquidity facility as well as incorporating remarketing/repossession costs equal to 5% of the portfolio value. Using these assumptions, Fitch estimates that the maximum stress level LTV through the life of the transaction is 94.2%, which implies full recovery for the A tranche holders with some headroom. The 'A' rating is further supported by a high affirmation factor (the likelihood that the airline would affirm the collateral pool in a bankruptcy scenario) and the quality of the collateral pool. The underlying collateral consists of 2012 - 2013 delivery 737- 900ERs and 787-8s, both of which Fitch considers to be quality Tier 1 aircraft, and which are viewed as being strategically important to United's fleet plan. The subordinated tranche ratings reflect Fitch's updated EETC criteria, which was published on September 12, 2013. The updated methodology prescribes a three step process to determine the subordinated tranche ratings; 1) ratings are notched up from the airline's IDR by 0-3 notches based on affirmation factor, 2) a one notch uplift is provided for the presence of a liquidity facility, and 3) one additional notch of uplift may be assigned to B tranches that exhibit superior recovery prospects for a maximum potential uplift of 5 notches. The 'BBB-' rating on the Continental 2012-2 class B certificates reflects a full five notch uplift, reflecting Fitch's view that the B tranche benefits both from a high affirmation factor and from recovery prospects that are well above average compared to similar deals. The 'BB-' rating on the Continental 2012-3 class C certificates reflects a three notch uplift based on the affirmation factor, offset by a one notch downward adjustment based on recovery expectations. CREDIT SUISSE 2004-C1: Moody's Affirms C Rating on 2 Certificates ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of four and affirmed the ratings of nine CMBS classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C1 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Oct 27, 2011 Upgraded to Aaa (sf) Cl. C, Upgraded to Aaa (sf); previously on Oct 27, 2011 Upgraded to Aa2 (sf) Cl. D, Upgraded to Aa1 (sf); previously on Mar 22, 2004 Definitive Rating Assigned A2 (sf) Cl. E, Upgraded to Aa3 (sf); previously on Dec 17, 2010 Downgraded to Baa1 (sf) Cl. F, Upgraded to Baa1 (sf); previously on Dec 17, 2010 Downgraded to Baa3 (sf) Cl. G, Affirmed Ba3 (sf); previously on Dec 17, 2010 Downgraded to Ba3 (sf) Cl. H, Affirmed B3 (sf); previously on Dec 17, 2010 Downgraded to B3 (sf) Cl. J, Affirmed Caa3 (sf); previously on Dec 17, 2010 Downgraded to Caa3 (sf) Cl. K, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. A-X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. A-Y, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at Aaa (sf) Ratings Rationale: The upgrades of the four P&I bonds are due to increased credit support resulting from paydowns and amortization as well as anticipated paydowns from maturing and defeased loans. The affirmations of the investment grade P&I 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. The ratings of the below investment grade P&I bonds are consistent with Moody's expected loss and thus are affirmed. The ratings of the IO Classes are consistent with the credit performance of their referenced classes and thus are affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 2.8% of the current pooled balance compared to 4.4% at last review. The deal has paid down 25% since last review. The deal has experienced $40.5 million of realized losses. Moody's base expected loss plus realized losses is 3.9% of the original pooled balance, compared to 5.1% at last review. The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22 compared to 45 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 August 16, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 51% to $801.9 million from $1.62 billion at securitization. The Certificates are collateralized by 140 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans (excluding defeasance) representing 35% of the pool. The pool includes 35 loans with an investment grade credit assessment, representing 18% of the pool. There are 15 defeased loans representing 27% of the pool balance. Seventy loans, representing 32% 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-one loans have been liquidated from the pool, resulting in a realized loss of $40.5 million (44.2% loss severity). There are currently six loans, representing 3% of the pool, in special servicing. Moody's has assumed a high default probability for five poorly performing loans representing 7.4% of the pool. Moody's has estimated a $15.7 million loss (19% expected loss) from the specially serviced and troubled loans. Moody's was provided with full year 2012 operating results for 83% of the pool balance. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 76%. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.47X and 1.46X, respectively. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the Beverly Center Loan ($88.1 million -- 11% of the pool), which represents a participation interest in the senior component of a $267 million mortgage loan. The loan is secured by the leasehold interest in an eight-story regional mall located in Los Angeles, California. The loan is also encumbered by a $41 million B-Note which is held outside the trust. The mall anchors are Bloomingdale's, Macy's and Macy's Men's Store, all controlled by Macy's Inc. The Bloomingdale's and Macy's stores constitute 38% of the net rentable area (NRA) with both leases expiring in March of 2017. The mall was 96% leased as of year-end 2012 compared to 97% leased at last review. Moody's credit assessment and stressed DSCR are A3 and 1.37X, respectively, compared to A3 and 1.39X at last review. The remaining credit assessments are associated with 34 residential cooperative loans which represent $56 million in total loan balance, or a 7% share of the overall pool. Moody's credit assessment for this group of loans is Aaa. The top three conduit loans represent 8% of the pool balance. The largest loan is the Northfield Square Mall Loan ($25.3 million -- 3% of the pool), which is secured by a regional mall located in Bourbonnais, Illinois, approximately 50 miles southwest of Chicago. The anchors are Carson Pirie Scott, Sears, JC Penny and a multiplex theater. The mall was 91% leased as of March 2013, compared to 89% at the prior review. Simon Property Group is the loan sponsor. Moody's current LTV and stressed DSCR are 77% and 1.33X, respectively, compared to 89% and 1.16X at last review. The second largest loan is the Claremore Apartment Homes Loan ($19.7 million -- 2.5% of the pool), which is secured by a 332 unit apartment complex located in San Antonio, Texas. The property has not been performing well due to high repairs and maintenance expenses despite high occupancy and increasing rental income for each year since 2010. The property was 97% occupied as of January 2013. Moody's LTV and stressed DSCR are 137% and 0.71X, respectively, compared to 128% and 0.76X at last review. The third largest loan is the Northland Portfolio Loan ($17.4 million -- 2.2% of the pool). The loan is secured by three apartment complexes; two in Texas and one in North Carolina. As of March 2013, the properties occupancy's ranged from 93% to 97% with a combined occupancy of 96%. The performance has improved each year since 2010 due to increased rental income. Moody's LTV and stressed DSCR are 63% and 1.57X, respectively, compared to 71% and 1.39X at last review. CREDIT SUISSE 2005-C5: Fitch Cuts Ratings on Class G Certs. to CCC ------------------------------------------------------------------ Fitch Ratings has downgraded four classes, upgraded three classes, and affirmed 17 classes of Credit Suisse First Boston Mortgage Securities Corp. series 2005-C5, commercial mortgage pass-through certificates. Key Rating Drivers The downgrades reflect a greater certainty of loss expectations of the overall pool, including anticipated losses from the specially serviced loans, since Fitch's last rating action. Upgrades to rake classes 375-A, 375-B, and 375-C reflect the defeasance of the supporting 375 Park Avenue B-Note, which occurred in April 2013 subsequent to the last rating action. Fitch modeled losses of 4.6% of the remaining pool; expected losses on the original pool balance total 6.1%, including $74.3 million (2.5% of the original pool balance) in realized losses to date. Fitch has designated 72 loans (21.6% of the pool) as Fitch Loans of Concern, which includes six specially serviced assets (3.9% of the pool). As of the August 2013 distribution date, the pool's aggregate principal balance has been reduced by 21.1% to $2.32 billion from $2.94 billion at issuance. Per the servicer reporting, 17 loans (17.1% of the pool) are defeased, including the largest loan in the pool. Interest shortfalls are currently affecting classes K through S. The largest contributor to expected losses is a specially serviced loan (1.7% of the pool), which is secured by a 313,847 sf (square feet) office property located in Phoenix, AZ. The loan transferred to special servicing effective March 2013 due to Monetary Default and a receiver was appointed in April 2013. Occupancy and DSCR were 93% and 1.20x as of YE (Year End) 2012. However, per the June 2013 rent roll, property occupancy has since declined to 76%, in- line with market vacancy. The second largest contributor to expected losses is a 90,804 sf retail center located in Chino, CA (0.6% of the pool). The loan transferred to special servicing in April 2011 due to a decline in occupancy. The loan became REO in August 2012. The leasing agent is pursuing new and renewed leases; per the special servicer, as of August 2013 the asset is 82% leased following the execution of a new fitness user lease. The servicer anticipates timing for sale by YE 2013. The third largest contributor to expected losses is secured by a 308,353 sf retail center located in Littleton, CO, approximately 10 miles southwest of Denver (1.8% of the pool). Occupancy previously declined in 4Q 2011 due to Stein Mart vacating (11% of GLA). Occupancy was 82% and DSCR was 1.07x as of YE 2012. Rating Sensitivity The ratings for the majority of the classes are expected to remain stable. Class A-J has a negative Rating Outlook as an increase in expected losses may not support the current rating. Classes B through F have strong credit enhancement relative to their ratings and have Stable Outlooks; however, these classes may be susceptible to rating downgrades should performance deteriorate further and losses be greater than expectations. The distressed classes (those rated below 'B') are expected to be subject to further downgrades as losses are realized. Fitch downgrades the following classes and assigns or revises Rating Outlooks as indicated: -- $21.8 million class D to 'BBB-sf' from 'BBBsf'; Outlook Stable; -- $18.1 million class E to 'BBsf' from 'BBB-sf'; Outlook Stable; -- $29 million class F to 'Bsf' from 'BBsf'; Outlook to Stable from Negative; -- $36.3 million class G to 'CCCsf' from 'Bsf'; RE 100%. Fitch upgrades the following classes as indicated: -- $5.1 million class 375-A to 'AAAsf' from 'BBB+sf'; Outlook Stable; -- $8.9 million class 375-B to 'AAAsf' from 'BBBsf'; Outlook Stable; -- $19.8 million class 375-C to 'AAAsf' from 'BBB-sf'; Outlook Stable. Fitch affirms the following classes: --$6.4 million class A-3 at 'AAAsf'; Outlook Stable; --$52.5 million class A-AB at 'AAAsf'; Outlook Stable; --$1 billion class A-4 at 'AAAsf'; Outlook Stable; --$425.6 million class A-1-A at 'AAAsf'; Outlook Stable; --$290.2 million class A-M at 'AAAsf'; Outlook Stable; --$224.8 million class A-J at 'AAsf'; Outlook Negative; --$24.9 million class B at 'Asf'; Outlook Stable; --$47.6 million class C at 'BBBsf'; Outlook Stable; --$21.8 million class H at 'CCCsf'; RE 50%; --$32.6 million class J at 'CCsf'; RE 0%; --$32.6 million class K at 'Csf'; RE 0%; --$7.3 million class L at 'Csf'; RE 0%; --$10 million class M at 'Dsf'; RE 0%; --$0 class N at 'Dsf'; RE 0%; --$0 class O at 'Dsf'; RE 0%; --$0 class P at 'Dsf'; RE 0%; --$0 class Q at 'Dsf'; RE 0%. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class S certificates. Fitch previously withdrew the ratings on the interest-only class A-X, A-SP and A-Y certificates. CREST EXETER: Fitch Cuts Ratings on 2 Note Classes to 'C' --------------------------------------------------------- Fitch Ratings has downgraded four and affirmed six classes issued by Crest Exeter Street Solar 2004-1, Ltd./Corp (Crest Exeter 2004- 1). The downgrades are a result of negative migration on the underlying collateral. Key Rating Drivers: Since the last rating action in October 2012, approximately 10.2% of the collateral has been downgraded. Currently, 42.6% of the portfolio has a Fitch derived rating below investment grade and 28.1% has a rating in the 'CCC' category and below, compared to 57% and 24.3%, respectively, at the last rating action. Over this period, the class A notes have received $64.3 million for a total of $243.1 million in principal paydowns since issuance. 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. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. The class A through C notes are passing above their current rating category. However, the notes were affirmed given the increased concentration and risk of adverse selection. The credit enhancement for the class D notes is consistent with the rating indicated below. For the class E 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 E notes have been affirmed at 'Csf', indicating that default is inevitable. The Stable Outlook on the class A and B notes reflects Fitch's view that the transaction will continue to delever. The Negative Outlook on the class C notes reflects junior position of the notes and 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 for the more junior classes. The senior notes are expected to be paid in full in the near term. Crest Exeter 2004-1 is a cash flow commercial real estate collateralized debt obligation (CRE CDO) which closed on April 29, 2004. The collateral is composed of 51.1% commercial mortgage backed securities (CMBS), 21.7% real estate investment trusts (REITs), 18.9% commercial real estate loans (CREL), and 8.3% structured finance CDOs (SF CDOs). Fitch has affirmed the following classes as indicated: -- $18,301,917 class A-1 at 'Asf'; Outlook Stable; -- $4,553,998 class A-2 at 'Asf'; Outlook Stable; -- $8,377,070 class B-1 at 'BBBsf'; Outlook Stable; -- $9,214,777 class B-2 at 'BBBsf'; Outlook Stable; -- $1,675,414 class C-1 at 'BBsf'; Outlook Negative; -- $13,759,337 class C-2 at 'BBsf'; Outlook Negative. Fitch has downgraded the following classes as indicated: -- $5,026,242 class D-1 to 'CCCsf' from 'Bsf'; -- $11,371,872 class D-2 to 'CCCsf' from 'Bsf'; -- $3,794,142 class E-1 to 'Csf' from 'CCCsf'; -- $5,513,647 class E-2 to 'Csf' from 'CCCsf'. ELEMENT EQUIPMENT: S&P Assigns 'BB' Rating on Class C Notes ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its rating to Element Equipment Finance L.P.'s $400 million variable-rate equipment contract-backed notes series 2013-B. The note issuance is an asset-backed securities transaction backed by loans and leases associated with fixed wing aircraft, helicopters, and flight simulation systems. The ratings reflect S&P's view of: -- The initial and future borrower/lessee's estimated credit quality.The flight equipment's collateral value. -- Element Financial Corp.'s perceived ability as servicer, and Portfolio Financial Servicing Co.'s ability to perform the necessary servicing functions as the back-up servicer. -- The portfolio concentration limitation and related borrowing base determination that adjust the leverage based on the portfolio's risk. -- A reserve account funded with 12 months' interest expense. -- The transaction's legal and payment 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/1815.pdf RATING ASSIGNED Element Equipment Finance L.P. Variable-rate equipment contract-backed notes series 2013-B Class Rating Amount (mil. $) Maximum(i) Closing A-1 BBB (sf) 150.0 0.0 A-2 BBB (sf) 100.0 55.0 B BBB- (sf) 75.0 16.5 C BB (sf) 75.0 16.5 (i) The maximum notional amount represents the maximum outstanding balance of each of the series 2013-B note classes. EXETER AUTOMOBILE 2013-2: DBRS Assigns BB Rating to Class D Notes ----------------------------------------------------------------- DBRS Inc. has assigned final ratings to the following classes issued by Exeter Automobile Receivables Trust 2013-2: - Series 2013-2 Notes, Class A rated AAA (sf) - Series 2013-2 Notes, Class B rated 'A' (sf) - Series 2013-2 Notes, Class C rated BBB (sf) - Series 2013-2 Notes, Class D rated BB (sf) EXETER AUTOMOBILE 2013-2: S&P Assigns 'BB' Rating on Class D Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its ratings to Exeter Automobile Receivables Trust 2013-2's $500.00 million automobile receivables-backed notes. 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 approximately 49.06%, 41.01%, 34.47%, and 24.33% credit support for the class A, B, C, and D notes, respectively, based on stressed cash flow scenarios (including excess spread), which provide coverage of more than 2.55x, 2.10x, 1.60x, and 1.30x our 17.0%-18.0% expected cumulative net loss. -- The timely interest and principal payments made to the rated notes by the assumed legal final maturity dates under stressed cash flow modeling scenarios that S&P believes is appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A, B, and C notes would remain within one rating category of its 'AA (sf)', 'A (sf)', and 'BBB (sf)' ratings, respectively, during the first year; and its ratings on the class D notes would remain within two rating categories of its 'BB (sf)' rating. These potential rating movements are consistent with S&P's credit stability criteria, which outlines the outer bound of credit deterioration as a one- category downgrade within the first year for 'AA' rated securities and a two-category downgrade within the first year for 'A' through 'BB' rated securities under the moderate stress conditions. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's payment and credit enhancement structures. -- The transaction's legal structure. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1793.pdf RATINGS ASSIGNED Exeter Automobile Receivables Trust 2013-2 Class Rating Type Interest Amount rate (mil. $) A AA (sf) Senior Fixed 317.71 B A (sf) Subordinate Fixed 67.71 C BBB (sf) Subordinate Fixed 48.17 D BB (sf) Subordinate Fixed 66.41 FIRST UNION 2001-C4: S&P Raises Rating on Class O Notes to 'B+' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class O commercial mortgage pass-through certificates from First Union National Bank Commercial Mortgage Trust Series 2001-C4, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'B+ (sf)' from 'B (sf)'. Concurrently, S&P affirmed its 'B- (sf)' rating on the class P certificates from the same transaction. Furthermore, S&P withdrew its ratings on the class L, M, and N certificates from the same transaction following the full repayment of each class' principal balance, as noted in the transaction's August trustee remittance report. S&P's rating actions follows its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics and performance of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. S&P raised its rating on the class O certificates to 'B+ (sf)' from 'B (sf)' because it believes the available credit enhancement for the affected tranche is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrade also reflects S&P's view of the future performance of the transaction's collateral, and the deleveraging of the trust balance. S&P affirmed the 'B- (sf)' rating on the class P certificates because it expects the available credit enhancement for this class will be within its estimated necessary credit enhancement requirement for the current outstanding rating. Also, S&P affirmed its rating on this class to reflect the credit characteristics and performance of the remaining assets, as well as the transaction-level changes. Although S&P could possibly further raise the ratings on the class O and P certificates based on their available credit enhancement levels, its analysis also considered the remaining small pool size, the delinquent four assets (out of the remaining six) that are with the special servicer, the limited liquidity support available to these classes, the accumulated interest shortfalls outstanding, and the potential for additional interest shortfalls. S&P withdrew its ratings on the class L, M, and N certificates to reflect the full repayment of the class' principal balance, as noted in the transaction's August 2013 trustee remittance report. Classes L, M, and N had beginning balances of $14.1 million, $7.3 million, and $7.0 million, respectively, and were repaid in full from the Overlook at Great Notch loan disposition. As of the Aug. 14, 2013 trustee remittance report, the trust experienced monthly interest shortfalls totaling $649,543, which were offset by $986,965 from the Overlook at Great Notch loan disposition. The monthly interest shortfalls were primarily related to the reimbursement of prior advances of $465,726, non- recoverable interest of $170,186, interest on advances of $48,465, current appraisal subordinate entitlement reduction (ASER) of $17,220, modified interest rate reduction of $8,968, and special servicing fees of $(61,022), which is negative due to the recovery from the Overlook at Great Notch loan disposition. Furthermore, here were additional recoveries this month from the Overlook at Great Notch loan disposition: a net interest adjustment of $184,769, a modified interest rate adjustment of $8,968, and a master servicer fee adjustment of $1,116. This resulted in a net recovery of $532,275 to the trust. As of the Aug. 14, 2013 trustee remittance report, the collateral pool consisted of three loans and three real estate owned (REO) assets with an aggregate principal balance of $24.6 million, down from 137 loans with an aggregate balance of $978.6 million at issuance. Currently, the trust consists of five specially serviced assets ($23.6 million, 96.0%) and one performing loan ($989,798, 4.0%). To date, the transaction lost $8.8 million or 0.9% of the transaction's original pooled certificate balance. Details on the one performing loan are as follows: -- The Walgreens-Moreno Valley CA loan ($989,798; 4.0%) is secured by a 15,120-sq.-ft. retail property in Moreno Valley, Calif. The sole tenant is Walgreen Co., whose lease expires on April 30, 2060. As of Dec. 31, 2012, the reported debt service coverage (DSC) ratio and occupancy rate were 1.76x and 100.0%, respectively. SPECIALLY SERVICED ASSETS As of the Aug. 14, 2013 trustee remittance report, two loans and three REO assets ($23.6 million, 96.0%) were with the special servicer. Details on the five specially serviced assets are as follows: -- The Talon Court Office REO asset ($6.5 million, 26.3%) is the largest asset in the pool and with the special servicer, LNR Partners LLC (LNR). The asset consists of a 55,172-sq.-ft. office property in Auburn, Wash. The reported exposure is $7.3 million, and a $2.4 million appraisal reduction amount (ARA) is in effect against the asset. The loan was transferred to special servicing on June 1, 2011 because of monetary default; the property became REO on March 9, 2012. According to LNR, the asset was sold on July 24, 2013 for $3.225 million. S&P expects a significant loss upon the asset's eventual resolution. -- The Lincoln Place REO asset ($5.9 million, 24.0%), the second-largest asset in the pool, consists of a 43,135-sq.-ft. retail property in Santa Fe. The reported exposure is $7.1 million. The loan was transferred to special servicing on May 16, 2011 because of imminent monetary default; the property became REO on June 25, 2012. According to LNR, they are pursuing a value added strategy by leasing up the property. S&P expects a minimal loss, if any, upon the asset's eventual resolution. -- The Grove Market Shopping Center REO asset ($5.8 million, 23.5%), the third-largest asset in the pool, consists of a 75,491-sq.-ft. retail property in Loxahatchee, Fla. The reported exposure is $6.0 million and a $2.4 million ARA is in effect against the asset. The loan was transferred to special servicing on Sept. 9, 2011 because of a maturity default; the property became REO on Oct. 16, 2012. The loan matured on Aug. 1, 2011. According to LNR, Crossman & Co. has been engaged as the property manager and leasing agent. The 2013 budget and business plan have been approved. S&P expects a moderate loss upon the asset's eventual resolution. -- The Dixie Farm Business Park loan ($3.9 million, 15.7%) is secured by a 124,000-sq.-ft. industrial property in Houston. The total reported exposure is $3.9 million. The loan was transferred to special servicing on Oct. 4, 2011 because of a maturity default. According to LNR, the loan has been modified, and the modification terms include, but are not limited to, extending the maturity date to Feb. 1, 2016 from Sept. 1, 2011 and reducing the interest rate to 4.50% from 7.25%. LNR informed S&P that it plans to return the loan to the master servicer in the near term. -- The Vintage Business Park loan ($1.6 million, 6.5%) is secured by a 12,996-sq.-ft. office property in Juneau, Alaska. The total reported exposure is $2.0 million. The loan was transferred to special servicing on June 2, 2011 because it matured on May 1, 2011. According to LNR, the borrower proposed a deed in lieu of foreclosure, and the lender is evaluating the offer. S&P expects a minimal loss, if any, upon the loan's eventual resolution. As it relates to the above asset resolutions, S&P considered minimal loss to be less than 25%, moderate loss to be between 26% and 59%, and significant loss to be 60% or greater. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties, and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties, and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING RAISED First Union National Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2001-C4 Rating Class To From Credit enhancement (%) O B+ (sf) B (sf) 86.43 RATING AFFIRMED First Union National Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2001-C4 Class Rating Credit enhancement (%) P B- (sf) 67.64 RATINGS WITHDRAWN First Union National Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2001-C4 Rating Class To From L NR BB- (sf) M NR B+ (sf) N NR B (sf) NR-Not rated. FIRST UNION 2001-C2: S&P Lowers Rating on Class N Notes to 'B-' --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on three classes of commercial mortgage pass-through certificates from First Union National Bank Commercial Mortgage Trust Series 2001- C2, a U.S. commercial mortgage-backed securities (CMBS) transaction. These rating actions follows S&P's analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics and performance of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. S&P lowered its rating on the Class N certificates to 'B- (sf)' from 'BB (sf)' because the class had accumulated interest shortfalls outstanding for two consecutive, months and S&P projects that interest shortfalls will continue. S&P lowered its ratings on Classes O and P certificates to 'CCC- (sf)' and 'D (sf)' from 'B+ (sf)' and 'B (sf)', respectively, because S&P expects interest shortfalls to continue, and S&P believes the accumulated interest shortfalls will remain outstanding for the foreseeable future. Class O had an accumulated interest shortfall outstanding for six months, and Class P had an accumulated interest shortfall outstanding for seven months. While available credit enhancement levels may suggest positive rating movements, S&P's analysis also considered the remaining small pool size, four remaining assets are delinquent and with the special servicer, the limited liquidity support available to these classes, accumulated interest shortfalls outstanding, and the potential for additional interest shortfalls. As of the Aug. 14, 2013, trustee remittance report, the trust experienced monthly interest shortfalls totaling $161,136, primarily related to the reimbursement of prior advances of $107,118, non-recoverable interest of $61,173, current ASER of $20,662, special servicing fees of $4,459, and a master servicing fee adjustment of $361. Of the principal, $31,912 was used to cover the interest shortfalls. The interest shortfalls affected all classes. As of the Aug. 14, 2013, trustee remittance report, the collateral pool consisted of one loan and three real estate owned (REO) assets with an aggregate principal balance of $21.4 million, down from 107 loans with an aggregate balance of $1.0 billion at issuance. All of the remaining assets are with the special servicer, LNR Partners LLC (LNR). To date, the transaction experienced losses totaling $34.9 million (3.5% of the transaction's original pooled certificate balance). SPECIALLY SERVICED ASSETS As of the Aug. 14, 2013, trustee remittance report, one loan and three REO assets ($21.4 million, 100.0%) were with the special servicer. Details on the four specially serviced assets are as follows: -- The 610 Weddell REO asset ($7.7 million, 36.0%) is the largest asset both in the pool and with LNR. The asset consists of a 63,072-sq.-ft. industrial property in Sunnyvale, Calif. The reported exposure is $10.1 million, and a $4.0 million appraisal reduction amount (ARA) is in effect against the asset. The loan was transferred to special servicing on June 10, 2010, due to maturity default, and the property became REO on Aug. 29, 2011. The loan matured on June 1, 2010. According to LNR, the property is currently under contract. S&P expects a moderate loss upon the asset's eventual resolution. -- The Regency Pointe Shopping Center REO asset ($5.0 million, 23.5%), the second-largest asset in the pool, consists of a 67,063-sq.-ft. retail property in Jacksonville, Fla. The reported exposure is $5.6 million, and a $919,860 ARA is in effect against the asset. The loan was transferred to special servicing on April 5, 2011, due to maturity default, and the property became REO on May 15, 2012. The loan matured on April 1, 2011. According to LNR, they are pursuing a value-added strategy by leasing up the property. S&P expects a minimal loss, if any, upon the asset's eventual resolution. -- The Bayshore Palms loan ($4.6 million, 21.4%), the third- largest asset in the pool, consists of a 200-unit multifamily property in Safety Harbor, Fla. The reported exposure is $6.0 million. The loan was transferred to special servicing on Jan. 7, 2009, due to a monetary default. According to LNR, legal counsel has been engaged and foreclosure has been filed, which has been stayed due to a bankruptcy filing on April 20, 2012. The court scheduled final confirmation for July 31, 2013. S&P expects a minimal loss, if any, upon the asset's eventual resolution. -- The Towneplace Suites - Tallahassee REO asset ($4.1 million, 19.0%) is secured by a 95-room extended-stay lodging property in Tallahassee, Fla. The total reported exposure is $5.2 million, and a $2.7 million ARA is in effect against the asset. The loan was transferred to special servicing on Nov. 10, 2010, due to a maturity default, and the property became REO on Oct. 16, 2012. The loan matured on Nov. 1, 2010. According to LNR, Great American Hotel Group (Ocean Hospitalities) has been engaged as property manager. The 2013 operating budget and business plan have been approved. LNR has started to undertake the necessary improvement plans at the property. S&P expects a significant loss upon the asset's eventual resolution. As it relates to the above asset resolutions, S&P considered a minimal loss to be less than 25%, a moderate loss to be between 26% and 59%, and a significant loss to be 60% or greater. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED First Union National Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2001-C2 Rating Class To From Credit enhancement (%) N B- (sf) BB (sf) 87.66 O CCC- (sf) B+ (sf) 60.03 P D (sf) B (sf) 41.61 FREMF 2011-K703: Moody's Affirms 'Ba3' Rating on Cl. X-2 Certs -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of five classes of FREMF 2011-K703 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2011-K703 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Sep 15, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Sep 15, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed A3 (sf); previously on Sep 15, 2011 Definitive Rating Assigned A3 (sf) Cl. X-1, Affirmed Aaa (sf); previously on Sep 15, 2011 Definitive Rating Assigned Aaa (sf) Cl. X-2, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of the P&I 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. The ratings of the IO Classes, Classes X-1 and X-2, are consistent with the expected credit performance of their referenced classes and thus are affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 1.8% of the current balance. At last review, Moody's base expected loss was 2.3%. 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. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. 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. 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 45, the same 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 August 26, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 1.0% to $1.21 billion from $1.23 billion at securitization. The Certificates are collateralized by 71 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 35% of the pool. There are no defeased loans or loans with investment grade credit assessments. Two loans, representing 2% 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. There are no loans in special servicing. Moody's was provided with full year 2012 operating results for 100% of the pool's loans. Moody's weighted average LTV is 91% compared to 96% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 5.4% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.76%. Moody's actual and stressed DSCRs are 1.52X and 1.06X, respectively, compared to 1.45X and 1.00X 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 loan is The Pavilions Loan ($82.9 million -- 6.8% of the pool), which is secured by a 932-unit multifamily property located in Manchester, Connecticut. Improvements consist of 34 garden-style apartment buildings, two leasing office/clubhouse buildings, a recreation center building, four maintenance buildings and 13 carport buildings. As of March 2012, the property was 91% leased compared to 92% at securitization. Moody's LTV and stressed DSCR are 107% and 0.89X, respectively, compared to 109% and 0.86X at Moody's last review. The second largest loan is The Park at Arlington Ridge II Loan ($52.5 million -- 4.3% of the pool), which is secured by a 395- unit multifamily property located in Arlington, Virginia. Improvements consist of 24 three-story apartment buildings. As of March 2013, the property was 96% leased, the same at last review. Moody's LTV and stressed DSCR are 91% and 0.98X, respectively, compared to 92% and 0.97X at Moody's last review. The third largest loan is the Casoleil Apartments Loan ($48.2 million -- 4.0% of the pool), which is secured by a 346-unit multifamily property located in San Diego, California. Improvements consist of 17 three-story apartment buildings, a clubhouse/leasing office, 16 garage buildings and a fitness center. As of June 2013, the property was 96% leased, the same at last review. Moody's LTV and stressed DSCR are 104% and 0.89X, respectively, compared to 102% and 0.90X at Moody's last review. FREMF 2011-K704: Moody's Affirms 'Ba3' Rating on Class X2 Secs. --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of five classes of FREMF 2011-K704 Mortgage Trust as follows: Cl. A-1, Affirmed Aaa (sf); previously on Nov 30, 2011 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Nov 30, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Baa1 (sf); previously on Nov 30, 2011 Definitive Rating Assigned Baa1 (sf) Cl. X1, Affirmed Aaa (sf); previously on Nov 30, 2011 Definitive Rating Assigned Aaa (sf) Cl. X2, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of the P&I 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. The ratings of the IO Classes, Classes X1 and X2, are consistent with the expected credit performance of their referenced classes and thus are affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of approximately 3.1 % of the current deal balance. At last review, Moody's base expected loss was approximately 3.0%. Moody's base expected loss plus realized loss figure was 3.1% of the original, securitized deal balance, compared to 3.0% at Moody's last review. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. 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 underlying ratings 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 underlying rating level, is incorporated for loans with similar credit assessments in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 47, the same as 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. Deal Performance: As of the August 26, 2013 payment date, the transaction's aggregate certificate balance has decreased by 1% to $1.19 billion from $1.2 billion at securitization. The Certificates are collateralized by 65 mortgage loans ranging in size from less than 1% to 6.2% of the pool, with the top ten loans representing 31% of the pool. One loan, representing 2% 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. Currently, one loan, representing 2% of the pool, is in special servicing. This loan is the Stonebridge ranch Loan which is secured by a 464 unit multifamily complex located in McKinney, Texas. The loan was transferred to special servicing in February 2012 due to an imminent default resulting from action taken pursuant to a SEC investigation of the borrowers. The borrowers were accused of commingling investor funds and paying returns to investors from new equity raises. A liquidation plan was filed in March 2012 and the borrower's properties will be marketed for sale. Moody's expects a small loss from the liquidation of this loan. Moody's was provided with full-year 2012 and partial year 2013 operating results for 92% and 60% of the performing pool, respectively. Excluding the specially serviced loan, Moody's weighted average LTV is 103% compared to 106% at last full review. Moody's net cash flow reflects a weighted average haircut of 10.5% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.6%. Excluding the specially serviced loan, Moody's actual and stressed DSCRs are 1.38X and 0.92X compared to 1.31X 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 loans represent 13% of the pool. The largest loan is the Rosslyn Heights Apartments Loan ($73.5 million -- 6.2% of the pool), which is secured by a 366 unit multifamily property consisting of four, six-story apartment buildings and one clubhouse located in Arlington, Virginia. As of December 2012 the property was 97% leased, the same as at securitization. The property is in close proximity to the central business district (CBD) of Washington, D.C. Performance has remained stable. Moody's LTV and stressed DSCR are 99% and 0.87X, the same as at last review. The second largest loan is the Farms at Cool Springs Loan ($41.3 million -- 3.5% of the pool), which is secured by a 474 unit multifamily located 18 miles south of Nashville in Franklin, Tennessee. As of March 2013 the property was 93% leased, the same as at last review. The improvements consist of 21 three and four- story apartment buildings, a clubhouse/leasing office and five parking structures (711 spaces). The property was originally constructed in 1998 with no significant renovation occurring since construction. Performance has remained stable. Moody's LTV and stressed DSCR are 100% and 0.99X compared to 104% and 0.90X at last review. The third largest conduit loan is the Highlands at West Village Loan ($41.2 million -- 3.5% of the pool), which is secured by a 292 unit multifamily property located in Smyrna, Georgia, about seven miles northwest of Atlanta's CBD. The improvements consist of nine three and four story apartment buildings and three parking decks. As of March 2013 the property was 91% leased compared to 89% at last review. Moody's LTV and stressed DSCR are 104% and 0.88X, the same as at last review. FREMF MORTGAGE 2012-KF01: Moody's Affirms Ba3 Rating for X Certs ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of four classes issued by FREMF Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-KF01 as follows: Cl. A, Affirmed Aaa (sf); previously on Nov 6, 2012 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed A3 (sf); previously on Nov 6, 2012 Definitive Rating Assigned A3 (sf) Cl. C, Affirmed Baa3 (sf); previously on Nov 6, 2012 Definitive Rating Assigned Baa3 (sf) Cl. X, Affirmed Ba3 (sf); previously on Nov 6, 2012 Definitive Rating Assigned Ba3 (sf) Ratings Rationale: The affirmations of the P&I 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. The rating of the IO Class, Class X, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 3.7% of the current balance. This is the first full review since securitization. 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. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. 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. 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 41 compared to 49 at securitization. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (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 August 26, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 15% to $1.2 billion from $1.4 billion at securitization. Since securitization twelve loans have been prepaid and the Certificates are now collateralized by 68 floating rate loans secured by 68 properties. The mortgage loans range in size from less than 1% to 9% of the pool, with the top ten loans representing 36% of the pool. One loan, representing less than 0.5% 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. Currently, there are no loans in special servicing. Moody's was provided with full year 2012 operating results for 82% of the pool's loans. Moody's weighted average LTV is 109% compared to 110% at securitization. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 8.9%. Moody's actual and stressed DSCRs are 1.73X and 0.89X, respectively, compared to 1.68X and 0.88X at securitization. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three loans represent 16% of the pool. The largest loan is the Gables Summerset Loan ($99.5 million -- 8.5% of the pool), which is secured by a 752 unit multifamily property located in San Diego, California. The property was built in 1987 and renovated between 2007 and 2011. The collateral consists of 53 two-story buildings, a clubhouse/leasing office, four laundry rooms and five pool cabanas. The property was 96% leased as of March 2013 compared to 97% at securitization. The loan is interest only throughout its entire five year term. Moody's LTV and stressed DSCR are 115% and 0.80X, the same as at securitization. The second largest loan is the Orion at Roswell Village Loan ($46.9 million -- 4.0% of the pool), which is secured by a 668 unit multifamily property located in Roswell, Georgia. The property was built between 1995 and 1997 and renovated in 2010. The collateral consists of 29 two-, three-, and four-story apartment buildings, a leasing office, fitness center building and 18 garage structures. As of December 2012 the property was 93% leased compared to 95% at securitization. The loan has an initial two-year interest only term and thereafter amortizes on a 360 month schedule. Moody's LTV and stressed DSCR are 116% and 0.81X, respectively, compared to 118% and 0.80X at securitization. The third largest loan is Lincoln Las Colinas Loan ($45.5 million -- 3.9% of the pool), which is secured by a 510 unit Class A multifamily property located in Irving, Texas. The property was built in 2009 and consists of seven three- and four-story buildings. The complex includes 953 parking spaces (of which 587 are housed in a multi-level parking garage). As of December 2012 the property was 92% leased compared to 95% at securitization. Property performance has improved since securitization due to an increase in rental revenue. The loan has an initial two-year interest only term and thereafter amortizes on a 360 month schedule. Moody's LTV and stressed DSCR are 113% and 0.86X, respectively, compared to 120% and 0.81X at securitization. G-FORCE CDO 2006-1: Fitch Affirms 'D' Ratings on 4 Note Classes --------------------------------------------------------------- Fitch Ratings has affirmed 12 classes issued by G-Force CDO 2006-1 Ltd./Corp (G-Force 2006-1). The affirmations are a result of amortization of the capital structure. Key Rating Drivers: Since the last rating action in October 2012, approximately 25.8% of the collateral has been downgraded and 23.2% has been upgraded. Currently, 65.2% of the portfolio has a Fitch derived rating below investment grade and 31.7% has a rating in the 'CCC' category and below, compared to 60.7% and 22.4%, respectively, at the last rating action. Over this time, the class A notes have received $11.7 million for a total of $31.6 million in principal paydowns since issuance. 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. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Based on this analysis, the credit characteristics of classes A-2 and SSFL are generally consistent with the ratings assigned below. For the class A-3, JRFL, and F through G notes, Fitch analyzed the sensitivity of each class to the default of the distressed assets ('CCC' and below). Given the high probability of default of these assets and expected limited recovery prospects upon default and the risk of shortfalls in the payment of timely interest to the classes, Fitch has affirmed the class A-3 and JRFL notes at 'CCsf', indicating that default is probable. Similarly, Fitch has affirmed the class F through J notes at 'Csf', indicating that default is inevitable. On the Dec. 4, 2009 payment date, the transaction entered into an event of default (EOD) due to the failure to pay the full and timely interest on the class E notes. Subsequently, the class B through D notes have defaulted on their timely interest payments. Therefore, Fitch has affirmed the class B through E notes at 'Dsf'. The Stable Outlook on the class A-2 notes reflects Fitch's view that the transaction will continue to delever. The Negative Outlook on the class SSFL notes reflects the potential of adverse selection as the portfolio continues to amortize. 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. G-Force 2006-1 is a commercial real estate collateralized debt obligation (CRE CDO) that closed on Sept. 13, 2006. The transaction is completely collateralized by commercial mortgage backed securities (CMBS). Fitch has affirmed the following classes and revised Outlooks as indicated: -- $21,542,701 class A-2 at 'AAsf'; Outlook to Stable from Negative; -- $135,273,000 class A-3 at 'CCsf'; -- $91,534,331 class SSFL at 'BBBsf'; Outlook Negative; -- $67,000,000 class JRFL at 'CCsf'; -- $42,921,000 class B at 'Dsf' -- $18,709,000 class C at 'Dsf' -- $31,916,000 class D at 'Dsf' -- $28,614,000 class E at 'Dsf'; -- $14,652,185 class F at 'Csf'; -- $26,736,247 class G at 'Csf'; -- $20,166,948 class H at 'Csf'; -- $27,840,457 class J at 'Csf'. GE COMMERCIAL 2004-C1: Moody's Affirms C Rating on Cl. O Certs -------------------------------------------------------------- Moody's Investors Service upgraded the ratings of five classes and affirmed 11 classes of GE Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2004-C1 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Dec 10, 2004 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Dec 10, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Mar 6, 2007 Upgraded to Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Sep 25, 2008 Upgraded to Aaa (sf) Cl. D, Affirmed Aaa (sf); previously on Nov 3, 2011 Upgraded to Aaa (sf) Cl. E, Upgraded to Aaa (sf); previously on Nov 3, 2011 Upgraded to Aa2 (sf) Cl. F, Upgraded to Aa3 (sf); previously on Nov 3, 2011 Upgraded to A3 (sf) Cl. G, Upgraded to A1 (sf); previously on Nov 3, 2011 Upgraded to Baa1 (sf) Cl. H, Upgraded to A3 (sf); previously on Dec 10, 2004 Definitive Rating Assigned Baa3 (sf) Cl. J, Upgraded to Baa3 (sf); previously on Nov 18, 2010 Downgraded to Ba2 (sf) Cl. K, Affirmed B2 (sf); previously on Nov 18, 2010 Downgraded to B2 (sf) Cl. L, Affirmed Caa2 (sf); previously on Nov 18, 2010 Downgraded to Caa2 (sf) Cl. M, Affirmed Ca (sf); previously on Nov 18, 2010 Downgraded to Ca (sf) Cl. N, Affirmed C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. O, Affirmed C (sf); previously on Nov 18, 2010 Downgraded to C (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The upgrades of the five P&I bonds are due to increased credit support as well as anticipated paydowns from loans approaching maturity that are well positioned for refinance. The deal has paid down by 49% since Moody's last review. The affirmations of the investment grade P&I 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. The ratings of the below-investment grade P&I bonds are consistent with Moody's expected loss and thus are affirmed. The rating of the IO Class, Class X-1, is consistent with the credit performance of its referenced classes and thus is affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 3.2% of the current pooled balance compared to 2.0% at last review. Moody's base expected loss plus realized losses is 2.4% of the original pooled balance compared to 2.6% at last review. 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. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. 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. 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 25 compared to 35 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 August 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 72% to $353.4 million from $1.27 billion at securitization. The Certificates are collateralized by 60 mortgage loans ranging in size from 9% to less than 1% of the pool, with the top ten loans (excluding defeasance) representing 44% of the pool. There are ten defeased loans representing 13% of the pool balance. Eighteen loans, representing 31% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (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. Ten loans have been liquidated from the pool, resulting in a realized loss of $19.7 million (25.5% loss severity). There are currently three loans, representing 3% of the pool, in special servicing. The largest specially serviced exposure is the Muncie/Eaton Manufactured Home Portfolio Loan ($4.2 million -- 1.2% of the pool). The loan is secured by two manufactured housing communities located in Muncie and Eaton Indiana. The property was 48% leased as of August 2013. The special servicer indicated it intends to foreclose on the property. Moody's has assumed a high default probability for three poorly performing loans representing 3.5% of the pool. Moody's has estimated a $6.3 million loss (27% expected loss) from the specially serviced and troubled loans. Moody's was provided with full year 2012 operating results for 100% of the pool balance. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 75%. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.50X and 1.40X, respectively. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 22% of the pool balance. The largest loan is the Elmwood Shopping Center Loan ($31.4 million -- 8.9% of the pool), which is secured by a four building outdoor retail center located in Harahan, Louisiana, approximately 10 miles west of New Orleans. The three largest tenants are Alton Ochsner Medical Foundation (18% of the NRA; lease expiration in December 2017), Marshalls (8% of the NRA; lease expiration in October 2017) and OfficeMax (7% of the NRA; lease expiration in December 2017). As of June 2013, the property was 97% leased compared to 98% at last review. Moody's LTV and stressed DSCR are 67% and 1.52X, respectively, compared to 75% and 1.37X at last review. The second largest loan is the Devonshire Reseda Shopping Center Loan ($26.6 million -- 7.5% of the pool), which is secured by an 183,000 square foot single-story shopping center located in Northridge, California. The three largest tenants are LA Fitness (25% of the NRA; lease expiration in February 2022), Albertsons (19% of the NRA; lease expiration in March 2014) and REI (9% of the NRA; lease expiration in August 2015). Smart and Final is in the process of signing a 15 year lease to occupy the space currently occupied by Albertsons. Details are being worked out for Albertsons to terminate early allowing a rent free period for Smart and Final to renovate. As of June 2013, the property was 100% leased. Moody's LTV and stressed DSCR are 71% and 1.38X, respectively, compared to 88% and 1.1X at last review. The third largest loan is the Greens at Shawnee Loan ($20.4 million -- 5.8% of the pool). The loan is secured by a suburban apartment complex located 25 miles southwest of Kansas City in Shawnee, Kansas. The property was 93% leased as of year-end 2012, the same as at year-end 2011. Performance has improved each year since 2010 due to increased rental income. Moody's current LTV and stressed DSCR are 78% and 1.18X respectively, compared to 92% and 1.00X at last review. GOLDMAN SACHS 2006-GG8: Rights Transfer No Impact on Ratings ------------------------------------------------------------ Moody's Investors Service was informed that the Controlling Class Representative intends to replace LNR Partners, LLC as the Special Servicer and to appoint C-III Asset Management LLC as the successor Special Servicer (the "Proposed Special Servicer Replacement"). 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. At this time, the proposed transfer 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 GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2006-GG8. Moody's ratings address only the credit risks associated with the proposed transfer of special servicing rights. Other non-credit risks have not been addressed, but may have significant effect on yield and/or other payments to investors. This action should not be taken to imply that there will be no adverse consequence for investors since in some cases such consequences will not impact the rating. The last rating action for GSMS 2006-GG8 was taken on January 28, 2013. The methodology used in monitoring this transaction was "Moody's Approach to Rating U.S. CMBS Conduit Transactions", published in September 2000. On January 28, 2013, Moody's downgraded the ratings of six classes and affirmed 15 classes of Goldman Sachs 2006-GG8 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Nov 8, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Nov 8, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-M, Downgraded to Baa2 (sf); previously on Mar 25, 2010 Downgraded to Aa3 (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Nov 8, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Nov 8, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-J, Downgraded to B3 (sf); previously on Mar 10, 2011 Downgraded to Ba1 (sf) Cl. B, Downgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ba2 (sf) Cl. C, Downgraded to Caa2 (sf); previously on Mar 10, 2011 Downgraded to B2 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Mar 10, 2011 Downgraded to Caa1 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Mar 10, 2011 Downgraded to Caa2 (sf) Cl. F, Affirmed Caa3 (sf); previously on Mar 25, 2010 Downgraded to Caa3 (sf) Cl. A-4, Affirmed Aaa (sf); previously on Nov 8, 2006 Definitive Rating Assigned Aaa (sf) Cl. X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. G, Affirmed Ca (sf); previously on Mar 25, 2010 Downgraded to Ca (sf) Cl. H, Affirmed C (sf); previously on Mar 25, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Mar 25, 2010 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Mar 25, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Mar 25, 2010 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Mar 25, 2010 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Mar 25, 2010 Downgraded to C (sf) Cl. O, Affirmed C (sf); previously on Mar 25, 2010 Downgraded to C (sf) GRAMERCY REAL 2007-1: Moody's Hikes Rating on Cl. A-2 Notes to B3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one class and affirmed the ratings of four classes of notes issued by Gramercy Real Estate CDO 2007-1, Ltd. The upgrade is due in part to the current insurance financial strength of MBIA Insurance Corporation. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-REMIC) transactions. Moody's rating action is as follows: Cl. A-1, Affirmed B3 (sf); previously on Nov 14, 2012 Downgraded to B3 (sf) Cl. A-2, Upgraded to B3 (sf); previously on Nov 28, 2012 Downgraded to Caa2 (sf) Cl. A-3, Affirmed Caa3 (sf); previously on Nov 23, 2011 Downgraded to Caa3 (sf) Cl. B-FL, Affirmed Caa3 (sf); previously on Dec 1, 2010 Downgraded to Caa3 (sf) Cl. B-FX, Affirmed Caa3 (sf); previously on Dec 1, 2010 Downgraded to Caa3 (sf) Ratings Rationale: Gramercy Real Estate CDO 2007-1, Ltd. is a static cash transaction backed by a portfolio of: i) commercial mortgage backed securities (CMBS) (77.5% of the pool balance); ii) whole loans and senior participations (13.9%); iii) mezzanine loan interests (3.2%); and iv) B-note debt (0.4%). As of the August 15, 2013 payment date, the aggregate note balance of the transaction, including preferred shares, has decreased to $1.06 billion from $1.1 billion at issuance, as a result of the paydown directed to the senior most class of notes from the combination of principal repayment of collateral, resolution and sales of defaulted collateral, and the failing of certain par value tests. Also, MBIA Insurance Corporation provides a guarantee on the scheduled payment of interest and principal related to the Class A-2 Notes. Moody's ratings on structured finance securities that are guaranteed or "wrapped" by a financial guarantor are generally maintained at a level equal to the higher of the following: a) the rating of the guarantor (if rated at the investment grade level); or b) the published or unpublished underlying rating. Moody's approach to rating wrapped transactions is outlined in Moody's special comment entitled "Assignment of Wrapped Ratings When Financial Guarantor Falls Below Investment Grade" (May 2008); and Moody's November 10, 2008 announcement entitled "Moody's Modifies Approach to Rating Structured Finance Securities Wrapped by Financial Guarantors". 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 4,047 compared to 3,772 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (0.5% compared to 1.9% at last review), A1-A3 (3.8% compared to 1.8% at last review), Baa1-Baa3 (6.9% compared to 10.9% at last review), Ba1-Ba3 (2.0% compared to 9.8% at last review), B1-B3 (38.7% compared to 30.7% at last review), and Caa1-Ca/C (48.1% compared to 44.9% at last review). Moody's modeled to a WAL of 3.5 years compared to 4.3 years at last review. The current WAL is based on the assumption about extensions on the underlying collateral. Moody's modeled a fixed WARR of 17.7% compared to 20.3% at last review. Moody's modeled a MAC of 0.0% compared to 9.7% 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. In general, the rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 17.7% to 7.7% or up to 27.7% would result in rating movements on the rated tranches of 0 to 1 notch downward or 0 to 1 notch 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 rating implementation guidelines used in this rating were "Assignment of Wrapped Ratings When Financial Guarantor Falls Below Investment Grade" published in May, 2008 and "Moody's Modifies Approach to Rating Structured Finance Securities Wrapped by Financial Guarantors" published in November 2008. 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. HIGHBRIDGE LOAN 2013-2: S&P Assigns 'BB' Rating on Class D Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Highbridge Loan Management 2013-2 Ltd./Highbridge Loan Management 2013-2 LLC's $378.5 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 ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which primarily comprises broadly syndicated speculative-grade senior secured term loans. -- The asset manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which it assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.2600%-13.8391%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of excess interest proceeds that are available before paying uncapped administrative expenses and fees, subordinated hedge and synthetic security termination payments, portfolio manager incentive fees, and subordinated note payments to principal proceeds to purchase additional collateral assets during the reinvestment period. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1713.pdf RATINGS ASSIGNED Highbridge Loan Management 2013-2 Ltd./ Highbridge Loan Management 2013-2 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 260.00 A-2 AA (sf) 43.00 B-1 (deferrable) A (sf) 22.50 B-2 (deferrable) A (sf) 9.50 C (deferrable) BBB (sf) 19.50 D (deferrable) BB (sf) 16.00 E (deferrable) B (sf) 8.00 Subordinated notes NR 35.55 NR-Not rated. JP MORGAN 2004-PNC1: Fitch Affirms 'D' Rating on Class H Certs. --------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., series 2004-PNC1 commercial mortgage pass-through certificates (JPMCC 2004-PNC1). Key Rating Drivers The affirmations are due to stable performance of the pool. Fitch modeled losses of 2.3% of the remaining pool; expected losses on the original pool balance total 6.2%, including $51.2 million (4.7% of the original pool balance) in realized losses to date. Fitch has designated 17 loans (13%) as Fitch Loans of Concern, which includes one specially serviced asset (1.7%). As of the September 2013 distribution date, the pool's aggregate principal balance has been reduced by 35.2% to $711.1 million from $1.1 billion at issuance. Seventeen loans (30.4%) are currently defeased. Interest shortfalls are currently affecting classes H through NR. The largest contributor to Fitch's modeled losses is a 236 unit multifamily property (0.9%) located in Arlington, TX. The most recent occupancy reported by the master servicer is 62% as of March 2013 and the property is not producing sufficient income to meet its debt service obligations, although the loan remains current. The second largest contributor to expected losses is a 47,367 square foot (sf) medical center (0.8%) located in Corona, CA. The property is not producing sufficient income to meet its debt service obligations and occupancy was 45% as of December 2012. Per a November inspection, the third floor is damaged due to vandalism while occupied units remain in good condition. Rating Sensitivities The ratings on the class A-1A through E notes are expected to be stable as the credit enhancement remains high. The class F and G notes may be subject to further downgrades as losses are realized. Fitch affirms the following classes: -- $16 million class A-3 at 'AAAsf'; Outlook Stable; -- $426.2 million class A-4 at 'AAAsf'; Outlook Stable; -- $160.9 million class A-1A at 'AAAsf'; Outlook Stable; -- $28.8 million class B at 'AAsf'; Outlook Stable; -- $13.7 million class C at 'Asf'; Outlook Stable; -- $17.8 million class D at 'BBsf'; Outlook Stable; -- $11 million class E at 'Bsf'; Outlook Stable; -- $16.5 million class F at 'CCCsf'; RE 100%; -- $11 million class G at 'CCsf'; RE 95%; -- $9.2 million class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1 and A-2 notes have paid in full. Fitch does not rate the class NR notes. Fitch has previously withdrawn the rating on the interest-only class X certificates. JP MORGAN 2005-LDP2: Moody's Affirms C Ratings on 2 Certs --------------------------------------------------------- Moody's Investors Service affirmed the ratings of 18 classes of J.P. Morgan Chase Commercial Mortgage Securities Corporation, Series 2005-LDP2 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Jul 5, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-3A, Affirmed Aaa (sf); previously on Jul 5, 2005 Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 5, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jul 5, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Jul 5, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-M, Affirmed Aa2 (sf); previously on Dec 2, 2010 Downgraded to Aa2 (sf) Cl. A-MFL, Affirmed Aa2 (sf); previously on Dec 2, 2010 Downgraded to Aa2 (sf) Cl. A-J, Affirmed A3 (sf); previously on Dec 2, 2010 Downgraded to A3 (sf) Cl. B, Affirmed Baa3 (sf); previously on Oct 11, 2012 Downgraded to Baa3 (sf) Cl. C, Affirmed Ba1 (sf); previously on Oct 11, 2012 Downgraded to Ba1 (sf) Cl. D, Affirmed B1 (sf); previously on Oct 11, 2012 Downgraded to B1 (sf) Cl. E, Affirmed B3 (sf); previously on Oct 11, 2012 Downgraded to B3 (sf) Cl. F, Affirmed Caa1 (sf); previously on Oct 11, 2012 Downgraded to Caa1 (sf) Cl. G, Affirmed Caa3 (sf); previously on Oct 11, 2012 Downgraded to Caa3 (sf) Cl. H, Affirmed Ca (sf); previously on Oct 11, 2012 Downgraded to Ca (sf) Cl. J, Affirmed C (sf); previously on Oct 11, 2012 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of the investment grade P&I 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. The ratings of the below-investment grade classes are consistent with Moody's expected loss and thus are affirmed. The rating of the IO Class, Class X1, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of approximately 8.1% of the current deal balance. At last review, Moody's base expected loss was approximately 8.3%. Moody's base expected loss plus realized loss is 8.9% of the original, securitized deal balance, compared to 9.1% at Moody's last review. 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. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. 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 underlying ratings 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 underlying rating level, is incorporated for loans with similar credit assessments in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 51 compared to a Herf of 55 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. Deal Performance: As of the August 15, 2013 payment date, the transaction's aggregate certificate balance has decreased by 42% to $1.7 billion from $2.9 billion at securitization. The Certificates are collateralized by 214 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 32% of the pool. Fifteen loans, representing approximately 7% of the pool, are defeased and are collateralized by U.S. Government securities. Thirty-nine loans, representing 14% 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. Thirty-seven loans have liquidated from the pool, resulting in an aggregate realized loss of $126 million. Currently, 17 loans, representing 16% of the pool, are in special servicing. The largest specially serviced loan is the CityPlace One Loan ($113 million -- 6% of the pool), which is secured by a seven property portfolio located in the mid-county sub-market of St. Louis. The loan transferred to special servicing in April of 2012 for maturity default. The property was 90% leased as of January 2012. The remaining 16 specially serviced loans are secured by a mix of commercial, office, self-storage, retail and industrial property types. Moody's estimates an aggregate $89 million loss (32.8% expected loss overall) for the specially serviced loans. Moody's has assumed a high default probability for 20 poorly performing loans representing 24% of the pool and estimates an aggregate $19 million loss (15% expected loss overall) for these loans. Moody's was provided with full-year 2012 and partial year 2013 operating results for 86% and 57% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 93% compared to 95% at last full review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.48%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.44X and 1.18X, respectively, compared to 1.44X and 1.14X 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 13% of the pool. The largest loan is the Shops at Canal Place Loan ($90 million -- 5% of the pool), which is secured by 215,000 square feet (SF) of retail space in a 2.15 million square foot (SF) mixed use complex located in New Orleans, Louisiana. The mixed use complex includes a 438-room Wyndahm Hotel and a 32 story office property, neither of which are part of the collateral. The main anchor of the retail space is Saks Fifth Avenue, which leases about 50% of the retail space through 2019. The property was 97% leased as of March 2013 compared to 92% at last review. Moody's current LTV and stressed DSCR are 116% and 1.39X compared to 120% and 1.34X at last review. The second largest loan is the Hutchinson Metro Center Loan ($82 million -- 5% of the pool). The loan is secured by a 424,000 SF office building located in the Bronx, New York. The property was 100% leased as of March 2013, the same as at last review. Moody's current LTV and stressed DSCR are 95% and 1.02X compared to 103% and 0.94X at last review. The third largest loan is The Russ Building Loan ($60 million -- 4% of the pool). The loan is secured by a 509,368 SF office building located in San Francisco, California. The property was 98% leased as of March 2013. Moody's current LTV and stressed DSCR are 57% and, 1.67X, the same as at last review. JP MORGAN 2006-CIBC16: Moody's Cuts Rating on Cl. C Certs to Caa3 ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of four classes affirmed nine classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2006-CIBC16 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Oct 2, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Oct 2, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Oct 2, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-M, Affirmed A3 (sf); previously on Oct 11, 2012 Downgraded to A3 (sf) Cl. A-J, Affirmed B3 (sf); previously on Oct 11, 2012 Downgraded to B3 (sf) Cl. B, Downgraded to Caa2 (sf); previously on Dec 2, 2010 Downgraded to Caa1 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Dec 2, 2010 Downgraded to Caa2 (sf) Cl. D, Downgraded to C (sf); previously on Dec 2, 2010 Downgraded to Caa3 (sf) Cl. E, Downgraded to C (sf); previously on Dec 2, 2010 Downgraded to Ca (sf) Cl. F, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. X-2, Affirmed Aaa (sf); previously on Oct 2, 2006 Definitive Rating Assigned Aaa (sf) Ratings Rationale: The downgrades are due to greater realized and expected losses from specially serviced and troubled loans, as well as increased interest shortfalls from loan modifications. One & Two Prudential Plaza, the largest loan in the deal, was recently modified with a hope note and interest rate reduction. The affirmations of the investment grade P&I 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. The rating of below-investment grade P&I classes are consistent with Moody's expected loss and thus affirmed. The ratings of the IO Classes, Class X-1 and X-2, are consistent with the expected credit performance of their referenced classes and thus affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 10.3% of the current balance. At last full review, Moody's base expected loss was 11.2%. Moody's base expected loss plus cumulative realized losses now represents 12.8% of the original securitized balance compared to 11.6% at last review. 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. The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. 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. 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 24 compared the same 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 August 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased 29% to $1.53 billion from $2.15 billion at securitization. The Certificates are collateralized by 103 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 52% of the pool. No loans have defeased and there are no loans with an investment grade credit assessment. There are currently 32 loans, representing 30% of the pool, on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fourteen loans have been liquidated from the pool since securitization resulting in an aggregate realized loss totaling $116.7 million (average loss severity of 53%). There are five loans, representing 15% of the pool, currently in special servicing. The largest specially serviced loan is the One and Two Prudential Plaza Loan ($168.0 million -- 13.4% of the pool), which is secured by two cross-collateralized and cross-defaulted Class A office buildings located in the East Loop sub-market of Chicago, Illinois. The loan represents a 50% pari-passu interest in a $410.0 million first mortgage. Effective June 6, 2013 the loan was split into an A/B Note structure. The Restated Promissory Notes A- 1 and A-2 are $168 million each and Promissory Notes B-1 and B-2 are $37.0 million each. The loan modification included a 300bp interest rate adjustment on the A-Note for 36 months and deferred interest on the B-Note. The borrower contributed $60.0 million in additional equity to fund a combined tenant improvements, leasing commissions and capital expenditure reserve. The loan remains locked out to prepayment until July 1, 2015. This loan modification will generate monthly interest shortfalls totaling approximately $420,000 for each of the two A notes and $187,000 for each of the two B notes. The remaining specially serviced loans are secured by a mix of property types. The master servicer has recognized appraisal reductions totaling $4.9 million for the specially serviced loans. Moody's has estimated an aggregate $85.6 million loss (37% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 16 poorly performing loans representing 11% of the pool and has estimated an $28.9 million aggregate loss (18% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2011 and 2012 operating results for 98% of the performing pool. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 100%, which was the same at last full review. Moody's net cash flow reflects a weighted average haircut of 9% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.5%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.34X and 1.10X, respectively, compared to 1.32X and 1.05X at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 19% of the pool balance. The largest loan is the Prime Retail Outlets Portfolio Loan ($107.1 million -- 7.0% of the pool), which is secured by three outlet centers totaling 808,000 SF. The properties are located in Lee, Massachusetts; Gaffney, South Carolina and Calhoun, Georgia. The portfolio was 90% leased as of March 2013 compared to 93% at last review. Financial performance has steadily improved since 2009 and the loan has also amortized 7% since securitization. Moody's LTV and stressed DSCR are 71% and 1.45X, respectively, compared to 78% and 1.31X at last review. The second largest loan is the Sequoia Plaza Loan ($92.7 million - - 6.0% of the pool), which is secured by an office park consisting of three condominium office buildings constructed between 1988 and 1990 in Arlington, Virginia. The improvements are situated within two miles of Pentagon City and Crystal City and there is a shuttle providing access to the DC Metrorail. The loan is currently on the watchlist due low DSCR due to reduced revenue from lower occupancy, tenant delinquencies and decreased rental rates. However, the borrower recently signed a lease with Arlington Public Schools ("APS") for over 62,000 SF of additional space which would bring the total occupancy up to 92% as of June 2013 compared to 75% as of December 2012. Moody's analysis reflects the additional benefit of the recent lease and increased occupancy. The loan is interest only for the entire term. Moody's LTV and stressed DSCR are 148% and 0.73X, respectively, compared to 199% and 0.54X at last review. The third largest conduit loan is the Retail Portfolio Loan ($86.0 million -- 5.6% of the pool), which is secured by four anchored retail centers, two unanchored retail centers, and one suburban office property totaling approximately 933,000 SF. Major tenants include Dick's, Loews Cinemas, TJ Maxx and Kmart. The portfolio was sold by Centro to Blackstone in 2011 as part of the acquisition the Centro's real estate portfolio. Portfolio performance has declined year-over-year due to a decrease in total occupancy, which was 85% as of April 2013. The loan is interest only for the entire term. Moody's LTV and stressed DSCR are 112% and 0.92X, respectively, compared to 103% and 1.00X at last review. JP MORGAN 2007-C1: Moody's Affirms C Ratings on 10 Certs -------------------------------------------------------- Moody's Investors Service affirmed the ratings of 22 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2007-C1 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Jan 14, 2008 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jan 14, 2008 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aa2 (sf); previously on Sep 13, 2012 Downgraded to Aa2 (sf) Cl. A-SB, Affirmed Aa2 (sf); previously on Sep 13, 2012 Downgraded to Aa2 (sf) Cl. A-M, Affirmed Ba1 (sf); previously on Sep 13, 2012 Downgraded to Ba1 (sf) Cl. A-J, Affirmed B3 (sf); previously on Sep 13, 2012 Downgraded to B3 (sf) Cl. B, Affirmed Caa1 (sf); previously on Sep 13, 2012 Downgraded to Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on Sep 13, 2012 Downgraded to Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Sep 13, 2012 Downgraded to Caa3 (sf) Cl. E, Affirmed Ca (sf); previously on Sep 13, 2012 Downgraded to Ca (sf) Cl. F, Affirmed C (sf); previously on Sep 13, 2012 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Sep 13, 2012 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. P, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. Q, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. X-2, Affirmed Aa2 (sf); previously on Sep 13, 2012 Downgraded to Aa2 (sf) Ratings Rationale: The affirmations of the investment grade P&I 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. The ratings of the below-investment grade P&I classes are consistent with Moody's expected loss and thus are affirmed. The rating of the IO Classes, Class X-1 and X-2, are consistent with the expected credit performance of their referenced classes and thus are affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Based on its current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement levels for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 14.1% of the current balance compared to 14.4% at last review. Realized losses increased to 2.5% of the original balance from 0.9% since the prior review. Moody's base expected loss plus realized losses is now 15.1% of the original pooled balance compared to 14.6% at last review. 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. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. 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. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 17 compared to 19 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the August 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 10% to $1.06 billion from $1.18 billion at securitization. The Certificates are collateralized by 53 mortgage loans ranging in size from less than 1% to 13% of the pool. The top ten loans represent approximately 68% of the pool. Twenty loans, representing approximately 39% 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 since securitization, of which six loans generated an aggregate loss of $29.1 million (36% average loss severity). Currently there are five loans in special servicing, representing approximately 9% of the pool balance. The largest specially serviced loan is the Westin Portfolio Loan ($103.4 million -- 9.7% of the pool), which is secured by two Westin Hotels -- the Westin La Paloma, a 487-key full-service hotel in Tucson, Arizona and the Westin Hilton Head, a 412-key full-service ocean front hotel in Hilton Head, South Carolina. The loan represents a 50% pari-passu interest in a $206.8 million loan that is also held within JPMCC 2008-C2. The loan was transferred to special servicing in October 2008 due to imminent default. The borrowed filed for Chapter 11 Bankruptcy in November 2010. The special servicer modified the loan in May 2012. The loan was later deemed non-recoverable by the master servicer in August 2012 and the servicer began recovering advances from the trust. This is resulting in monthly interest shortfalls of $611,000 and monthly principal losses of $190,500. To date, the loan's total outstanding advances and appraisal subordinate entitlement reductions (ASERs) are $27.9 million. The second largest loan in special servicing is the Landmark Office Center Loan ($22.8 million -- 2.1% of the pool). Transferred to special servicing in April 2012 for imminent default, the loan is secured by a 297,000 square foot office building in Indianapolis, Indiana. As of March 2013, the property was 60% leased. The master servicer recognized a $15.8 million appraisal reduction in August 2013. Total outstanding advances and ASERS are $2.76 million. The remaining specially serviced loans are a mix of industrial, office and retail. Moody's has estimated $92.7 million (68% expected loss) for four out of the five specially serviced loans. Moody's has assumed a high default probability for seven poorly performing loans, representing 12% of the pool. Moody's has estimated a $23.4 million loss (18% expected loss based on a 50% probability default) from these troubled loans. Based on the most recent remittance statement, Classes B through T have experienced $22.7 million in cumulative interest shortfalls. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, ASERs, extraordinary trust expenses and loan modifications. Excluding specially serviced loans, Moody's was provided with full year 2011 and 2012 operating results for 86% and 89% of the pool. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 109% compared to 115% at last full review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.20X and 1.0X, respectively, compared to 1.16X and 0.95X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 30% of the pool. The largest loan is the American Cancer Society Plaza Loan ($133.2 million -- 12.5% of the pool), which is secured by a 996,000 SF office building located in Atlanta, Georgia. The largest tenant is the American Cancer Society, which leases approximately 28% of the net rentable area (NRA) through June 2022. As of June 2013, the property was 83% leased compared to 82% at last review. Net operating income improved 11% since last review, primarily due to an increase in base revenues and a decrease in operating expenses. The loan matures in September 2017. Moody's LTV and stressed DSCR are 141% and 0.75X, respectively, compared to 150% and 0.85X at last review. The second largest loan is the Block at Orange Loan ($107.1 million -- 10.1% of the pool), which is secured by a 701,171 SF outdoor outlet mall built in 1998 and located in Orange, California. The loan represents a 50.0% pari-passu interest in a $214.2 million loan. As of March 2013, the total mall was 99% leased compared to 91% last review. The mall's in-line space was 97% leased. Net operating income increased 23% due to an increase in occupancy and revenues. The loan matures in October 2014. Moody's LTV and stressed DSCR are 98% and 0.96X, respectively, compared to 115% and 0.82X at last review. The third largest loan is the Gurnee Mills Loan ($75.0 million -- 6.6% of the pool), which is secured by a 1.8 million SF mall (1.55 million SF serves as collateral) built in 1991 and located between Chicago and Milwaukee in Gurnee, Illinois. The loan represents a 23.4% pari-passu interest in a $321.0 million loan. As of June 2013, the property was 94% leased compared to 93% at last review. The loan matures in July 2017. Moody's LTV and stressed DSCR are 124% and 0.76X, respectively, compared to 123% and 0.77X at last review. JP MORGAN 2007-CIBC20: Moody's Affirms C Ratings on 3 Certs ----------------------------------------------------------- Moody's Investors Service affirmed the ratings of ten classes and downgraded the ratings of nine classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass- Through Certificates, Series 2007-CIBC20 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Oct 3, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Oct 3, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Nov 11, 2010 Confirmed at Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Nov 11, 2010 Confirmed at Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Nov 11, 2010 Confirmed at Aaa (sf) Cl. A-M, Downgraded to A2 (sf); previously on Nov 11, 2010 Downgraded to A1 (sf) Cl. A-MFX, Downgraded to A2 (sf); previously on Nov 11, 2010 Downgraded to A1 (sf) Cl. A-J, Downgraded to B1 (sf); previously on Sep 27, 2012 Downgraded to Ba3 (sf) Cl. B, Downgraded to B3 (sf); previously on Sep 27, 2012 Downgraded to B2 (sf) Cl. C, Downgraded to Caa1 (sf); previously on Sep 27, 2012 Downgraded to B3 (sf) Cl. D, Downgraded to Caa2 (sf); previously on Sep 27, 2012 Downgraded to Caa1 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Sep 27, 2012 Downgraded to Caa2 (sf) Cl. F, Downgraded to C (sf); previously on Sep 27, 2012 Downgraded to Caa3 (sf) Cl. G, Downgraded to C (sf); previously on Sep 27, 2012 Downgraded to Ca (sf) Cl. H, Affirmed C (sf); previously on Sep 27, 2012 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Nov 11, 2010 Downgraded to C (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. X-2, Affirmed Aaa (sf); previously on Oct 3, 2007 Definitive Rating Assigned Aaa (sf) Ratings Rationale: The affirmations of the investment grade P&I 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. The ratings of Classes H, J and K are consistent with Moody's expected loss and thus are affirmed. The two IO Classes, Class X-1 and X-2, are affirmed since they are consistent with the expected credit performance of their referenced classes. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. The downgrades of the nine P&I classes are due to higher realized and anticipated losses from specially serviced and troubled loans. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 11.2% of the current balance compared to 11.5% at last review. Base expected loss plus realized losses to date totals 13.5% of the original pool balance compared to 12.7% at last review. 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 principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 22 compared to 24 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. Deal Performance: As of the August 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased 15% to $2.2 billion from $2.5 billion at securitization. The Certificates are collateralized by 107 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 50% of the pool. No loans have defeased and there is one loan representing less than 1% of the pool with an investment grade credit assessment. There were 40 loans, representing 39% of the pool, on the master servicer's watchlist. Two watchlisted loans were recently transferred to special servicing due to imminent payment default since the August 12, 2013 distribution date, reducing the number of watchlisted loans to 38. 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-two loans have been liquidated from the pool since securitization resulting in an aggregate realized loss totaling $96.8 million (average loss severity of 58%). There are now eleven loans, representing 10% of the pool, in special servicing. Since the most recent August 12, 2013 distribution date, three loans were transferred to special servicing. The largest specially serviced loan is the Clark Tower Loan ($60.8 million -- 2.8% of the pool), which is secured by a 657,245 square foot (SF) office building located in Memphis, Tennessee. The loan was transferred to special servicing in September 2013 due to imminent payment default. Moody's has estimated an aggregate $135.2 million loss (59% average expected loss) for all specially serviced loans. Moody's has assumed a high default probability for 33 poorly performing loans representing 23% of the pool and has estimated an $77.2 million aggregate loss (30% expected loss based on a 50% probability of default) from these troubled loans. Moody's was provided with full year 2012 operating results for 99% of the performing pool. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 106% compared to 110% at last full 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 9.3%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.30X and 1.00X, respectively, compared to 1.28X and 0.93X, respectively, at last full review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit assessment is the 1564 Broadway Loan ($18.3 million -- 0.8%), which is secured by a 52,657 SF mixed use property located in Times Square in New York, New York. Moody's current credit assessment and stressed DSCR are Baa2 and 1.55X, respectively, compared to Baa2 and 1.56X at last review. The top three performing conduit loans represent 28% of the pool balance. The largest loan is a Retail Portfolio Loan (formerly Centro - New Plan Pool 1; $297.1 million -- 13.8%), which is secured by a portfolio of 18 retail properties that are cross- collateralized and cross-defaulted and total 3.1 million SF. The properties are located in 12 states, with the largest concentrations in Georgia (20%), Florida (14%) and Texas (13%). The portfolio was 91% leased as of December 2012 compared to 90% at last review. The loan has begun amortizing on a 360-month schedule maturing in September 2017. The portfolio was purchased by BRE Holdings, which is an affiliate of Blackstone Realty. Financial performance had declined between 2010 and 2011 but rebounded back to 2010 levels in 2012. Moody's LTV and stressed DSCR are 115% and 0.84X, respectively, compared to 119% and 0.82X at last review. The second largest loan is the Gurnee Mills Loan ($246.0 million - - 11.4%), which is a pari-passu interest in a $321.0 million first mortgage loan. The loan is secured by the borrower's interest in a 1.8 million SF regional mall located in Gurnee, Illinois. The mall's major tenants include Sears, Bass Pro Shops Outdoor World and Kohl's. The property was 94% leased as of December 2012 compared to 93% as of March 2012. Financial performance increased slightly in concert with increased occupancy. The loan is interest-only for its entire ten-year term maturing in July 2017. Moody's LTV and stressed DSCR are 124% and 0.76X, respectively, compared to 123% and 0.77X at last review. The third largest loan is the Sawgrass Mills Mall Loan ($139.4 million -- 6.5% of the pool), which is a pari-passu interest in an $850 million first mortgage loan. The loan is secured by the borrower's interest in a 2.0 million SF mall located in Sunrise, Florida. The mall's major tenants include Burlington Coat Factory, J.C. Penney and Regal Cinema. The property was 96% leased as of December 2012, the same as at last review. The loan is interest- only for its entire seven-year term maturing in July 2014. Financial performance declined since last review and looming major tenant lease expirations increase near-term leasing risk. Moody's LTV and stressed DSCR are 95% and 0.94X, respectively, compared to 90% and 0.99X at last review. JP MORGAN 2012-PHH: Moody's Affirms Ba1 Rating on Class E Notes --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of six classes of JP Morgan Chase Commercial Mortgage Securities Trust 2012-PHH, Commercial Mortgage Pass-Through Certificates, Series 2012-PHH. Moody's rating action is as follows: Cl. A, Affirmed Aaa (sf); previously on Dec 12, 2012 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Dec 12, 2012 Definitive Rating Assigned Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Dec 12, 2012 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed Baa3 (sf); previously on Dec 12, 2012 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba1 (sf); previously on Dec 12, 2012 Definitive Rating Assigned Ba1 (sf) Cl. X-CP, Affirmed Aa3 (sf); previously on Dec 12, 2012 Definitive Rating Assigned Aa3 (sf) Ratings Rationale: The affirmations of the P&I classes are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) remaining within acceptable ranges. The rating of the IO Class, Class X-CP, is consistent with the credit quality of its referenced classes and thus is affirmed. The certificates are collateralized by a single floating rate loan backed by a first lien commercial mortgage related to the fee simple interest in the Palmer House Hilton, a 1,639 full-service hotel located in Chicago, Illinois. The hotel is performing as expected showing improvements in operating performance. 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. The methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based 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 Remittance Statements. Deal Performance: As of the August 15, 2013 payment date, the transaction's aggregate certificate balance remains unchanged from securitization at $175 million. The Certificates are collateralized by a single floating rate loan backed by a first lien commercial mortgage related to the fee simple interest in the Palmer House Hilton, a 1,639 full-service hotel located in Chicago, Illinois. In addition to the trust debt there is non- trust mezzanine loans for a total of $365 million in total debt outstanding. The property's Net Cash Flow (NCF) for trailing twelve month period ending June 2013 was $35.8 million up from $31.3 million achieved during the trailing twelve month period ending September 2012. Moody's stabilized NCF is $28.5 million, and stabilized Moody's value is $272 million, the same as at securitization. Moody's trust loan to value (LTV) ratio is 64%, the same as at securitization. Moody's stressed debt service coverage ratio (DSCR) for the trust is at 1.76X, the same as at securitization. The trust has not experienced any losses or interest shortfalls since securitization. LEAF RECEIVABLES 2013-1: Moody's Rates Cl. E-2 Notes '(P)Ba2sf' --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings of (P)Prime-1 (sf) to the Class A-1 notes, (P)Aaa (sf) to the Class A-2 notes through Class A-4 notes, (P)Aa2 (sf) to the Class B notes, (P)A1 (sf) to the Class C notes, (P)Baa1 (sf) to the Class D notes, (P)Ba1 (sf) to the Class E-1 notes and (P)Ba2 (sf) to the Class E-2 notes that LEAF Receivables Funding 9, LLC (LRF 2013-1 or the issuer) will issue on the transaction's closing date. LEAF Commercial Capital, Inc. (not rated) will be the servicer for the transaction, U.S. Bank National Association (U.S. Bank; Aa3 stable) will be the back-up servicer, and while the Class A notes are outstanding, Assured Guaranty Corp. (Assured; A3 stable) will be the Class A note guarantor and control party for the transaction. The collateral backing the notes will consist of fixed rate leases and commercial loan contracts acquired or originated primarily by LEAF Capital Funding, LLC (LEAF or the originator), and secured by the related underlying office equipment and other equipment. Moody's median cumulative net loss expectation for the LRF 2013-1 pool is 3.50% and its Aaa level is 22%. The complete rating actions are as follows: Issuer: LEAF Receivables Funding 9, LLC $87,500,000 Class A-1 Notes, Assigned (P)Prime-1 (sf) $70,000,000 Class A-2 Notes, Assigned (P)Aaa (sf) $65,000,000 Class A-3 Notes, Assigned (P)Aaa (sf) $50,042,000 Class A-4 Notes, Assigned (P)Aaa (sf) $7,850,000 Class B Notes, Assigned (P)Aa2 (sf) $18,036,000 Class C Notes, Assigned (P)A1 (sf) $7,682,000 Class D Notes, Assigned (P)Baa1 (sf) $11,189,000 Class E-1 Notes, Assigned (P)Ba1 (sf) $7,682,000 Class E-2 Notes, Assigned (P)Ba2 (sf) Ratings Rationale: The provisional ratings that Moody's assigned to the notes are based primarily on: (1) the credit quality of the collateral pool to be securitized, which will be highly diverse by obligor, obligor industry type and obligor location, but somewhat concentrated by equipment type; 2) the continued strong, stable performance of similar collateral that LEAF originated, including that for LEAF's prior three transactions and its managed portfolio; 3) the level of credit enhancement available to support the notes; 4) the sequential pay structure; and 5) the strong back-up servicing arrangement with U.S. Bank and the presence of Assured, a highly-rated guarantor, to provide strong oversight, which in Moody's view, will mitigate operational risk for this transaction. Credit enhancement available to support the notes will consist of overcollateralization, subordination (in the case of the Class A, Class B, Class C, Class D and Class E-1 notes), a non-declining reserve account and excess spread. At closing, hard credit enhancement available to support the notes is expected to equal 19.9% for the Class A notes, 17.6% for the Class B notes, 12.2% for the Class C notes, 9.9% for the Class D notes, 6.5% for the Class E-1 notes and 4.2% for the Class E-2 notes. The credit enhancement for the notes will build over time because of the sequential pay structure, the excess spread trapping mechanism and the non-declining reserve account. The Class A notes will also benefit from a financial guaranty insurance policy by Assured; however, the other forms of credit enhancement (i.e., excluding the Class A insurance policy) are sufficient to support the (P)Aaa (sf) ratings Moody's assigned to the Class A notes. The presence of Assured, a highly-rated guarantor, will provide strong support in the form of oversight that goes beyond the Class A insurance policy. This oversight, in Moody's view, is a strong mitigant of operational risk for this transaction that is not directly linked to the financial strength rating of Assured. As a result, the ratings of the notes, including the Class A notes, would likely be unaffected by even a multi-notch downgrade of Assured. Should however the Class A insurance policy be terminated or Assured be downgraded to below investment grade, Moody's would revisit Assured's role in mitigating operational risk as it relates to Moody's rating of the notes. The issuer will use amounts in the prefunding account to acquire additional contracts from the originator during the initial three months of the transaction, subject to Assured's consent and other conditions. Although the amount of additional contracts the issuer can acquire during the prefunding period is significant at about 25% of the overall pool, Assured has a strong financial incentive to ensure that the additional contracts the issuer acquires does not weaken the credit quality of the overall pool. There will be a minor amount of exposure to end-of-lease equipment value in this transaction because the collateral value being advanced against will include a portion of the residual value assigned to the equipment under the lease contracts. The residual value to be securitized at closing is expected to equal about 2% of the discounted pool balance of all contracts. V Score Moody's has assigned an Assumption Volatility Score of Medium to LRF 2013-1, stronger than the Medium/High score it assigned to the U.S. Small Issuer Equipment Lease and Loan ABS sector. The V Score indicates "medium" uncertainty about critical assumptions. Significant deviations from the sector within the individual categories include the following: 1) Moody's assigns a score of medium to issuer/sponsor/originator's historical performance variability, stronger than the medium/high it assigns to the sector because of the relatively stable performance of LEAF's collateral; 2) Moody's assigns a score of medium to market value sensitivity, weaker than the low/medium Moody's assigns to the sector because of the transaction's exposure to residuals; 3) Moody's assigns a score of low/medium to experience of, arrangements among and oversight of transaction parties, stronger than the medium it assigns to the sector because of the transaction parties' significant securitization experience, including Assured's oversight role; and 4) Moody's assigns a score of low/medium to back-up servicer arrangement, stronger than the medium it assigns to the sector because of the strong back-up servicing arrangement with U.S. Bank that will be in place at closing and Assured's oversight role. 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 Securities Backed by Equipment Leases and Loans" published in March 2007. Moody's Parameter Sensitivities For the transaction, if the expected cumulative net loss used in determining the initial rating were to be changed to 5.35%, 8.05%, or 10.35%, the initial model-indicated rating for the Class A notes might change from (P)Aaa (sf) to (P)Aa1 (sf), (P)Aa3 (sf), and (P)A2 (sf), respectively. For the transaction, if the expected cumulative net loss used in determining the initial rating were to be changed to 4.00%, 5.40% or 6.50%, the initial model-indicated rating for the Class B notes might change from (P)Aa2 (sf) to (P)Aa3 (sf), (P)A2 (sf), and (P)Baa1 (sf), respectively. For the transaction, if the expected cumulative net loss used in determining the initial rating were to be changed to 3.90%, 4.80% or 5.80%, the initial model-indicated rating for the Class C notes might change from (P)A1 (sf) to (P)A2 (sf), (P)Baa1 (sf), and (P)Baa3 (sf), respectively. For the transaction, if the expected cumulative net loss used in determining the initial rating were to be changed to 3.85%, 4.80% or 5.90%, the initial model-indicated rating for the Class D notes might change from (P)Baa1 (sf) to (P)Baa2 (sf), (P)Ba1 (sf), and (P)Ba3 (sf), respectively. For the transaction, if the expected cumulative net loss used in determining the initial rating were to be changed to 3.90%, 4.65% or 5.40%, the initial model-indicated rating for the Class E-1 notes might change from (P)Ba1 (sf) to (P)Ba2 (sf), (P)B1 (sf), and (P)B3 (sf), respectively. For the transaction, if the expected cumulative net loss used in determining the initial rating were to be changed to 3.60%, 4.15% or 5.10%, the initial model-indicated rating for the Class E-2 notes might change from (P)Ba2 (sf) to (P)Ba3 (sf), (P)B2(sf) and less than (P)B3 (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. KEYCORP STUDENT 2006-A: Fitch Affirms 'CC' Jr. Sub. Notes Rating ---------------------------------------------------------------- itch Ratings has affirmed the senior, subordinate, and junior subordinate notes at 'A-sf', 'B+sf', and 'CCsf' respectively for KeyCorp Student Loan Trust 2006-A (Group II). The Rating Outlook for the senior notes remains Stable, and the Rating Outlook for the subordinate note remains Negative. Fitch used its 'Global SF Criteria' and 'U.S. Private SL ABS Criteria' to review the transaction. Key Rating Drivers The affirmations on the senior, subordinate, and junior subordinate notes reflect sufficient loss coverage multiples to support the existing ratings. Fitch estimates remaining defaults to range from approximately 26-29%. As of the May 31, 2013 report, parity levels equal 147.87%, 108.15%, and 96.05% respectively for senior, subordinate, and junior subordinate classes. The Negative Outlook for the subordinate class is driven by an increase in projected default levels in excess of Fitch's initial expectations. Fitch projected future losses and derived loss coverage multiples based on the latest performance data. The projected net loss amounts were compared to available credit enhancement to determine the loss multiples appropriate for each rating category. Credit enhancement consists of a combination of excess spread, overcollateralization, and subordination. As the junior subordinate class C notes' current rating classifies these notes as a distressed structured finance security, Fitch has calculated a Recovery Estimate (RE), which represents Fitch's calculation of expected principal recoveries as a percentage of current note principal outstanding. The RE for the junior subordinate class C notes was calculated to be 0% given Fitch's calculation of expected net recoveries and principal balance of the notes as of the latest reporting period. 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 than the base case. This will result in a decline in CE and remaining loss coverage levels available to the notes and may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch will continue to monitor the performance of the trusts. Fitch affirms the following ratings: KeyCorp Student Loan Trust 2006-A (Group II): -- Senior class II-A-3 at 'A-sf'; Outlook Stable; -- Senior class II-A-4 at 'A-sf'; Outlook Stable; -- Subordinate class II-B at 'B+sf'; Outlook Negative; -- Junior Subordinate class II-C at 'CCsf'; RE 0%. LAKESIDE CDO II: Moody's Lifts Rating on $1BB Notes to 'Caa2' ------------------------------------------------------------- Moody's Investors Service has upgraded the rating of the following notes issued by Lakeside CDO II, LTD.: $1,170,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2040 (current outstanding balance of $168,258,474), Upgraded to Caa2 (sf); previously on March 15, 2012 Downgraded to Caa3 (sf) Ratings Rationale: According to Moody's, the rating upgrade is primarily a result of deleveraging of the Class A-1 Notes and an increase in the transaction's overcollateralization ratio since the last rating action in March 2012. Moody's notes that the Class A-1 Notes have been paid down by approximately 61% or $267 million since the last rating action. Based on the Moody's calculation, the Class A-1 overcollateralization (OC) ratio is at 156.5% versus the March 2012 level of 111.1%. Moody's also notes that the principal proceeds account currently has about $7.8 million of cash, which Moody's expects will be used to pay down Class A-1 Notes on the next payment date in October, 2013. Lakeside CDO II, LTD., issued in March 2004, is a collateralized debt obligation backed primarily by a portfolio of RMBS and SF CDOs originated from 2001 to 2004. The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. Moody's applied the Monte Carlo simulation framework within CDOROMv2.8-9 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model . The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's notes that in arriving at its ratings of SF CDOs, there exist a number of sources of uncertainty, operating both on a macro level and on a transaction-specific level. Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment . Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. Moody's rating action factors in a number of sensitivity analyses and stress scenarios. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal: Moody's Caa1 and below rated assets notched up by 2 rating notches: Class A-1: 0 Class A-2: 0 Class B: 0 Class C: 0 Moody's Caa1 and below rated assets notched down by 2 rating notches: Class A-1: -1 Class A-2: 0 Class B: 0 Class C: 0 LATITUDE CLO I: S&P Raises Rating on Class C Notes to 'B+' ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, and C notes from Latitude CLO I Ltd., a cash flow collateralized loan obligation transaction managed by Lufkin Advisors LLC, and removed them from CreditWatch with positive implications. At the same time, S&P affirmed its ratings on the class A-1 and D notes. The affirmation on the class A-1 notes and the upgrades reflect an increase in available credit support to the transaction. Since S&P's June 2012 rating actions, the transaction has paid down the class A-1 noteholders by $100 million, leaving 25% of its initial issuance amount left, according to the August 2013 trustee report. As a result of the paydowns, the class A overcollateralization ratio has increased to 158% from 128% in May 2012. In June 2012, S&P affirmed its ratings on the class B, C, and D notes, despite the improvements in the portfolio's credit quality, because they had exposure to long-dated assets. Currently, the portfolio continues to hold a large balance of long-dated assets, exposing the transaction to market value risk. The market value stresses S&P applied constrained the rating on the class C notes to 'B+ (sf)' and resulted in its affirming its 'CCC- (sf)' rating on the class 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 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 RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE Latitude CLO I Ltd. Rating Class To From A-2 AAA (sf) AA+ (sf)/Watch Pos B-1 A+ (sf) BBB- (sf)/Watch Pos B-2 A+ (sf) BBB- (sf)/Watch Pos C B+ (sf) CCC+ (sf)/Watch Pos RATINGS AFFIRMED Latitude CLO I Ltd. Class Rating A-1 AAA (sf) D CCC- (sf) LB COMMERCIAL 1998-C4: Moody's Lifts Rating on Cl. J Notes to Ba1 ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes and affirmed four classes of LB Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 1998-C4 as follows: Cl. G, Affirmed Aaa (sf); previously on Sep 20, 2012 Upgraded to Aaa (sf) Cl. H, Upgraded to A1 (sf); previously on Sep 20, 2012 Upgraded to Baa1 (sf) Cl. J, Upgraded to Ba1 (sf); previously on Nov 24, 1998 Assigned B1 (sf) Cl. K, Affirmed Caa1 (sf); previously on Dec 9, 2010 Downgraded to Caa1 (sf) Cl. L, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. X, Affirmed Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa1 (sf) Ratings Rationale: The upgrades of two P&I classes are due to increased credit enhancement resulting from payoff and loan amortization as well as overall stable pool performance. The pool balance has decreased 27% since last review. The affirmation of one investment grade P&I class is due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. The ratings of Classes K and L 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. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed class is sufficient to maintain its current rating. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 5.7% of the current pooled balance compared to 5.0% at last review. Moody's base expected loss plus cumulative realized losses is now 2.3% of the original pool balance , the same as at the last review. 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. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. 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. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 19 compared to 24 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. In rating this transaction, Moody's also used its credit-tenant lease (CTL) financing methodology approach (CTL approach) . Under Moody's CTL approach, the rating of the CTL component is primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenant, usually an investment grade rated company, leasing the real estate collateral supporting the bonds. This tenant's credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable", which means it is an absolute net lease, yielding fixed rent paid to the trust through a lock-box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote, special purpose borrower, which grants a first lien mortgage and assignment of rents to the securitization trust. The dark value of the collateral, which assumes the property is vacant or "dark", is then examined to determine a recovery rate upon a loan's default. Moody's also considers the overall structure and legal integrity of the transaction. For deals that include a pool of credit tenant loans, Moody's currently uses a Gaussian copula model, incorporated in its public CDO rating model CDOROMv2.8-9 to generate a portfolio loss distribution to assess the ratings. 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 August 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $69.0 million from $2.02 billion at securitization. The Certificates are collateralized by 42 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten non-defeased loans representing 55% of the pool. Ten loans, representing 12% of the pool, have defeased and are collateralized with U.S. Government securities. The pool contains a credit tenant lease (CTL) component, representing 32% of the pool. Six loans, representing 29% 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-six loans have been liquidated from the pool since securitization, resulting in a $42.1 million loss (30% overall loss severity). Four loans, representing 9% of the pool, are currently in special servicing. All specially serviced loans are secured by retail properties. Moody's has estimated an aggregate $1.3 million loss for the specially serviced loans (32% expected loss on average). Moody's was provided with full year 2012 and partial year 2013 operating results for 100% and 80% of the pool, respectively. Excluding specially serviced loans, Moody's weighted average LTV is 67% compared to 69% at last review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.2%. Excluding specially serviced loans, Moody's actual and stressed DSCRs are 1.35X and 2.04X, respectively, compared to 1.27X and 1.76X 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 24% of the pool balance. The largest loan is the Pinnacle Center Loan ($6.6 million -- 9.6% of the pool), which is secured by a 230,000 square foot (SF) retail property located in Thornton, Colorado. As of July 2013 the property was 88% leased compared to 75% at last review. The largest tenant is Hobby Lobby, which leases 21% the net rentable area (NRA) through June 2014. Moody's LTV and stressed DSCR are 86% and 1.26X, respectively, the same as last review. The second largest loan is the Chesterfield Meadows Shopping Center Loan ($5.3 million -- 7.7% of the pool) which is secured by a 70,000 SF retail center located in Richmond, Virginia. As of March 2013 the center was 81% leased compared to 80% at last review. Moody's LTV and stressed DSCR are 76% and 1.43X, respectively, the same as last review. The third largest loan is the Forest Hill Shopping Center Loan ($4.3 million -- 6.2% of the pool) which is secured by a 75,000 SF retail center located in Forest Hill, Texas. As of December 2012 the center was 98% leased, the same as last review. The largest tenant is Brookshire Grocery Company which leases 78% the NRA through November 2017. Moody's LTV and stressed DSCR are 79% and 1.36X, respectively, compared to 85% and 1.28X at last review. The CTL component includes 16 loans secured by properties leased under bondable leases. The largest CTL exposures are Sweetbay Supermarket ($7.4 million, 10.7% of the pool; parent Delhaize America, LLC; Moody's senior unsecured rating Baa3; stable outlook), Walgreen Co. ($4.1 million, 6.0% of the pool; Moody's senior unsecured rating Baa1; negative outlook), and CVS/Caremark Corp. ($3.9 million, 5.8% of the pool; Moody's senior unsecured rating Baa2; positive outlook). The bottom-dollar weighted average rating factor (WARF) for the CTL component is 1,701 compared to 1,731 at last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of the default probability within the pool. LB-UBS COMMERCIAL 2004-C2: Moody's Cuts Cl. K Certs Rating to C --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of eight classes, upgraded three classes and downgraded two classes of LB-UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-C2 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Sep 28, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Mar 13, 2007 Upgraded to Aaa (sf) Cl. C, Upgraded to Aaa (sf); previously on Mar 13, 2007 Upgraded to Aa1 (sf) Cl. D, Upgraded to Aa2 (sf); previously on Dec 17, 2010 Downgraded to Aa3 (sf) Cl. E, Upgraded to A1 (sf); previously on Dec 17, 2010 Downgraded to A2 (sf) Cl. F, Affirmed Baa1 (sf); previously on Dec 17, 2010 Downgraded to Baa1 (sf) Cl. G, Affirmed Ba2 (sf); previously on Dec 17, 2010 Downgraded to Ba2 (sf) Cl. H, Affirmed B1 (sf); previously on Dec 17, 2010 Downgraded to B1 (sf) Cl. J, Downgraded to Caa2 (sf); previously on Oct 18, 2012 Downgraded to Caa1 (sf) Cl. K, Downgraded to C (sf); previously on Oct 18, 2012 Downgraded to Ca (sf) Cl. L, Affirmed C (sf); previously on Oct 18, 2012 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. X-CL, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmation of the three investment grade P&I 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. The ratings of the four below-investment grade P&I classes are consistent with Moody's expected loss and thus affirmed. The rating of the IO Class, Class X-CL, is affirmed due to the weighted average rating factor (WARF) being consistent with the ratings of its referenced classes. Based on Moody's current base expected loss, the credit enhancement level for the affirmed class is sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The upgrades of three P&I classes are due to increased credit support due to amortization and payoffs as well as anticipated paydowns from defeased loans and other loans approaching maturity that are well positioned for refinance. The pool has paid down by 47% since Moody's last review. There are 12 defeased loans representing $84.5 million coming due within the next six months. The downgrades of the two below investment grade P&I classes are due to an increase in Moody's expected loss resulting from specially serviced and troubled loans. Moody's rating action reflects a base expected loss of 6.8% of the current balance, compared to 4.3% at last review. Moody's base expected loss plus realized loss is now 4.4% compared to 4.3% at last review. 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. 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. 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. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 11 compared to 10 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the August 16, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 68% to $401.2 million from $1.2 billion at securitization. The Certificates are collateralized by 56 mortgage loans ranging in size from less than 1% to 16% of the pool. Thirteen loans representing 24% of the pool have defeased and are secured by U.S. Government securities. The pool contains two loans with credit assessments, representing 19% of the pool. Five loans, representing 3% 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. Nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $26.5 million (28% loss severity). Currently eight loans, representing 9% of the pool, are in special servicing. The largest specially serviced loan is the Plaza Vista Mall Loan ($11.7 million -- 3% of the pool). This loan is secured by a 227,149 square foot (SF) retail center located in Sierra Vista, Arizona. The property is currently undergoing a lease up strategy and has an expected to be marketed for sale in late 2015. As of July 2013, the property was 40% leased, in line with last review. Hobby Lobby and C-A-L Ranch stores have both signed leases starting in January 2014 with a total of 127,247 SF which would bring the occupancy up to 96% leased. The lease up of this space will also end the concessions that were triggered by co-tenancy clauses from Walmart vacating the property in 2010. The second largest specially serviced loan is the Warm Springs Loan ($9.6 million -- 2% of the pool). This loan is secured by an office property located just south of McCarren airport in Las Vegas, Nevada. This loan transferred to special servicing in September 2012 due to GSA vacating, leaving the property 46% leased. The special servicer is pursuing foreclosure. The remaining specially serviced loans are represented by a mix of property types. Moody's has estimated an aggregate $20.9 million loss (60% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for three poorly performing loans representing 2% of the pool and has estimated an aggregate $1.5 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2012 operating results for 100% of the pool's non-specially serviced and non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 81% compared to 78% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.53X and 1.34X, respectively, compared to 1.56X and 1.36X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the Ruppert Yorkville Towers Loan ($37.8 million -- 9% of the pool), which is secured by 825-unit multifamily high-rise complex located on the Upper East Side of Manhattan. The complex was completed in 1975 and converted to a condominium structure in 2003. The collateral for the loan includes 432 unsold residential units, unsold storage units and 53,810 SF of commercial space. A portion of the unsold units are occupied by pre-conversion tenants at below market rental rates. As of December 2012, the property was 93% leased. Moody's credit assessment and stressed DSCR are Aaa and 2.05 X, respectively, compared to Aaa and 1.76X at last review. The second loan with a credit assessment is the Farmers Market Loan ($37.7 million -- 9% of the pool), which is secured by a 228,339 SF mixed-use retail and office property originally built in 1940 (renovated in 2002) located in Los Angeles, California. The property was 99% leased as of December 2012, the same as the last two reviews. Property performance has improved due to an increase base and percentage rents as well as expense reimbursements. The loan benefits from amortization and matures in March 2014. Moody's credit assessment and stressed DSCR are Aa1 and 2.72X, respectively, compared to Aa2 and 2.27X at last review. The top three performing conduit loans represent 25% of the pool balance. The largest loan is the Maritime Plaza I and II Loan ($65.8 million -- 16.4% of the pool), which is secured by two office buildings (totaling 351,452 SF) located in the Capitol Hill submarket of Washington, D.C. The properties were 89% leased as of December 2012 compared to 93% at last review. The largest tenant is Computer Sciences Corporation (45% of the NRA; lease expirations in October 2013 and November 2014). The loan benefits from amortization and matures in March 2014. Moody's LTV and stressed DSCR are 84% and 1.16X, respectively, compared to 73% and 1.33X at the last review. The second largest loan is the Voice Road Shopping Center ($21.1 million -- 5% of the pool), which is secured by a 131,452 SF retail property located in Carle Place, New York. The property was 83% leased as of July 2013. Moody's LTV and stressed DSCR are 104% and 1.01X, respectively, compared to 117% and 0.90X at last review. The third largest loan is the Woodland Meadows Loan ($13.1million -- 3% of the pool), which is secured by a 248-unit multifamily property located in Spring, Texas. The property was 98% leased as of June 2013. Moody's LTV and stressed DSCR are 67% and 1.36X, respectively, compared to 76% and 1.21X at last review. LB-UBS COMMERCIAL 2006-C4: Moody's Affirms C Ratings on 5 Certs --------------------------------------------------------------- Moody's Investors Service affirmed 24 classes of LB-UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-C4 as follows: Cl. A-J, Affirmed Ba2 (sf); previously on Oct 25, 2012 Downgraded to Ba2 (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jun 29, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Dec 17, 2010 Confirmed at Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Jun 29, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-1A, Affirmed Aaa (sf); previously on Dec 17, 2010 Confirmed at Aaa (sf) Cl. A-M, Affirmed A2 (sf); previously on Oct 25, 2012 Downgraded to A2 (sf) Cl. B, Affirmed Ba3 (sf); previously on Oct 25, 2012 Downgraded to Ba3 (sf) Cl. C, Affirmed B3 (sf); previously on Oct 25, 2012 Downgraded to B3 (sf) Cl. D, Affirmed Caa1 (sf); previously on Oct 25, 2012 Downgraded to Caa1 (sf) Cl. E, Affirmed Caa2 (sf); previously on Oct 25, 2012 Downgraded to Caa2 (sf) Cl. F, Affirmed Caa3 (sf); previously on Oct 25, 2012 Downgraded to Caa3 (sf) Cl. G, Affirmed Ca (sf); previously on Oct 25, 2012 Downgraded to Ca (sf) Cl. H, Affirmed C (sf); previously on Oct 25, 2012 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Oct 25, 2012 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. HAF-5, Affirmed Ba2 (sf); previously on Dec 17, 2010 Confirmed at Ba2 (sf) Cl. HAF-6, Affirmed Ba3 (sf); previously on Dec 17, 2010 Confirmed at Ba3 (sf) Cl. HAF-7, Affirmed B2 (sf); previously on Dec 17, 2010 Downgraded to B2 (sf) Cl. HAF-8, Affirmed Caa1 (sf); previously on Dec 17, 2010 Downgraded to Caa1 (sf) Cl. HAF-9, Affirmed Caa2 (sf); previously on Oct 25, 2012 Upgraded to Caa2 (sf) Cl. HAF-10, Affirmed Caa3 (sf); previously on Oct 25, 2012 Upgraded to Caa3 (sf) Cl. X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of the investment grade P&I 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. The ratings of the below investment grade P&I classes 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. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The affirmations of six non-pooled or rake classes are due to sufficient credit support for the current ratings. The rake classes are currently supported by the B-notes associated with the 70 Hudson Street Loan and the Fountains of Miramar Loan. Moody's rating action reflects a base expected loss of 9.9% of the current pooled balance. At last review, Moody's base expected loss was 11.3%. Realized losses have increased from 1.6% of the original pooled balance to 2.6% since the prior review. Moody's base expected loss plus realized losses is now 10.5% of the original pooled balance compared to 11.0% at last review. 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. 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. 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 its analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade credit assessments is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment of the loan which corresponds to a range of credit enhancement levels. Actual fusion credit enhancement levels are selected based on loan level diversity, pool leverage and other concentrations and correlations within the pool. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 17 compared to 18 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the August 16, 2013 distribution date, the transaction's pooled aggregate certificate balance has decreased by 20% to $1.59 billion from $1.98 billion at securitization. The pooled Certificates are collateralized by 118 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top ten loans representing 61% of the pool. Two loans, representing less than 0.5% of the pool, have defeased and are secured by U.S. Government securities. The pool contains two loans with investment grade credit assessments, representing 5% of the pool. Twenty-one loans, representing 45% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nineteen loans have been liquidated from the pool, resulting in an aggregate pooled realized loss of $50.8 million (46% loss severity on average). Additionally, there was a $4.4 million loss to the HAF-11 rake class as a result of the liquidation of the AMLI of North Dallas Loan B-note. Fifteen loans, representing 11% of the pool, are currently in special servicing. The largest loan in special servicing is the Rivergate Plaza Loan ($58.5 million -- 3.7% of the pool), which is secured by two office buildings totaling 302,000 square feet (SF) and located in Miami, Florida. The loan was transferred to special servicing in September 2009 due to imminent monetary default and became real estate owned (REO) in July 2010. The property underwent capital improvements to both the exterior and interior which were completed in 2012. As of May 2013, the collateral was 73% leased. The special servicer indicated that it is currently marketing this asset for sale. The remaining 14 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $97.0 million loss for the specially serviced loans (54% expected loss on average). Moody's has assumed a high default probability for six poorly performing loans representing 1% of the pool and has estimated an aggregate $3.3 million loss (16% expected loss on average) from these troubled loans. Moody's was provided with full year 2012 operating results for 96% of the pool. Moody's conduit portion excludes special serviced, troubled loans and loans with credit assessments. Moody's weighted average conduit LTV is 105% compared to 108% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 7.1% 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 1.30X and 0.98X, respectively, compared to 1.27X and 0.94X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the 70 Hudson Street Loan ($70.6 million -- 4.4% of the pool), which is secured by a 409,000 SF Class A office building located in Jersey City, New Jersey. The property is also encumbered by a $46.1 million B-note, which is a junior non-pooled component that is a part of the collateral for the multi-loan HAF rake bonds. The property is 100% leased to Barclay's Capital through January 2016. The lease expires three months prior to the loan maturity date. Financial performance has improved due to a rent bump in 2012. Despite the positive NOI growth, Moody's is concerned about potential refinance risk at loan maturity in 2016. Due to the single tenant nature of this loan, Moody's value reflects a lit/dark analysis. Moody's credit assessment and stressed DSCR are A3 and 1.46X, respectively, compared to A3 and 1.43X at last review. The second loan with a credit assessment is the Fountains of Miramar Loan ($12.3 million -- 0.8% of the pool), which is secured by a 139,000 SF anchored retail center located in Miramar, Florida. The property is also encumbered by an $11.7 million B- note, which is a junior non-pooled component that is a part of the collateral for the multi-loan HAF rake bonds. The property is 100% leased as of March 2013, which is the same as at last review. Performance has remained stable on this loan. Moody's credit assessment and stressed DSCR are A3 and 1.60X, respectively, compared to A3 and 1.66X at last review. The top three performing conduit loans represent 37% of the pool balance. The largest conduit loan is the One Federal Street Loan ($262 million -- 16.5% of the pool), which is secured by a 1.1 million SF Class A office tower located in the Financial District of Boston, Massachusetts. The property is also encumbered by a $111.5 million mezzanine loan, which is interest only and coterminous with the A-note's maturity. Property performance dropped significantly in 2011 due to the lease expirations of Bank of America and State Street Bank (which accounted for 37% of the net rentable area (NRA)). The occupancy was 65% as of June 2013 and the loan is on the watchlist due to low DSCR, however, based on recent leasing activity the occupancy is expected to increase to above 80% by year end 2013. Moody's analysis incorporates a positive benefit for the newly signed leases and quality of the asset. The loan is interest-only throughout the term and matures in June 2016. Moody's LTV and stressed DSCR are 101% and 0.91X, respectively, compared to 103% and 0.89X at last review. The second largest loan is the One New York Plaza Loan ($182.2 million -- 11.5% of the pool), which is secured by a 50% pari- passu interest in a $364.3 million loan. The loan is secured by a 2.4 million SF Class A office property located in Lower Manhattan. The property's largest tenant is now Morgan Stanley (57% of net rentable area; lease expiration December 2029) after the bank renegotiated its lease and subleased 800,000 SF which was formerly leased to Wachovia. The property was 84% leased as of September 2013 compared to 82% at last review. The loan is on the servicer's watchlist due to lower DSCR and it has still not fully recovered from Goldman Sachs vacating 559,000 square feet (23% of the NRA) at its lease expiration in 2010. The loan's sponsor is Brookfield Office Properties. Moody's analysis incorporates a positive benefit for the quality of the asset and its location in Manhattan's financial district, which according to CBRE had an 8.2% vacancy as of Q2 2013. Moody's LTV and stressed DSCR are 69% and 1.34X. The third largest loan is the 215 Fremont Street Loan ($141.4 million -- 8.9% of the pool), which is secured by a 373,000 SF Class A office building located in the Financial District of San Francisco, California. Charles Schwab Corporation leases the entire building as its headquarters (Moody's senior unsecured rating of A2, stable outlook) through June 2024. The loan is interest-only for the entire term and matures in May 2016, eight years prior to the lease expiration. Moody's LTV and stressed DSCR are 126% and 0.73X, respectively, the same as last review. LB-UBS COMMERCIAL 2007-C2: Fitch Affirms 'D' Rating on A-J Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of LB-UBS Commercial Mortgage Trust (LBUBS) commercial mortgage pass-through certificates series 2007-C2. Key Rating Drivers The affirmations reflect sufficient credit enhancement of the remaining classes relative to Fitch's expected losses and also considers the recent liquidation of 21 loans in special servicing. Fitch modeled losses of 5.5% of the remaining pool; expected losses on the original pool balance total 15.2%, including $427.8 million (12% of the original pool balance) in realized losses to date. Fitch has designated 32 loans (19.7%) as Fitch Loans of Concern, which includes two specially serviced assets (0.3%). As of the August 2013 distribution date, the pool's aggregate principal balance has been reduced by 41.8% to $2.07 billion from $3.55 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting classes A-M through T. In July 2013 Fitch had downgraded classes A-J through J to 'D' after the classes experienced principal write downs following the bulk liquidation of 21 specially serviced loans. ORIX Capital Markets, the special servicer, had placed the foreclosed real estate for sale as part of a marketing campaign focused on distressed loans and REO asset sales. The recoveries from the dispositions paid in full the A-2 and A-AB classes, and partially repaid class A-3 and the multifamily directed class A-1A. (For more information please refer to 'Fitch Downgrades 9 Distressed Classes of LBUBS 2007-C2', dated July 22, 2013, available at www.fitchratings.com.) The largest contributor to expected losses is the Watergate 600 loan (6.4% of the pool), which is secured by a 12-story, 289,286 square foot (SF) office building in Washington, DC. As of June 2013 the building is 99% occupied. The two major property tenants include Atlantic Media (65% net rentable area [NRA]) whose lease is through 2023, and Blank Rome LLP (29% NRA) whose lease expires in December 2018. The subject loan matures in April 2017. The year end (YE) December 2012 net operating income (NOI) debt service coverage ratio (DSCR) reported at 1.28x. The loan remains current as of the August 2013 payment date. Although Fitch calculated losses based on in-place cash flow and a stressed cap rate, losses may be mitigated given the strong location and stable performance of the asset. The second largest contributor to losses is the Delamar Hotel (1.78%), which is secured by an 82-room full service boutique hotel located in Greenwich, CT adjacent to the Greenwich Harbor boat docks. The property performance has seen positive trends since trending downwards in 2009 due to the sluggish economy. For year-to-date June 2013, occupancy reported at 63%, ADR was $299.83, and RevPAR was $188.26, respectively, versus 57.6%, $304.98, and $175.85 for YE 2010. The partial interest-only loan has been amortizing since March 2012. The YTD June 2013 NOI DSCR reported at 0.91x. Based on the YE 2012 NOI and YE 2011 NOI, amortized DSCR calculates to 1.03x and 0.98x, respectively. The loan remains current as of the August 2013 payment date. The next largest contributors to expected losses are three loans secured by office buildings located in Louisville, KY loan (1.6%), McLeansville, NC (1.5%), and Meridian, ID (1.5%). All three properties are 100% leased to Citicorp North America. / Citigroup Inc. (rated 'A' by Fitch) through December 2019. The subject loans all mature in April 2017. The YE 2012 NOI DSCR has reported at 1.17x for the three loans since issuance. The loan remains current as of the August 2013 payment date. Fitch had further stressed the cap rates on the subject properties in its analysis due to the properties single tenancy and tertiary office markets. Fitch had calculated losses based on in-place cash flow and stressed cap rates; however, losses may be mitigated due to the credit tenancy and lease expirations over 1.5 years past the loan maturities. Rating Sensitivity The Rating Outlooks on classes A-3 and A-1A are Stable due to sufficient credit enhancement and continued paydown. The Negative Outlook on class A-M reflects above-average loan concentration concerns, with the top two loans representing 36% of the pool and the top 15 loans representing 70%. In addition, the Negative Outlook reflects interest shortfalls, which are currently being incurred as of the August 2013 distribution date. The class could be downgraded should interest shortfalls continue to impact the class for an extended period of time. Fitch affirms the following classes as indicated and revises the Rating Outlook on class A-1A as indicated: -- $1.1 billion class A-3 at 'AAAsf', Outlook Stable; -- $370.5 million class A-1A at 'AAAsf', Outlook to Stable from Negative; -- $355.4 million class A-M at 'Asf', Outlook Negative; -- $283.1 million class A-J at 'Dsf', RE 65%; -- $0 class B at 'Dsf', RE 0%; -- $0 class C at 'Dsf', RE 0%; -- $0 class D at 'Dsf', RE 0%; -- $0 class E at 'Dsf', RE 0%; -- $0 class F at 'Dsf', RE 0%; -- $0 class G at 'Dsf', RE 0%; -- $0 class H at 'Dsf', RE 0%; -- $0 class J at 'Dsf', RE 0%; -- $0 class K at 'Dsf', RE 0%; -- $0 class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%. The class A-1, A-2 and A-AB certificates have paid in full. Fitch does not rate the class P, Q, S and T certificates. Fitch previously withdrew the ratings on the interest-only class X-CP, X-W and X-CL certificates. LB-UBS MORTGAGE 2005-C2: Moody's Affirms C Ratings on 4 Certs ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 classes of LB-UBS Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-C2 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Apr 25, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Dec 17, 2010 Confirmed at Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Apr 25, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed Baa2 (sf); previously on Sep 13, 2012 Downgraded to Baa2 (sf) Cl. B, Affirmed Ba1 (sf); previously on Sep 13, 2012 Downgraded to Ba1 (sf) Cl. C, Affirmed B1 (sf); previously on Sep 13, 2012 Downgraded to B1 (sf) Cl. D, Affirmed B3 (sf); previously on Sep 13, 2012 Downgraded to B3 (sf) Cl. E, Affirmed Caa3 (sf); previously on Sep 13, 2012 Downgraded to Caa3 (sf) Cl. F, Affirmed Ca (sf); previously on Sep 13, 2012 Downgraded to Ca (sf) Cl. G, Affirmed C (sf); previously on Sep 13, 2012 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Sep 13, 2012 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Dec 17, 2010 Downgraded to C (sf) Cl. X-CL, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of Classes A-4 through C, are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. The ratings of Classes D through K are consistent with Moody's expected loss and thus are affirmed. The rating of the IO Class, Class X-CL, is consistent with the expected credit performance of its referenced classes and thus is affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 15.8% of the current balance. At last review, Moody's base expected loss was 15.6%. Realized losses have increased from 2.3% of the original balance to 2.4% since the prior review. Moody's base expected loss plus realized losses is now 10.8% of the original pooled balance, the same at last review. 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. 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. 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. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 11 compared to 12 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the August 16, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 47% to $1.03 billion from $1.94 billion at securitization. The Certificates are collateralized by 76 mortgage loans ranging in size from less than 1% to 19% of the pool, with the top ten non-defeased loans representing 68% of the pool. Four loans, representing 7% of the pool, have defeased and are secured by U.S. Government securities. The pool contains three loans with investment grade credit assessments, representing 22% of the pool. Seventeen loans, representing 45% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of 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, resulting in an aggregate realized loss of $47.5 million (19% loss severity on average). Eight loans, representing 4% of the pool, are currently in special servicing. The eight specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $16.7 million loss for the specially serviced loans (39% expected loss on average). Moody's has assumed a high default probability for five poorly performing loans representing 20.9% of the pool and has estimated an aggregate $119.9 million loss (56% expected loss based on a 67% probability default) from these troubled loans. Moody's was provided with full year 2012 operating results for 95% of the pool's non-specially serviced and non-defeased loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 101% compared to 103% at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 2% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1% Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.42X and 1.01X, respectively, compared to 1.43X and 0.99X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the 909 Third Avenue Loan ($196.4 million -- 19.1% of the pool), which is secured by a 32-story office tower in the Third Avenue office submarket of Midtown Manhattan. The property was 99% leased as of June 2013 compared to 92% in March 2012. The largest tenant is the US Postal Service, which leases 492,000 square feet (38% of property NRA) on the building's lower levels. The tenant recently renewed for five years until October 2018. The loan sponsor is Vornado. Moody's credit assessment and stressed DSCR are Baa3 and 1.16X, respectively, compared to Baa3 and 1.12X at last review. The second-largest loan with a credit assessment is the Hartz Fee Portfolio Loan ($13.5 million -- 1.3% of the pool), which is secured by the leased fee interest in land improved with three commercial properties in Secaucus, New Jersey, six miles west of Midtown Manhattan. The improvements include two limited service hotels and a single-tenant retail building. The ground leases include rent steps. Moody's current credit assessment and stressed DSCR are A2 and 1.32X, respectively, the same as at last review. The third loan with a credit assessment is the 895 Broadway Loan ($13.1 million -- 1.3% of the pool), which is secured by a 5-story office property in the Midtown South office submarket of New York City. The property is 100% leased, which is unchanged since Moody's last review. Leases for 100% of the building are scheduled to expire in December 2014. Moody's analysis reflects a stabilized cash flow based on current market rent and vacancy levels. Moody's current credit assessment and stressed DSCR are A2 and 1.92X respectively, the same as at last review. The top three conduit loans represent 31% of the pool. The largest loan is the Woodbury Office Portfolio ($132.0 million -- 12.9% of the pool), which consists of two-cross collateralized senior loans originally secured by 32 primarily office properties in suburban Long Island, New York. The Woodbury I loan group includes ten properties which were 81% leased at year-end 2012. The Woodbury II loan group includes 19 properties which were 75% leased as of Q1 2013. Three properties from the Woodbury II loan group were released with proceeds paying down the A-Note balance. RXR Realty, the loan sponsor, gained control of the portfolio in 2010 through a foreclosure of the mezzanine position. The loans were modified in October 2011 into an A/B Note structure whereby the two A-Notes continue to pay interest at the original contract rate and interest is accrued for the two B-Notes. The Woodbury I and II loans were cross-collateralized as part of the loan modification. The total B-Note balance is currently $79 million. Moody's current A-Note LTV and stressed DSCR are 113% and 0.86X, respectively, compared to 106% and 0.92X at last review. The second largest loan is the Civica Office Commons Loan ($113.5 million -- 11.1% of the pool), which is secured by an 8-story Class A office complex located in downtown Bellevue, Washington, 10 miles East of Seattle. The property was 88% leased as of March 2013 compared to 98% at Moody's last review. The largest tenants are Wells Fargo & Company (Moody's senior unsecured rating A2, ratings under review), Waggener Edstrom Worldwide and Microsoft Corporation (Moody's senior unsecured rating Aaa, stable outlook). The loan sponsor is Brickman, a real estate investment group based in New York City. Moody's current LTV and stressed DSCR are 117% and 0.83X, respectively, compared to 119% and 0.82X at last review. The third largest conduit loan is the senior portion of the Park 80 West Loan ($72.0 million -- 7.0% of the pool), which is secured by a 490,000 square foot Class A office property located in Saddle Brook, New Jersey, a suburb of New York City. The loan was modified on March 26, 2012 with an A/B Note structure. The modification split the former $100 million interest-only loan into a $72 million A-Note and a $28 million B-Note. The A-Note continues to pay interest at the original contract rate, while interest on the B-Note is accrued and deferred until the occurrence of a capital event. The property was 67% leased as of March 2013. Moody's LTV and stressed DSCR are 143% and 0.68X, respectively, compared to 114% and 0.85X at last review. LEHMAN MORTGAGE 2008-4: Moody's Cuts Cl. A1 Notes Rating to Caa3 ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of Cl. A1 from Lehman Mortgage Trust 2008-4. Complete rating actions are as follows: Issuer: Lehman Mortgage Trust 2008-4 Cl. A1, Downgraded to Caa3 (sf); previously on Mar 25, 2011 Downgraded to Caa1 (sf) Ratings Rationale: The rating action reflects the recent performance of the pools of mortgages backing the underlying bond and the rating of the underlying bond. The resecuritization bond is backed by Cl. 2-A1 issued by Lehman Mortgage Trust 2006-9 transaction. The Cl. 2-A1 bond is currently rated Ca (sf). The principal methodology used in this rating was "Moody's Approach to Rating US Resecuritized Residential Mortgage-Backed Securities" published in February 2011. The methodology used in determining the ratings of the underlying bonds was "US RMBS Surveillance Methodology" published in June 2013. 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 August 2012 to 7.3% in August 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. As part of the sensitivity analysis, Moody's stressed the updated loss on the underlying bond backing the resecuritization Lehman Mortgage Trust 2008-4 by an additional 10% and found that the implied rating of the resecuritization bond Cl. A1 retains its rating at Caa3 (sf). MADISON PARK III: Moody's Affirms Ba2 Rating on Class D Notes ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Madison Park Funding III, Ltd.: $11,000,000 Class A-2b Floating Rate Notes Due 2020, Upgraded to Aaa (sf); previously on August 31, 2011 Upgraded to Aa1 (sf) $33,000,000 Class A-3 Floating Rate Notes Due 2020, Upgraded to Aa1 (sf); previously on August 31, 2011 Upgraded to Aa3 (sf) $40,000,000 Class B Deferrable Floating Rate Notes Due 2020, Upgraded to A3 (sf); previously on August 31, 2011 Upgraded to Baa1 (sf) $24,500,000 Class C Deferrable Floating Rate Notes Due 2020, Upgraded to Baa3 (sf); previously on August 31, 2011 Upgraded to Ba1 (sf) $6,000,000 Class Q Notes Due 2020 (current rated balance of $3,114,475), Upgraded to A3 (sf); previously on August 31, 2011 Upgraded to Baa3 (sf) Moody's also affirmed the ratings of the following notes: $381,500,000 Class A-1 Floating Rate Notes Due 2020, Affirmed Aaa (sf); previously on August 31, 2011 Upgraded to Aaa (sf) $100,000,000 Class A-2a Floating Rate Notes Due 2020, Affirmed Aaa (sf); previously on August 31, 2011 Upgraded to Aaa (sf) $22,000,000 Class D Deferrable Floating Rate Notes Due 2020, Affirmed Ba2 (sf); previously on August 31, 2011 Upgraded to Ba2 (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in October 2013. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive buffer relative to certain covenant requirements. In particular, the deal is assumed to benefit from a higher weighted average spread of 3.74% compared to 3.01% at the time of the last rating review. Additionally, the deal is modeled with a shorter weighted average life assumption compared to the last review. Moody's also notes that the transaction's reported overcollateralization ratios are stable. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $674.8 million, defaulted par of $15.6 million, a weighted average default probability of 20.36% (implying a WARF of 2795), a weighted average recovery rate upon default of 48.49%, and a diversity score of 73. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Madison Park Funding III, Ltd., issued in September 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. The methodology used in rating the Class Q Notes was "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2235) Class A-1: 0 Class A-2a: 0 Class A-2b: 0 Class A-3: +1 Class B: +3 Class C: +2 Class D: +2 Class Q: +2 Moody's Adjusted WARF + 20% (3353) Class A-1: -1 Class A-2a: 0 Class A-2b: -1 Class A-3: -3 Class B: -2 Class C: -1 Class D: -1 Class Q: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. MARATHON CLO II: Moody's Hikes Rating on $12MM Cl. D Notes to Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Marathon CLO II Ltd: $22,000,000 Class B Floating Rate Senior Deferrable Interest Secured Notes Due 2019, Upgraded to Aa1 (sf); previously on July 15, 2013 Upgraded to Aa2 (sf) and Placed Under Review for Possible Upgrade; $22,500,000 Class C Floating Rate Senior Deferrable Interest Secured Notes Due 2019, Upgraded to A3 (sf); previously on July 15, 2013 Baa3 (sf) Placed Under Review for Possible Upgrade; $12,300,000 Class D Floating Rate Subordinated Deferrable Interest Secured Notes Due 2019, Upgraded to Ba1 (sf); previously on July 15, 2011 Upgraded to Ba3 (sf). Moody's also affirmed the ratings of the following notes: $273,000,000 Class A-1b Floating Rate Senior Secured Notes, Due 2019 (current outstanding balance of $75,176,624.88), Affirmed Aaa (sf); previously on December 13, 2012 Upgraded to Aaa (sf); $12,500,000 Class A-2 Floating Rate Senior Secured Notes, Due 2019, Affirmed Aaa (sf); previously on December 13, 2012 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in December 2012. Moody's notes that the Class A-1 Notes have been paid down by approximately 39% or $121.2 million since December 2012. Based on the latest trustee report dated August 15, 2013, the Class A, Class B, Class C and Class D overcollateralization (OC) ratios are reported at 177.93%, 145.50%,122.64%, and 112.94%, respectively, versus November 9, 2012 levels of 134.4%, 122.18%, 111.79% and 106.82% respectively. In taking the foregoing actions, Moody's also announced that it had concluded its review of its ratings on the issuer's Class B Notes and Class C Notes announced on July 15, 2013. At that time, Moody's said that it had upgraded and placed certain of the issuer's ratings on review primarily as a result of substantial deleveraging of the senior notes and increases in OC ratios resulting from high rates of loan collateral prepayments during the first half of 2013. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $175.74 million, defaulted par of $6.37 million, a weighted average default probability of 21.84% (implying a WARF of 3153), a weighted average recovery rate upon default of 50.13%, and a diversity score of 27. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Marathon CLO II Ltd., issued on December 22, 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2520) Class A-1b: 0 Class A-2: 0 Class B: 0 Class C: +2 Class D: +2 Moody's Adjusted WARF + 20% (3780) Class A-1b: 0 Class A-2: 0 Class B: -1 Class C: -1 Class D: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. MERRILL LYNCH 2005-CANADA 15: Moody's Affirms L Certs' Caa2 Rating ------------------------------------------------------------------ Moody's Investors Service upgraded the ratings of six classes and affirmed ten classes of Merrill Lynch Financial Assets Inc., Commercial Mortgage Pass-Through Certificates, Series 2005-Canada 15 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Apr 11, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Apr 11, 2005 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Feb 16, 2011 Upgraded to Aaa (sf) Cl. C, Upgraded to Aaa (sf); previously on Feb 16, 2011 Upgraded to Aa3 (sf) Cl. D-1, Upgraded to A1 (sf); previously on Feb 16, 2011 Upgraded to Baa1 (sf) Cl. D-2, Upgraded to A1 (sf); previously on Feb 16, 2011 Upgraded to Baa1 (sf) Cl. E-1, Upgraded to Baa1 (sf); previously on Apr 11, 2005 Definitive Rating Assigned Baa3 (sf) Cl. E-2, Upgraded to Baa1 (sf); previously on Apr 11, 2005 Definitive Rating Assigned Baa3 (sf) Cl. F, Upgraded to Baa3 (sf); previously on Apr 11, 2005 Definitive Rating Assigned Ba1 (sf) Cl. G, Affirmed Ba2 (sf); previously on Apr 11, 2005 Definitive Rating Assigned Ba2 (sf) Cl. H, Affirmed Ba3 (sf); previously on Apr 11, 2005 Definitive Rating Assigned Ba3 (sf) Cl. J, Affirmed B2 (sf); previously on Dec 3, 2009 Downgraded to B2 (sf) Cl. K, Affirmed Caa1 (sf); previously on Dec 3, 2009 Downgraded to Caa1 (sf) Cl. L, Affirmed Caa2 (sf); previously on Dec 3, 2009 Downgraded to Caa2 (sf) Cl. XC-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. XC-2, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The upgrades are due to increased credit support as well as anticipated additional credit support resulting from paydowns of defeased loans and other loans approaching maturity that are well positioned for refinance. The affirmations of the P&I 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. The ratings of the IO Classes, Classes XC-1 & XC-2, are consistent with the credit performance of their referenced classes and thus are affirmed. Based on Moody's current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. Moody's rating action reflects a base expected loss of 1.8% of the current balance, the same as at last review. Moody's base expected loss plus realized loss is 1.2%, the same as last review. 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. 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 Canadian CMBS" published in May 2000. 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. 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 21 compared to 18 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 August 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 38% to $273.1 million from $444.0 million at securitization. The Certificates are collateralized by 42 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten non-defeased loans representing 41% of the pool. Six loans, representing 27% of the pool, have defeased and are secured by Canadian Government securities. Four loans, representing 9% 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. One loan has been liquidated from the pool, resulting in approximately a $630,000 loss (41% loss severity). There are currently no loans in special servicing. Moody's has assumed a high default probability for one poorly performing loan representing 3% of the pool and has estimated a modest loss from this troubled loan. Moody's was provided with full year 2012 financials for 94% of the pool. Excluding the troubled loan, Moody's weighted average LTV is 72%, the same as at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.3%. Excluding the troubled loan, Moody's actual and stressed DSCRs are 1.53X and 1.42X, respectively, compared to 1.51X and 1.38X 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 17.5% of the pool. The largest conduit loan is the Calloway Saint John Loan ($19.8 million -- 7.2% of the pool), which is secured by a 271,000 square foot (SF) Wal-Mart anchored retail center located in St. John, New Brunswick. The retail center is also shadowed anchored by a Canadian Tire Store and Kent Home Improvement Centre. Wal-Mart leases 47% of the net rentable area (NRA) through November 2019. As of July 2013, the property was 94% leased compared to 95% at last review. The loan is full recourse to Calloway REIT. Moody's LTV and stressed DSCR are 66% and 1.39X, respectively, as compared to 70% and 1.31X at last review. The second largest conduit loan is the 276-288 St Jacques Loan ($14.6 million -- 5.3% of the pool), which is secured by 236,000 SF office property located in Old Montreal, Quebec. As of September 2012 the property was 97% leased, the same at last review. The Government of Quebec leases approximately 57% of the NRA with lease expirations ranging from 2015-2017. Moody's LTV and stressed DSCR are 64% and 1.61X, respectively, compared to 72% and 1.42X at last review. The loan is scheduled to mature on October 1, 2013 and payoff is expected upon maturity. The third largest conduit loan is the Prospera Portfolio ($13.4 million -- 4.9% of the pool), which is secured by eight cross- collateralized and cross-defaulted office properties located in Abbotsford, British Columbia. The properties total 108,000 SF. The portfolio has benefited from 2% of amortization since last review. Moody's LTV and stressed DSCR are 67% and 1.49X, respectively, compared to 73% and 1.37X at last review. MORGAN STANLEY: Moody's Affirms Caa3 Rating on $4MM Cl. E Notes --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Morgan Stanley Investment Management Croton, Ltd.: $16,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2018, Upgraded to Aa3 (sf); previously on Mar 8, 2013 Upgraded to A2 (sf). Moody's also affirmed the ratings of the following notes: $175,000,000 Class A-1 Senior Term Notes Due 2018 (current outstanding balances of $47,509,411.95), Affirmed Aaa (sf); previously on March 8, 2013 Affirmed Aaa (sf); $50,000,000 Class A-2 Senior Delayed Draw Notes Due 2018 (current outstanding balances of $13,574,117.69), Affirmed Aaa (sf); previously on March 8, 2013 Affirmed Aaa (sf); $14,000,000 Class B Senior Floating Rate Notes Due 2018, Affirmed Aaa (sf); previously on March 8, 2013 Upgraded to Aaa (sf); $4,000,000 Class B Senior Fixed Rate Notes Due 2018, Affirmed Aaa (sf); previously on March 8, 2013 Upgraded to Aaa (sf); $14,500,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2018, Affirmed Ba2 (sf); previously on March 8, 2013 Affirmed Ba2 (sf); $4,000,000 Class E Deferrable Mezzanine Floating Rate Notes Due 2018, Affirmed Caa3 (sf); previously on March 8, 2013 Affirmed Caa3 (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in March 2013. Moody's notes that the Class A Notes have been paid down by approximately 52.9% or $68.6 million since March 2013. Based on the latest trustee report dated August 5, 2013, the Senior Overcollateralization and Mezzanine Overcollateralization ratios are reported at 154.1% and 111.2%, respectively, versus March 2013 levels of 128.2% and 106.2%, respectively. Notwithstanding benefits of the deleveraging, Moody's notes that the credit quality of the underlying portfolio has deteriorated since March 2013. Moody's modeled a WARF of 2922 compared to 2581 in March 2013. Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the August 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 20.3% of the underlying portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Notwithstanding the increase in the overcollateralization coverage for the Class D Notes and Class E Notes, Moody's affirmed the ratings of the Class D Notes and Class E Notes due to the market risk posed by the exposure to these long-dated assets. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $118.8 million, defaulted par of $6.3 million, a weighted average default probability of 18.59% (implying a WARF of 2922), a weighted average recovery rate upon default of 52.54%, and a diversity score of 37. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Morgan Stanley Investment Management Croton, Ltd., issued in December 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2338) Class A-1: 0 Class A-2: 0 Class B Floating: 0 Class B Fixed: 0 Class C: +2 Class D: +1 Class E: +1 Moody's Adjusted WARF + 20% (3506) Class A-1: 0 Class A-2: 0 Class B Floating: 0 Class B Fixed: 0 Class C: -1 Class D: -1 Class E: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. MORGAN STANLEY 2000-PRIN: Moody's Affirms Ba3 Rating on X Secs. --------------------------------------------------------------- Moody's Investors Service upgraded the ratings one class and affirmed four classes of Morgan Stanley Dean Witter Capital I Trust 2000-PRIN as follows: Cl. B, Affirmed Aaa (sf); previously on Jul 19, 2006 Upgraded to Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Aug 29, 2007 Upgraded to Aaa (sf) Cl. D, Affirmed Aaa (sf); previously on Nov 10, 2011 Upgraded to Aaa (sf) Cl. E, Upgraded to Aaa (sf); previously on Nov 10, 2011 Upgraded to Aa1 (sf) Cl. X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The upgrade of Class E is due to increased credit enhancement from paydowns and amortization and overall stable performance. The pool has paid down by 89% since securitization. The affirmations of the P&I 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. The rating of the IO Class, Class X, is consistent with the ratings of its reference classes and thus affirmed. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated 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 rating action reflects a base expected loss of 3.6% of the current balance. At last full review, Moody's base expected loss was 3.0%. Moody's base expected loss plus cumulative realized losses remains at .05% of the original securitized balance, consistent with the prior review. 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. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. 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. 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 14 compared to 16 at Moody's prior review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the August 23, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $68.4 million from $597.9 million at securitization. The Certificates are collateralized by 29 mortgage loans ranging in size from less than 1% to 19% of the pool, with the top ten loans representing 71% of the pool. No loans have defeased and there are no loans with an investment grade credit assessment. Thirteen loans, representing 32% 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. Two loans have been liquidated from the pool since securitization, resulting in an aggregate $588,000 loss (1% loss severity on average). There are currently no loans in special servicing. Moody's has assumed a high default probability for one poorly performing loan representing 7% of the pool and has estimated a modest loss from this troubled loan. Moody's was provided with full year 2011 and 2012 operating results for 94% of the performing pool. Excluding the troubled loan, Moody's weighted average LTV is 38% compared to 41% at last full review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.6%. Excluding the troubled loan, Moody's actual and stressed DSCRs are 1.51X and 4.09X, respectively, compared to 1.49X and 3.65X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 35% of the pool. The largest loan is the Liberty Square Shopping Center Loan ($12.7 million --18.6% of the pool), which is secured by a 346,000 square foot (SF) retail center located in Burlington (Burlington County), New Jersey. The center is anchored by Wal-Mart, ACME Supermarket and Marshall's. As of February 2013, the property was 98% leased compared to 89% at last review. Marshall's (10.5% of net rentable area) who had a lease expiration in January 2013, recently renewed their extension option out to 2018. Property performance has been stable and the loan is benefitting from amortization, paying down 37% since securitization. Moody's LTV and stressed DSCR are 41% and 2.47X, respectively, compared to 49% and 2.06X at last review. The second largest loan is the Stop & Shop Loan ($5.9 million -- 8.6% of the pool), which is secured by a 190,000 SF anchored retail center located in 15 miles southwest of Boston, Massachusetts. The collateral is located along US Route 1, a main commercial corridor. Home Depot, which occupies 61% of the gross leasable area (GLA), owns its own improvements has a 97-year ground lease through September 2097. Home Depot has prepaid the ground rent for its parcel and does not pay reimbursements. Stop & Shop, which leases 34% of the GLA, has a 21-year lease through June 2018. No other tenant occupies more than 2% of the GLA. As of March 2013, the property was 100% leased, compared to 98% at last review. Moody's LTV and stressed DSCR are 78% and 1.35X, respectively, compared to 81% and 1.29X, at last review. The third largest loan is the 5560 Katella Avenue Loan ($5.1 million -- 7.5% of the pool), which is secured by a 215,000 SF single-tenant industrial property located in Cypress, California. The property is 100% leased to Global Experience Specialist through December 2015. Performance has remained in line with last review, although due to the single tenant nature of this building, Moody's value reflects a stressed cashflow derived from a dark/lit analysis. Moody's LTV and stressed DSCR are 58% and 1.78X, respectively, the same as at last review. MORGAN STANLEY 2004-4: Moody's Hikes Rating on 5 RMBS Secs. to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of five tranches backed by Alt-A RMBS loans, issued by Morgan Stanley Mortgage Loan Trust 2004-4. Complete rating actions are as follows: Issuer: Morgan Stanley Mortgage Loan Trust 2004-4 Cl. 1-A-9, Upgraded to Ba1 (sf); previously on Oct 16, 2012 Downgraded to B1 (sf) Cl. 1-A-10, Upgraded to Ba1 (sf); previously on Oct 16, 2012 Downgraded to B1 (sf) Cl. 1-A-11, Upgraded to Ba1 (sf); previously on Oct 16, 2012 Downgraded to B1 (sf) Cl. 1-A-12, Upgraded to Ba1 (sf); previously on Oct 16, 2012 Downgraded to B1 (sf) Cl. 1-A-14, Upgraded to Ba1 (sf); previously on Oct 16, 2012 Downgraded to B1 (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The upgrades are a result of improving performance of the related pools and faster pay-down of the bonds due to high prepayments/faster liquidations. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in June 2013. 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 August 2012 to 7.3% in August 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. 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. MORGAN STANLEY 2006-35: Moody's Hikes Rating on $75MM Notes to B3 ----------------------------------------------------------------- Moody's Investors Service announced that the following rating action on Morgan Stanley ACES, Series 2006-35, a corporate synthetic collateralized debt obligation transaction (the "Collateralized Synthetic Obligation" or "CSO"). The CSO references a portfolio of corporate senior unsecured bonds. $75,000,000 Class I Secured Floating Rate Notes due 2016, Upgraded to B3 (sf); previously on February 25, 2009 Downgraded to Caa1 (sf) Ratings Rationale: Moody's rating action is the result of the shortened time to maturity of the CSO, the level of credit enhancement remaining in the transaction, and the stable credit quality of the reference portfolio. The credit quality of the portfolio remains stable with a weighted average rating factor (WARF) of 1379 in September 2013 compared to a WARF of 1389 in April 2013, after adjusting for credit events. 6.4% of the portfolio is rated Caa1 or below, compared to 4.0% from the last review. There are 27 reference entities with a negative outlook compared to 17 with a positive outlook, and 3 entities on watch for downgrade compared to none on watch for upgrade. The portfolio has experienced six credit events, equivalent to 6% of the portfolio based on the portfolio notional value at closing. Since inception, the subordination of the rated tranche has been reduced by 4% due to credit events on CIT Group, Idearc Inc., Kaupthing Bank HF., Lehman Brothers Holdings Inc., Thomson and Syncora Guarantee Inc. In addition, the portfolio is exposed to Clear Channel and Norske Skogindustrier ASA, neither of which have had credit events, but nonetheless have senior unsecured ratings of Ca. The CSO has a remaining life of 3.5 years. The principal methodology used in this rating was "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations" published in September 2009. Moody's analysis for this transaction is based on CDOROM v2.8-9 . Moody's rating action factors in a number of sensitivity analyses and stress scenarios. Results are given in terms of the number of notches' difference versus the base case, where a higher number of notches correspond to lower expected losses, and vice-versa: - Moody's reviews a scenario consisting of reducing the maturity of the CSO by six months, keeping all other things equal. The result of this run is one notch higher than in the base case. - Market Implied Ratings ("MIRS") are modeled in place of the corporate fundamental ratings to derive the default probability of the reference entities in the portfolio. The gap between an MIR and a Moody's corporate fundamental rating is an indicator of the extent of the divergence in credit view between Moody's and the market. The result of this run is three notches higher than in the base case. - Moody's performs a stress analysis consisting of defaulting all entities rated Caa1 and below. The result of this run is one notch lower than in the base case. Moody's notes that key model inputs used in its analysis are based on the published methodology and may be different from the manager/arranger's reported numbers. In particular, rating assumptions for all publicly rated corporate credits in the underlying portfolio have been adjusted for "Review for Possible Downgrade", "Review for Possible Upgrade", or "Negative Outlook". Moody's does not run a separate loss and cash flow analysis other than the one already done by the CDOROM model. For a description of the analysis, refer to the methodology and the CDOROM user's guide on Moody's website. Moody's analysis of CSOs is subject to uncertainties, the primary sources of which include complexity, governance and leverage. Although the CDOROM model captures many of the dynamics of the Corporate CSO structure, it remains a simplification of the complex reality. Of greatest concern are (a) variations over time in default rates for instruments with a given rating, (b) variations in recovery rates for instruments with particular seniority/security characteristics and (c) uncertainty about the default and recovery correlations characteristics of the reference pool. Similarly on the legal/structural side, the legal analysis although typically based in part on opinions (and sometimes interpretations) of legal experts at the time of issuance, is still subject to potential changes in law, case law and the interpretations of courts and (in some cases) regulatory authorities. The performance of this CSO is also dependent on on- going decisions made by one or several parties, including the Manager and the Trustee. Although the impact of these decisions is mitigated by structural constraints, anticipating the quality of these decisions necessarily introduces some level of uncertainty in Moody's assumptions. Given the tranched nature of CSO liabilities, rating transitions in the reference pool may have leveraged rating implications for the ratings of the CSO liabilities, thus leading to a high degree of volatility. All else being equal, the volatility is likely to be higher for more junior or thinner liabilities. The base case scenario modeled fits into the central macroeconomic scenario anticipated by Moody's of a gradual recovery in the corporate universe. Should macroeconomics conditions evolve, the CSO ratings will change to reflect the new economic developments. NORTHWOODS CAPITAL: S&P Assigns Prelim 'BB-' Rating on Cl. E Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Northwoods Capital X Ltd./Northwoods Capital X LLC's $324.50 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 Sept. 16, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflects 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 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 it assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.2654%-12.8655%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of up to 50.00% of excess interest proceeds that are available before paying uncapped administrative expenses and fees, collateral manager subordinated and incentive management fees, and subordinated note payments to principal proceeds to purchase additional collateral assets during the reinvestment period. 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/1811.pdf PRELIMINARY RATINGS ASSIGNED Northwoods Capital X Ltd./Northwoods Capital X LLC Class Rating Amount (mil. $) X AAA (sf) 2.50 A-1 AAA (sf) 165.00 A-2 AAA (sf) 45.00 B-1 AA (sf) 22.00 B-2 AA (sf) 20.00 C (deferrable) A (sf) 31.50 D (deferrable) BBB (sf) 19.50 E (deferrable) BB- (sf) 19.00 Subordinated notes NR 42.50 NR--Not rated. NOVASTAR MORTGAGE: Moody's Raises Ratings on 2 Transactions ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of three tranches from two transactions, backed by Subprime mortgage loans, issued by Novastar Mortgage Funding Trust. Complete rating actions are as follows: Issuer: NovaStar Mortgage Funding Trust, Series 2003-3 Cl. M-1, Upgraded to B1 (sf); previously on Jun 8, 2012 Upgraded to B3 (sf) Cl. M-2, Upgraded to B3 (sf); previously on Jun 8, 2012 Upgraded to Caa1 (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2004-1 Cl. M-6, Upgraded to Caa3 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Ratings Rationale: The rating actions reflect the recent performance of the underlying pools and Moody's updated expected losses on the pools. In addition, the rating actions reflect correction of errors in the Structured Finance Workstation (SFW) cash flow models previously used by Moody's in rating these transactions. The cash flow models used in prior rating actions incorrectly double counted the excess spread reduction on the transactions, understating the amount of excess spread benefit to the bonds. The errors have now been corrected, and these rating actions reflect these changes. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.1% in August 2012 to 7.3% in August 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for 2013. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. OHA LOAN 2012-1: S&P Affirms 'BB' Rating on Class E Notes --------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on OHA Loan Funding 2012-1 Ltd./OHA Loan Funding 2012-1 Inc.'s $330.0 million in fixed- and floating-rate notes following the transaction's effective date as of June 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 (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 could 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 could give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analyses 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. 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 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 RATINGS AFFIRMED OHA Loan Funding 2012-1 Ltd./OHA Loan Funding 2012-1 Inc. Class Rating Amount (Mil. $) X AAA (sf) 0.0 A AAA (sf) 220.0 B-1 AA (sf) 30.5 B-2 AA (sf) 19.0 C (deferrable) A (sf) 25.5 D (deferrable) BBB (sf) 18.0 E (deferrable) BB (sf) 17.0 PALMER SQUARE 2013-2: S&P Assigns 'BB' Rating on Class D Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Palmer Square CLO 2013-2 Ltd./Palmer Square CLO 2013-2 LLC's $425.25 million fixed- and floating-rate notes. The note issuance is collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's 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 LIBOR ranging from 0.2761%-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 balances. 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/1810.pdf RATINGS ASSIGNED Palmer Square CLO 2013-2 Ltd./Palmer Square CLO 2013-2 LLC Class Rating Amount (mil. $) A-1a AAA (sf) 266.10 A-1b AAA (sf) 10.00 A-2 AA (sf) 66.60 B (deferrable) A (sf) 32.10 C (deferrable) BBB (sf) 23.00 D (deferrable) BB (sf) 18.30 E (deferrable) B (sf) 9.15 Subordinated notes NR 38.55 NR--Not rated. PEGASUS 2006-1: Moody's Affirms 'Ba1' Rating on Class A1 Notes -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of one class of notes issued by Pegasus 2006-1. The affirmation is due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO Synthetic) transactions. Moody's rating action is as follows: Cl. A1, Affirmed Ba1 (sf); previously on Dec 14, 2012 Downgraded to Ba1 (sf) Ratings Rationale: Pegasus 2006-1 is a static synthetic transaction backed by a portfolio of commercial mortgage backed securities reference obligations (CMBS) (100.0% of the pool balance). As of the August 16, 2013 Trustee report, the aggregate Note balance of the transaction, including preferred shares, is $121.5 million, the same as at issuance. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated reference obligations. Moody's modeled a bottom-dollar WARF of 168 compared to 128 at last review. The current distribution of Moody's rated reference obligations and assessments for non- Moody's rated reference obligations is as follows: Aaa-Aa3 (73.3% compared to 83.3% at last review), A1-A3 (20.0% compared to 10.0% at last review), and Baa1-Baa3 (6.7%, same as last review). Moody's modeled to a WAL of 2.1 years compared to 2.9 years at last review. Moody's modeled a fixed WARR of 58.2% compared to 60.5% at last review. Moody's modeled a MAC of 56.2% compared to 55.7% at last review. Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating models, which was released on March 25, 2013. Moody's analysis encompasses the assessment of stress scenarios. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated notes are particularly sensitive to rating changes within the reference obligation pool. Holding all other key parameters static, stressing the current ratings and credit assessments of the reference obligations by one notch downward or one notch upward affects the model results by approximately 0 to 2 notches negatively and 1 notch positively, 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 principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. PEGASUS 2007-1: Moody's Cuts Rating on Class A-1 Notes to 'B2' -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of one class of notes issued by Pegasus 2007-1. The downgrade is due to deterioration in underlying reference obligations performance as evidenced by transition in Moody's weighted average rating factor (WARF), and weighted average recovery rate (WARR). The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO Synthetic) transactions. Moody's rating action is as follows: Cl. A1 Notes, Downgraded to B2 (sf); previously on Dec 5, 2012 Downgraded to B1 (sf) Ratings Rationale: Pegasus 2007-1 is a static synthetic transaction backed by a portfolio of commercial mortgage backed securities reference obligations (CMBS) (100.0% of the pool balance). As of the August 16, 2013 Trustee report, the aggregate note balance of the transaction, including preferred shares, is $113.4 million, the same as at issuance. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated reference obligations. Moody's modeled a bottom-dollar WARF of 168 compared to 128 at last review. The current distribution of Moody's rated reference obligations and assessments for non- Moody's rated reference obligations is as follows: Aaa-Aa3 (57.1% compared to 60.7% at last review), A1-A3 (21.5% compared to 17.9% at last review), Baa1-Baa3 (14.3%, compared to 17.9 at last review) and Ba1-Ba3 (7.1% compared to 3.6% at last review). Moody's modeled to a WAL of 2.9 years compared to 3.7 years at last review. Moody's modeled a fixed WARR of 51.6% compared to 53.2% at last review. Moody's modeled a MAC of 37.2% compared to 59.8% at last review. Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating models, which was released on March 25, 2013. Moody's analysis encompasses the assessment of stress scenarios. Changes in any one or combination of the key parameters may have rating implications on certain classes of rated notes. However, in many instances, a change in key parameter assumptions in certain stress scenarios may be offset by a change in one or more of the other key parameters. In general, the rated notes are particularly sensitive to rating changes within the reference obligation pool. Holding all other key parameters static, stressing the current ratings and credit assessments of the reference obligations by one notch downward or one notch upward affects the model results by approximately 1 to 2 notches negatively and 1 notch positively, 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 principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in May 2012. PREFERRED TERM XI: Moody's Raises Ratings on 3 Notes to 'Caa3' -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Preferred Term Securities XI, Ltd.: $343,000,000 Floating Rate Class A1 Senior Notes Due September 24, 2033 (current balance of $223,906,970), Upgraded to Aa2 (sf); previously on August 5, 2013 A2 (sf) Placed Under Review for Possible Upgrade $70,000,000 Floating Rate Class A2 Senior Notes Due September 24, 2033, Upgraded to A1 (sf); previously on August 5, 2013 Upgraded to Baa2 (sf) and Placed Under Review for Possible Upgrade $124,500,000 Floating Rate Class B1 Mezzanine Notes Due September 24, 2033, Upgraded to Caa3 (sf); previously on March 27, 2009 Downgraded to Ca (sf) $13,000,000 Fixed/Floating Rate Class B2 Mezzanine Notes Due September 24, 2033, Upgraded to Caa3 (sf); previously on March 27, 2009 Downgraded to Ca (sf) $65,500,000 Fixed/Floating Rate Class B3 Mezzanine Notes Due September 24, 2033, Upgraded to Caa3 (sf); previously on March 27, 2009 Downgraded to Ca (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the Class A1 Notes and an increase in the transaction's overcollateralization ratios. Moody's notes that the Class A1 Notes have been paid down by approximately $14 million or 6% since September 2012, due to diversion of excess interest proceeds and disbursement of principal proceeds from redemptions of underlying assets. As a result of this deleveraging, the Class A1 Notes' par coverage improved 178.7% from 165.5% since September 2012, as calculated by Moody's. Based on the latest trustee report dated June 19, 2013, the Senior Principal Coverage Ratio is reported at 136.13% (limit 128.00%) versus September 2012 levels of 128.03%. The Senior Principal Coverage Test has been cured since September 2012. As a result, the Class B Notes resumed interest payments and all deferred interest on the Class B Notes has been fully paid. Going forward, the Class A1 Notes will continue to benefit from the diversion of excess interest and the proceeds from future redemptions of any assets in the collateral pool. In taking the foregoing actions, Moody's also announced that it had concluded its review of its ratings on the issuer's Class A1 and Class A2 Notes announced on August 5, 2013. At that time, Moody's said that it had upgraded and placed certain of the issuer's ratings on review primarily as a result of substantial deleveraging of the senior notes, increase in the overcollateralization (OC) ratios, and improvement in the credit quality of the underlying portfolios. Due to the impact of revised and updated key assumptions referenced in its 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 of $393,605,000, defaulted/deferring par of $167,250,000, a weighted average default probability of 18.86% (implying a WARF of 877), Moody's Asset Correlation of 18.34%, 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. Preferred Term Securities XI, Ltd., issued on September 2003, 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 Q2-2013. 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 by 360 points from the base case of 877, the model-implied rating of the Class A1 Notes is one notch worse than the base case result. Similarly, if the WARF is decreased by 20 points, the model-implied rating of the Class A1 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 $49 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. 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 A1: +1 Class A2: +2 Class B1: +2 Class B2: +2 Class B3: +2 Sensitivity Analysis 2: Class A1: +1 Class A2: +1 Class B1: +1 Class B2: +1 Class B3: +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. PREFERRED TERM XIII: Moody's Hikes Rating on 3 Notes to Caa3 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Preferred Term Securities XIII, Ltd.: $276,250,000 Floating Rate Class A-1 Senior Notes Due March 24, 2034 (current balance of $179,269,853), Upgraded to Aa2 (sf); previously on Aug 5, 2013 A2 (sf) Placed Under Review for Possible Upgrade $27,000,000 Floating Rate Class A-2 Senior Notes Due March 24, 2034, Upgraded to A1 (sf); previously on Aug 5, 2013 Upgraded to Baa1 (sf) and Placed Under Review for Possible Upgrade $7,750,000 Fixed/Floating Rate Class A-3 Senior Notes Due March 24, 2034, Upgraded to A1 (sf); previously on Aug 5, 2013 Upgraded to Baa1 (sf) and Placed Under Review for Possible Upgrade $21,500,000 Fixed/Floating Rate Class A-4 Senior Notes Due March 24, 2034, Upgraded to A1 (sf); previously on Aug 5, 2013 Upgraded to Baa1 (sf) and Placed Under Review for Possible Upgrade $98,350,000 Floating Rate Class B-1 Mezzanine Notes Due March 24, 2034 (current balance of $101,980,268), Upgraded to Caa3 (sf); previously on Mar 27, 2009 Downgraded to Ca (sf) $21,450,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due March 24, 2034 (current balance of $22,241,757), Upgraded to Caa3 (sf); previously on Mar 27, 2009 Downgraded to Ca (sf) $44,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due March 24, 2034 (current balance of $45,624,116), Upgraded to Caa3 (sf); previously on Mar 27, 2009 Downgraded to Ca (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the Class A-1 Notes and an increase in the transaction's overcollateralization ratios since September 2012. Moody's notes that the Class A-1 Notes have been paid down by approximately 15.3% or $32 million since September 2012, due to diversion of excess interest proceeds and disbursement of principal proceeds from redemptions of underlying assets. As a result of this deleveraging, the Class A1 Notes' par coverage improved to 179% from 140% since September 2012, as calculated by Moody's. Based on the latest trustee report dated June 19, 2013, the Senior Principal Coverage Ratio is reported at 132.28% (limit 128.0%), versus September 2012 level of 110.81%. The Senior Principal Coverage Test has been cured since June 2013. As a result, the Class B Notes resumed interest payments and the deferred interest on the Class B Notes has started to be repaid. Going forward, the Class A-1 Notes will continue to benefit from the proceeds from future redemptions of any assets in the collateral pool. In taking the foregoing actions, Moody's also announced that it had concluded its review of its ratings on the issuer's Class A-1, A-2, A-3 and Class A-4 Notes announced on August 5, 2013. At that time, Moody's said that it had upgraded and placed certain of the issuer's ratings on review primarily as a result of substantial deleveraging of the senior notes, increase in the overcollateralization (OC) ratios, and improvement in the credit quality of the underlying portfolios. Due to the impact of revised and updated key assumptions referenced in its 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 and principal proceeds balance of $318 million, defaulted/deferring par of $137 million, a weighted average default probability of 21.84% (implying a WARF of 1064), Moody's Asset Correlation of 18.0%, 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. Preferred Term Securities XIII, Ltd., issued on March 17, 2004, 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 Q2-2013. 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 by 210 points from the base case of 1064, the model-implied rating of the Class A-1 Notes is one notch worse than the base case result. Similarly, if the WARF is decreased by 190 points, the model-implied rating of the Class A-1 Notes is one notch better than the base case result. In addition, Moody's also performed two additional sensitivity analyses as described in the Special Comment "Sensitivity Analyses on Deferral Cures and Default Timing for Monitoring TruPS CDOs" published in August 2012. In the first, Moody's gave par credit to banks that are deferring interest on their TruPS but satisfy specific credit criteria and thus have a strong likelihood of resuming interest payments. Under this sensitivity analysis, Moody's gave par credit to $27.5 million of bank TruPS. In the second sensitivity analysis, Moody's ran alternative default- timing profile scenarios to reflect the lower likelihood of a large spike in defaults. 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: 0 Class A-3: 0 Class A-4: 0 Class B-1: +2 Class B-2: +2 Class B-3: +2 Sensitivity Analysis 2: Class A-1: 0 Class A-2: 0 Class A-3: 0 Class A-4: 0 Class B-1: 0 Class B-2: 0 Class B-3: 0 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. PREFERRED TERM XXV: Moody's Lifts Ratings on 2 Notes to 'Ca' ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Preferred Term Securities XXV, Ltd.: $482,600,000 Floating Rate Class A-1 Senior Notes Due June 22, 2037 (current balance of $311,699,482), Upgraded to A2 (sf); previously on August 5, 2013 Upgraded to A3 (sf) and Placed Under Review for Possible Upgrade $129,400,000 Floating Rate Class A-2 Senior Notes Due June 22, 2037 (current balance of $127,091,526), Upgraded to Baa3 (sf); previously on August 5, 2013 Upgraded to Ba1 (sf) and Placed Under Review for Possible Upgrade $61,400,000 Floating Rate Class B-1 Mezzanine Notes due June 22, 2037 (current balance of $63,159,807), Upgraded to Ca (sf); previously on June 24, 2010 Downgraded to C (sf) $25,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes due June 22, 2037 (current balance of $29,511,453), Upgraded to Ca (sf); previously on June 24, 2010 Downgraded to C (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of Class A-1 Notes and an increase in the transaction's overcollateralization ratios since the rating action in October 2012. Moody's notes that the Class A-1 Notes have been paid down by approximately 12% or $42 million since October 2012, due to diversion of excess interest proceeds and disbursement of principal proceeds from redemptions of underlying assets. As a result of this deleveraging, the Class A-1 Notes' par coverage improved 164.6% from 143.9% since October 2012, as calculated by Moody's. Based on the latest trustee report dated June 24, 2013, the Senior Principal Coverage Ratio, Class B Mezzanine Principal, Class C Mezzanine Principal Coverage Ratio and Class D Mezzanine Principal Coverage Ratio are reported at 115.39% (limit 128%), 96.29% (limit 115%), 80.49% (limit 105%) and 73.55% (limit 100.3%), respectively, versus June 2012 levels of 108.97%, 91.48%, 76.89% and 70.47%, respectively. 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 suffers from a deterioration in the credit quality of the underlying portfolio. Based on Moody's calculation, the weighted average rating factor (WARF) increased to 1198 compared to 953 as of October 2012. In taking the foregoing actions, Moody's also announced that it had concluded its review of its ratings on the issuer's Class A-1 Note and Class A-2 Notes announced on August 5, 2013. At that time, Moody's said that it had upgraded and placed certain of the issuer's ratings on review primarily as a result of substantial deleveraging of the senior notes, increase in the overcollateralization (OC) ratios, and improvement in the credit quality of the underlying portfolios. Due to the impact of revised and updated key assumptions referenced in its 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 of $510.4 million, defaulted/deferring par of $257 million, a weighted average default probability of 26.15% (implying a WARF of 1198), Moody's Asset Correlation of 14.98%, and a weighted average recovery rate upon default of 7.3%. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of triggering an Event of Default, recent deal performance under current market conditions, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. Preferred Term Securities XXV, Ltd., issued on March 22, 2007, is a collateralized debt obligation backed by a portfolio of bank and insurance 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 and insurance companies that are generally not publicly rated by Moody's. To evaluate the credit quality of bank TruPS without public ratings, Moody's uses RiskCalc model, an econometric model developed by Moody's KMV, to derive their credit scores. Moody's evaluation of the credit risk for a majority of bank obligors in the pool relies on FDIC financial data reported as of Q2-2013. For insurance TruPS without public ratings, Moody's relies on the assessment of Moody's Insurance team based on the credit analysis of the underlying insurance firms' annual statutory financial reports. Moody's also evaluates the sensitivity of the rated transaction to the volatility of the credit estimates, as described in Moody's 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 by 140 points from the base case of 1198, the model-implied rating of the Class A-1 Notes is one notch worse than the base case result. Similarly, if the WARF is decreased by 110 points, the model-implied rating of the Class A-1 Notes is one notch better than the base case result. In addition, Moody's also performed two additional sensitivity analyses as described in the Special Comment "Sensitivity Analyses on Deferral Cures and Default Timing for Monitoring TruPS CDOs" published in August 2012. In the first, Moody's gave par credit to banks that are deferring interest on their TruPS but satisfy specific credit criteria and thus have a strong likelihood of resuming interest payments. Under this sensitivity analysis, Moody's gave par credit to $49 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. 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: +2 Class A-2: +2 Class B-1: +3 Class B-2: +3 Class C-1: 0 Class C-2: 0 Sensitivity Analysis 2: Class A-1: +1 Class A-2: +1 Class B-1: +1 Class B-2: +1 Class C-1: 0 Class C-2: 0 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. Moody's continues to have a stable outlook in the insurance sector. RALI TRUST: Moody's Takes Action on $1BB RMBS Issued 2006 to 2007 ----------------------------------------------------------------- Moody's Investors Service has confirmed the ratings of eleven tranches from eight transactions backed by Option ARM loans, issued by Residential Accredit Loans, Inc. Complete rating actions are as follows: Issuer: RALI Series 2006-QO10 Trust Cl. A-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: RALI Series 2006-QO4 Trust Cl. II-A-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: RALI Series 2006-QO5 Trust Cl. I-A-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. II-A-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. III-A-2, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: RALI Series 2006-QO8 Trust Cl. I-A2A, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: RALI Series 2006-QO9 Trust Cl. I-A2A, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: RALI Series 2007-QO1 Trust Cl. A-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: RALI Series 2007-QO3 Trust Cl. A-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: RALI Series 2007-QO4 Trust Cl. A-1-a, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Cl. A-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain Ratings Rationale: The actions reflect the correction of errors in the Structured Finance Workstation (SFW) cash flow models used by Moody's in rating these transactions, specifically in how the models handle interest allocation for these transactions. The cash flow models used in past rating actions used a separate interest waterfall. However, the pooling and servicing agreements for these transactions provide that all collected principal and interest is commingled into one payment waterfall to first pay all promised interest due on bonds , and then pay scheduled principal. Due to the discovery of these errors, eleven tranches were placed on watch on May 14, 2013. The errors have now been corrected, and these rating actions reflect these changes. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. 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 August 2012 to 7.3% in August 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. ROCK 2001-C1: Moody's Lowers Rating on Class X2 Notes to 'Caa3' --------------------------------------------------------------- Moody's Investors Service affirms one, upgrades one and downgrades one CMBS classes of ROCK 2001-C1, Series 2001-C1 Commercial Mortgage Pass-Through Certificates as follows: Cl. K, Upgraded to B3 (sf); previously on Sep 27, 2012 Downgraded to Caa3 (sf) Cl. L, Affirmed Ca (sf); previously on Sep 27, 2012 Downgraded to Ca (sf) Cl. X2, Downgraded to Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa2 (sf) Ratings Rationale: The upgrade of the one P&I class is due to increased credit support due to amortization and payoffs. The deal has paid down 89% since Moody's last review and 99% since securitization. Interest shortfall risk remains at this class. The affirmation of the one P&I class is due to the rating being consistent with Moody's expected losses. The interest-only class, Class X-2, is downgraded based on the weighted average rating factor (WARF) of its referenced classes and the significant paydowns of highly rated classes. 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 rating action reflects a cumulative base expected loss of 1.2% of the current balance, compared to 32.0% at last review. Moody's base expected plus cumulative realized losses is now 2.8% of the original, securitized pool compared to 4.0% at last review. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. 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. 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 3 compared to 5 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the September 10, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $8.0 million from $908.2 million at securitization. The Certificates are collateralized by 4 mortgage loans ranging in size from 12% to 50% of the pool. There are currently no loans on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $25.5 million (27% loss severity). There are currently no loans in special servicing. Moody's was provided with full year 2012 and partial year 2013 operating results for 100% and 25% of the pool respectively. Moody's weighted average LTV is 64% compared to 66% at last review. Moody's net cash flow reflects a weighted average haircut of 13% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed DSCRs are 1.23X and 1.97X, respectively, compared to 1.21X and 1.81X 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 89% of the pool. The largest conduit loan is the Stone Creek Apartments Loan ($4.0 million -- 50% of the pool), which is secured by a 132-unit apartment complex located five miles south of the Dayton CBD. The property was 92% leased as of June 2013, compared to 86% at last review. The borrower was having issues refinancing as there was an erosion issue at the property. The asset manager has now confirmed that the erosion issue has been resolved with the construction of a new retaining wall. The property is currently under contract concerning a possible sale, planning to close around October 18, 2013. Moody's LTV and stressed DSCR are 88% and 1.10X, respectively, compared to 91% and 1.07X at last review. The second largest conduit loan is the Villa Del Lago Apartments Loan ($1.6 million -- 21% of the pool), which is secured by a 216- unit multifamily property located in Shreveport, Louisiana. The property was 92% leased as of June 2013, compared to 93% at last review. This loan benefits from full amortization. Moody's LTV and stressed DSCR are 35% and 2.78X, respectively, compared to 38% and 2.58X at last review. The third largest conduit loan is the Staples Loan ($1.4 million -- 18% of the pool), which is secured by retail property located in Middletown, Rhode Island. This property is 100% occupied by Staples, with a Moody's rating of Baa2 and a lease expiration on November 1, 2016. Moody's LTV and stressed DSCR are 53% and 2.26X, respectively, compared to 52% and 2.31X at last review. SAGAMORE CLO: Moody's Hikes $3MM Class D Junior Notes to 'Caa3' --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Sagamore CLO, Ltd.: $16,000,000 Class C-1 Floating Rate Deferrable Note Rights Due 2015 (current outstanding balance of $15,559,877.07), Upgraded to A1 (sf); previously on July 15, 2013 Upgraded to Baa2 (sf) and Placed Under Review for Possible Upgrade; $500,000 Class C-2 Fixed Rate Deferrable Note Rights Due 2015 (current outstanding balance of $486,246.16), Upgraded to A1 (sf); previously on July 15, 2013 Upgraded to Baa2 (sf) and Placed Under Review for Possible Upgrade; $3,000,000 Class D Junior Mezzanine Deferrable Note Rights Due 2015; Upgraded to Caa3 (sf); previously on February 12, 2013 Upgraded to Ca (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization (OC) ratios since early 2013. However, Moody's indicated that the upgrades are tempered by concerns over a persistent and growing concentration in assets that mature after the maturity of the notes and increasing exposures to single large obligors. Moody's also announced that it has concluded its review of its ratings on the issuer's Class C-1 Notes and Class C-2 Notes announced on July 15, 2013. At that time, Moody's said that it had upgraded and placed certain of the issuer's ratings on review primarily as a result of substantial deleveraging of the senior notes and increases in OC ratios resulting from high rates of loan collateral prepayments during the first half of 2013. Moody's notes that the Class A-1 Notes, Class A-2 Notes, Class A-3 Notes and Class B Notes have been paid in full and that the Class C-1 Notes and Class C-2 Notes have paid down by 2.75% or $440,122.93 and $13,753.84, respectively since the beginning of 2013. Based on the latest trustee report dated August 7, 2013, the Class C OC ratio is reported at 177.5%, versus the January 2013 level of 118.5%. Additionally, Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes, many of which are in CLO tranches with speculative-grade ratings and limited liquidity. Based on Moody's calculation, securities that mature after the maturity date of the notes currently make up approximately $14.7 million or 56.8% of the underlying portfolio, including $10.5 million or 40.7% of CLO tranches. These investments potentially expose the notes to market risk in the event of their liquidation at the time of the notes' maturity, or default risk in the event that they are unable to be sold for cash on or before the notes' maturity. In consideration of the concentration in such assets relative to the remaining outstanding balance of the Class D Notes, Moody's views the Class D Notes to be particularly sensitive to such risks. In analyzing the Class D Notes, Moody's observed that the Class D Notes are structurally subordinated in the priority of payments, with the notes paid pro rata with the Class 1 Preference Shares after certain uncapped expenses are paid. According to Moody's, this feature increases the possibility of interest and principal shortfalls arising with respect to the Class D Notes. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and may be different from the trustee's reported numbers. In its base case, Moody's examined the underlying portfolio using a double-binomial analysis that assumes two pools: one pool consisting of "long-dated" CLO securities, with a performing par balance of $10.5 million, and another pool consisting of corporate loans with a performing par balance of $15.3 million. Moody's also assumed a principal proceeds balance of $1.3 million and defaulted par of $6.0 million. The corporate loan pool is assumed to have an overall weighted average default probability of 12.6% (implying a WARF of 3164), an overall weighted average recovery rate upon default of 49.7%, and a diversity score of 9. The CLO securities pool is assumed to have an overall weighted average default probability of 6.9% (implying a WARF of 2306), an overall weighted average recovery rate upon default of 25.0%, and to be highly correlated, with an effective diversity score of 1. After any modeled defaults, the long-dated CLO pool is assumed to be liquidated at the maturity of the deal at an average assumed net liquidation price of 25.0% of par. The default and recovery properties of the collateral pools are incorporated in cash flow model analysis and the corporate loan pool is subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probabilities are derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Sagamore CLO, Ltd., issued in October 2003, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans and CLO securities. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. In addition, due to the low diversity of the collateral pool, CDOROM 2.8-9 was used to simulate a default distribution that was then applied as an input in the cash flow model. Moody's also notes that a material proportion of the collateral pool includes debt obligations whose credit quality has been assessed through Moody's Credit Estimates ("CEs"). Moody's analysis reflects the application of certain adjustments with respect to the default probabilities associated with CEs. Specifically, Moody's assumed an equivalent of Caa3 for assets with CEs that were not updated within the last 15 months, which represent approximately 1.9% of the collateral pool. Additionally, for each CE where the related exposure constitutes more than 3.0% of the collateral pool, Moody's applied a 2-notch equivalent assumed downgrade. This adjustment was applied to approximately 6.8% of the pool. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2531) Class C-1: +1 Class C-2: +1 Class D: 0 Moody's Adjusted WARF + 20% (3797) Class C-1: -1 Class C-2: -2 Class D: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes a loan asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. For CLO assets, Moody's assumes a terminal value upon liquidation at maturity of each asset to be its recovery rate. Exposure to long-dated assets with limited liquidity (such as speculative-grade CLO securities) may also introduce payment default risk to the extent that the issuer is unable to sell them for cash on or before the CLO's legal maturity. 4) Issuer concentration: 34.8% of the portfolio comprises assets by three large obligors which poses concentration risk to the deal. The performance of the portfolio will be significantly impacted should any of these large issuers default or suffer deterioration in credit quality. SALOMON BROTHERS 2001-C1: S&P Ups Rating on Cl. H Certs to 'B-' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the Class H commercial mortgage pass-through certificates from Salomon Brothers Commercial Mortgage Trust's Series 2001-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction to 'B- (sf)' from 'CCC- (sf)'. The upgrade follows S&P's analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics and performance of all of the remaining loans in the pool, the transaction structure, and the liquidity available to the trust. The raised rating on the Class H certificates reflects Standard & Poor's expected credit enhancement for this class, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating level. The raised rating also reflects S&P's view regarding available liquidity support and the current and future performance of the transaction's collateral. While the available credit enhancement level (reported at 20.74% according to the Aug. 19, 2013, remittance report) may suggest further positive rating movement on Class H, S&P's analysis also considered the reduced liquidity support due to the subordinate Class J certificates incurring principal losses of $17.2 million (90.5% of its original certificate balance), historical interest shortfalls, as well as single-tenant exposure on the largest loan in the pool, the Best Buy - Jacksonville loan ($3.9 million, 45.1%). Using servicer-provided financial information, S&P calculated an adjusted Standard & Poor's debt service coverage (DSC) ratio of 1.40x and a loan-to-value (LTV) ratio of 40.0% for the seven remaining loans in the pool. As of the Aug. 19, 2013, trustee remittance report, the collateral pool had an aggregate trust balance of $8.7 million, down from $952.7 million at issuance. The pool comprises seven loans, down from 183 loans at issuance. To date, the transaction has experienced losses totaling $62.5 million (6.6% of the transaction's original certificate balance). The master servicer, Midland Loan Services (Midland), reported one loan ($2.8 million, 32.6%) on its watchlist, which S&P discusses below. There are currently no loans reported in special servicing. TWO LARGEST REMAINING LOANS The Best Buy - Jacksonville loan ($3.9 million, 45.1%) is the largest remaining loan in the trust. The loan is secured by a 45,914-sq.-ft. retail building located in Jacksonville, Fla., and is 100% leased and occupied by a Best Buy store with a lease expiration of Feb. 10, 2020. The loan has a final maturity of March 1, 2015. The Hilby Station Apartments loan ($2.8 million, 32.6%) is the second-largest remaining loan in the trust. The loan is secured by a 117-unit apartment complex located in Spokane, Wash. According to a servicer-provided rent roll dated April 30, 2013, 116 of the 117 units are leased and occupied. The loan has a final maturity of April 1, 2021. 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 SALOMON BROTHERS 2001-C2: S&P Affirms 'B+' Rating on Class J Certs ------------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its 'B+ (sf)' rating on the Class J commercial mortgage pass-through certificates from Salomon Brothers Commercial Mortgage Trust's Series 2001-C2, a U.S. commercial mortgage-backed securities (CMBS) transaction. The affirmation follows S&P's analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS. S&P's analysis included a review of the credit characteristics and performance of all the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. The affirmation reflects S&P's expectation that the available credit enhancement for the Class J certificates will be within its estimated necessary credit enhancement requirement for the current outstanding rating. S&P also affirmed its rating on the class to reflect the credit characteristics and performance of the remaining assets as well as the transaction-level changes. While available credit enhancement levels may suggest positive rating movement on Class J, S&P affirmed its rating on this class because of the available liquidity support and the potential for additional interest shortfalls from the specially serviced assets. Specifically, S&P considered the potential for the Holiday Inn Asheville Airport loan to be deemed non-recoverable. Using servicer-provided financial information, S&P calculated an adjusted Standard & Poor's debt service coverage (DSC) ratio of 1.02x and a loan-to-value (LTV) ratio of 20.5% for the Stanley Court Apartments loan ($0.4 million, 2.2%). S&P excluded the four specially serviced assets ($11.1 million, 60.2%) and two defeased loans ($6.9 million, 37.6%) from the calculation. As of the Aug. 13, 2013, trustee remittance report, the collateral pool had an aggregate trust balance of $18.4 million, down from $877.6 million at issuance. To date, the transaction has experienced losses totaling $43.8 million (5.0% of the transaction's original certificate balance). The special servicer, CWCapital Asset Management LLC (CWCapital), has indicated that the Sunrise Trade Center asset has since been sold at auction for $4.45 million, resulting in additional losses that will be reflected in the September trustee remittance report. Excluding the Sunrise Trade Center asset, the pool comprises six loans, down from 139 loans at issuance. There are no loans on the master servicer's watchlist. As of the Aug. 13, 2013, trustee remittance report, the trust experienced $52,888 in monthly interest shortfalls related to interest not advanced of $16,904, an appraisal subordinate entitlement reduction (ASER) of $12,475, and the application of $23,464 in interest received to principal. The interest shortfalls affected only Class K, which we previously downgraded to 'D (sf)'. SPECIALLY SERVICED ASSETS The Aug. 13, 2013, trustee remittance report reported four assets ($11.1 million, 60.2%) with the special servicer, CWCapital. Details of the four loans are below: The Sunrise Trade Center asset ($4.8 million, 26.2%), the largest asset with CWCapital, is secured by a 71,749-sq.-ft. retail property in Rancho Cordova, Calif. The loan transferred to special servicing on Sept. 29, 2011, because of maturity default and became REO on April 9, 2012, via a foreclosure sale. According to the special servicer, the property was sold on Sept. 4, 2013, for $4.45 million. The Holiday Inn Asheville Airport loan ($3.7 million, 20.0%), the second-largest asset with CWCapital, is secured by a 150-room Clarion hotel, in Fletcher, N.C. The nonperforming matured balloon loan has a reported total exposure of $5.0 million. The loan transferred to the special servicer on June 25, 2010, because the borrower executed an unauthorized franchise change that resulted in an event of default. The loan has remained with the special servicer since the initial transfer and had a maturity date of Aug. 1, 2011. According to CWCapital, a receiver was appointed on Sept. 19, 2011, and foreclosure is in process. CWCapital indicated that the property achieved 42% occupancy and a $69.90 average daily rate for the trailing 12 months ending June 2013. S&P expects a significant loss upon this asset's eventual resolution, which is considered to be a loss greater than 60% of the outstanding principal balance. The Park 2000 - Building K asset ($1.6 million, 8.6%) is secured by a 33,806 sq. ft. industrial flex building in Las Vegas, Nev. The loan transferred to special servicing on April 26, 2011, because of imminent maturity default and became REO on Feb. 27, 2012, via a foreclosure sale. According to CWCapital, the property is 60% occupied as of Aug. 1, 2013, and is currently being marketed for sale. S&P expects a moderate loss upon this asset's eventual resolution, which is considered to be a loss between 26% and 59% of the outstanding principal balance. The Park 2000 - Building H asset ($1.0 million, 5.5%) is secured by a 16,748 sq. ft. industrial flex building in Las Vegas, Nev. The loan transferred to special servicing on April 26, 2011, because of imminent maturity default and became REO on Feb. 27, 2012, via a foreclosure sale. According to CWCapital, the property was 67% occupied as of Aug. 1, 2013, and is currently being marketed for sale. S&P expects a moderate loss upon this asset's eventual resolution. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATING AFFIRMED Salomon Brothers Commercial Mortgage Trust Commercial mortgage pass-through certificates Series 2001-C2 Class Rating Credit enhancement (%) J B+ (sf) 55.81 SATURNS SEARS 2003-1: Moody's Cuts Rating on $47MM Secs. to Caa2 ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of the following units issued by SATURNS Sears Roebuck Acceptance Corp. Debenture Backed Series 2003-1: $46,808,075 of 7.25% Callable Units due June 1, 2032; Downgraded to Caa2; previously on January 5, 2012 Downgraded to Caa1 Ratings Rationale: The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of the 7.00% Sears Roebuck Acceptance Corp. debentures due June 1, 2032, which were downgraded to Caa2 by Moody's on September 17, 2013. The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Moody's conducted no additional cash flow analysis or stress scenarios because the rating is a pass-through of the rating of the underlying security. Moody's says that the underlying securities are subject to a high level of macroeconomic uncertainty, which is manifest in uncertain credit conditions across the general economy. Because these conditions could negatively affect the ratings on the underlying securities, they could also negatively impact the rating on the certificate. SCHOONER TRUST 2004-CCF1: Moody's Affirms Ba3 Rating on 2 Certs --------------------------------------------------------------- Moody's Investors Service affirms six, upgrades seven classes of Schooner Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-CCF1 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Jan 23, 2004 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Apr 18, 2007 Upgraded to Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Nov 29, 2012 Upgraded to Aaa (sf) Cl. D-1, Upgraded to Aaa (sf); previously on Nov 29, 2012 Upgraded to A1 (sf) Cl. D-2, Upgraded to Aaa (sf); previously on Nov 29, 2012 Upgraded to A1 (sf) Cl. E, Upgraded to Aaa (sf); previously on Nov 29, 2012 Upgraded to A3 (sf) Cl. F, Upgraded to Aa3 (sf); previously on Nov 29, 2012 Upgraded to Baa2 (sf) Cl. G, Upgraded to A3 (sf); previously on Jan 23, 2004 Definitive Rating Assigned Ba2 (sf) Cl. H, Upgraded to Baa2 (sf); previously on Jan 23, 2004 Definitive Rating Assigned Ba3 (sf) Cl. J, Upgraded to B1 (sf); previously on Jan 23, 2004 Definitive Rating Assigned B2 (sf) Cl. K, Affirmed B3 (sf); previously on Jan 23, 2004 Definitive Rating Assigned B3 (sf) Cl. IO-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Cl. IO-2, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The affirmations of the three investment grade P&I classes 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 level for the affirmed class is sufficient to maintain their current ratings. The affirmation of the one below investment grade P&I class is due to the rating being consistent with Moody's expected losses. The upgrades of seven P&I classes are due to increased credit support due to amortization and payoffs as well as anticipated paydowns from defeased loans and other loans approaching maturity that are well positioned for refinance. The pool has paid down by 32% since Moody's last review. The entire pool matures by the end of 2013. The affirmations of the interest-only classes, Classes IO-1 and IO-2, are due to the rating being consistent with the weighted average rating factor (WARF) of their referenced classes. 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 rating action reflects a cumulative base expected loss of 1.2% of the current balance, compared to 2.5% at last review. Moody's base expected loss plus realized loss is now 0.9%, compared to 1.8% at last review. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery and commercial real estate property markets. Commercial real estate property values are continuing to move in a modestly positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, a consistent upward trend will not be evident until the volume of investment activity steadily increases for a significant period, non-performing properties are cleared from the pipeline, and fears of a Euro area recession are abated. The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, "Moody's Approach to Rating Canadian CMBS" published in May 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.62 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. 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 12 compared to 17 at last review. In cases where the Herf falls below 20, Moody's also employs the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.5 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. Deal Performance: As of the August 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 64% to $170.5 million from $474.0 million at securitization. The Certificates are collateralized by 32 mortgage loans ranging in size from less than 1% to 12% of the pool. Eight loans representing 17% of the pool have defeased and are secured by Canadian Government securities. Eight loans, representing 29% 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. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $2.1 million (24% loss severity). There are currently no loans in special servicing. Moody's was provided with full year 2011 and partial year 2012 operating results for 96% and 83% of the performing pool respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 59% compared to 62% at last review. Moody's net cash flow reflects a weighted average haircut of 12% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 10.0%. Moody's actual and stressed DSCRs are 1.66X and 1.92X, respectively, compared to 1.60X and 1.83X 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 33% of the pool balance. The largest loan is the Fortis Portfolio Loan ($22.1 million -- 13% of the pool), which is secured by four Holiday Inn hotels located in multiple cities in southern Ontario. The loan is amortizing on a 264-month schedule maturing in November 2013. The loan has paid down 26% since securitization. Moody's LTV and stressed DSCR are 64% and 1.90X, respectively, compared to 54% and 2.23X at review. The second largest loan is the Cherry Lane Shopping Centre Loan ($20.7 million -- 12% of the pool), which is secured by a 269,716 SF anchored retail center located in Penticton, BC. The loan is amortizing on a 300-month schedule maturing in December 2013. The loan has paid down 23% since securitization. The loan is on the watchlist for the largest tenant, The Bay (35% of the NRA), with a lease expiration in June 2013, however, they have extended their lease to June 2023. Moody's LTV and stressed DSCR are 50% and 2.17X, respectively, compared to 51% and 2.12X at last review. The third largest loan is the Merivale Place Loan ($13.7 million - - 8% of the pool), which is secured by a 157,657 SF shopping mall located in Ontario. The property was 100% leased as of January 2012, the same as of January 2011. Performance has been steadily improving over the past three years. Moody's LTV and stressed DSCR are 51% and 2.12X, respectively, compared to 55% and 1.96X at last review. SHELLPOINT ASSET: S&P Assigns Prelim. BB Rating on Class B-4 Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Shellpoint Asset Funding Trust 2013-2 $302.772 million mortgage pass-through certificates series 2013-2. The note issuance is a residential mortgage-backed securities transaction backed by first-lien residential mortgage loans secured by one- to four-family residential properties, condominiums, and planned unit developments. The preliminary ratings are based on information as of Sept. 12, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The high-quality collateral included in the pool; and -- The credit enhancement provided and the associated structural deal mechanics. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at: http://standardandpoorsdisclosure-17g7.com/1802.pdf PRELIMINARY RATINGS ASSIGNED Shellpoint Asset Funding Trust 2013-2 Class Rating Amount Expected interest (mil. $) rate (%)(i) A AAA (sf) 284.254 3.50 A-IO AAA (sf) (ii) (iii) B-1 AA (sf) 8.025 Net WAC B-2 A (sf) 4.321 Net WAC B-3 BBB (sf) 3.086 Net WAC B-4 BB (sf) 3.086 Net WAC B-5 NR 5.865 Net WAC (i) The certificates are subject to a net WAC cap. (ii) The notional amount for class A-IO will equal the class A outstanding balance. (iii) Equal to the excess, if any, of the net WAC over 3.50. NR - Not rated. WAC - Weighted average coupon. SECURITY NATIONAL 2002-2: Moody's Cuts Ratings on 2 RMBS Classes ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches, Class A-3 and Class M-1 from Security National Mortgage Loan Trust 2002-2. In addition, the Class A-3 was placed on watch for further downgrade. The transaction is backed by Scratch and Dent RMBS loans. Complete rating actions are as follows: Issuer: Security National Mortgage Loan Trust 2002-2 Cl. A-3, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on May 7, 2009 Downgraded to A1 (sf) Cl. M-1, Downgraded to C (sf); previously on May 20, 2011 Downgraded to Caa3 (sf) Ratings Rationale: The action is a result of the $8.0 million of losses that have written down the balance of Class M1 and 50% of Class A-3 balance in August 26, 2013. The servicer stated that these losses are the result of the sale of certain delinquent and current loans as well as advances recoupment by the servicer. Class A-3 was placed on watch for downgrade as Moody's seeks further clarification from the servicer on future repurchases on the collateral. Moody's plans to take final action once it receives further details. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in June 2013. SORIN REAL IV: Moody's Affirms 'C' Ratings on 4 Note Classes ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings of nine classes of notes issued by Sorin Real Estate CDO IV Ltd. The affirmations are due to key transaction parameters performing within levels commensurate with the existing ratings levels. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation and collateralized loan obligation (CRE CDO CLO) transactions. Moody's rating action is as follows: Cl. A-1, Affirmed Baa1 (sf); previously on Nov 28, 2012 Upgraded to Baa1 (sf) Cl. A-2, Affirmed B1 (sf); previously on Nov 28, 2012 Upgraded to B1 (sf) Cl. A-3, Affirmed B3 (sf); previously on Nov 28, 2012 Upgraded to B3 (sf) Cl. B, Affirmed Caa3 (sf); previously on Dec 15, 2010 Downgraded to Caa3 (sf) Cl. C, Affirmed Ca (sf); previously on Dec 15, 2010 Downgraded to Ca (sf) Cl. D, Affirmed C (sf); previously on Dec 15, 2010 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Dec 15, 2010 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Dec 15, 2010 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Dec 15, 2010 Downgraded to C (sf) Ratings Rationale: Sorin Real Estate CDO IV Ltd. is a static cash transaction backed by a portfolio of: i) commercial mortgage backed securities (CMBS) (40.6% of the pool balance); ii) B-note debt and rake bonds (39.2%); iii) whole loans and senior participations (17.8%); and iv) CRE CDO bonds (2.4%). As of the July 29, 2013 payment date, the aggregate note balance of the transaction, including income notes, has decreased to $249.6 million from $400.0 million at issuance, as a result of the paydown directed to the senior most outstanding class of notes from the combination of principal repayment of collateral, resolution and sales of defaulted collateral, and the failing of certain par value tests. 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 3,646 compared to 3,922 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 (4.5% compared to 16.1% at last review), A1-A3 (7.2% compared to 5.6% at last review), Baa1-Baa3 (12.6% compared to 9.8% at last review), Ba1-Ba3 (19.0% compared to 12.1% at last review), B1-B3 (7.8% compared to 6.0% at last review), and Caa1-Ca/C (48.9% compared to 50.4% at last review). Moody's modeled to a WAL of 2.4 years compared to 3.0 years at last review. The current WAL is based on the assumption about extensions on the underlying collateral. Moody's modeled a fixed WARR of 21.9% compared to 27.3% at last review. Moody's modeled a MAC of 19.9% compared to 11.2% 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. In general, the rated notes are particularly sensitive to changes in recovery rate assumptions. Holding all other key parameters static, changing the recovery rate assumption down from 21.9% to 11.9% or up to 31.9% would result in rating movements on the rated tranches of 0 to 2 notches downward or 0 to 2 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 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. SUMMIT LAKE: Moody's Confirms $14.5MM Ba2 Rating on B-2L Notes -------------------------------------------------------------- Moody's Investors Service has upgraded the rating of the following notes issued by Summit Lake CLO Ltd.: $15,500,000 Class B-1L Floating Rate Notes Due February 24, 2018, Upgraded to Aa3 (sf); previously on July 15, 2013 Upgraded to A2 (sf) and Placed Under Review for Possible Upgrade. Moody's confirmed the rating of the following notes: $14,500,000 Class B-2L Floating Rate Notes Due February 24, 2018 (current outstanding balance of $13,948,395), Confirmed at Ba2 (sf); previously on July 15, 2013 Ba2 (sf) Placed Under Review for Possible Upgrade. Moody's also affirmed the ratings of the following notes: $35,520,000 Class A-1LB Floating Rate Notes Due February 24, 2018 (current outstanding balance of $34,710,776), Affirmed Aaa (sf); previously on January 28, 2013 Affirmed Aaa (sf); $44,880,000 Class A-1LR Floating Rate Revolving Notes Due February 24, 2018 (current outstanding balance of $8,677,694), Affirmed Aaa (sf); previously on January 28, 2013 Affirmed Aaa (sf); $16,500,000 Class A-2L Floating Rate Notes Due February 24, 2018, Affirmed Aaa (sf); previously on January 28, 2013 Upgraded to Aaa (sf); $18,000,000 Class A-3L Floating Rate Notes Due February 24, 2018, Affirmed Aaa (sf); previously on July 15, 2013 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the rating action in January 2013. Moody's notes that the Class A1-LA Notes have been paid off and Class A-1LR Notes have been paid down by approximately 70% or $20 million since the last rating action. Based on the latest trustee report dated August 15, 2013, the Senior Class, Class A, Class B-1L and Class B-2L overcollateralization ratios are reported at 179.67%, 144.38%, 123.49% and 109.27%, respectively, versus December 2012 levels of 137.16%, 123.27%, 113.39% and 105.75%, respectively. Notwithstanding benefits of the deleveraging, Moody's notes that the credit quality of the underlying portfolio has deteriorated slightly since the last rating action. Based on the August 2013 trustee report, the weighted average rating factor is currently 2736 compared to 2693 in December 2012. In taking the foregoing actions, Moody's also announced that it had concluded its review of its ratings on the issuer's Class B-1L Notes and Class B-2L Notes announced on July 15, 2013. At that time, Moody's said that it had upgraded and placed certain of the issuer's ratings on review primarily as a result of substantial deleveraging of the senior notes and increases in OC ratios resulting from high rates of loan collateral prepayments during the first half of 2013. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $118.2 million, defaulted par of $2.6 million, a weighted average default probability of 17.70% (implying a WARF of 2939), a weighted average recovery rate upon default of 51.07%, and a diversity score of 32. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Summit Lake CLO Ltd., issued in December 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2351) Class A1-LB: 0 Class A-1LR: 0 Class A-2L: 0 Class A-3L: 0 Class B-1L: +2 Class B-2L: +2 Moody's Adjusted WARF + 20% (3526) Class A1-LB: 0 Class A-1LR: 0 Class A-2L: 0 Class A-3L: 0 Class B-1L: -2 Class B-2L: 0 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes an asset's terminal value upon liquidation at maturity to be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) and the asset's current market value. SYMPHONY CLO II: Moody's Affirms Ba3 Rating on $14MM Class D Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of the following notes issued by Symphony CLO II, Ltd.: $51,000,000 Class A-2b Senior Notes Due 2020, Upgraded to Aaa (sf); previously on September 9, 2011 Upgraded to Aa1 (sf); $33,000,000 Class A-3 Senior Notes Due 2020, Upgraded to Aa2 (sf); previously on September 9, 2011 Upgraded to A1 (sf); and $22,000,000 Class B Deferrable Mezzanine Notes Due 2020, Upgraded to A3 (sf); previously on September 9, 2011 Upgraded to Baa1 (sf). Moody's also affirmed the ratings of the following notes: $40,000,000 Class A-1 Senior Revolving Notes Due 2020, Affirmed Aaa (sf); previously on September 9, 2011 Upgraded to Aaa (sf); $205,000,000 Class A-2a Senior Notes Due 2020, Affirmed Aaa (sf); previously on December 27, 2006 Assigned Aaa (sf); $16,600,000 Class C Deferrable Mezzanine Notes Due 2020, Affirmed Ba1 (sf); previously on September 9, 2011 Upgraded to Ba1 (sf); and $14,000,000 Class D Deferrable Mezzanine Notes Due 2020, Affirmed Ba3 (sf); previously on September 9, 2011 Upgraded to Ba3 (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes reflect the improvement in the credit quality of the underlying portfolio and the benefit of the short period of time remaining before the end of the deal's reinvestment period in November 2013. Based on the latest trustee report dated August 16, 2013, the weighted average rating factor is currently 2456 compared to 2773 in August 2012. In addition, considering the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive buffer relative to certain covenant requirements. In particular, the deal is assumed to benefit from a higher weighted average recovery rate (WARR) and higher weighted average spread (WAS) compared to the last rating review. Moody's modeled a WARR of 49.93% and a WAS of 3.49%. Moody's also notes that the transaction's reported overcollateralization ratios are stable. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $405 million, defaulted par of $4 million, a weighted average default probability of 18.82% (implying a WARF of 2571), a weighted average recovery rate upon default of 49.93%, and a diversity score of 55. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Symphony CLO II, Ltd., issued in November 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2057) Class A1: 0 Class A-2a: 0 Class A-2b: 0 Class A3: +1 Class B: +2 Class C: +3 Class D: +1 Moody's Adjusted WARF + 20% (3085) Class A1: 0 Class A-2a: 0 Class A-2b: -1 Class A3: -3 Class B: -2 Class C: -1 Class D: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. 3) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. TRIMARAN CLO IV: Moody's Hikes Rating on Cl. B-2L Notes to Ba1 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Trimaran CLO IV: $16,000,000 Class A-3L Floating Rate Notes Due December 1, 2017, Upgraded to Aaa (sf); previously on January 22, 2013 Upgraded to Aa1 (sf); $15,000,000 Class B-1L Floating Rate Notes Due December 1, 2017, Upgraded to A1 (sf); previously on January 22, 2013 Upgraded to A3 (sf); $16,000,000 Class B-2L Floating Rate Notes Due December 1, 2017, Upgraded to Ba1 (sf); previously on January 22, 2013 Upgraded to Ba2 (sf). Moody's also affirmed the ratings of the following notes: $258,000,000 Class A-1L Floating Rate Notes Due December 1, 2017 (current outstanding balance of $82,373,789), Affirmed Aaa (sf); previously on January 22, 2013 Affirmed Aaa (sf); $25,000,000 Class A-2L Floating Rate Notes Due December 1, 2017, Affirmed Aaa (sf); previously on January 22, 2013 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the last rating action in January 2013. Moody's notes that the Class A-1L Notes have been paid down by approximately 53% or $93.6 million since the last rating action. Based on the latest trustee report dated August 21, 2013, the Senior Class A, Class A, Class B-1L and Class B-2L overcollateralization ratios are reported at 154.3%, 136.3%, 122.8% and 111.1%, respectively, versus December 2012 levels of 133.6%, 123.8%, 115.8% and 108.3%, respectively. In addition, the trustee reported weighted average recovery rate increased to 53.43% from 51.02% over the same time period. Notwithstanding the foregoing, Moody's notes that the credit quality of the underlying portfolio has deteriorated since the last rating action. Based on the August 2013 trustee report, the weighted average rating factor is currently 2624 compared to 2481 in December 2012. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $170 million, defaulted par of $6 million, a weighted average default probability of 16.6% (implying a WARF of 2751), a weighted average spread of 3.42%, a weighted average recovery rate upon default of 53.1%, and a diversity score of 25. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Trimaran CLO IV, issued in September 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2201) Class A-1L: 0 Class A-2L: 0 Class A-3L: 0 Class B-1L: +2 Class B-2L: +2 Moody's Adjusted WARF + 20% (3302) Class A-1L: 0 Class A-2L: 0 Class A-3L: -1 Class B-1L: -2 Class B-2L: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. WACHOVIA BANK 2007-C32: S&P Cuts Ratings on Cl. E & F Certs to 'D' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings to 'D (sf)' on the class E and F commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2007-C32, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on 11 other classes. S&P's rating actions reflects its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS. S&P's analysis included a review of the credit characteristics and performance of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. "We lowered our ratings on the class E and F certificates to 'D (sf)' because we believe the accumulated interest shortfalls will remain outstanding for the foreseeable future. As of the Aug. 16, 2013, trustee remittance report, the trust experienced monthly interest shortfalls totaling $1.5 million, primarily related to appraisal subordinate entitlement reduction amounts of $689,741 on nine ($338.5 million, 11.3%) of the 16 specially serviced assets ($551.4 million, 18.5%), shortfalls of $435,514 because of deferred interest on three modified loans ($220.2 million, 7.4%), nonrecoverable interest of $229,341, special servicing fees of $118,872, and workout fees of $10,206," S&P said. "The affirmations of our ratings on the principal and interest certificates reflect our expectation that the available credit enhancement for these classes will be within our estimate of the necessary credit enhancement required for the current outstanding ratings. The affirmations also reflect our review of the credit characteristics and performance of the remaining assets as well as the transaction-level changes," S&P added. S&P affirmed its 'AAA (sf)' rating on the class IO interest-only (IO) certificates based on our criteria for rating IO securities. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17-g7 Disclosure Reports included in this credit rating report are available at: http://standardandpoorsdisclosure-17g7.com RATINGS LOWERED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-C32 Rating Class To From Credit enhancement (%) E D (sf) CCC- (sf) 9.68 F D (sf) CCC- (sf) 8.40 RATINGS AFFIRMED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-C32 Class Rating Credit enhancement (%) A-2 AAA (sf) 35.94 A-PB AAA (sf) 35.94 A-3 BBB- (sf) 35.94 A-4FL BBB- (sf) 35.94 A-1A BBB- (sf) 35.94 A-MFL B (sf) 23.13 A-J B- (sf) 14.65 B CCC+ (sf) 13.21 C CCC- (sf) 11.61 D CCC- (sf) 10.65 IO AAA (sf) N/A N/A-Not applicable. WASATCH CLO: Moody's Hikes Rating on Class C Notes to 'Ba2' ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Wasatch CLO Ltd. $60,000,000 Class A-1a Senior Secured Floating Rate Notes due 2022 (current outstanding balance of $59,235,976), Upgraded to Aaa (sf); previously on August 22, 2011 Upgraded to Aa1 (sf); $429,000,000 Class A-1b Senior Secured Floating Rate Notes due 2022 (current outstanding balance of $423,537,229), Upgraded to Aaa (sf); previously on August 22, 2011 Upgraded to Aa1 (sf); $24,500,000 Class A-2 Senior Secured Floating Rate Notes due 2022, Upgraded to Aa2 (sf); previously on August 22, 2011 Upgraded to A1 (sf); $42,500,000 Class B Senior Secured Deferrable Floating Rate Notes due 2022, Upgraded to A3 (sf); previously on August 22, 2011 Upgraded to Baa1(sf); $29,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2022, Upgraded to Ba1 (sf); previously on August 22, 2011 Upgraded to Ba2 (sf); $13,000,000 Class D Secured Deferrable Floating Rate Notes due 2022, Upgraded to Ba2 (sf); previously on August 22, 2011 Upgraded to Ba3 (sf); $7,400,000 Type I Composite Notes due 2022 (current rated balance of $1,747,721.63), Upgraded to A3 (sf); previously on August 22, 2011 Upgraded to Baa3 (sf); $10,000,000 Type III Composite Notes due 2022 (current rated balance of $558,208), Upgraded to Aa3 (sf); previously on August 22, 2011 Upgraded to Baa3 (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in November 2013. In consideration of the reinvestment restrictions applicable during the amortization period, and therefore limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive buffer relative to certain covenant requirements. In particular, the deal is assumed to benefit from lower WARF, higher spread and diversity levels compared to the covenant levels. Moody's also notes that the transaction's reported collateral quality and overcollateralization ratio are stable since the last rating action. Moody's notes that the key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, diversity score, and weighted average recovery rate, are based on its published methodology and may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $625 million, defaulted par of $11 million, a weighted average default probability of 21.84% (implying a WARF of 2787) a weighted average recovery rate upon default of 49.71% and a diversity score of 88. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. Wasatch CLO Ltd., issued in November 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2013. The methodology used in rating the Composite Notes was "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2013. In addition to the base case analysis, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal (sensitivities for the Composite Notes are omitted because Moody's views the qualitative considerations relating to the Composite Notes to be a relatively more significant driver of its rating opinions than changes in default probability): Moody's Adjusted WARF -- 20% (2230) Class A-1a: 0 Class A-1b: 0 Class A-2: +1 Class B: +2 Class C: +1 Class D: +2 Moody's Adjusted WARF + 20% (3344) Class A-1a: -1 Class A-1b: -1 Class A-2: -2 Class B: -2 Class C: -1 Class D: -1 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging may accelerate due to high prepayment levels in the loan market and/or collateral sales by the manager, which may have significant impact on the notes' ratings. 2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. WELLS FARGO 2010-C1: Fitch Affirms 'B' Rating on Class F Certs. --------------------------------------------------------------- Fitch Ratings has affirmed eight classes of Wells Fargo Bank N.A.'s commercial mortgage pass-through certificates series 2010- C1. Key Rating Drivers Affirmations are due to the pool's stable performance since issuance. Since issuance, there have been no loans in special servicing. As of the August 2013 distribution date, the pool's aggregate principal balance has been reduced by 4% to $706.2 million from $735.9 million at issuance. Per the servicer reporting, one loan (0.9% of the pool) is defeased. While the performance of the Top 15 is generally stable, Fitch has designated two loans (6.1%) as Fitch Loans of Concern (FLOCs). The largest FLOC (4.9% of the pool) is the First Tennessee Plaza and Cedar Ridge loan, which is secured by two office properties (549,947 square feet) located in Knoxville, TN. As of March 2013, the portfolio is 80.3% leased compared to 90.8% at issuance. The decline is due to tenant vacancies prior to their scheduled lease expirations in 2012. The current balance of the tenant reserve is $849,030. The other FLOC (1.1% of the pool) is secured by a 115-unit student housing complex, located near Western Michigan University in Kalamazoo, Michigan. As of year- end 2012, the property is 90.2% leased compared to 94% at issuance. Debt Service Coverage Ratio (DSCR) has shown a downward trend for the past two years, at a reported 0.90x at year-end 2012 compared to 1.15x the previous year. Occupancy has experienced downward pressure due to new competition in the local student housing market. The current balance of the capital improvement reserve is $77,032. Rating Sensitivity Rating Outlooks on classes A-1 through F remain Stable due to increasing credit enhancement and continued paydown. Additional information on rating sensitivity is available in the report 'Wells Fargo Commercial Mortgage Trust 2010-C1' (Nov. 22, 2010), available at www.fitchratings.com. Fitch affirms the following classes as indicated: -- $132.4 million class A-1 at 'AAAsf'; Outlook Stable; -- $443.3 million class A-2 at 'AAAsf'; Outlook Stable; -- $575.6 million class X-A* at 'AAAsf'; Outlook Stable; -- $22.1 million class B at 'AAsf'; Outlook Stable; -- $31.3 million class C at 'Asf'; Outlook Stable; -- $34 million class D at 'BBBsf'; Outlook Stable; -- $13.8 million class E at 'BBB-sf'; Outlook Stable; -- $12.9 million class F at 'Bsf'; Outlook Stable. (*) interest only. Fitch does not rate the $16,557,805 class G certificates or the $130,617,805 interest only class X-B. WELLS FARGO 2012-LC5: Fitch Affirms 'B' Rating on Class F Certs --------------------------------------------------------------- Fitch Ratings has affirmed 10 classes of Wells Fargo Commercial Mortgage Trust 2012-LC5 Commercial Mortgage Pass-Through Certificates, series 2012-LC5. Key Rating Drivers The affirmations are based on the stable performance of the underlying collateral pool. The pool has had no specially serviced or delinquent loans since issuance. The pool's aggregate principal balance has been reduced by 0.9% to $1.27 billion from $1.28 billion. The servicer has placed the fourth largest loan, 100 Church Street (6.3% of the pool, a New York City office property on its watch list. The loan is nearing completion of a $22 million renovation including a complete upgrade of the lobby and other capital improvements. At issuance, the property was 84% occupied with a 1.33x DSCR. The servicer reported YE 2012 DSCR declined to 1.05x as a result of concessions and contractual rent bumps that did not yet take effect. The latest reported DSCR as of June 2013 increased to 1.41x. The largest loan in the pool, Westside Pavillion (12.1%) is secured by a 755,448 sf, three-level urban mall, 535,448 sf of which serves as the collateral for the loan. The property is located in Los Angeles, CA and anchored by Macy's (noncollateral), Macy's Home, Nordstrom, and Landmark Theatres. As of YE (Year End) 2012, the subject was 98% occupied with a 1.76x NOI DSCR. Occupancy is in-line with issuer underwriting while NOI is performing ahead of expectations. Rating Sensitivity The Rating Outlooks on classes A-1 through F and interest only classes X-A and X-B remain Stable. Due to the recent issuance of the transaction and stable performance, Fitch does not foresee positive or negative ratings migration until a material economic or asset level event changes the transaction's overall portfolio- level metrics. Additional information on rating sensitivity is available in the 'Wells Fargo Commercial Mortgage Trust 2012-LC5' (Oct. 17, 2012) New Issue report, available at www.fitchratings.com. Fitch affirms the following classes as indicated: -- $69.5 million class A-1 at 'AAAsf'; Outlook Stable; -- $156.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $556.7 million class A-3 at 'AAAsf'; Outlook Stable; -- $100 million class A-SB at 'AAAsf'; Outlook Stable; -- $1, 005,830,596* Class X-A 'AAAsf'; Outlook Stable; -- $118,138,000* Class X-B 'A-sf'; Outlook Stable; -- $124.5 million class A-S at 'AAAsf'; Outlook Stable; -- $76.6 million class B at 'AA-sf'; Outlook Stable; -- $41.5 million class C at 'A-sf'; Outlook Stable; -- $49.5 million class D at 'BBB-sf'; Outlook Stable; -- $20.8 million class E at 'BBsf'; Outlook Stable; -- $23.9 million class F at 'Bsf'; Outlook Stable. * Notional amount and interest only. Fitch does not rate the class G certificates. A comparison of the transaction's Representations, Warranties, and Enforcement (RW&E) mechanisms to those of typical RW&Es for the asset class is available in the following report: -- 'Wells Fargo Commercial Mortgage Trust 2012-LC5 -- Appendix' (Oct. 17, 2012). * Fitch: Bank TruPS CDOs Combined Default & Deferral Rate Stable ---------------------------------------------------------------- According to the latest index results published by Fitch Ratings, the number of combined defaults and deferrals for U.S. bank TruPS CDOs has remained stable at 27.7% at the end of August. In August, one deferring bank representing $10 million of collateral cured and subsequently redeemed as the result of an acquisition. Only one new bank representing $10 million of collateral in one CDO defaulted during the month. There were no new deferrals. Year-to-date, there have been 10 new deferrals and defaults compared to 36 over a comparable period last year. Cures continue to trend higher, with 44 cures year to date compared to 29 last year. Across 79 TruPS CDOs, 221 bank issuers have defaulted and remain in the portfolio, representing approximately $6.4 billion. Additionally, 291 issuers are currently deferring interest payments on $4 billion of collateral. This compares to 358 deferring issuers totaling $5.3 billion of collateral at this time a year ago. * Fitch: US Timeshare ABS Delinquencies Dips to Lowest in 5 Years ----------------------------------------------------------------- Quarterly U.S. timeshare ABS delinquencies fell to the lowest level since 2007, according to the latest index results from Fitch Ratings. Total delinquencies for second quarter-2013 (2Q'13) were 3.05%, down from 3.27% in 1Q'13 and 3.29% in 2Q'12. Delinquencies have largely normalized at their historical levels following the dramatic increases of 2008 and 2009. Defaults for 2Q'13 remained consistent with 1Q'13, finishing at 0.72%. However, they are down from the 0.82% observed at the same time last year. That said, defaults remain elevated from pre- recessionary levels. Some of the recent 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. 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 Notes Tame August for U.S. CMBS Delinquencies ----------------------------------------------------- The U.S. CMBS delinquency rate fell at a calmer pace last month following a record drop in July, though monthly late-pays may be in store for another healthy drop in the next month or two, according to the latest index results from Fitch Ratings. CMBS late-pays fell 10 basis points (bps) in August to 6.68% from 6.78% a month earlier. This comes after plunging 40 bps from June to July. Despite the modest drop last month, Fitch's delinquency rate is poised for another dip once an impending modification of the $678 million Skyline Portfolio loan is finalized. The Skyline Portfolio is spread across three CMBS transactions and is backed by eight office buildings in Falls Church, VA totaling roughly 2.5 million square feet. The loan transferred to special servicing in March 2012 for imminent default. The sponsor, Vornado, cited the Defense Base Realignment and Closure statute (BRAC) as contributing to recent and upcoming vacancies at the properties. Resolution of the Skyline loan in and of itself will contribute to a 12-bp drop in Fitch's CMBS delinquency rate. Skyline is currently the second largest delinquent loan in Fitch's index, behind only Stuy Town. Delinquency rates for all major property types fell last month, led by hotels. Current and previous delinquency rates are as follows: -- Industrial: 9.41% (from 9.56% in July); -- Hotel: 7.68% (from 8.04%); -- Office: 7.56% (from 7.59%); -- Multifamily: 7.30% (from 7.41%); -- Retail: 6.23% (from 6.37%). * Moody's Takes Action on $628MM of RMBS Issued 2005 to 2008 ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 55 tranches, upgraded the ratings of six tranches and confirmed the ratings of five tranches backed by Prime Jumbo RMBS loans, issued by miscellaneous issuers. Complete rating actions are as follows: Issuer: Banc of America Funding 2006-3 Trust Cl. X-IO, Downgraded to B3 (sf); previously on Jul 18, 2011 Downgraded to B1 (sf) Cl. 4-A-2, Downgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Cl. 4-A-3, Downgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Cl. 4-A-10, Downgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to B2 (sf) Cl. 4-A-11, Downgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Cl. 4-A-12, Downgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Cl. 4-A-13, Downgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Cl. 4-A-14, Downgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Cl. 4-A-17, Downgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Cl. 4-A-20, Downgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Cl. 5-A-1, Downgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Cl. 5-A-5, Downgraded to Caa1 (sf); previously on Aug 6, 2012 Downgraded to B3 (sf) Cl. 6-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Banc of America Mortgage Securities, Pass-Through Certificates, Series 2005-7 Cl. 1-A-5, Upgraded to Baa3 (sf); previously on Apr 30, 2010 Downgraded to B1 (sf) Cl. 2-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 2-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Chase Mortgage Finance Trust Series 2007-A1 Cl. 1-A1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. 8-A1, Downgraded to Ba1 (sf); previously on Sep 11, 2012 Downgraded to Baa2 (sf) Issuer: Citicorp Mortgage Securities Trust 2006-4 Cl. IIIA-1, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Citicorp Mortgage Securities, Inc. 2005-3 Cl. IA-2, Upgraded to Baa2 (sf); previously on May 19, 2010 Downgraded to Ba2 (sf) Cl. IA-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. IA-15, Upgraded to Baa1 (sf); previously on May 19, 2010 Downgraded to Ba2 (sf) Issuer: Citicorp Mortgage Securities, Inc. 2005-8 Cl. IIA-1, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. IIA-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. IIA-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Citicorp Mortgage Securities, Inc. 2006-1 Cl. IA-7, Upgraded to Baa3 (sf); previously on May 19, 2010 Downgraded to B2 (sf) Cl. IVA-1, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: GSR Mortgage Loan Trust 2005-5F Cl. 3A-6, Upgraded to Baa2 (sf); previously on Mar 13, 2013 Affirmed Ba1 (sf) Cl. 8A-2, Downgraded to Baa1 (sf); previously on Mar 13, 2013 Affirmed Aa3 (sf) Cl. 8A-5, Downgraded to Baa1 (sf); previously on Mar 13, 2013 Affirmed Aa3 (sf) Cl. 8A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 8A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. 8A-8, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: J.P. Morgan Mortgage Trust 2005-A4 Cl. 3-A-3, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: J.P. Morgan Mortgage Trust 2006-A2 Cl. 5-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. 5-A-2, Downgraded to B3 (sf); previously on Jul 18, 2011 Downgraded to B1 (sf) Issuer: PHH Mortgage Trust, Series 2008-CIM1 Cl. I-1A-2, Downgraded to Ba3 (sf); previously on May 19, 2010 Downgraded to Baa3 (sf) Cl. I-2A-2, Downgraded to Ba3 (sf); previously on May 19, 2010 Downgraded to Ba1 (sf) Cl. I-3A-2, Downgraded to Ba3 (sf); previously on May 19, 2010 Downgraded to Baa2 (sf) Cl. I-3A-1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-4A-1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. I-4A-2, Downgraded to Ba3 (sf); previously on Sep 12, 2012 Confirmed at Baa2 (sf) Cl. II-1A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. II-2A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Issuer: PHH Mortgage Trust, Series 2008-CIM2 Cl. 1-A-1, Downgraded to Ba1 (sf); previously on Sep 12, 2012 Confirmed at Baa3 (sf) Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Sep 12, 2012 Confirmed at Baa3 (sf) Cl. 3-A-1, Downgraded to Ba1 (sf); previously on Sep 12, 2012 Confirmed at Baa1 (sf) Cl. 4-A-1, Downgraded to Ba1 (sf); previously on Sep 12, 2012 Confirmed at Baa3 (sf) Cl. 5-A-1, Downgraded to Ba1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-PO, Downgraded to B1 (sf); previously on Sep 12, 2012 Downgraded to Ba2 (sf) Cl. A-X, Downgraded to Ba2 (sf); previously on Sep 12, 2012 Downgraded to Ba1 (sf) Issuer: Prime Mortgage Trust 2005-3 Cl. A-1, Downgraded to Ba1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-2, Downgraded to Ba1 (sf); previously on Apr 30, 2010 Downgraded to Baa3 (sf) Cl. A-3, Downgraded to Ba1 (sf); previously on Apr 30, 2010 Downgraded to Baa3 (sf) Cl. A-4, Downgraded to B3 (sf); previously on Apr 30, 2010 Downgraded to B1 (sf) Cl. B-1, Downgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Cl. PO, Downgraded to Ba1 (sf); previously on Apr 30, 2010 Downgraded to Baa3 (sf) Issuer: RFMSI Series 2005-S5 Trust Cl. A-5, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2005-2 Trust Cl. I-A-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Cl. I-A-7, Upgraded to Baa2 (sf); previously on Apr 12, 2010 Downgraded to Ba3 (sf) Cl. I-A-8, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade Issuer: Wells Fargo Mortgage Backed Securities 2006-16 Trust Cl. A-2, Downgraded to Ba1 (sf); previously on Apr 12, 2010 Downgraded to Baa3 (sf) Cl. A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade Cl. A-4, Downgraded to Ba2 (sf); previously on Apr 12, 2010 Downgraded to Ba1 (sf) Cl. A-16, Downgraded to Ba1 (sf); previously on Apr 12, 2010 Downgraded to Baa3 (sf) Cl. A-PO, Downgraded to Ba2 (sf); previously on Apr 12, 2010 Downgraded to Baa3 (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The downgrades reflect the exposure of the affected bonds to tail risk due to the pro-rata pay nature of the transaction. In addition, some downgrades are a result of deteriorating performance and/or structural features resulting in higher expected losses for the bonds than previously anticipated. The upgrades are a result of improving performance of the related pools and faster pay-down of the bonds due to high prepayments. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. Subject to the results of a stress scenario analysis, Moody's caps the ratings of bonds exposed to tail-end risk to A3 (sf) or below, unless the bonds are expected to pay off within a year or are expected to pay off well before the underlying pool is expected to be small pool (100 loans). 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 August 2012 to 7.3% in August 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 Takes Action on $206MM Housing Loans Issued 1995-2006 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 13 tranches from eight transactions, backed by manufactured housing loans, and issued between 1995 and 2006. Complete rating actions are as follows: Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1 Cl. AF-3, Upgraded to A1 (sf); previously on Dec 14, 2010 Downgraded to A3 (sf) Cl. AF-4, Upgraded to A3 (sf); previously on Dec 14, 2010 Downgraded to Baa2 (sf) Cl. M-1, Upgraded to Ba2 (sf); previously on Dec 14, 2010 Downgraded to B1 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on Dec 14, 2010 Downgraded to C (sf) Issuer: Deutsche Financial Capital Securitization LLC, Series 1997-I Class M, Upgraded to B1 (sf); previously on Sep 23, 2009 Confirmed at B3 (sf) Issuer: Green Tree Financial Corporation MH 1995-04 B-1, Upgraded to Ba1 (sf); previously on Dec 29, 2003 Downgraded to B1 (sf) Issuer: Green Tree Financial Corporation MH 1995-05 B-1, Upgraded to Ba1 (sf); previously on Dec 29, 2003 Downgraded to B1 (sf) Issuer: Green Tree Financial Corporation MH 1995-10 B-1, Upgraded to Ba2 (sf); previously on Sep 23, 2009 Confirmed at B3 (sf) Issuer: Greenpoint Manufactured Housing Contract Trust 1999-5 Cl. A-5, Upgraded to A1 (sf); previously on Dec 15, 2011 Upgraded to A3 (sf) Cl. M-1A, Upgraded to Ba3 (sf); previously on Dec 15, 2011 Upgraded to B3 (sf) Cl. M-1B, Upgraded to B1 (sf); previously on Dec 15, 2011 Upgraded to Caa1 (sf) Issuer: Associates Manufactured Housing 1997-2 M, Upgraded to A1 (sf); previously on Mar 30, 2009 Downgraded to A2 (sf) Issuer: Oakwood Mortgage Investors, Inc. Series 1997-D M, Upgraded to Ba1 (sf); previously on Sep 23, 2009 Confirmed at Ba3 (sf) Ratings Rationale: The actions are a result of the recent performance of manufactured housing loans backed pools and reflect Moody's updated loss expectations on the pools. The rating action consists of 13 upgrades. The upgrades are primarily due to the build-up in credit enhancement due to sequential pay structures and non-amortizing subordinate bonds. Performance has remained generally stable from Moody's last review. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. 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 August 2012 to 7.3% in August 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 Takes Action on $378MM of RMBS from Lehman and IndyMac ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 18 tranches and upgraded the rating of one tranche from six transactions, backed by Alt-A loans, issued by Lehman and IndyMac. Complete rating actions are as follows: Issuer: IndyMac INDA Mortgage Loan Trust 2007-AR1 Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Oct 12, 2010 Downgraded to Caa3 (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR35 Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Apr 30, 2010 Downgraded to Caa2 (sf) Issuer: Lehman Mortgage Trust 2006-5 Cl. AX, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Cl. 2-A1, Downgraded to Ca (sf); previously on Dec 22, 2010 Confirmed at Caa2 (sf) Cl. 2-A2, Downgraded to Ca (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Cl. 2-A3, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Cl. 2-A5, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Cl. 2-A6, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa2 (sf) Issuer: Lehman Mortgage Trust 2006-7 Cl. 2-A7, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 5-A1, Downgraded to Caa3 (sf); previously on Dec 22, 2010 Confirmed at Caa2 (sf) Cl. 5-A2, Downgraded to Caa3 (sf); previously on Dec 22, 2010 Confirmed at Caa2 (sf) Cl. 5-A4, Downgraded to Caa3 (sf); previously on Dec 22, 2010 Confirmed at Caa2 (sf) Cl. 5-A6, Downgraded to Caa3 (sf); previously on Dec 22, 2010 Confirmed at Caa2 (sf) Cl. 5-A8, Downgraded to Caa3 (sf); previously on Dec 22, 2010 Confirmed at Caa2 (sf) Issuer: Lehman Mortgage Trust 2006-9 Cl. 2-A1, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 2-A6, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 2-A8, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Issuer: Lehman Mortgage Trust 2007-2 Cl. 2-A4, Downgraded to Ca (sf); previously on Dec 22, 2010 Confirmed at Caa3 (sf) Cl. 2-A10, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The rating actions reflect the change in principal and loss allocation to certain senior bonds subsequent to credit support depletion, and the level of undercollateralization of bonds relative to their collateral. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. 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 August 2012 to 7.3% in August 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 Takes Action on $399MM RMBS Tranches from Five Issuers ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of nine tranches and confirmed the ratings of five tranches backed by Subprime RMBS loans, issued by various trusts. Complete rating action is as follows: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2004-HE3 Cl. M1, Downgraded to Ba3 (sf); previously on Jun 14, 2013 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M2, Downgraded to Caa3 (sf); previously on Jun 14, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: GSAMP Trust 2003-HE2 Cl. A-1A, Confirmed at A3 (sf); previously on Jun 14, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-1B, Downgraded to Baa3 (sf); previously on Jun 14, 2013 Baa1 (sf) Placed Under Review for Possible Downgrade Cl. A-2, Confirmed at A3 (sf); previously on Jun 14, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-3A, Confirmed at A3 (sf); previously on Jun 14, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-3C, Confirmed at A3 (sf); previously on Jun 14, 2013 A3 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Confirmed at B3 (sf); previously on Jun 14, 2013 B3 (sf) Placed Under Review for Possible Downgrade Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-OP1 Cl. M-2, Downgraded to Ba2 (sf); previously on Apr 17, 2013 Downgraded to Baa2 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Jun 14, 2013 B2 (sf) Placed Under Review for Possible Downgrade Cl. M-4, Downgraded to Caa3 (sf); previously on Jun 14, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade Issuer: Soundview Home Loan Trust 2007-OPT1 Cl. II-A-1, Downgraded to Ca (sf); previously on Jun 14, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade Cl. II-A-2, Downgraded to Ca (sf); previously on Jul 18, 2011 Downgraded to Caa3 (sf) Issuer: Soundview Home Loan Trust 2007-OPT2 Cl. II-A-2, Downgraded to Caa3 (sf); previously on Jun 14, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade Ratings Rationale: The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The downgrades are a result of deteriorating performance or structural features resulting in higher expected losses for the bonds than previously anticipated. The rating actions also reflect the late recognition of losses related to principal forbearance modifications that Homeward undertook before July 2012 in these transactions. Homeward Residential Inc. had serviced these transactions until Ocwen Loan Servicing acquired Homeward in December 2012. Previously, on June 14, 2013, following Ocwen's announcement of the loss recognition, Moody's had placed twelve of these tranches on review for downgrade. These rating actions on the bonds concludes this review. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. The primary sources of assumption uncertainty are Moody's central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.1% in August 2012 to 7.3% in August 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for 2013. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also impact the performance of these transactions. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2013. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000 or Nina Novak at 202-241-8200. *** End of Transmission ***