/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/131124.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, November 24, 2013, Vol. 17, No. 326 Headlines ABACUS 2006-10: Moody's Affirms 'C' Ratings on 6 Note Classes ACCESS TO LOANS: Fitch Comments on Confirmation Request of Ratings ACIS CLO 2013-1: S&P Affirms 'BB' Rating on Class E Notes ADIRONDACK PARK: S&P Affirms 'BB-' Rating on Class E Notes AMERICAN AIRLINES 2013-2: Fitch Rates $512MM Cl. B Certs 'B(EXP)' AMERICREDIT AUTOMOBILE 2013-5: Moody's Rates $27.47MM Notes Ba1 AMMC CLO XIII: Moody's Rates $20MM Class B2L Notes '(P)Ba2' ASHFORD CDO II: Moody's Hikes Cl. B-1L Notes Rating to 'Ba1(sf)' ATRIUM IV: S&P Raises Ratings on 2 Note Classes to 'BB+' BABSON CLO 2005-II: S&P Raises Rating on 2 Note Classes to 'BB+' BABSON CLO 2013-II: S&P Assigns Prelim. BB Rating on Class D Notes BACCHUS 2006-1: Moody's Affirms 'Ba3' Rating on Class E Notes BANC OF AMERICA 2004-2: Moody's Affirms Ba1 Rating on Class J CMBS BANC OF AMERICA 2007-1: Fitch Cuts Rating on 2 Cert Classes to BB BANC OF AMERICA 2007-1: Moody's Cuts 3 Certificate Classes to 'C' BENEFIT STREET III: S&P Assigns Prelim. BB Rating on Class D Notes BLACK DIAMOND 2006-1: Moody's Affirms 'Ba2' Rating on $45MM Notes BLACKROCK SENIOR: S&P Raises Ratings on 2 Note Classes From 'BB+' CAPITAL AUTO 2013-4: Moody's Rates Class E Notes 'Ba2(sf)' CAPITAL AUTO 2013-4: S&P Assigns Prelim. BB Rating on Cl. E Notes CASTLE GARDEN: S&P Raises Ratings on 2 Note Classes From BB+ CD COMMERCIAL 2007-CD5: Fitch Affirms Rating on 21 Certificates CIFC FUNDING 2013-IV: Moody's Rates $33.5MM Class E Notes 'Ba3' COMM 2013-FL3: S&P Assigns 'BB-' Rating on Class RGC2 Notes CREDIT SUISSE 2003-C3: Fitch Affirms BB Rating on Class G Certs CSMC TRUST 2013-IVR5: S&P Assigns Prelim. BB Rating to B-3 Certs CT CDO III: Fitch Slashes Rating on 2 Note Classes to 'CCsf' CWHEQ REVOLVING 2007-G: Moody's Ups Class A Notes Rating to Ba2 DRUBS 2011-LC1: Fitch Affirms Bsf Rating on $40.8MM Notes FORTRESS CREDIT: S&P Assigns 'BB' Rating on Class E Notes FRASER SULLIVAN II: S&P Affirms 'BB+' Rating on Class D Notes GALLATIN CLO 2013-2: Fitch to Rate $21.25MM Class E Notes 'BB' GCO EDUCATION II: Fitch Maintains 'Bsf' Rating on Class C-1L Notes GE COMMERCIAL: DBRS Confirms 'B' Rating on Class E Certificates GLOBAL TRADE 2013-1: Fitch Rates $16.61MM Class D Notes 'Bsf' GMAC COMMERCIAL 2002-C1: Moody's Hikes Class K Notes Rating to B1 GREENWICH CAPITAL 2007-RR2: Moody's Affirms C Ratings on 4 Notes GREYROCK CDO: S&P Affirms 'BB+(sf)' Ratings on 2 Debt Classes HILTON USA 2013-HLT: S&P Assigns Prelim. BB Rating on X-FL Certs ICE 3: S&P Affirms 'BB' Rating on Class E Notes JFIN REVOLVER CLO: S&P Assigns 'BB' Rating on Class E Notes JP MORGAN 2005-LDP3: S&P Lowers Rating on Cl. G Certs to 'D' JP MORGAN 2013-C16: Fitch Rates $21.29MM Class E Notes 'BBsf' KVK CLO 2013-2: S&P Assigns 'BB' Rating on Class E Notes LB-UBS 2000-C3: Fitch Hikes Rating on Class J Notes From 'BBsf' LB-UBS 2002-C4: Fitch Affirms 'Dsf' Rating on $4.1MM Notes LEAF RECIEVABLES 7: Moody's Raises Class E-2 Notes Rating to 'Ba1' LONGFELLOW PLACE: S&P Affirms 'BB' Rating on Class E Notes MACH ONE 2004-1: Fitch Hikes $17.68MM Class J Notes Rating to BB MADISON PARK: S&P Raises Ratings on Class E Notes From 'BB+' MERRILL LYNCH 1998-C2: S&P Affirms 'CCC' Rating on Class G Certs MERRILL LYNCH 2006-1: Fitch Affirms CCC Rating on $17.9MM Notes ML-CFC COMMERCIAL 2007-7: Moody's Cuts Rating on 2 Certs to 'Ca' MORGAN STANLEY 1999-FNV1: Fitch Hikes Class K Notes Rating From C MORGAN STANLEY 2004-TOP15: S&P Lowers Rating on Cl. L. Certs to D MORGAN STANLEY 2013-C13: Fitch Rates $10.18MM Cl. G Notes 'B-sf' MOUNTAIN HAWK II: S&P Affirms 'BB' Rating on Class E Notes NORTEL NETWORKS 2001-1: Moody's Raises Certificates Rating to 'Ca' OCTAGON INVESTMENT: S&P Assigns Prelim. BB Rating on Class D Notes PPLUS TRUST RRD-1: S&P Lowers Rating on Class A & B Certs to 'BB-' PUTMAN STRUCTURED 2003-1: Moody's Affirms Ratings on 7 Notes SALOMON BROTHERS 2002-KEY2: Moody's Cuts 3 CMBS' Ratings to 'C' SARANAC CLO I: Moody's Rates $18MM Class E Notes 'Ba3' SCHOONER TRUST 2006-5: Moody's Affirms Ba1 Rating on Class F Notes SDART 2013-5: Fitch Rates $87.38MM Class E Notes 'BBsf' SEAWALL 2006-4: Moody's Affirms 'C' Rating on Class A Notes SESTANTE FINANCE 3: Fitch Lowers Rating on Class B Notes to 'Bsf' SEQUOIA MORTGAGE 2013-12: Fitch Rates $3.4MM Certs at 'BBsf' STUDENT LOAN 2007-1: S&P Affirms 'B-' Rating on 2 Cert. Classes SUMMIT LAKE: S&P Affirms 'B+' Rating on Class B-2L Notes THL CREDIT 2013-2: S&P Assigns 'BB' Rating on Class E Notes TRITON AVIATION: S&P Lowers Rating on Class A-1 Notes to 'CCC' VENTURE XV CLO: Moody's Rates $34.2MM Class E Notes at 'Ba3' VITESSE CLO: S&P Affirms 'B+' Rating on Class B2L Notes WACHOVIA BANK 2005-C20: Loan Defeasance No Effect on Ratings WACHOVIA BANK 2006-C26: Moody's Cuts Rating on 2 Certs to 'Ba3' WACHOVIA BANK 2006-WHALE7: S&P Cuts Rating on Class WA Notes to D WFRBS COMMERCIAL 2012-C10: Moody's Ba2 Rating on Class E Notes WFRBS COMMERCIAL 2013-C17: Fitch Rates $9MM Class E Notes 'Bsf' WFRBS COMMERCIAL 2013-UBS1: S&P Gives Prelim. BB Rating on E Notes * Fitch Takes Rating Actions on 99 Classes from 21 SF CDOs * Fitch Takes Rating Actions on 10 RMBS Alt-A Transactions * Moody's Takes Action on $891MM of RMBS by Various Issuers * Moody's Takes Action on $163MM Alt-A RMBS Issued 2006-2007 * Moody's Raises Ratings on $242MM of RMBS Issued 2002 to 2005 * S&P Puts 174 Ratings on 44 US CLO Transactions on Watch Positive ********* ABACUS 2006-10: Moody's Affirms 'C' Ratings on 6 Note Classes ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of eight classes of notes issued by Abacus 2006-10, 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 (CRE CDO Synthetic) transactions. Moody's rating action is as follows: Cl. A, Affirmed Caa3 (sf); previously on Jan 24, 2013 Affirmed Caa3 (sf) Cl. B, Affirmed Ca (sf); previously on Jan 24, 2013 Downgraded to Ca (sf) Cl. C, Affirmed C (sf); previously on Jan 24, 2013 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Jan 24, 2013 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Jan 24, 2013 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Jan 24, 2013 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Jan 24, 2013 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Jan 24, 2013 Affirmed C (sf) Ratings Rationale: Abacus 2006-10, LTD. is a static synthetic transaction backed by a portfolio of credit default swaps referencing 100% commercial mortgage backed securities (CMBS). All of the CMBS reference obligations were securitized in 2004 (27.3%) and 2005 (72.7%). 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 2,537 compared to 2,318 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 (7.5% compared to 4.9% at last review), A1-A3 (16.1% compared to 18.2% at last review), Baa1-Baa3 (21.1% compared to 21.9% at last review), Ba1-Ba3 (13.6% compared to 14.2% at last review), B1-B3 (16.5% compared to 17.0% at last review), and Caa1-Ca/C (25.2% compared to 23.8% at last review). Moody's modeled to a WAL of 2.2 years compared to 2.9 years at last review. The current WAL is based on assumptions about extensions on the underlying reference obligations. Moody's modeled a variable WARR with a mean of 13.9%, compared to a mean of 13.7% at last review. Moody's modeled a MAC of 13.8%, compared to 17.0% at last review. Moody's review incorporated CDOROM(R) 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 changes in current ratings and credit assessments of the reference obligations. Holding all other key parameters static, changing the current ratings and credit assessments of the reference obligations one notch downward or one notch upward would result in 0 to 2 notches downward rating movements on the rated tranches 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. ACCESS TO LOANS: Fitch Comments on Confirmation Request of Ratings ------------------------------------------------------------------ Fitch Ratings currently maintains ratings on student loan bonds issued by Access to Loans for Learning Student Loan Corp - 1998 Master Trust IV. ALLSLC has requested that Fitch confirm its existing ratings in connection with the resignation of The Bank of New York Mellon Trust Company, N.A. (the prior trustee) and the appointment of Manufacturers and Traders Trust Company (the successor trustee). Consistent with its statements on policies regarding rating confirmations in structured finance transactions (Jan. 13, 2009) and student loan confirms (May 8, 2009), Fitch is treating this request as a notification. Based on the information provided, Fitch has determined that the trustee change will not have a material impact on the existing ratings. This determination only addresses the effect of the amendments on the current ratings assigned by Fitch to the securities listed below. This determination does not address whether this change is permitted by the terms of the documents, nor does it address whether this change is in the best interests of, or prejudicial to, some or all of the holders of the securities listed. Fitch's ratings on the above-mentioned trusts remain unchanged and are listed below: Access to Loans for Learning Student Loan Corp - 1998 Master Trust IV Senior Class Notes -- Series 2000 Class A-3 'B-sf'; Outlook Negative; -- Series 2002 Class A-4 'B-sf'; Outlook Negative; -- Series 2002 Class A-5 'B-sf'; Outlook Negative; -- Series 2003-1 Class A-7 'B-sf'; Outlook Negative; -- Series 2003-1 Class A-8 'B-sf'; Outlook Negative; -- Series 2003-1 Class A-9 'B-sf'; Outlook Negative; -- Series 2003-1 Class A-10 'B-sf'; Outlook Negative; -- Series 2003-2 Class A-11 'B-sf'; Outlook Negative; -- Series 2003-2 Class A-12 'B-sf'; Outlook Negative; -- Series 2004 Class A-13 'B-sf'; Outlook Negative; -- Series 2007 Class IV-A-14 'B-sf'; Outlook Negative; -- Series 2007 Class IV-A-15 'B-sf'; Outlook Negative; -- Series 2007 Class IV-A-16 'B-sf'; Outlook Negative; -- Series 2007 Class IV-A-17 'B-sf'; Outlook Negative; -- Series 2007 Class IV-A-18 'B-sf'; Outlook Negative; -- Series 1998 Class C-1 'B-sf'; Outlook Negative; -- Series 2003-1 Class C-2 'B-sf'; Outlook Negative. ACIS CLO 2013-1: S&P Affirms 'BB' Rating on Class E Notes --------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on ACIS CLO 2013-1 Ltd./ACIS CLO 2013-1 LLC's $725.93 million floating- rate notes following the transaction's effective date as of April 10, 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 our opinion that the portfolio collateral purchased by the issuer, as reported to us by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that we assigned on the transaction's closing date. The effective date reports provide a summary of certain information that we used in our analysis and the results of our review based on the information presented to us," S&P noted. 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 added. In S&P's published effective date report, it discusses its analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, S&P intends to publish an effective date report each time it issues an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. RATINGS AFFIRMED ACIS CLO 2013-1 Ltd./ACIS CLO 2013-1 LLC Class Rating Amount (mil. $) X AAA (sf) 4.00 A-1 AAA (sf) 190.75 A-2A AAA (sf) 115.75 A-2B AAA (sf) 10.25 B AA (sf) 62.50 C (deferrable) A (sf) 39.50 D (deferrable) BBB (sf) 21.50 E (deferrable) BB (sf) 19.50 F (deferrable) B (sf) 10.00 Combination notes (deferrable) A (sf) 252.18 ADIRONDACK PARK: S&P Affirms 'BB-' Rating on Class E Notes ---------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Adirondack Park CLO Ltd./Adirondack Park CLO Corp.'s $466.50 million floating-rate notes following the transaction's effective date. Though the transaction declared its effective date as July 26, 2013, this effective date analysis was based on information as of Sept. 16, 2013, which was provided to S&P in the Sept. 6, 2013, trustee report and certain additional sources. 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. RATINGS AFFIRMED Adirondack Park CLO Ltd./Adirondack Park CLO Corp. Class Rating Amount (mil. $) X AAA (sf) 2.21(i) A AAA (sf) 322.50 B AA (sf) 45.00 C A (sf) 46.00 D BBB (sf) 25.00 E BB- (sf) 25.00 (i) Class X note balance paid down from $3.00 million on the July 15, 2013, payment date. AMERICAN AIRLINES 2013-2: Fitch Rates $512MM Cl. B Certs 'B(EXP)' ----------------------------------------------------------------- Fitch Ratings has assigned the following rating to American Airlines Pass-Through Trust Certificates, Series 2013-2: - $512 million class B certificates (B-tranche) with an expected maturity of July 2020 rated 'B(EXP)'. Fitch has also placed the AA 2013-2 class B certificates on Rating Watch Positive reflecting Fitch's expectation that the ratings will be upgraded once American Airlines Inc. (American; rated 'D') exits from Chapter 11 bankruptcy protection, which is expected to occur in the first half of December. Fitch assigned a rating of 'BBB+' to the AA 2013-2 class A certificates earlier this year. The proposed issuance of the AA 2013-2 B tranche does not affect the existing rating for the class A certificates. Key Rating Drivers: The ratings were assigned according to Fitch's EETC criteria, which stipulate that EETC B tranches that are affirmed will typically be rated in the 'B' category while the underlying airline is in bankruptcy. The ratings reflect that full and timely interest and principal payments are expected to be made while American remains in bankruptcy, offset by the inherent uncertainties of the bankruptcy process. Fitch expects to reevaluate the B tranche ratings once AMR emerges from bankruptcy. Transaction Overview: American issued the AA 2013-2 class A certificates in July 2013 to refinance 75 aircraft that were previously encumbered under existing secured financings. AMR now plans to issue a subordinated B tranche secured by the same pool of assets. The B tranche is expected to be sized at $512 million which equates to an initial cumulative loan-to-value ratio (LTV) of 74.5% per the offering memorandum. Fitch calculates the initial LTV for the B tranche at 78.7% using values provided by an independent appraiser. Collateral: The collateral pool consists of 41 737-800s, 14 757- 200s, 19 777-200ERs and 1 767-300ER. The collateral pool features a weighted average age of nearly 10.6 years. These 75 aircraft equate to roughly 12% of AMR's total fleet (by number of aircraft), and the 737s in the pool make up nearly 19% of AMR's 737 fleet, which provide the backbone of the carrier's narrow-body operations. The relatively large portion of AMR's fleet secured by this transaction is supportive of a high affirmation factor. The relatively high average age of the collateral pool and the inclusion of some weaker aircraft types (757-200, 767-300ER) makes the overall collateral quality in AA 2013-2 weaker than that seen in some recent EETC transactions, which have consisted mostly of new delivery, Tier 1 aircraft. However, Fitch still considers the overall collateral quality of AA 2013-2 to be solid given that the majority of the pool consists of Tier 1 737-800s and Tier 1/2 777- 200ERs. Post-Petition Status: The new equipment notes (and thus the certificates) will qualify as 'post-petition' secured DIP financing while American remains in bankruptcy. Creditors in the AA 2013-2 EETC will not only hold a first priority claim to the pledged assets, but also have their debt-service payments qualify as an 'administrative expense,' similar to holders of the existing EETCs that have been affirmed and elevated to an administrative expense status. Standard EETC Structural Enhancements (Upon Emergence): Once American emerges from Chapter 11, Section 1110 and the standard features of the EETC template will govern the certificates. Similar to other recent EETCs, the AA 2013-2 B tranche will benefit from a dedicated liquidity facility provided by Morgan Stanley Bank N.A. (Fitch rated 'A'/'F1'; Stable Outlook) that covers up to three semi-annual interest payments over an 18-month period. AA 2013-2 also includes the customary cross- collateralization and cross-default features that treat all aircraft as one pool of assets and limit American's ability to cherry-pick assets within the EETC in a future bankruptcy. Rating Sensitivities: The Rating Watch Positive on the AA 2013-2 B tranche reflects Fitch's expectations that the ratings will be upgraded once American emerges from Chapter 11 protection. A negative rating action is not anticipated at this time. Fitch has assigned the following rating: American Airlines Pass Through Trust 2013-2 -- Series 2013-2 class B certificates 'B (EXP)'. AMERICREDIT AUTOMOBILE 2013-5: Moody's Rates $27.47MM Notes Ba1 --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by AmeriCredit Automobile Receivables Trust 2013-5 (AMCAR 2013-5). This is the fifth public subprime transaction of the year for AmeriCredit Financial Services, Inc. (AmeriCredit). The complete rating actions are as follows: Issuer: AmeriCredit Automobile Receivables Trust 2013-5 $168,000,000, 0.25%, Class A-1, Definitive Rating Assigned P-1(sf) $124,520,000, 0.65%, Class A-2-A, Definitive Rating Assigned Aaa(sf) $225,000,000, One-month LIBOR + 0.38%, Class A-2-B, Definitive Rating Assigned Aaa (sf) $269,100,000, 0.90%, Class A-3, Definitive Rating Assigned Aaa(sf) $84,740,000, 1.52%, Class B, Definitive Rating Assigned Aa1(sf) $105,200,000, 2.29%, Class C, Definitive Rating Assigned Aa3(sf) $103,440,000, 2.86%, Class D, Definitive Rating Assigned Baa1(sf) $27,470,000, 3.60%, Class E, Definitive Rating Assigned Ba1(sf) Ratings Rationale: Moody's said the ratings are based on the quality of the underlying auto loans and their expected performance, the strength of the structure, the availability of excess spread over the life of the transaction, and the experience and expertise of AmeriCredit as servicer. Moody's median cumulative net loss expectation for the AMCAR 2013- 5 pool is 9.00% and total credit enhancement required to achieve Aaa rating is 37.00%. The loss expectation was based on an analysis of AmeriCredit's portfolio vintage performance as well as performance of past securitizations, and current expectations for future economic conditions. The Assumption Volatility Score for this transaction is Medium versus a Medium for the sector. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If the net loss used in determining the initial rating were changed to 20%, 25% or 35%, the initial model output for the Class A notes might change from Aaa to Aa1, Aa3, and Baa1, respectively; Class B notes might change from Aa1 to Baa2, Ba2, and below B3, respectively; Class C notes might change from Aa3 to B1, below B3, and below B3, respectively; Class D notes might change from Baa1 to below B3 in all three scenarios; and Class E notes might change from Ba1 to below B3 in all three scenarios. 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. AMMC CLO XIII: Moody's Rates $20MM Class B2L Notes '(P)Ba2' ----------------------------------------------------------- Moody's Investors Service announced that it has assigned the following provisional ratings to notes to be issued by AMMC CLO XIII, Limited (the "Issuer" or "AMMC CLO XIII"): U.S. $238,000,000 Class A1L Senior Secured Floating Rate Notes due 2025 (the "Class A1L Notes"), Assigned (P)Aaa (sf) U.S. $60,000,000 Class A2L Senior Secured Floating Rate Notes due 2025 (the "Class A2L Notes"), Assigned (P)Aa2 (sf) U.S. $30,000,000 Class A3L Senior Secured Deferrable Floating Rate Notes due 2025 (the "Class A3L Notes"), Assigned (P)A2 (sf) U.S. $17,500,000 Class B1L Senior Secured Deferrable Floating Rate Notes due 2025 (the "Class B1L Notes"), Assigned (P)Baa2 (sf) U.S. $20,000,000 Class B2L Senior Secured Deferrable Floating Rate Deferrable Notes due 2025 (the "Class B2L Notes"), Assigned (P)Ba2 (sf) U.S. $10,500,000 Class B3L Senior Secured Deferrable Floating Rate Deferrable Notes due 2025 (the "Class B3L Notes"), Assigned (P)B2 (sf) The Class A1L Notes, the Class A2L Notes, the Class A3L Notes, the Class B1L Notes, the Class B2L Notes, and the Class B3L Notes are together known as the Rated Notes. Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating (if any) may differ from a provisional rating. Ratings Rationale: Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. AMMC CLO XIII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first-lien senior secured corporate loans. At least 95% of the portfolio must be invested in first-lien senior secured loans or eligible investments and up to 5% of the portfolio may consist of unsecured loans, second lien loans and bonds. The underlying collateral pool will be approximately 80% ramped as of the closing date. American Money Management Corporation (the "Manager") will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's approximately four year reinvestment period. Thereafter, all unscheduled principal payments and sale proceeds of credit risk assets may be used to purchase additional collateral obligations, subject to certain conditions. In addition to the Rated Notes, the Issuer will issue one tranche of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique. ASHFORD CDO II: Moody's Hikes Cl. B-1L Notes Rating to 'Ba1(sf)' ---------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of the following notes issued by Ashford CDO II, Ltd.: U.S.$175,000,000 Class A-1LA Floating Rate Notes Due November 5, 2041 (current outstanding balance of $90,639,586), Upgraded to A1 (sf); previously on December 19, 2011 Upgraded to A3 (sf); U.S.$42,000,000 Class A-1LB Floating Rate Notes Due November 5, 2041, Upgraded to A3 (sf); previously on December 19, 2011 Upgraded to Baa3 (sf); U.S.$51,000,000 Class A-2L Floating Rate Notes Due November 5, 2041, Upgraded to Baa2 (sf); previously on December 19, 2011 Upgraded to Ba2 (sf); U.S.$34,000,000 Class A-3L Floating Rate Notes Due November 5, 2041, Upgraded to Ba1 (sf); previously on December 19, 2011 Upgraded to B1 (sf); U.S.$22,000,000 Class B-1L Floating Rate Notes Due November 5, 2041 (current outstanding balance of $21,467,502), Upgraded to B1 (sf); previously on December 19, 2011 Upgraded to Caa2 (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 as well as an improvement in the credit quality of the portfolio since November 2012. Based on the latest trustee report dated October 25, 2013, the Class A and Class B-1L overcollateralization ratios are reported at 115.1% and 98.8%, respectively, compared to November 2012 levels of 113.8% and 96.3%, respectively. Currently the Class B-1L and Class B-2L OC tests are failing, resulting in diversion of interest proceeds to the payment of principal on the Class A-1LA Notes and deferral of interest payments to the Class B-2L Notes. In addition to deleveraging, the trustee reported WARF has improved to 753 from 989 since November 2012, primarily driven by recent upgrades on a significant number of underlying CLO tranches. Actions also reflect a correction to Moody's modeling of the interest coverage test. In prior rating actions Moody's incorrectly modeled the trigger of the test, resulting in a failure of the test in the model. This error has now been corrected, and rating actions reflect this change. Ashford CDO II, Ltd. is a collateralized debt obligation backed primarily by a portfolio of collateralized loan obligations ("CLOs"), of which a majority are from the 2005-2006 vintage. ATRIUM IV: S&P Raises Ratings on 2 Note Classes to 'BB+' -------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-3, B, C, D-1, and D-2 notes from Atrium IV, a U.S. collateralized loan obligation (CLO) transaction managed by CSFB Alternative Capital Inc., and removed S&P's ratings on the notes from CreditWatch with positive implications. At the same time S&P affirmed its 'AAA (sf)' ratings on the class A-1a, A-1b, and A-2 notes. The upgrades mainly reflect paydowns to the class A-1a, A-1b, and A-2 notes and a subsequent increase in the overcollateralization (O/C) available to support the notes since S&P's September 2012 rating actions. Since then, the transaction has paid down the class A-1a, A-1b, and A-2 notes, pro rata, by approximately $193.13 million. These paydowns have left the class A-1a, A-1b, and A-2 notes at 30.75% of their original balances. S&P expects the class A-1a, A-1b, and A-2 notes to continue paying down, as their reinvestment period ended in June 2011. In S&P's analysis, it considered that Atrium IV has a relatively large bucket of long-dated assets, or underlying securities that mature after the transaction's stated maturity. Based on the October 2013 trustee report, the long-dated assets constituted 14.9% of the underlying portfolio. S&P's analysis factored in the potential market value or settlement-related risk arising from the remaining securities' potential liquidation on the transaction's legal final maturity date. This sensitivity analysis was a limited factor in the rating actions. Additionally, the upgrades also reflect an improvement in the O/C available to support the notes, primarily because of the aforementioned paydowns. The trustee reported the following O/C ratios in the October 2013 monthly report: -- The class A O/C ratio was 166.02%, compared with a reported 127.68% ratio in June 2012; -- The class B O/C ratio was 138.98%, compared with a reported 118.00% ratio in June 2012; -- The class C O/C ratio was 123.22%, compared with a reported 111.37% ratio in June 2012; and -- The class D O/C ratio was 117.64%, compared with a reported 108.81% ratio in June 2012. S&P affirmed its ratings on the class A-1a, A-1b, and A-2 notes to reflect the available credit support at the current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as it deems necessary. RATING AND CREDITWATCH ACTIONS Atrium IV Rating Class To From A-1a AAA (sf) AAA (sf) A-1b AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) A-3 AAA (sf) AA+ (sf)/Watch Pos B AA+ (sf) A+ (sf)/Watch Pos C BBB+ (sf) BBB- (sf)/Watch Pos D-1 BB+ (sf) BB (sf)/Watch Pos D-2 BB+ (sf) BB (sf)/Watch Pos TRANSACTION INFORMATION Issuer: Atrium IV Co-issuer: Atrium IV (Delaware) Corp. Collateral manager: CSFB Alternative Capital Inc. Underwriter: Credit Suisse Holdings (USA) Inc. Trustee: Bank of New York Mellon (The) Transaction type: Cash flow CDO CDO-Collateralized debt obligation. BABSON CLO 2005-II: S&P Raises Rating on 2 Note Classes to 'BB+' ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, C-1, C-2, D-1, and D-2 notes from Babson CLO Ltd 2005-II, a U.S. collateralized loan obligation (CLO) transaction managed by Babson Capital Management LLC. At the same time, S&P removed its ratings on these notes from CreditWatch, where S&P placed them with positive implications on Sept. 5, 2013. In addition, S&P affirmed its rating on the class A-1 notes. The upgrades reflect paydowns to the class A-1 notes and a subsequent improvement in the credit enhancement and overcollateralization (O/C) available to support the notes since December 2012, when S&P raised the ratings on all seven classes. Since then, the transaction has paid down the class A-1 notes by approximately $195.45 million, reducing their outstanding note balance to 37.43% of their original balance. The upgrades also reflect an improvement in the O/C coverage ratios, predominantly because of the paydowns since S&P's December 2012 rating actions. The trustee reported the following O/C ratios in the October 2013 monthly report: -- The class A O/C ratio was 144.35% compared with a reported ratio of 124.82% in November 2012. -- The class B O/C ratio was 126.72% compared with a reported ratio of 116.14% in November 2012. -- The class C O/C ratio was 113.38% compared with a reported ratio of 108.85% in November 2012. -- The class D O/C ratio was 107.33% compared with a reported ratio of 105.31% in November 2012. The upgrades also reflect an improvement in the performance of the transaction's underlying asset portfolio since the time of the last action. As of the October 2013 trustee report, the transaction had $9.36 million of assets from obligors rated in the 'CCC' category. This was down from the $16.23 million S&P referenced for its December 2012 rating actions. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. RATING AND CREDITWATCH ACTIONS Babson CLO Ltd 2005-II Rating Class To From A-2 AAA (sf) AA+ (sf)/Watch Pos B AA+ (sf) A+ (sf)/Watch Pos C-1 BBB+ (sf) BBB- (sf)/Watch Pos C-2 BBB+ (sf) BBB- (sf)/Watch Pos D-1 BB+ (sf) BB- (sf)/Watch Pos D-2 BB+ (sf) BB- (sf)/Watch Pos RATING AFFIRMED Babson CLO Ltd 2005-II Class Rating A-1 AAA (sf) TRANSACTION INFORMATION Issuer: Babson CLO Ltd 2005-II Coissuer: Babson CLO Inc. 2005-II Collateral manager: Babson Capital Management LLC Underwriter: Citigroup Global Markets Inc. Trustee: The Bank of New York Mellon Transaction type: Cash flow CDO BABSON CLO 2013-II: S&P Assigns Prelim. BB Rating on Class D Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Babson CLO Ltd. 2013-II/Babson CLO 2013-II LLC's $637.000 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Nov. 20, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The portfolio manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.24%-11.25%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which will lead to the reclassification of up to 50% of available excess interest proceeds into principal proceeds to purchase additional collateral assets during the reinvestment period that are available before paying uncapped administrative expenses and fees, deferred asset management fees, and collateral manager incentive fees. PRELIMINARY RATINGS ASSIGNED Babson CLO Ltd. 2013-II/Babson CLO 2013-II LLC Class Rating Amount (mil. $) A-1 AAA (sf) 415.00 A-2 AA (sf) 97.00 B-1 (deferrable) A (sf) 32.00 B-2 (deferrable) A (sf) 16.00 C (deferrable) BBB (sf) 38.00 D (deferrable) BB (sf) 29.00 E (deferrable) B (sf) 10.00 Subordinated notes NR 60.725 NR-Not rated. BACCHUS 2006-1: Moody's Affirms 'Ba3' Rating on Class E Notes ------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of the following notes issued by Bacchus (U.S.) 2006-1 Ltd.: U.S. $18,000,000 Class B Second Priority Floating Rate Notes due January 20, 2019, Upgraded to Aaa (sf); previously on September 15, 2011 Upgraded to Aa1 (sf) U U.S. $28,000,000 Class C Third Priority Deferrable Floating Rate Notes due January 20, 2019, Upgraded to A2 (sf); previously on September 15, 2011 Upgraded to A3 (sf) U.S. $12,750,000 Class D Fourth Priority Deferrable Floating Rate Notes due January 20, 2019, Upgraded to Baa3 (sf); previously on September 15, 2011 Upgraded to Ba1 (sf) Moody's also affirmed the ratings of the following notes: U.S. $252,750,000 Class A Senior Secured Floating Rate Notes due January 20, 2019 (current outstanding balance of $ 192,295,401.39), Affirmed Aaa (sf); previously on October 8, 2010 Upgraded to Aaa (sf) U.S. $12,000,000 Class E Fifth Priority Deferrable Floating Rate Notes due January 20, 2019 (current outstanding balance of $ 10,844,127.38), Affirmed Ba3 (sf); previously on September 15, 2011 Upgraded to Ba3 (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 January 2014. 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, Moody's modeled a weighted average spread and a weighted average recovery rate of 3.80% and 50.49%, respectively, compared to the covenant levels of 2.90% and 44.75%, respectively. Moody's also notes that the transaction's reported overcollateralization ratios are stable over the last twelve months. 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 $276.4 million, defaulted par of $3.9 million, a weighted average default probability of 17.29% (implying a WARF of 2889), a weighted average recovery rate upon default of 50.49%, and a diversity score of 40. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of 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. Bacchus (U.S.) 2006-1 Ltd., issued in December 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. BANC OF AMERICA 2004-2: Moody's Affirms Ba1 Rating on Class J CMBS ------------------------------------------------------------------ Moody's Investors Service upgraded the ratings of four classes and affirmed 11 classes of Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2004-2 as follows: Cl. A-5, Affirmed Aaa (sf); previously on Oct 1, 2004 Definitive Rating Assigned Aaa (sf) and Confirmed Cl. B, Affirmed Aaa (sf); previously on Jun 26, 2008 Upgraded to Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Jun 26, 2008 Upgraded to Aaa (sf) Cl. D, Upgraded to Aaa (sf); previously on Jan 28, 2011 Upgraded to Aa1 (sf) Cl. E, Upgraded to Aa2 (sf); previously on Jan 28, 2011 Upgraded to A1 (sf) Cl. F, Upgraded to A2 (sf); previously on Oct 1, 2004 Definitive Rating Assigned Baa1 (sf) and Confirmed Cl. G, Upgraded to A3 (sf); previously on Oct 1, 2004 Definitive Rating Assigned Baa2 (sf) and Confirmed Cl. H, Affirmed Baa3 (sf); previously on Oct 1, 2004 Definitive Rating Assigned Baa3 (sf) and Confirmed Cl. J, Affirmed Ba1 (sf); previously on Oct 1, 2004 Definitive Rating Assigned Ba1 (sf) and Confirmed Cl. K, Affirmed Ba2 (sf); previously on Oct 1, 2004 Definitive Rating Assigned Ba2 (sf) and Confirmed Cl. L, Affirmed B1 (sf); previously on Dec 1, 2011 Downgraded to B1 (sf) Cl. M, Affirmed B2 (sf); previously on Dec 1, 2011 Downgraded to B2 (sf) Cl. N, Affirmed B3 (sf); previously on Dec 1, 2011 Downgraded to B3 (sf) Cl. O, Affirmed Caa1 (sf); previously on Jan 28, 2011 Downgraded to Caa1 (sf) Cl. XC, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The upgrades are due to increased credit support from paydown and amortization as well as anticipated increased credit support from loans approaching maturity that are well positioned for refinance. Including defeasance, 79% of the pool will mature within the next 12 months. Excluding defeased loans, there are 19 loans, representing approximately 52% of the pool, that have a debt yield greater than 10% and mature within the next twelve months. 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 XC, 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 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 4.9% of the current balance compared to 3.7% at last review. Moody's base expected loss plus realized losses is now 1.9% of the original pooled balance 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. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.64 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 13 compared to 15 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 v8.6 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated November 30, 2012. Deal Performance: As of the October 13, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 64% to $411.9 million from $1.13 billion at securitization. The Certificates are collateralized by 40 mortgage loans ranging in size from less than 1% to 17% of the pool. Eight loans, representing approximately 18% of the pool, have defeased and are secured by U.S. Government securities. Eleven loans, representing approximately 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 Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool since securitization, of which one loan generated a realized loss of $1.2 million (average loss severity of 46%). As of the most recent remittance statement, there are two loans in special servicing, representing approximately 5% of the pool. Both of these loans are real estate owned (REO). Moody's has assumed a high default probability for two poorly performing loans, representing 1.7% of the pool. Moody's estimates an aggregate loss of $13.3 million loss (46% expected loss based on a 92% probability default) for both the specially serviced and troubled loans. Moody's was provided with full year 2011 and 2012 operating results for 100% and 93% of the performing conduit loans. Excluding specially serviced and troubled loans, Moody's weighted average conduit LTV is 76% compared to 77% at last full review. Moody's net cash flow reflects a weighted average haircut of 12.3% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Excluding specially serviced and troubled loans, Moody's actual and stressed conduit DSCRs are 1.38X and 1.22X, respectively, compared to 1.38X and 1.20X, 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 loans represent 31% of the pool balance. The largest loan is the Eden Prairie Mall Loan ($71.3 million -- 17.3% of the pool), which is secured by the borrower's interest in a 1.1 million square foot (SF) regional mall located in Eden Prairie, a suburban of Minneapolis, Minnesota. As of June 2013, the mall was 97% leased compared to 98% at last review. Anchor tenants include Sears, Target, Von Maur and Kohl's. Moody's LTV and stressed DSCR are 82% and 1.19X, respectively, compared to 83% and 1.17X at last review. The second largest loan is the MHC Portfolio-Waterford Estates Loan ($28.2 million -- 6.8% of the pool), which is secured by a 731-pad manufactured housing community located approximately ten miles south of Wilmington in Bear, Delaware. As of June 2013, the property was 96% leased compared to 96% at last review. Performance has been stable and the loan has benefited from amortization. Moody's LTV and stressed DSCR are 83% and 1.15X compared to 87% and 1.09X at last review. The third largest loan is the MHC Portfolio-Lake Fairways Country Club Loan ($27.7 million -- 6.7% of the pool), which is secured by an 896-pad manufactured housing community located in North Fort- Meyers, Florida. As of March 2013, the property was 99% leased, the same as at last review. Moody's LTV and stressed DSCR are 66% and 1.43X, respectively, compared to 69% and 1.37X at last review. BANC OF AMERICA 2007-1: Fitch Cuts Rating on 2 Cert Classes to BB ----------------------------------------------------------------- Fitch Ratings downgrades seven classes of commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Trust (BACM), series 2007-1. Key Rating Drivers: The downgrades to classes A-MFX and A-MFL reflect an increase in Fitch modeled losses across the pool, which includes assumed losses on loans in special servicing and on performing loans with declines in performance indicative of a higher probability of default. Fitch modeled losses of 26.5% of the remaining pool. Expected losses on the original pool balance total 18.2% including $41.7 million (1.3% of the original pool balance) in realized losses to date. Fitch has designated 66 loans (59%) as Fitch Loans of Concern, which includes 15 specially serviced assets (33.4%) and underperforming and/or highly leveraged assets. Rating Sensitivities: The Negative Outlooks reflect the uncertainty regarding the workouts and final disposition of specially serviced assets coupled with the pool's high percentage of Fitch Loans of Concern. Upon liquidation of several of the specially serviced assets, the Outlook on the super senior classes is expected to remain Stable. Several of the loans in this trust may be included in the special servicer CWCapital's loan sale. If losses are significantly higher than expected on the larger loans, the ratings and Outlooks of the senior classes are likely to be re-evaluated. As of the November 2013 distribution date, the pool's aggregate principal balance has decreased 36.4% to $2 billion from $3.15 billion at issuance. As of November 2013, there are cumulative interest shortfalls in the amount of $18.5 million, affecting classes B through Q. Of the 15 loans in special servicing, eight assets (3.7%) are real estate owned (REO). At Fitch's prior review, there were 14 loans (27.8%) in special servicing with eight REO assets (2.2%). The largest contributor to modeled loss is the largest loan in the transaction, Skyline Portfolio (13.6% of the pool). The portfolio, which consists of eight office buildings totaling 2.64 million square feet (sf) in Falls Church, VA, transferred to special servicing in March 2012 for imminent default. The sponsor, Vornado, cited the Base Realignment and Closure statute (BRAC), as contributing to recent and upcoming vacancies at the properties. The pari passu loan was modified in October 2013 with the $271.2 million pari passu portion split into a $140 million A-note and a $131.2 million B-note. The loan maturity was extended to 2022 with a one-year extension option if certain performance metrics are attained. In addition, the borrower has entered into an unsecured credit agreement with the parent sponsor of up to $150 million to fund operating and interest shortfalls, tenant improvements, leasing costs and capital expenditures. The unsecured loan is before the B-note in the modified loan's waterfall. The second largest contributor to modeled loss is the second largest specially serviced loan (11% of the pool), secured by the Solana office complex located in Westlake, TX. The pari passu loan was transferred to special servicing in March 2009 for imminent default and has since been modified. The reported occupancy is approximately 66%. The latest reported appraisal from May 2013 indicates a value significantly below the loan amount. The third largest contributor to modeled loss is the StratREAL Industrial Portfolio I (3.3% of the pool). The portfolio transferred to special servicing in March 2013 as the sponsor indicated an inability to pay. The majority of the portfolio collateral consists of single-tenant industrial properties with a large number of properties located in the Memphis, TN and Columbus, OH areas. The servicer reported occupancy has declined to 76.4% since issuance. The loan is expected to be liquidated via a note sale with a significant loss to the trust. Fitch downgrades the following classes: -- $214.5 million class A-MFX to 'BBsf' from 'BBBsf'; Outlook Negative; -- $100 million class A-MFL to 'BBsf' from 'BBBsf'; Outlook Negative; -- $27.5 million class B to 'Csf' from 'CCCsf'; RE 0%; -- $35.4 million class C to 'Csf' from 'CCCsf'; RE 0%; -- $27.5 million class D to 'Csf' from 'CCCsf'; RE 0%; -- $39.3 million class E to 'Csf' from 'CCCsf'; RE 0%; -- $39.3 million class F to 'Csf' from 'CCsf'; RE 0%. Fitch also affirms the following classes and revises REs as follows: -- $83 million class A-3 at 'AAAsf'; Outlook Stable; -- $44.1 million class A-AB at 'AAAsf'; Outlook Stable; -- $698.7 million class A-4 at 'AAAsf'; Outlook Stable; -- $273.4 million class A-1A at 'AAAsf'; Outlook Stable; -- $259.5 million class A-J at 'CCCsf'; RE 25%; -- $35.4 million class G at 'Csf'; RE 0%; -- $35.4 million class H at 'Csf'; RE 0%; -- $39.3 million class J at 'Csf'; RE 0%; -- $7.9 million class K at 'Csf'; RE 0%; -- $11.8 million class L at 'Csf'; RE 0%; -- $7.9 million class M at 'Csf'; RE 0%; -- $3.9 million class N at 'Csf'; RE 0%; -- $7.9 million class O at 'Csf'; RE 0%. The $9.5 million class P remains at 'Dsf'; RE 0% due to realized losses. Classes A-1 and A-2 are paid in full. Fitch does not rate the fully depleted class Q. Fitch previously withdrew the rating on the interest-only class XW. BANC OF AMERICA 2007-1: Moody's Cuts 3 Certificate Classes to 'C' ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of four classes and affirmed 18 classes of Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2007-1 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Mar 8, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 8, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 8, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Mar 8, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-J, Affirmed Caa1 (sf); previously on Nov 16, 2012 Downgraded to Caa1 (sf) Cl. A-MFL, Affirmed Baa3 (sf); previously on Nov 16, 2012 Downgraded to Baa3 (sf) Cl. A-MFX, Affirmed Baa3 (sf); previously on Nov 16, 2012 Downgraded to Baa3 (sf) Cl. B, Affirmed Caa2 (sf); previously on Nov 16, 2012 Downgraded to Caa2 (sf) Cl. C, Affirmed Caa3 (sf); previously on Nov 16, 2012 Downgraded to Caa3 (sf) Cl. D, Downgraded to C (sf); previously on Nov 16, 2012 Downgraded to Ca (sf) Cl. E, Downgraded to C (sf); previously on Nov 16, 2012 Downgraded to Ca (sf) Cl. F, Downgraded to C (sf); previously on Nov 16, 2012 Downgraded to Ca (sf) Cl. G, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. H, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. O, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. P, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C (sf) Cl. XW, Downgraded to B2 (sf); previously on Nov 16, 2012 Downgraded to B1 (sf) Ratings Rationale: The downgrades of the P&I classes D, E and F, are due to realized losses and the anticipated timing of future losses from specially serviced and troubled loans. The rating of the IO Class, XW, is downgraded to align its rating with the expected credit performance of its referenced classes. The affirmations of the P&I investment-grade classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR). The ratings of the P&I below investment-grade classes are consistent with Moody's expected loss 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. 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. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.64 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 24, the same as at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Deal Performance: As of the October 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 32% to $2.14 billion from $3.15 billion at securitization. The Certificates are collateralized by 135 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 61% of the pool. Thirty-nine loans, representing 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Sixteen loans have been liquidated from the pool since securitization, resulting in an aggregate $41.6 million loss (67% loss severity on average). Currently 15 loans, representing 37% of the pool, are in special servicing. The largest specially serviced loan is the Skyline Portfolio Loan (consisting of a $140.0 million A- Note -- 6.5% of the pool and a $131.2 million B- Note --6.1% of the pool), which represents a 40% pari passu interest in a $678.0 million first mortgage loan. The loan is secured by eight cross- collateralized and cross-defaulted office properties totaling 2.6 million square feet (SF) which are located outside of Washington, DC in Falls Church, Virginia. At securitization, over 55% of the net rentable area (NRA) was leased by the General Services Administration (GSA). As a result of the 2005 Base Realignment and Closure (BRAC) Commission, the Department of Defense (GSA tenant) and its subcontractors have vacated approximately 800,000 SF of space since 2011. The portfolio is 61% leased after including a recently signed 188,000 SF lease to Fish & Wildlife Service (GSA tenant). A modification closed effective October 30, 2013. The modification bifurcated the original $678.0 million first mortgage into a $350.0 million A-Note and a $328.0 million B-Note. The loan maturity was extended by five years to February 1, 2022 with a one-year extension option. The A- Note interest rate was unchanged, while the B-Note interest rate was reduced to 0%. In exchange for the modification, the borrower remitted over $35 million from operating cash flow to repay over $32 million of outstanding interest payments, fund a $2 million Working Capital Reserve and repay almost $1 million of interest on advances. The remaining almost $19 million of outstanding interest will be capitalized and added to the B-Note balance. The borrower also funded $5.75 million to cover modification costs, expenses and a $4.5 million modification fee. The borrower's parent company, Vornado Realty, L.P (VNO), entered into an unsecured credit agreement with the borrower in an amount of $150.0 million (VNO Loan) that is available to fund operating deficits, interest shortfalls, and capital requirements including tenant improvements, leasing commissions and approved capital expenditures. The VNO Loan will accrue interest at 10%. The loan is locked out from prepayment until January, 1, 2019, but individual property sales are permitted prior to the lockout period with all net proceeds going toward A-Note repayment. The VNO Loan is senior to the B-Note in the event of a sale or refinance. After the A-Note and VNO Loan are repaid any remaining funds are split evenly between the B-Note until VNO earns a 20% internal rate of return (IRR). After VNO reaches the 20% IRR threshold, 85% of the remaining cash flow goes to the B-Note, while the remaining 15% goes a borrower related management company. The borrower would receive any remaining funds once the B-Note is repaid. The second largest specially serviced loan is the Solana Loan ($220.0 million --10.3% of the pool), which represents a 61% pari passu interest in a $360.0 million first mortgage loan. The loan is secured by a 1.9 million SF mixed use complex mixed-use complex consisting of 11 office buildings, a health club, supporting retail, a 198-room Marriott hotel, and 5,901 parking spaces (3,332 garage) located in Westlake, Texas. The loan has been in special servicing since March 2009. The non-hotel component is 66% leased as of September 2013. Prior loan modification discussions broke down. One of the properties is currently under contract for sale. The entire note, excluding the property under contract, is being marketed for sale. The third largest specially serviced loan is the StratReal Industrial Portfolio I Loan ($190.0 million -- 8.9% of the pool), which is secured by a portfolio of 12 industrial properties, totaling 5.5 million SF, located in Ohio (8), Tennessee (3) and California (1). The loan transferred to special servicing in March 2013 due to imminent default. Occupancy as of September 2013 was 76%, up from 73% at last review. Ford Motor Co., which occupies 14% of the NRA, renewed its lease which expired in March 2012 through May 2018. The master servicer has recognized an aggregate $404.9 million appraisal reduction for the specially serviced loans. Moody's has estimated an aggregate loss of $301.7 million (46% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 26 poorly performing loans representing 12% of the pool and has estimated a $49.1 million loss (19% expected loss based on a 52% probability default) from these troubled loans. Moody's was provided with full year 2012 and partial year 2013 operating results for 96% and 51% of the performing pool, respectively. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 99% compared to 104% 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 8.8%. Excluding specially serviced and troubled loans, Moody's actual and stressed DSCRs are 1.35X and 1.00X, respectively, compared to 1.30X and 0.95X 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 18% of the pool. The largest loan is the Inland -- Bradley Portfolio Pool A & B Loans ( $156.6 million --7.3% of the pool), which consists of two cross collateralized and cross-defaulted loans. The loans were originally secured by 26 office, industrial, and retail properties located across 13 states. One property with an original allocated balance of $25.6 million was released. The largest tenants include Pearson Education (1.1 million SF; October 2016 lease expiration), Dopaco Inc. (299,000 SF; December 2015 lease expiration), and Lamos Metal (224,000 SF; January 2022 lease expiration). The weighted average occupancy was 100% as of December 2012. Moody's LTV and stressed DSCR are 87% and 1.07X, respectively, compared to 98% and 0.99X at last review. The second largest loan is the Tanforan Shopping Center Loan ($141.2 million -- 6.6% of the pool). The loan is secured by a retail property located in San Bruno, California, which is located between South San Francisco and Millbrae. The property, originally constructed in 1969, was gut renovated in 2004 and 2005. Anchor stores include JC Penny, Sears, Target and Century Theater. Additional stores include GNC, Ulta, Hallmark, Burger King, Five Guys and Nicoles Bridal Formalwear. The sponsor is Forest City Enterprises. As of June 2013, the property was 99% leased compared to 98% at last review. Moody's LTV and stressed DSCR are 116% and 0.77X, respectively, compared to 106% and 0.84X at last review. The third largest loan is the University View Loan ($80.8 million --3.8% of the pool). The loan is secured by a 353 unit multifamily property used as student housing for University of Maryland at College Park students. Amenities include shuffle board, study rooms, fitness center and cycling room. The sponsor is Asset Campus Housing. As of September 2013, the property was 100% leased. Moody's LTV and stressed DSCR are 110% and 0.76X, respectively, compared to 121% and 0.69X at last review. BENEFIT STREET III: S&P Assigns Prelim. BB Rating on Class D Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Benefit Street Partners CLO III Ltd./Benefit Street Partners CLO III LLC's $462.5 million floating- and fixed-rate notes. The note issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior-secured loans. The preliminary ratings are based on information as of Nov. 19, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting the excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which primarily comprises broadly syndicated speculative-grade senior- secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.24%-12.75%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which will lead to the reclassification of excess interest proceeds that are available before paying uncapped administrative expenses, subordinated and incentive management fees, and subordinated note payments into principal proceeds for the purchase of additional collateral assets during the reinvestment period. PRELIMINARY RATINGS ASSIGNED Benefit Street Partners CLO III Ltd./ Benefit Street Partners CLO III LLC Preliminary Preliminary Class rating amount (mil. $) A-1A AAA (sf) 245.200 A-1B AAA (sf) 60.000 A-2 AA (sf) 70.000 B (deferrable) A (sf) 35.300 C (deferrable) BBB (sf) 29.000 D (deferrable) BB (sf) 23.000 Subordinate notes NR 54.075 NR--Not rated. BLACK DIAMOND 2006-1: Moody's Affirms 'Ba2' Rating on $45MM Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating of the following notes issued by Black Diamond CLO 2006-1 (Luxembourg) S.A.: U.S. $10,000,000 Combination Notes, Due April 2019 (current outstanding balance of $2,822,104), Upgraded to A1 (sf); previously on May 9, 2013 Upgraded to A3 (sf) and Placed Under Review for Possible Upgrade. Moody's affirmed the ratings of the following notes: U.S. $500,000,000 Class A-D Floating Rate Notes, Due April 2019 (current outstanding balance of $490,846,177), Affirmed Aaa (sf); previously on July 21, 2011 Upgraded to Aaa (sf); EUR61,500,000 Class A-E Floating Rate Notes, Due April 2019 (current outstanding balance of EUR60,374,080), Affirmed Aaa (sf); previously on July 21, 2011 Upgraded to Aaa (sf); U.S. $0, EUR30,153,891 and GBP GBP30,716,069 Class A-R Redenominatable Floating Rate Notes, Due April 2019 (current outstanding balance of $0, EUR29,601,844, and GBP30,153,730), Affirmed Aaa (sf); previously on July 21, 2011 Upgraded to Aaa (sf); U.S. $90,000,000 Class B Floating Rate Notes, Due April 2019, Affirmed Aa1 (sf); previously on July 21, 2011 Upgraded to Aa1 (sf); U.S. $48,000,000 Class C Floating Rate Notes, Due April 2019, Affirmed A1 (sf); previously on July 21, 2011 Upgraded to A1 (sf); U.S. $55,000,000 Class D Floating Rate Notes, Due April 2019, Affirmed Baa2 (sf); previously on July 21, 2011 Upgraded to Baa2 (sf); and U.S. $45,000,000 Class E Floating Rate Notes, Due April 2019, Affirmed Ba2 (sf); previously on July 21, 2011 Upgraded to Ba2 (sf). Ratings Rationale: According to Moody's, the rating action taken on the Combination Notes is primarily a result of paydown of the notes since the last rating action in May 2013. Moody's notes that the Combination Notes have been paid down by approximately 25% or $1 million since the last rating action. In taking the foregoing action, Moody's announced that it had concluded its review of its rating on the Combination Notes announced on May 9, 2013. At that time, Moody's said that it had upgraded and placed the notes under review for upgrade as Moody's conducted further analysis on the cash flows to the notes. Moody's also notes that the Class A Notes have been paid down by approximately 1.8% since the last rating action and the manager has been reinvesting the unscheduled principal proceeds after the reinvestment period. Additionally, the transaction's reported collateral quality metrics 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. Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of $791.0 million in USD denominated assets, EUR111.1 million in EUR denominated assets and GBP33.7 million in GBP denominated assets, defaulted par of $39.0 million in USD denominated assets, of EUR1.0 million in EUR denominated assets, a weighted average default probability of 19.73% (implying a WARF of 2862), a weighted average recovery rate upon default of 49.46%, and a diversity score of 64. 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. Black Diamond CLO 2006-1 (Luxembourg) S.A., issued in January 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans denominated in U.S. dollars, Euros, and British pounds. 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 described above, Moody's also performed sensitivity analyses to test the impact on all rated notes of various default probabilities. Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss), assuming that all other factors are held equal: Moody's Adjusted WARF -- 20% (2290) Combination Notes: +2 Moody's Adjusted WARF + 20% (3435) Combination Notes: -2 Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of upcoming speculative-grade debt maturities which may create challenges for issuers to refinance. CLO notes' performance may also be impacted by 1) the manager's investment strategy and behavior and 2) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Sources of additional performance uncertainties are described below: 1) Deleveraging: The main source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will 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. 4) Post-Reinvestment Period Trading: Subject to certain requirements, the deal is allowed to reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the flexibility to deteriorate some collateral quality metrics to the covenant levels. In particular, Moody's tested for a possible extension of the actual weighted average life in its analysis given that the post-reinvestment period reinvesting criteria has loose restrictions on the weighted average life of the portfolio. 5) Exposure to credit estimates: The deal is exposed to a large number of securities whose default probabilities are assessed through credit estimates. In the event that Moody's is not provided the necessary information to update the credit estimates in a timely fashion, the transaction may be impacted by any default probability adjustments Moody's may assume in lieu of updated credit estimates. 6) Currency exposure: The deal has some exposure to non-USD denominated assets. Volatilities in foreign exchange rate will have a direct impact on interest and principal proceeds available to the transaction, which may affect the expected loss of rated tranches. Furthermore, a higher amortization speed, in either the USD or Non-USD denominated assets, exposes the transaction to foreign currency risk because the principal proceeds have to be converted at the spot exchange rate to pay down the pro-rata liabilities. BLACKROCK SENIOR: S&P Raises Ratings on 2 Note Classes From 'BB+' ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class C, D-1, and D-2 notes from BlackRock Senior Income Series II, a U.S. collateralized loan obligation (CLO) managed by BlackRock Financial Management Inc. At the same time, S&P removed these ratings from CreditWatch, where S&P placed them with positive implications on Sept. 5, 2013. In addition, S&P affirmed its 'AAA (sf)' ratings on the class A-1, A-2, and B notes from the same transaction. The rating actions follows S&P's review of the transaction's performance using data from the trustee report dated Sept. 30, 2013. The upgrades are driven primarily by substantial paydowns to the class A-1 and A-2 notes since our October 2012 rating actions. The affirmed ratings reflect S&P's belief that the credit support available is commensurate with the current rating levels. The transaction exited its reinvestment period in May 2011. This has resulted in $178.67 million in pro rata paydowns to the class A-1 and A-2 notes over the time since our last rating action, for which S&P referenced the August 2012 trustee report. As a consequence, the transaction has seen improvement in all overcollateralization tests in the transaction. The trustee report currently shows a remaining balance on the class A-1 and A- 2 notes of 20.35% of their original outstanding balances. In addition, the amount of 'CCC' rated collateral held in the transaction's asset portfolio decreased over the time since S&P's last rating action. According to the September 2013 trustee report, the transaction held $15.38 million in 'CCC' rated collateral, down from $18.33 million noted in the August 2012 trustee report. According to the September 2013 trustee report, the transaction held $3.49 million in underlying collateral obligations by three issuers that are considered in default. This was a slight increase from $2.31 million in defaulted obligations noted in the August 2012 trustee report. The transaction has significant exposure to long-dated assets (assets maturing after the stated maturity of the CLO). According to the September 2013 trustee report, the balance of collateral with a maturity date after the stated maturity of the transaction totaled $17.61 million (9.82% of the portfolio). S&P's analysis took into account the potential market value and/or settlement- related risk arising from the potential liquidation of the remaining securities on the legal final maturity date of the transaction. The ratings on the class D-1 and D-2 notes are driven by the application of the largest obligor default test, a supplemental stress test S&P introduced as part of its 2009 corporate criteria update. The transaction is currently passing its interest diversion test, which is the class D O/C ratio measured at a higher threshold than the class D O/C test. The transaction is structured such that if it fails this test, the transaction will divert an amount--equal to the lesser of 100.00% of the available interest proceeds and the amount necessary to cure the test--to pay down the rated notes in reverse sequential order (beginning with the class D notes). The transaction has not failed this test over the period from S&P's October 2012 rating actions. According to the September 2013 trustee report, the interest diversion test result was 115.48%, compared with the required minimum of 104.80%. S&P's review of this transaction included a cash flow analysis based on the portfolio and transaction, as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward- looking assumptions on the defaults' expected timing and pattern and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. CAPITAL STRUCTURE AND KEY MODEL ASSUMPTIONS COMPARISON Class Aug. 2012 Sept. 2013 Notional balance (Mil. $) A-1 158.31 44.42 A-2 90.05 25.27 B 16.60 16.60 C 38.90 38.90 D-1 23.90 23.90 D-2 4.00 4.00 Weighted average spread (%) 3.26 3.20 Coverage tests (%) A/B O/C 134.66 204.88 C O/C 117.42 141.22 D O/C 107.55 115.48 A/B I/C 679.92 1377.50 C I/C 545.97 757.51 D I/C 415.34 403.04 O/C-Overcollateralization test. I/C-Interest coverage test. RATING AND CREDITWATCH ACTIONS BlackRock Senior Income Series II Rating Rating Class To From A-1 AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) B AAA (sf) AAA (sf) C AAA (sf) A+ (sf)/Watch Pos D-1 BBB+ (sf) BB+ (sf)/Watch Pos D-2 BBB+ (sf) BB+ (sf)/Watch Pos CAPITAL AUTO 2013-4: Moody's Rates Class E Notes 'Ba2(sf)' ---------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by Capital Auto Receivables Asset Trust (CARAT) 2013-4. The complete rating actions are as follows: Issuer: Capital Auto Receivables Asset Trust 2013-4 Class A-1 Notes, Provisional Rating Assigned (P)Aaa (sf) Class A-2 Notes, Provisional Rating Assigned (P)Aaa (sf) Class A-3 Notes, Provisional Rating Assigned (P)Aaa (sf) Class A-4 Notes, Provisional Rating Assigned (P)Aaa (sf) Class B Notes, Provisional Rating Assigned (P)Aa2 (sf) Class C Notes, Provisional Rating Assigned (P)A1 (sf) Class D Notes, Provisional Rating Assigned (P)Baa2 (sf) Class E Notes, Provisional Rating Assigned (P)Ba2 (sf) Ratings Rationale: Moody's cumulative net loss expectation is 4.00% and the Aaa level is 21.50% for the aggregate CARAT 2013-4 pool. This expectation encompasses both the initial pool collateral, and Moody's assumptions around the composition of additional receivables added to the pool during the initial one-year revolving period. Moody's net loss expectation and Aaa Level for the CARAT 2013-4 transaction is based on an analysis of the credit quality of the underlying initial pool collateral, an assumption and analysis of the composition of additional collateral that will be added during the initial one-year revolving period, historical performance trends, the ability of Ally Financial Inc. (formerly GMAC Inc.) to perform the servicing functions, and current expectations for future economic conditions. The CARAT 2013-4 Class A-1 Notes are divided into the A-1a Notes that bear interest at a fixed rate, and the A-1b Notes that are unhedged, and bear interest at a floating rate corresponding to 1- month LIBOR. The V Score for this transaction is Medium, which is consistent with the Medium V score assigned for the U.S. Sub-prime Retail Auto Loan ABS sector. The V Score indicates "Medium" uncertainty about critical assumptions. This is the fourth public retail loan securitization for Ally Financial under the CARAT platform, and fourth composed of non-prime collateral. All three previous transactions closed earlier in 2013, and are still in their initial one-year revolving period. Ally Financial has securitization experience that dates back to the mid-1980's. Ally Financial's bank subsidiary, Ally Bank, has sponsored numerous prior public retail prime auto loan securitizations since 2009. CARAT 2013-4 should benefit from this experience having Ally Financial as the servicer for the transaction. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If the net loss used in determining the initial rating were changed from 4.00% to 6.50% the initial model-indicated output might change from Aaa to Aa1 for the Class A notes, from Aa2 to A3 for the Class B notes, from A1 to Baa3 for the Class C notes, from Baa2 to B1 for the Class D Notes, and from Ba2 to below B3 for the Class E Notes. If the net loss were changed to 8.00% the initial model-indicated output might change to Aa2 for the Class A notes, to Baa3 for the Class B Notes, to Ba3 for the Class C Notes, to B3 for the Class D Notes, and to below B3 for the Class E Notes. If the net loss were changed to 10.00% the initial model-indicated output might change to A1 for the Class A notes, to Ba3 for the Class B Notes, and to below B3 for the Class C Notes, Class D Notes, and Class E Notes. 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. CAPITAL AUTO 2013-4: S&P Assigns Prelim. BB Rating on Cl. E Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Capital Auto Receivables Asset Trust 2013-4 (CARAT 2013-4)'s $778.18 million asset-backed notes series 2013-4. The note issuance is an asset-backed securities (ABS) transaction backed by nonprime auto loan receivables. The preliminary ratings are based on information as of Nov. 18, 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 availability of approximately 24.6%, 20.2%, 16.0%, 12.3%, and 10.1% credit support, including excess spread, (as a percentage of the initial aggregate receivables principal balance) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of more than 4.5x, 3.7x, 2.8x, 2.0x, and 1.5x S&P's 4.9%-5.2% cumulative net loss range for the class A, B, C, D, and E notes, respectively, once the transaction goes into its scheduled amortization period. -- S&P's cumulative net loss range takes into account the possible degradation in the collateral pool's credit quality by assuming that cash collected over the 12 month revolving period will be used to purchase receivables that meet the lowest standards permissible based on the transaction's eligibility criteria on additional receivables. -- S&P's expectation that during the amortization phase, under a moderate ('BBB') stress scenario, our ratings on the class A and B notes will remain within one rating category of the assigned preliminary ratings and its ratings on the class C and D notes will remain within two rating categories of the assigned preliminary ratings. These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bounds of credit deterioration equal to a one-category downgrade within the first year for 'AAA (sf)' and 'AA (sf)' rated securities and a two-category downgrade within the first year for 'A (sf)' through 'BB (sf)' rated securities under moderate stress conditions. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate to the assigned preliminary rating categories. -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. During the amortization period, the nonamortizing overcollateralization and reserve account amount will result in increased credit enhancement for the notes. -- The characteristics of the collateral pool being securitized, including the approximately 12 months of seasoning of the initial pool and the eligibility criteria of the subsequent pools. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED CARAT 2013-4 Class Rating Amount (mil. $) A-1 AAA (sf) 205.00 A-2 AAA (sf) 180.00 A-3 AAA (sf) 203.00 A-4 AAA (sf) 55.46 B AA (sf) 38.21 C A (sf) 36.19 D BBB (sf) 32.17 E BB (sf) 28.15 CASTLE GARDEN: S&P Raises Ratings on 2 Note Classes From BB+ ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class A-4, B-1, B-2, C-1, C-2, D-1, and D-2 notes from Castle Garden Funding, a U.S. collateralized loan obligation transaction managed by CSFB Alternative Capital Inc., and removed them from CreditWatch with positive implications. At the same time, S&P affirmed its ratings on the class A-1, A-2, A-3a, and A-3b notes. The upgrades mainly reflect paydowns to the class A-1, A-2, and A- 3a notes and a subsequent increase in the overcollateralization (O/C) available to support the notes since our November 2012 rating actions. Since then, the transaction has paid down the class A-1, A-2, and A-3 notes by approximately $258.5 million. These paydowns have left the class A-1, A-2, and A-3a notes at 40.79%, 40.79%, and 34.02% of their original balances, respectively. S&P expects these classes to continue paying down, as the transaction exited its reinvestment period in November 2011. Additionally, the upgrades also reflect improved O/C available to support the notes, primarily because of the aforementioned paydowns. The trustee reported the following O/C ratios in the October 2013 monthly report: -- The class A O/C ratio was 157.44%, compared with 130.24% in October 2012; -- The class B O/C ratio was 136.88%, compared with 120.48% in October 2012; -- The class C O/C ratio was 124.39%, compared with 113.91% in October 2012; and -- The class D O/C ratio was 119.41%, compared with 111.14% in October 2012. S&P also affirmed its 'AAA (sf)' ratings on the class A-1, A-2, A-3a, and A-3b notes to reflect the available credit support at the current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as it deems necessary. RATING AND CREDITWATCH ACTIONS Castle Garden Funding Rating Class To From A-1 AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) A-3a AAA (sf) AAA (sf) A-3b AAA (sf) AAA (sf) A-4 AAA (sf) AA+ (sf)/Watch Pos B-1 AA+ (sf) A+ (sf)/Watch Pos B-2 AA+ (sf) A+ (sf)/Watch Pos C-1 A- (sf) BBB (sf)/Watch Pos C-2 A- (sf) BBB (sf)/Watch Pos D-1 BBB+ (sf) BB+ (sf)/Watch Pos D-2 BBB+ (sf) BB+ (sf)/Watch Pos TRANSACTION INFORMATION Issuer: Castle Garden Funding Co-issuer: Castle Garden Funding (Delaware) Corp. Collateral manager: CSFB Alternative Capital Inc. Underwriter: Credit Suisse First Boston Corp. Trustee: Bank of New York Mellon (The) Transaction type: Cash flow CDO CDO-Collateralized debt obligation. CD COMMERCIAL 2007-CD5: Fitch Affirms Rating on 21 Certificates --------------------------------------------------------------- Fitch Ratings has affirmed 21 classes of CD Commercial Mortgage Trust commercial mortgage pass-through certificates series 2007- CD5 due to stable performance since Fitch's last review. Key Rating Drivers: Fitch modeled losses of 6.9% of the remaining pool; expected losses on the original pool balance total 9.6%, including $83.8 million (4% of the original pool balance) in realized losses to date. Fitch has designated 53 loans (34.6%) as Fitch Loans of Concern, which includes 11 specially serviced assets (15.1%). As of the October 2013 distribution date, the pool's aggregate principal balance has been reduced by 19.6% to $1.68 billion from $2.09 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting classes K through S. The largest contributor to expected losses is the specially- serviced Lincoln Square loan (9.5% of the pool), which is secured by a 405,978 square foot (sf) office property located in Washington, D.C. The property encompasses one-half of the block surrounded by 10th, 11th, E and F Streets and is located within the East End submarket of Washington, D.C. The loan transferred to the special servicer in November 2013 due to imminent default. The second largest tenant is scheduled to vacate the property at year-end 2013 which will bring the occupancy to approximately 87%. Fitch's conservative value estimate reflects the upcoming vacancy; however, given the property's strong location and recent sales comparables in the submarket, losses may not be incurred. The second largest contributor to modeled losses is a 73,000 sf retail property (0.9%), located in Culpeper, VA. The loan was transferred to the Special Servicer in March 2011 for imminent default. The property became real estate owned (REO) in February 2012. The receiver is working to stabilize the property prior to marketing for sale. A recent appraisal indicates significant losses. The third largest contributor to expected losses is the specially- serviced Mission Mill Creek loan (1.1%), which is secured by a 336 unit multifamily property, located in Antioch, TN. Loan was transferred to the Special Servicer in February 2013 due to delinquent payments. The loan is currently more than 90 days past due. Occupancy was 57.1%, as of July 2013. The servicer is negotiating with the borrower while dual-tracking foreclosure. Rating Sensitivity: Rating Outlooks on classes A-4 through A-JA remain Stable due to increasing credit enhancement and continued paydown. Rating Outlooks on classes B through E are Negative due to uncertainty surrounding the largest loan in the pool being transferred to special servicing. If the sponsors are unable to lease up the vacant space or if other issues arise downgrades to these classes are possible. Fitch affirms the following classes and revises Rating Outlooks and REs as indicated: -- $20.9 million class B at 'BBBsf', Outlook to Negative from Stable; -- $20.9 million class C at 'BBsf', Outlook to Negative from Stable; -- $18.3 million class F at 'CCCsf', RE 50%; -- $20.9 million class G at 'CCsf', RE 0%. Fitch affirms the following classes as indicated: -- $937.8 million class A-4 at 'AAAsf', Outlook Stable; -- $198.7 million class A-1A at 'AAAsf', Outlook Stable; -- $168.7 million class AM at 'AAAsf', Outlook Stable; -- $40.7 million class A-MA at 'AAAsf', Outlook Stable; -- $111.8 million class AJ at 'BBBsf', Outlook Stable; -- $27 million class A-JA at 'BBBsf', Outlook Stable; -- $20.9 million class D at 'BBsf', Outlook Negative; -- $18.3 million class E at 'Bsf', Outlook Negative; -- $23.6 million class H at 'CCsf', RE 0%; -- $23.6 million class J at 'Csf', RE 0%; -- $20.9 million class K at 'Csf', RE 0%; -- $9.6 million class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%; -- $0 class O at 'Dsf', RE 0%; -- $0 class P at 'Dsf', RE 0%; -- $0 class Q at 'Dsf', RE 0%. Fitch previously withdrew the ratings on the interest-only class XP and XS certificates. ClassesA-1 through A-AB have been paid in full. Fitch does not rate class S. CIFC FUNDING 2013-IV: Moody's Rates $33.5MM Class E Notes 'Ba3' --------------------------------------------------------------- Moody's Investors Service announced that it has assigned the following ratings to notes issued by CIFC Funding 2013-IV, Ltd.: U.S.$4,000,000 Class X Senior Secured Floating Rate Notes due November 2024 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) U.S.$299,000,000 Class A-1 Senior Secured Floating Rate Notes due November 2024 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) U.S.$20,000,000 Class A-2 Senior Secured Fixed Rate Notes due November 2024 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf) U.S.$26,500,000 Class B-1 Senior Secured Floating Rate Notes due November 2024 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) U.S.$15,000,000 Class B-2 Senior Secured Fixed Rate Notes due November 2024 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf) U.S.$16,500,000 Class C-1 Mezzanine Secured Deferrable Floating Rate Notes due November 2024 (the "Class C-1 Notes"), Definitive Rating Assigned A2 (sf) U.S.$21,500,000 Class C-2 Mezzanine Secured Deferrable Floating Rate Notes due November 2024 (the "Class C-2 Notes"), Definitive Rating Assigned A2 (sf) U.S.$5,000,000 Class C-3 Mezzanine Secured Deferrable Fixed Rate Notes due November 2024 (the "Class C-3 Notes"), Definitive Rating Assigned A2 (sf) U.S.$28,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due November 2024 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) U.S.$33,500,000 Class E Junior Secured Deferrable Floating Rate Notes due November 2024 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class X, Class A-1 Notes, Class A-2 Notes, Class B-1 Notes, Class B-2 Notes, Class C-1 Notes, Class C-2 Notes, Class C-3 Notes, Class D Notes and Class E Notes are referred to, collectively, as the "Rated Notes". Ratings Rationale: Moody's ratings of the Rated Notes generally address the ultimate cash receipt of all required interest and principal payments, and are based on the expected losses posed to the noteholders. These ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. CIFC Funding 2013-IV is a managed cash-flow CLO. The issued notes are collateralized primarily by broadly syndicated first-lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, senior secured notes, cash, and eligible investments, up to 10% of the portfolio may consist of second lien loans, unsecured loans and secured bonds. As of the closing date, the portfolio is required to be at approximately 60% ramped. CIFC Asset Management LLC (the "Manager"), will manage the CLO. It will direct the selection, acquisition, and disposition of collateral on behalf of the Issuer, and it may engage in trading activity, including discretionary trading, during the transaction's four-year reinvestment period. Thereafter, subject to certain conditions, the Manager may reinvest principal proceeds that were received in respect of the sale of credit risk obligations and unscheduled principal payments in additional collateral obligations. In addition to the Rated Notes rated by Moody's, the Issuer will issue two tranches of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. COMM 2013-FL3: S&P Assigns 'BB-' Rating on Class RGC2 Notes ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to COMM 2013-FL3 Mortgage Trust's $465.0 million commercial mortgage pass- through certificates. The note issuance is a commercial mortgage-backed securities transaction backed by five floating-rate loans secured by the fee interest in the Hilton Fort Lauderdale hotel, the fee and leasehold interest in 31 Red Roof Inn limited-service hotels, the leasehold interest in three Manhattan hotels known as the Magna Manhattan Hotel Portfolio, the fee interest in the Beekman Tower, a former hotel that is currently being converted into a corporate housing property, and the leasehold interest in the Ritz-Carlton hotel in the Cayman Islands. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. RATINGS ASSIGNED COMM 2013-FL3 Mortgage Trust Class Rating(i) Amount ($) A AAA (sf) 222,947,000 X-CP A- (sf) 353,000,000(ii) X-EXT A- (sf) 353,000,000(ii) B AA- (sf) 78,247,000 C A- (sf) 51,806,000 MMHP(iii) BBB- (sf) 30,500,000 RGC1(iii) BBB- (sf) 13,000,000 RGC2(iii) BB- (sf) 25,500,000 RGC3(iii) B+ (sf) 8,000,000 RRI1(iii) BBB- (sf) 13,750,000 RRI2(iii) BB (sf) 9,250,000 HFL(iii) BB+ (sf) 12,000,000 (i) The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii) Notional balance. (iii) Loan-specific class. CREDIT SUISSE 2003-C3: Fitch Affirms BB Rating on Class G Certs --------------------------------------------------------------- Fitch Ratings has affirmed eight classes of Credit Suisse First Boston Mortgage Securities Corp., series 2003-C3 (CSFB 2003-C3) commercial mortgage pass-through certificates. Key Rating Drivers: The affirmations are the result of sufficient credit enhancement despite significant pool concentration as only 16 loans remain. Fitch modeled losses of 15.4% of the remaining pool; expected losses on the original pool balance total 3.4%, including $51.9 million (2.9% of the original pool balance) in realized losses to date. Fitch has designated six loans (66.2%) as Fitch Loans of Concern, which includes four specially serviced assets (38.7%). As of the November 2013 distribution date, the pool's aggregate principal balance has been reduced by 97.3% to $48.2 million from $1.76 billion at issuance. Per the servicer reporting, one loan (0.6% of the pool) is defeased. Interest shortfalls are currently affecting classes H through P. The largest contributor to expected losses is a 95,421 square foot (sf) retail property (17.7% of the pool), located in Greeley, Colorado approximately 60 miles north of Denver. The loan had a year-end 2012 net operating income (NOI) debt service coverage ratio (DSCR) of 0.92x and June 2013 occupancy of 67% and remains with the master servicer. The largest tenants by net rentable area (NRA) are Office Depot and PetSmart with leases that expire in October 2016 and January 2015, respectively. The loan had an anticipated repayment date (ARD) of April 2013. Rating Sensitivity: The Rating Outlook on class G has been revised to Stable due to increasing credit enhancement and continued paydown, which offsets the increasing concentration and continued risk of adverse selection. Fitch affirms the following classes and revises Rating Outlooks and REs as indicated: -- $3.1 million class G at 'BBsf', Outlook to Stable from Negative; -- $19.4 million class H at 'CCCsf', RE 100%; -- $19.4 million class J at 'CCsf', RE 95%; -- $6.3 million 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, A-3, A-4, A-5, B, C, D, E, F,A-SP, 622A, 622B, 622C, 622D, 622E and 622F certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the ratings on the interest-only class A-X and A-Y certificates. CSMC TRUST 2013-IVR5: S&P Assigns Prelim. BB Rating to B-3 Certs ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to CSMC Trust 2013-IVR5's $290.908 million mortgage pass- through certificates series 2013-IVR5. The certificate issuance is a residential mortgage-backed securities transaction backed by residential mortgage loans. The preliminary ratings are based on information as of Nov. 21, 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 pool's high-quality collateral. -- The quality of DLJ Mortgage Capital Inc.'s flow acquisition program. -- The credit enhancement and the associated structural deal mechanics. PRELIMINARY RATINGS ASSIGNED CSMC Trust 2013-IVR5 Class Rating Amount (mil. $) ----- ------ ------------- A-1 AAA (sf) 255.051 A-2 AAA (sf) 22.354 A-X-1 AAA (sf) Notional (i) A-X-2 AAA (sf) Notional (ii) A-X-3 AAA (sf) Notional (i) A-X-4 AAA (sf) Notional (ii) B-1 A (sf) 4.351 B-2 BBB (sf) 3.901 B-3 BB (sf) 5.251 B-4 NR 4.201 B-5 NR 4.951 A-IO-S NR Notional (iii) A-X-5 AAA (sf) Notional (i) A-3 AAA (sf) 255.051 A-6 AAA (sf) 255.051 A-5 AAA (sf) 277.405 A-X-6 AAA (sf) Notional (iv) A-4 AAA (sf) 277.405 A-X-7 AAA (sf) Notional (iv) A-7 AAA (sf) 277.405 A-X-8 AAA (sf) Notional (ii) A-9 AAA (sf) 22.354 A-8 AAA (sf) 22.354 A-10 AAA (sf) 194.184 A-11 AAA (sf) 83.221 A-12 AAA (sf) 194.184 A-13 AAA (sf) 83.221 A-X-9 AAA (sf) Notional (iv) A-X-10 AAA (sf) Notional (iv) (i) The class A-X-1, A-X-3, and A-X-5 certificates will accrue interest on a notional amount equal to the class A-5 certificates' principal amount. (ii) The class A-X-2, A-X-4, and A-X-8 certificates will accrue interest on a notional amount equal to the class A-2 certificates' principal amount. (iii) The class A-IO-S certificates are interest-only certificates and are entitled to the aggregate excess servicing fees received on the mortgage loans serviced by SPS. (iv) The class A-X-6, A-X-7, A-X-9, and A-X-10 certificates will accrue interest on a notional amount equal to the aggregate class A-1 and A-2 certificates' principal amounts. NR - Not rated. SPS - Select Portfolio Servicing Inc. CT CDO III: Fitch Slashes Rating on 2 Note Classes to 'CCsf' ------------------------------------------------------------ Fitch Ratings has downgraded two classes and affirmed 11 classes of CT CDO III Ltd./Corp. (CT CDO III). Key Rating Drivers: Since Fitch's last rating action in December 2012, approximately 19.7% of the underlying collateral has been downgraded and 2.9% has been upgraded. Currently, 49.7% of the portfolio has a Fitch derived rating below investment grade and 43.6% has a rating in the 'D' category. Over this period, the class A-2 notes have received $69.3 million for a total of $131.4 million in pay downs 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. Additionally, a deterministic analysis was performed where the recovery estimate on the distressed collateral was modeled in accordance with the principal waterfall. An asset by asset analysis was then performed for the remaining assets to determine the collateral coverage for the remaining liabilities. The class A-2 through H notes have been affirmed at their current ratings given that their balances are covered with equal or better rated collateral. The classes J and K notes have been downgrade due to the increased concentration of distressed collateral. Rating Sensitivities: The Stable Outlook on the classes A-2 through D notes reflects the credit quality of the underlying collateral and the view that the transaction will continue to delever. The Negative Outlook on the class E through H notes reflects the risk of adverse selection as the portfolio continues to amortize. Fitch has downgraded the following classes: -- $6,825,000 class J notes to 'CCsf' from 'CCCsf'; -- $3,839,000 class K notes to 'CCsf' from 'CCCsf'. Fitch has affirmed the following classes and revises Outlooks as indicated: -- $15,805,440 class A-2 notes at 'Asf'; Outlook Stable; -- $29,007,000 class B notes at 'BBB+sf'; Outlook Stable from Negative; -- $13,650,000 class C notes at 'BBBsf'; Outlook Stable from Negative; -- $5,118,000 class D notes at 'BBB-sf'; Outlook Stable from Negative; -- $6,825,000 class E notes at 'BB+sf'; Outlook Negative; -- $6,825,000 class F notes at 'BB+sf'; Outlook Negative; -- $9,811,000 class G notes at 'BBsf'; Outlook Negative; -- $11,517,000 class H notes at 'Bsf'; Outlook Negative; -- $5,118,000 class L notes at 'CCsf'; -- $5,545,000 class M notes at 'Csf'; -- $4,265,000 class N notes at 'Csf'. CWHEQ REVOLVING 2007-G: Moody's Ups Class A Notes Rating to Ba2 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of three tranches from CWHEQ Revolving Home Equity Loan Trust, 2007-G, backed primarily by HELOCs. Complete rating actions are as follows: Issuer: CWHEQ Revolving Home Equity Loan Trust, 2007-G Cl. A, Upgraded to Ba2 (sf); previously on Aug 13, 2010 Downgraded to B2 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to C (sf) Ratings Rationale: The actions are a result of the recent performance HELOCs loans backed pools and reflect Moody's updated loss expectations on the pools. The tranches upgraded 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 primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 7.9% in October 2012 to 7.3% in October 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. DRUBS 2011-LC1: Fitch Affirms Bsf Rating on $40.8MM Notes --------------------------------------------------------- Fitch Ratings has affirmed all ratings of DBUBS 2011-LC1 Mortgage Trust Commercial Mortgage Pass-Through Certificates, series 2011- LC1. Key Rating Drivers: Fitch's affirmations are based on the stable performance of the underlying collateral pool. There have been no delinquent or specially serviced loans since issuance. Fitch reviewed year-end (YE) 2012 financial performance of the collateral pool in addition to updated rent rolls for the top 15 loans, representing 76.1% of the transaction. Rating Sensitivities: Due to the recent issuance of the transaction and continued stable performance, Fitch expects ratings to remain stable. Additional information on rating sensitivity is available in the report 'DBUBS Commercial Mortgage Trust 2011-LC1', dated February 2, 2011. As of the November 2013 distribution date, the pool's aggregate principal balance has been reduced by 3.9% to $2.09 billion from $2.176 billion at issuance. One loan (1.4%) is defeased. The largest loan in the pool (10.6%) is secured by a 1.16 million square foot (SF) regional mall in Cincinnati, OH. The property is anchored by Dillard's, Macy's, and Nordstrom and features over 140 in-line tenants and kiosks. As of June 2013, the occupancy was 98.4%, compared to 96.4% at issuance. Macy's has renewed their lease for an additional five-year term until September 2018. The servicer reported 2nd quarter (2Q) 2013 Net Cash Flow (NCF) debt service coverage ratio (DSCR) was 2.08x, compared to 1.96x at underwriting. The second largest loan (10.2%) is secured by a 1.18 million SF class A office property in Chicago, IL. As of June 20, the property occupancy improved to 89% from 79.6% at issuance. The servicer reported 2Q13 NCF DSCR was 1.73x, compared to 1.46x at underwriting. The third largest loan (9.1%) is secured by a 1.07 million SF mall in Tempe, AZ. The property is anchored by JCPenney, Sam's Club, Harkins Theaters and Target (not part of the collateral). As of September 2013, the property was 91.2% occupied, compared to 93.2% at issuance. The servicer reported 2Q13 NCF DSCR was 1.22x, compared to 1.36x at underwriting. Fitch affirms the following classes: -- $1,025 million Class A-1 at 'AAAsf'; Outlook Stable; -- $182 million Class A-2 at 'AAAsf'; Outlook Stable; -- $459.8 million Class A-3 at 'AAAsf'; Outlook Stable; -- IO Class X-A at 'AAAsf'; Outlook Stable; -- $70.7 million Class B at 'AAsf'; Outlook Stable; -- $81.6 million Class C at 'Asf'; Outlook Stable -- $49 million Class D at 'BBB+sf'; Outlook Stable; -- $89.8 million Class E at 'BBB-sf'; Outlook Stable; -- $24.5 million Class F at 'BBsf'; Outlook Stable; -- $40.8 million Class G at 'Bsf'; Outlook Stable. Fitch does not rate the interest-only class X-B or the $68 million class H. FORTRESS CREDIT: S&P Assigns 'BB' Rating on Class E Notes --------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Fortress Credit BSL II Ltd./Fortress Credit BSL II LLC's $363.25 million floating- and fixed-rate notes. The note issuance is 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 portfolio manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.2386%-12.7531%. -- 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 to principal proceeds for the purchase of additional collateral assets during the reinvestment period, and paid prior to paying uncapped administrative expenses and fees, subordinated hedge termination payments, and subordinated note payments. RATINGS ASSIGNED Fortress Credit BSL II Ltd./Fortress Credit BSL II LLC Class Rating Amount (mil. $) A-1R AAA (sf) 69.00 A-1F AAA (sf) 162.50 B-1 AA (sf) 48.50 B-2 AA (sf) 10.00 C (deferrable) A (sf) 28.00 D (deferrable) BBB (sf) 22.75 E (deferrable) BB (sf) 22.50 Subordinated notes NR 48.50 NR-Not rated. FRASER SULLIVAN II: S&P Affirms 'BB+' Rating on Class D Notes ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-2, B, C, and E notes from Fraser Sullivan CLO II Ltd., a cash flow collateralized loan obligation (CLO) transaction managed by 3i Debt Management U.S. LLC. At the same time, S&P affirmed its ratings on the class A-1A, A-1B, and D notes. In addition, S&P removed the ratings on classes A-2, B, C, E, and D from CreditWatch, where they were placed with positive implications on Sept. 5, 2013. The affirmation of the rating on the class A-1 notes and the upgrades reflect an increase in available credit support to the transaction. Since S&P's April 2012 upgrades, the transaction has exited its reinvestment period and paid down the class A-1 noteholders by $137 million to 53% of their initial issuance amounts. As a result, the class A/B overcollateralization (O/C) ratio has increased to 144% as of the October 2013 trustee report from 128% in March 2012. The affirmation of the class D note rating reflects the availability of adequate credit support at the current rating level. Since the 2012 rating actions, there has been a decrease in the exposure to assets rated 'B+' and higher. In addition, the transaction currently has exposure to non-performing assets and a 'CCC' rated asset with a negative outlook, for which S&P considered different recovery and market value stresses. S&P will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. RATING AND CREDITWATCH ACTIONS Fraser Sullivan CLO II Ltd. Rating Rating Class To From A-1A AAA (sf) AAA (sf) A-1B AAA (sf) AAA (sf) A-2 AAA (sf) AA+ (sf)/Watch Pos B AA+ (sf) AA (sf)/Watch Pos C A+ (sf) A (sf)/Watch Pos D BB+ (sf) BB+ (sf)/Watch Pos E B (sf) CCC+ (sf)/Watch Pos GALLATIN CLO 2013-2: Fitch to Rate $21.25MM Class E Notes 'BB' -------------------------------------------------------------- Fitch Ratings expects to assign the following ratings to Gallatin CLO VI 2013-2, LLC (Gallatin VI): -- $3,750,000 class X notes 'AAAsf'; Outlook Stable; -- $215,625,000 class A-1 notes 'AAAsf'; Outlook Stable; -- $0 class A-2 notes 'AAAsf'; Outlook Stable; -- $50,000,000 class A loans 'AAAsf'; Outlook Stable; -- $57,375,000 class B notes 'AAsf'; Outlook Stable; -- $19,650,000 class C notes 'Asf'; Outlook Stable; -- $21,250,000 class D notes 'BBBsf'; Outlook Stable; -- $21,250,000 class E notes 'BBsf'; Outlook Stable. Rating Rationale: Fitch's analysis focuses primarily on a Fitch-stressed portfolio, which accounts for many of the worst-case portfolio concentrations permitted by the indenture. Cash flow modeling of the Fitch- stressed portfolio indicates performance in-line with the expected ratings for each class in Fitch's standard cash flow scenarios. The expected ratings are based on information provided to Fitch as of Nov. 15, 2013. Key Rating Drivers: Sufficient Credit Enhancement: Credit enhancement (CE) of 37.5% for the class A-1 and A-2 notes and the class A loans (collectively, class A debt), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in an 'AAAsf' stress scenario. The level of CE for the class A debt is in line with the average CE of notes with the same priority in recent collateralized loan obligation (CLO) issuances. The level of CE for the class B is below the average for notes with the same priority, while CE levels for classes C, D and E are above the average CE of notes with the same respective priorities in recent CLO issuances. The class X notes are ultimately expected to be paid in full from the application of interest proceeds via the interest waterfall. 'B' Asset Quality: The average credit quality of the indicative portfolio provided by the arranger (Guggenheim Securities, LLC) on Nov. 15, 2013 to represent the intended ramped portfolio is at 'B', which represents slightly higher credit quality than most recent CLOs. Issuers rated in the 'B' category denote a highly speculative credit quality; however, the rated notes are unlikely to be affected by the foreseeable level of defaults. The class X notes and class A debt are robust against default rates of up to 100% and 61.7%, respectively. Class B notes are robust against default rates of up to 54.8%, class C notes are robust against default rates of up to 51.9%, class D notes are robust against default rates of up to 45.5%, and class E notes are robust against default rates of up to 37%. Strong Recovery Expectations: The indicative portfolio consists of 99.5% first-lien senior secured loans, of which 96.9% have strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher. This is slightly better than the seniority profile of recent vintage CLOs. Consistent Portfolio Parameters: The concentration limitations and collateral quality test levels presented to date are within the range of limits set in the majority of recent CLOs. Exceptions include allowances for the two largest obligor concentrations of 4% and 17.5% for the largest industry exposure (compared to an average of 2.6% and 14.8%, respectively, in CLOs priced since July 1, 2013). Fitch addressed the impact of the most prominent risk- presenting concentration allowances and targeted test levels in its analysis. Portfolio Concentrations: Notable portfolio concentrations specified by the transaction documents include: -- Minimum 92.5% senior secured loans; -- Maximum 5% high-yield bonds; -- Maximum 7.5% second lien loans; -- Maximum 5% assets paying less frequently than quarterly; -- Maximum obligor concentrations: 4% for largest two obligors, 3% for third- and fourth-largest obligors, and no others greater than 2%. -- Maximum 7.5% assets rated 'CCC+' or below (by S&P) and 7.5% rated 'Caa1' or below (by Moody's); -- Maximum 5% fixed-rate assets; -- Maximum 40% cov-lite loans; -- Maximum industry concentrations: 17.5% for one industry, 15% for second- and third-largest industries, and no others greater than 12.5%. Fitch Analysis: Analysis was conducted on a Fitch-stressed portfolio that was created by Fitch and designed to address the impact of the most prominent risk-presenting concentration allowances and targeted test levels to ensure that the transaction's expected performance is in-line with the ratings assigned. The Fitch-stressed portfolio is assumed to be $425 million, of which 92.5% are senior secured loans and 7.5% are other permitted security types with weak recovery assumptions. Maximum obligor concentrations are assumed for the top four senior secured loans. Fitch also maximizes the permitted industry concentrations for the three largest industries and assumes the maximum permitted portfolio weighted average life of eight years when creating the Fitch-stressed portfolio. The allowable exposure to 'CCC' rated or lower collateral, as defined by S&P and Moody's, is 7.5%. Fitch considers 2.4% of the indicative portfolio to be rated in the 'CCC' category, and Fitch adjusted this percentage in the Fitch-stressed analysis to the maximum 7.5%. Fitch assumed 95% of the portfolio to be floating rate and to pay a spread of 3.5% over LIBOR and 5% to be fixed rate with 7% coupons, representing the initial minimum weighted average spread and minimum weighted average coupon, respectively, as represented to Fitch by the arranger. Projected default and recovery statistics of the Fitch-stressed portfolio were generated using Fitch's portfolio credit model (PCM). The PCM default rate and recovery rate outputs are 62.5% and 39.8%, respectively, at the 'AAAsf' rating level; 58.1% and 48.5%, respectively, at the 'AAsf' rating level; 51.7% and 53.2%, respectively, at the 'Asf' rating level; 46.9% and 58.8%, respectively, at the 'BBBsf' rating level; 39.4% and 67.8%, respectively, at the 'BBsf' rating level. The PCM outputs were used as inputs into Fitch's proprietary cash flow model, which was customized to reflect Gallatin VI's specific transaction structure. Fitch's cash flow modeling considers 12 stress scenarios to account for different combinations of four default timings and three interest rate stresses, as described in Fitch's cash flow analysis criteria. Fitch assumed the class X, A and B debt earn a weighted average cost of funding of 1.5% over three-month LIBOR and that the class C, D and E notes earn a fixed coupon of 3%, 3.5% and 6.4% respectively, based on information provided by the arranger. The cash flow analysis of the Fitch-stressed portfolio demonstrates that the class X notes passed all 12 stress scenarios at the 'AAAsf' rating level, with a minimum degree of cushion of 37.5% when comparing the breakeven default rate to the PCM default hurdle rate. Class A debt passed 11 out of 12 stress scenarios at the 'AAAsf' rating level, with a minimum degree of cushion of (0.8%). Class B passed six out of 12 stress scenarios at the 'AAsf' rating level, with a minimum degree of cushion of (3.3%). Each of the failures observed for class B maintained passing levels within the 'AAsf' rating category. Class C passed all 12 stress scenarios at the 'Asf' rating level, with a minimum degree of cushion of 0.2%. Class D passed eight out of 12 stress scenarios at the 'BBBsf' rating level, with a minimum degree of cushion of (1.4%). Each of the failures observed for class D maintained passing levels within the 'BBBsf' rating category. Class E passed eight out of 12 stress scenarios at the 'BBsf' rating level, with a minimum degree of cushion of (2.4%). Each of the failures observed for class E maintained passing levels within the 'BBsf' rating category. Fitch also analyzed the indicative portfolio, which consists of 128 loans from 122 obligors, including 15 unidentified assets with assumed characteristics constituting 15% of the portfolio. The PCM default rate and recovery rate of the indicative portfolio are 52.7% and 42.5%, respectively at the 'AAAsf' rating level; 49.1% and 51.9%, respectively at the 'AAsf' rating level; 44% and 56.8%, respectively at the 'Asf' rating level; 39.8% and 62.8%, respectively at the 'BBBsf' rating level; 32.8% and 72%, respectively at the 'BBsf' rating level. Cash flow analysis of this portfolio indicates performance that compares favorably to the Fitch-stressed portfolio analysis, as the minimum breakeven cushion above the PCM default hurdle is 47.3% for class X, 11.1% for class A debt, 9.8% for class B, 10.5% for class C, 8.1% for class D and 8.1% for class E. Rating Sensitivities: In addition to Fitch's stated criteria, the agency analyzed the structure's sensitivity to the potential variability of key model assumptions including decreases in weighted average spread or recovery rates and increases in default rates or correlation. The class X notes and class A debt are expected to remain investment grade, while classes B, C, D and E are generally expected to remain within two rating categories, even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios were 'AAAsf' for the class X notes and ranged between 'A-sf' and 'AAAsf' for the class A debt, between 'BB+sf' and 'BBBsf' for the class B debt, between 'BBsf' and 'BB+sf' for the class C debt, between 'B-sf' and 'BBsf' for the class D debt, between 'CCsf' and 'B-sf' for the class E debt. Transaction Summary: Gallatin VI is an arbitrage cash flow CLO that will be managed by MP Senior Credit Partners L.P. (MPSCP). Net proceeds from the issuance of the secured and subordinated debt will be used to purchase a portfolio of approximately $425 million of primarily leveraged loans. The CLO is expected to have a four-year reinvestment period and two-year non-call period. The class A loan will be issued at close and include an option to be converted into class A-2 notes. Once the option is exercised, the aggregate outstanding amount of the class A-2 notes shall be increased by the principal amount of the class A loans and the class A loans shall no longer be outstanding. The class A-2 note balance will be $0 on the closing date. The conversion option may be exercised only once and no class A-2 notes may be converted into class A loans. Collateral Manager: Fitch's Fund and Asset Manager Ratings (FAM) team has evaluated MPSCP and determined its capabilities to be acceptable for purposes of managing this transaction. The collateral manager will receive senior and subordinated management fees of 17.5 bps and 40 bps per annum, respectively, as well as an incentive management fee of 20% of remaining proceeds once the subordinated notes achieve a 15% IRR. The senior management fees in Gallatin VI are in line with the average 18bps senior management fees in recently priced CLOs, while the subordinated collateral management fees are slightly above the recent average of 34bps in subordinated management fees. Performance Analytics: Fitch will monitor the transaction regularly and as warranted by events with a review. Events that may trigger a review include, but are not limited to, the following: -- Asset defaults; -- Portfolio migration; -- OC or IC test breach; -- Breach of concentration limitations or portfolio quality covenants; -- Future changes to Fitch's rating criteria. Surveillance analysis is conducted on the basis of the then- current portfolio. Fitch's goal is to ensure that the assigned ratings remain an appropriate reflection of the issued notes' credit risk. GCO EDUCATION II: Fitch Maintains 'Bsf' Rating on Class C-1L Notes ------------------------------------------------------------------ Fitch Ratings currently maintains ratings on student loan bonds issued by GCO Education Loan Funding Master Trust II. Nelnet is requesting a confirmation of the current ratings assigned to the trust in connection with the proposed replacement of GCO Education Loan Funding Corp. with National Education Loan Network, Inc., as Administrator and Servicing Contractor, and the removal of Greystone Servicing Corporation, Inc., as the Back Up Issuer Administrator and Back up Servicing Contractor under the Back Up Agreement. Consistent with its statements on policies regarding rating confirmations in structured finance transactions (Jan. 13, 2009) and student loan confirms (May 8, 2009), Fitch is treating this request as a notification. Based on the information provided, Fitch has determined that the Administrator and Servicer change, along with the removal of Backup Servicer and Backup Administrator, will not have a material impact on the existing ratings. This determination only addresses the effect of the amendments on the current ratings assigned by Fitch to the securities listed below. This determination does not address whether this change is permitted by the terms of the documents, nor does it address whether this change is in the best interests of, or prejudicial to, some or all of the holders of the securities listed. Fitch's ratings on the above-mentioned trusts remain unchanged and are listed below: GCO Education Loan Funding Master Trust II Notes: -- 2006-2 A-1AR 'AAAsf'; Rating Watch Negative; -- 2006-2 A-1RRN 'AAAsf'; Rating Watch Negative; -- 2006-2 A-2AR 'AAAsf'; Rating Watch Negative; -- 2006-2 A-2L 'AAAsf'; Rating Watch Negative; -- 2006-2 A-3AR 'AAAsf'; Rating Watch Negative; -- 2006-2 A-3L 'AAAsf'; Rating Watch Negative; -- 2006-2 A-4AR 'AAAsf'; Rating Watch Negative; -- 2007-1 A-5AR 'AAAsf'; Rating Watch Negative; -- 2007-1 A-5L 'AAAsf'; Rating Watch Negative; -- 2007-1 A-6AR 'AAAsf'; Rating Watch Negative; -- 2007-1 A-6L 'AAAsf'; Rating Watch Negative; -- 2007-1 A-7AR 'AAAsf'; Rating Watch Negative; -- 2007-1 A-7L 'AAAsf'; Rating Watch Negative; -- 2006-2 B-2AR 'Asf'; Outlook Stable; -- 2007-1 C-1L 'Bsf'; Outlook Stable. GE COMMERCIAL: DBRS Confirms 'B' Rating on Class E Certificates --------------------------------------------------------------- DBRS has upgraded the ratings of four classes of GE Commercial Mortgage Corporation, Series 2005-C1, as follows: -- Class A-J to A(high)(sf) from A(sf) -- Class B to A(high)(sf) from A(sf) -- Class C to A(high)(sf) from A(sf) -- Class D to BBB(sf) from BBB(low)(sf) DBRS has also confirmed the ratings on the remaining classes in the transaction. Trends of all rated classes are Stable, with the exception of Class F and Class G, which have no trends. The rating upgrades primarily reflect the repayment of interest shortfalls to Class A-J and Class B, as well as the increased credit enhancement to the transaction overall. DBRS originally downgraded Class A-J and Class B in January 2013 as a result of interest shortfalls to these classes after the borrower for the Washington Mutual Buildings loan (Prospectus ID#9) won its countersuit against the Trust. The Trust was forced to reimburse the borrower's legal fees and other expenses, totaling over $5.1 million, which resulted in interest shortfalls reaching up to Class A-J. Correspondingly, DBRS downgraded Classes A-J and B, given the lack of tolerance for interest shortfalls at each class's respective rating at that time. As the transaction began to repay the previously shorted interest to those classes, DBRS placed the ratings Under Review with Positive Implications. With this rating action, DBRS has upgraded these classes, as all previously shorted interest has been repaid to the upgraded bond classes. While the credit enhancement to each class has increased since issuance, the ratings are constrained at A (high) (sf), given the potential for future interest shortfalls and the lack of tolerance for interest shortfalls with respect to DBRS ratings above A (high) (sf). As of the November 2013 remittance report, there has been collateral reduction of approximately 46.7% since issuance, with 40 loans having paid out of the pool at maturity or liquidated from the Trust. There are currently 87 loans remaining in the transaction. The transaction benefits from defeasance collateral as ten loans, representing 10.7% of the current pool balance, are fully defeased. The largest 15 loans in the transaction, excluding defeasance, continue to exhibit stable performance, with a weighted-average debt service coverage ratio and weighted- average debt yield of 1.59 times (x) and 10.7%, respectively. In the next 12 months, 15 loans, representing 10.0% of the current pool balance, are scheduled to mature. Excluding defeasance, these loans have a weighted-average exit debt yield of 14.2%. As part of its review, DBRS analyzed the top 15 loans, loans maturing in the next 12 months, loans in special servicing and loans on the servicer's watchlist, comprising approximately 70.0% of the current pool balance. There are currently two loans in special servicing and 15 loans on the servicer's watchlist, which represent 2.1% and 19.1% of the current pool balance, respectively. DBRS considered the current performance of these loans in its analysis, which included assigning an elevated probability of default associated with the latest reported cash flows to the extent it was warranted. The largest loan in special servicing is Skytop Pavilion (Prospectus ID#48), which is secured by a grocery-anchored retail property in Cincinnati, Ohio. The loan transferred to special servicing in May 2012 due to imminent default. The special servicer entered the foreclosure sale in September 2013. As of the July 2013 rent roll, the property was 65.3% occupied, with the lease for the grocery anchor, Bigg's Grocer, not expiring until February 2020; however, there remains a 27,000 sf vacancy that was formerly leased by a local gym. The property received an updated appraisal in May 2013, which valued the property at $6.9 million. While this value is approximately $600,000 greater than the June 2012 appraised value, it is well below the current loan balance of $13.3 million. DBRS expects a loss with the resolution of this loan. The largest loan on the servicer's watchlist is Lakeside Mall (Prospectus ID#1), which is secured by 650,000 sf of a 1.5 million sf regional mall in Sterling Heights, Michigan. The collateral consists of the in-line space at the mall, as well as the Macy's Men's & Home anchor pad. Other anchors at the mall include Macy's, JC Penney, Lord & Taylor and Sears. The loan is on the servicer's watchlist for a low debt service coverage ratio, which was 1.25x at YE2012. This loan was previously modified when its sponsor, General Growth Properties, Inc. (GGP), filed for bankruptcy in 2009. Terms of the modification included a maturity extension until June 2016 and step increases in debt service. Beginning in January 2013, annual debt service payments increased by approximately $530,000 for three years, which places further stress on cash flow. As of the June 2013 rent roll, the mall was 92.8% occupied, with collateral occupancy at 82.4%. The mall reported sales of $345 psf for in-line tenants occupying less than 10,000 sf and $265 psf for in-line tenants occupying greater than 10,000 sf, according to the trailing 12-month sales report as of September 2013. As a result of the loan previously being in special servicing and its subsequent modification, the special servicer is entitled to a workout fee totaling 1.0% of the loan balance at the time of loan repayment. The payment of this workout fee will reduce funds available to the Trust. Given the loan's extended maturity date and the transaction's waterfall (per transaction documents); this may result in a principal loss that would be contained to a class where DBRS is already expecting losses. However, if the loan were to prepay in advance of its extended maturity date, the fee would cause interest shortfalls up the capital stack, likely impacting as high as the Class A-J certificates, given the size of the loan. Although it is likely that any shorted interest to the Class A-J and Class B certificates would be repaid within one remittance period, DBRS has no tolerance for interest shortfalls above the A (high) (sf) rating. Rating Issuer Debt Rated Action Rating ------ ---------- --------- ------ GE Commercial Mortgage Commercial Mortgage Confirmed AAA(sf) Corporation, Series Pass-Through 2005-C1 Certificates, Series 2005-C1, Class A-1A GE Commercial Mortgage Commercial Mortgage Confirmed AAA(sf) Corporation, Series Pass-Through 2005-C1 Certificates, Series 2005-C1, Class A-3 GE Commercial Mortgage Commercial Mortgage Confirmed AAA(sf) Corporation, Series Pass-Through 2005-C1 Certificates, Series 2005-C1, Class A-4 GE Commercial Mortgage Commercial Mortgage Confirmed AAA(sf) Corporation, Series Pass-Through 2005-C1 Certificates, Series 2005-C1, Class A-5 GE Commercial Mortgage Commercial Mortgage Confirmed AAA(sf) Corporation, Series Pass-Through 2005-C1 Certificates, Series 2005-C1, Class A-AB GE Commercial Mortgage Commercial Mortgage Confirmed AAA(sf) Corporation, Series Pass-Through 2005-C1 Certificates, Series 2005-C1, Class X-C GE Commercial Mortgage Commercial Mortgage Upgraded A(high) Corporation, Series Pass-Through (sf) 2005-C1 Certificates, Series 2005-C1, Class A-J GE Commercial Mortgage Commercial Mortgage Upgraded A(high) Corporation, Series Pass-Through (sf) 2005-C1 Certificates, Series 2005-C1, Class B GE Commercial Mortgage Commercial Mortgage Upgraded A(high) Corporation, Series Pass-Through (sf) 2005-C1 Certificates, Series 2005-C1, Class C GE Commercial Mortgage Commercial Mortgage Upgraded BBB(sf) Corporation, Series Pass-Through 2005-C1 Certificates, Series 2005-C1, Class D GE Commercial Mortgage Commercial Mortgage Confirmed B(sf) Corporation, Series Pass-Through 2005-C1 Certificates, Series 2005-C1, Class E GE Commercial Mortgage Commercial Mortgage Int. in B(sf) Corporation, Series Pass-Through Arrears 2005-C1 Certificates, Series 2005-C1, Class E GE Commercial Mortgage Commercial Mortgage Confirmed C(sf) Corporation, Series Pass-Through 2005-C1 Certificates, Series 2005-C1, Class F GE Commercial Mortgage Commercial Mortgage Int. in C(sf) Corporation, Series Pass-Through Arrears 2005-C1 Certificates, Series 2005-C1, Class F GE Commercial Mortgage Commercial Mortgage Confirmed C(sf) Corporation, Series Pass-Through 2005-C1 Certificates, Series 2005-C1, Class G GE Commercial Mortgage Commercial Mortgage Int. in C(sf) Corporation, Series Pass-Through Arrears 2005-C1 Certificates, Series 2005-C1, Class G GLOBAL TRADE 2013-1: Fitch Rates $16.61MM Class D Notes 'Bsf' ------------------------------------------------------------- Fitch Ratings expects to rate the series 2013-1 notes issued by Trade Maps 1 Limited as follows: -- $874.44 million class A notes 'AAAsf(EXP)'; -- $77.61 million class B notes 'Asf(EXP)'; -- $31.34 million class C notes 'BBBsf(EXP)'; -- $16.61 million class D notes 'Bsf(EXP)'. The Rating Outlook on the expected ratings is Stable. Collateral on Series 2013-1 notes is comprised by Asset Purchase Entity (APE) funding securities issued by local special purpose vehicles (SPVs) established for each participating bank (PB): Banco Santander, S.A. (Santander) and Citibank, N.A. (Citi) Each APE funding security is backed by a portfolio of dollar- denominated trade finance loan receivables originated by local branches of each PB. Fitch's expected ratings address the timely payment of interest on a monthly basis and ultimate payment of principal at legal final maturity. Key Rating Drivers: The expected ratings assigned to the notes reflect: (i) the favorable characteristics of trade finance assets (TFAs) that are reflected in the indicative portfolio, (ii) the structure's reasonable concentration limits and collateral quality tests that limit the potential deterioration of the portfolio during the revolving period; (ii) sufficient credit enhancement (CE) levels, including the non-shared collateralized equity provided by each PB; and (iii) structural features mitigating commingling and set- off exposures. Fitch favorably views the short tenors and low historical default rates that are characteristic of TFAs. TFAs in the indicative portfolio have a remaining term of 43 days with a weighted average risk factor (WARF) equivalent to 'BBB-'/'BBB'. Since this is a revolving transaction, the credit quality of the assets could deteriorate; Fitch analyzed the worst possible portfolio allowed by the transaction. This stressed portfolio would have an implicit weighted average life (WAL) of no more than 150 days with a maximum tenor of one-year (or 183 days for US obligors). Based on the credit quality tests, the lowest WARF for the Trade Maps portfolio would be equivalent to 'BB'. CE of 16.01% for the Class A, 8.56% for the Class B, 5.55% for the Class C and 3.95% for the Class D notes, in addition to excess spread, is sufficient to cover multiples of historic defaults commensurate with the ratings assigned to each of the notes. CE includes collateralized equity provided by Santander and Citi in the form of program subordinated notes (PSN). The amount of PSNs issued by each bank is based on the associated portfolio credit quality for such bank. PSNs will act as a first loss piece; however, each bank's equity can only be used to cover losses to the associated PB portfolio. At closing, Citi's and Santander's equity will be 2.88% and 5.00% of their respective pool balance, equivalent to 1.44% and 2.53% of the Trade Maps portfolio balance, respectively. At closing, each PB's local branch will originate and service its own portfolio and transfer collections to the trust accounts. Although commingling is allowed, both PBs are eligible indirect support counterparties according to Fitch's Counterparty Criteria for Structured Finance Transactions. Therefore Fitch considers this risk immaterial. The transaction benefits from a variety of tests and features that protect investors from a deteriorating portfolio that could cause a decrease in the available CE prior to the start of amortization. For example, negative excess spread triggers, minimum CE levels, rating downgrade triggers, increase in set-off exposure among others mitigate this potential risk. Rating Sensitivities: Ratings of the Series 2013-1 notes are sensitive to decreases in available CE as a result of higher default rates on the TFAs than those assumed for Fitch's analysis; downgrade of Citi's and Santander's ratings; an increase on the obligors or countries concentrations of the Trade Maps portfolio; a breach of any concentration limit or transaction test. Fitch considers the securitization of trade loan receivables a new structured finance asset class and has followed its internal rating procedure for a new structured finance product. The purpose of this transaction is to achieve funding and risk transfer for the originator. GMAC COMMERCIAL 2002-C1: Moody's Hikes Class K Notes Rating to B1 ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of two classes and affirmed two classes of GMAC Commercial Mortgage Securities, Inc., Series 2002-C1 as follows: Cl. K, Upgraded to B1 (sf); previously on Jun 2, 2011 Downgraded to Caa1 (sf) Cl. L, Upgraded to B3 (sf); previously on Dec 9, 2011 Downgraded to Caa3 (sf) Cl. M, Affirmed C (sf); previously on Dec 7, 2012 Downgraded to C (sf) Cl. X-1, Affirmed Caa3 (sf); previously on Dec 7, 2012 Downgraded to Caa3 (sf) Ratings Rationale: The upgrades of the P&I classes are due primarily to paydowns, amortization and the resolution of three specially-serviced loans which at Moody's last review represented the majority of the pool and carried considerable downside risk. The rating of Class M is consistent with Moody's expected loss and thus is affirmed. The rating of the IO Class, Class X-1, is consistent with the expected credit performance of its referenced classes and thus is 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 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 7% of the current deal balance ($631,330). At last review, Moody's base expected loss was approximately 32% of the current balance ($6,956,822). Moody's base expected loss plus realized loss is 4.2% of the original, securitized deal balance, compared to 4.3% 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. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.64 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 3 compared to 5 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 8.6 and then reconciles and weights the results from the two models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated December 7, 2012. Deal Performance: As of the October 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $9 million from $710 million at securitization. The Certificates are collateralized by four mortgage loans ranging in size from less than 14% to 39% of the pool. The pool includes contains no loans with investment-grade credit assessments and no defeased loans. There are no loans on the master servicer's watchlist. Twenty-four loans have liquidated from the pool, contributing to an aggregate realized loss to the trust of $29 million. Loans that were liquidated from the pool averaged a 29% loss severity. The largest loan in the pool and the only loan in special servicing is the Whispering Pines Apartments Loan ($3 million -- 39% of the pool), which is secured by a 207-unit multifamily property in Colorado Springs, Colorado. The loan transferred to special servicing in November 2011 due to imminent default. The borrower had requested a loan extension, however this was not granted. Moody's was provided with full-year 2012 and partial year 2013 operating results for 100% of the performing pool. Moody's weighted average conduit LTV is 70% compared to 75% 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 10.0%. Moody's actual and stressed conduit DSCRs are 0.95X and 1.65X, respectively, compared to 0.94X and 1.51X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The three performing conduit loans together represent 61% of the pool. The largest loan is the Safeway Gaithersburg Loan ($2 million -- 29% of the pool), which is secured by a 9-acre ground lease for "Goshen Oaks Center", a strip retail center in Gaithersburg, Maryland, a suburb of Washington, DC. The property is 100% leased to Safeway Inc. through September 2029. The property has been 100% occupied since securitization. Performance has been stable and the loan is fully-amortizing. Moody's current LTV and stressed DSCR are 90% and 1.21X, respectively, compared to 94% and 1.16X at last review. The second largest loan is the Walgreen Oklahoma City Loan ($2 million -- 17% of the pool). The loan is secured by a 15,000 square foot retail property located in Oklahoma City, Oklahoma. The property is 100% leased to Walgreen Co. under a triple-net lease through December 2020. Performance has been stable and the loan is fully-amortizing. Moody's current LTV and stressed DSCR are 54% and 1.99X, respectively, compared to 62% and 1.75X at last review. The third largest loan is the Walgreens Lafayette Loan ($1 million -- 14% of the pool). The loan is secured by a 15,000 square foot retail property located in downtown Lafayette, Louisiana. The property is 100% leased to Walgreen Co. under a triple-net lease through December 2020. Performance has been stable and the loan is fully-amortizing. Moody's current LTV and stressed DSCR are 51% and 2.12X respectively, compared to 56% and 1.92X at last review. GREENWICH CAPITAL 2007-RR2: Moody's Affirms C Ratings on 4 Notes ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of four classes of certificates issued by Greenwich Capital Commercial Mortgage Trust 2007-RR2. 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 and Re-remic) transactions. Moody's rating action is as follows: Cl. A-1FL, Affirmed C (sf); previously on Jan 31, 2013 Affirmed C (sf) Cl. A-1FX, Affirmed C (sf); previously on Jan 31, 2013 Affirmed C (sf) Cl. A-2, Affirmed C (sf); previously on Jan 31, 2013 Affirmed C (sf) Cl. X, Affirmed C (sf); previously on Jan 31, 2013 Affirmed C (sf) Ratings Rationale: Greenwich Capital Commercial Mortgage Trust 2007-RR2 is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100.0% of the pool balance). As of the October 23, 2013 payment date, the aggregate certificate balance of the transaction including preferred shares has decreased to $351.1 million from $528.7 million at issuance as a result of realized losses on the underlying collateral. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: weighted average rating factor (WARF), weighted average life (WAL), weighted average recovery rate (WARR), and Moody's asset correlation (MAC). These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has completed updated assessments for the non-Moody's rated collateral. Moody's modeled a bottom-dollar WARF of 9,806 compared to 9,602 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Caa1-Ca/C (100%, the same as that at last review). Moody's modeled to a WAL of 5.9 years compared to 5.8 years at last review. The current WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 0.0%, the same as that at last review. Moody's modeled a MAC of 100% compared to 0% at last review. The MAC reflects the high credit risk concentrated in a small number of collateral names. Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO rating models, which was released on March 25, 2013. The cash flow model, CDOEdge(R) 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 review also incorporated the CMBS IO calculator ver 1.1, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee. 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. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the ratings announced are sensitive to further change. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment given the weak pace of recovery 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. GREYROCK CDO: S&P Affirms 'BB+(sf)' Ratings on 2 Debt Classes ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on nine classes of notes from three U.S. collateralized loan obligation (CLO) transactions managed by Sound Harbor Partners LLC. At the same time, S&P affirmed its ratings on eight classes and removed thirteen ratings from the same three CLOs from CreditWatch with positive implications, where it placed them on Sept. 5, 2013. Greyrock CDO Ltd. was rated in 2005, while Landmark VI CDO Ltd. and Landmark VII CDO Ltd. are from the 2006 vintage. All three transactions have ended their reinvestment period and are currently amortizing. The upgrades mainly reflect paydowns to the senior notes and a subsequent increase in the credit enhancement available to support the notes since we upgraded some of the classes in late 2012 and early 2013. The three CLOs have paid down a combined amount of $312.5 million. The class A-1L notes from Greyrock CDO Ltd. are about 9.5% of their original notional balance, the class A notes from Landmark VI CDO Ltd. are down to 39%, and the class A-1L notes from Landmark VII CDO Ltd. are at about 30.5%. The overcollateralization (O/C) available to support the notes has increased significantly, primarily due to the aforementioned paydowns. The trustee reported the following O/C ratios for these CLOs as of their October 2013 monthly report, compared with the data used for the prior upgrades: Greyrock CDO Ltd. Class A-2L O/C: 259.09%, up from 137.19% in November 2012. Class A-3L O/C: 167.00%, up from 121.79% in November 2012. Class B-1L O/C: 130.43%, up from 111.89% in November 2012. Class B-2L O/C: 111.86%, up from 105.70% in November 2012. Landmark VI CDO Ltd. Class B O/C: 148.40%, up from 130.77% in July 2012. Class C O/C: 126.09%, up from 117.86% in July 2012. Class D O/C: 112.71%, up from 109.34% in July 2012. Class E O/C: 105.27%, up from 104.32% in July 2012. Landmark VII CDO Ltd. Class A-2L O/C: 154.70%, up from 126.51% in December 2012. Class A-3L O/C: 127.72%, up from 114.90% in December 2012. Class B-1L O/C: 115.46%, up from 108.82% in December 2012. Class B-2L O/C: 106.12%, up from 103.81% in December 2012. The affirmations reflect S&P's view that the credit support available is adequate at the current rating levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. RATING ACTIONS Greyrock CDO Ltd. Rating Class To From A-1L AAA (sf) AAA (sf) A-2L AAA (sf) AAA (sf) A-3L AAA (sf) AA+ (sf)/Watch Pos B-1F AA (sf) A- (sf)/Watch Pos B-1L AA (sf) A- (sf)/Watch Pos B-2F BB+ (sf) BB+ (sf)/Watch Pos B-2L BB+ (sf) BB+ (sf)/Watch Pos Landmark VI CDO Ltd. Rating Class To From A AAA (sf) AAA (sf) B AAA (sf) AA+ (sf)/Watch Pos C AA+ (sf) A+ (sf)/Watch Pos D A- (sf) BBB+ (sf)/Watch Pos E BB- (sf) B (sf)/Watch Pos Landmark VII CDO Ltd. Rating Class To From A-1L AAA (sf) AAA (sf) A-2L AAA (sf) AA+ (sf)/Watch Pos A-3L AA+ (sf) A+ (sf)/Watch Pos B-1L BBB+ (sf) BBB+ (sf)/Watch Pos B-2L B+ (sf) B+ (sf)/Watch Pos HILTON USA 2013-HLT: S&P Assigns Prelim. BB Rating on X-FL Certs ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Hilton USA Trust 2013-HLT's $3.5 billion commercial mortgage pass-through certificates. The note issuance is a CMBS securitization backed by first mortgage liens or deed of trust liens on the borrowers' fee and leasehold interests in 23 full-service and limited-service hotels; all furniture, fixtures, and equipment and personal property owned by the borrowers used to operate the properties; and all reserves, escrows, and deposit accounts maintained by each borrower. The preliminary ratings are based on information as of Nov. 14, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflects S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. S&P determined that the loan has a beginning and ending loan-to-value (LTV) ratio of 80.2%, based on its estimate of long-term sustainable value of the properties backing the transaction. PRELIMINARY RATINGS ASSIGNED Hilton USA Trust 2013-HLT Class Preliminary Preliminary rating(i) amount ($) A-FL AAA (sf) 393,000,000 X-FL BB (sf) 875,000,000 (ii) B-FL AA- (sf) 123,000,000 C-FL A- (sf) 93,000,000 D-FL BBB- (sf) 99,000,000 E-FL BB (sf) 167,000,000 A-FX AAA (sf) 1,179,000,000 X-1FX A- (sf) 1,723,000,000 (ii) X-2FX A- (sf) 1,723,000,000 (ii) B-FX AA- (sf) 369,000,000 C-FX A- (sf) 280,000,000 D-FX BBB- (sf) 338,000,000 E-FX BB (sf) 459,000,000 (i) The rating on each class of securities is preliminary and subject to change at any time. The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii) Notional balance. The notional amount of the class X-FL certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the floating rate certificates and the notional balance of the class X-1FX and class X-2FX certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A-FX, B-FX-1, B-FX-2, and a portion of the C-FX class (C-FX-1). ICE 3: S&P Affirms 'BB' Rating on Class E Notes ----------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on ICE 3: Global Credit CLO Ltd./ICE 3: Global Credit CLO Inc.'s $655.75 million fixed- and floating-rate notes following the transaction's effective date as of Sept. 20, 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. RATINGS AFFIRMED ICE 3: Global Credit CLO Ltd./ICE 3: Global Credit CLO Inc. Class Rating Amount (mil. $) X AAA (sf) 15.50 A-1 AAA (sf) 430.00 B-1 AA (sf) 44.50 B-2 AA (sf) 50.00 C-1 (deferrable) A (sf) 44.50 C-2 (deferrable) A (sf) 10.00 D (deferrable) BBB (sf) 33.75 E (deferrable) BB (sf) 27.50 JFIN REVOLVER CLO: S&P Assigns 'BB' Rating on Class E Notes ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to JFIN Revolver CLO Ltd./JFIN Revolver CLO LLC's $488.5 million floating-rate notes. The note issuance is a collateralized loan obligation (CLO) securitization backed by a revolving pool consisting primarily of revolver and delayed-drawdown loans. The preliminary ratings are based on information as of Nov. 20, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's credit enhancement, which is necessary to support the unfunded portion of the revolver and delayed draw collateral debt securities and sufficient to withstand a maximum expected market value loss commensurate with a 'AAA' stress level in compliance with our market value 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 revolver and delayed-draw corporate loans. -- The asset manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.2386%-13.8385%. -- The transaction's overcollateralization tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. RATINGS LIST JFIN Revolver CLO Ltd./ JFIN Revolver CLO LLC $488.5 million floating-rate notes Class Prelim rating Prelim amount (mil. $) A AAA (sf) 310.00 B AA (sf) 72.00 C (deferrable) A (sf) 48.00 D (deferrable) BBB (sf) 31.50 E (deferrable) BB (sf) 27.00 Sub notes NR 135.00 JP MORGAN 2005-LDP3: S&P Lowers Rating on Cl. G Certs to 'D' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on the class G commercial mortgage pass-through certificate from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2005-LDP3, a U.S. commercial mortgage-backed securities transaction, to 'D (sf)' from 'CCC- (sf)'. S&P lowered its rating to 'D (sf)' on the class G certificate following principal losses totaling $9.3 million detailed in the Nov. 15, 2013, trustee remittance report. These losses resulted from the liquidations of the $10.8 million LXP-Kraft Foods/Perkin Elmer asset and the $3.0 million 1501 Mockingbird Lane asset, both of which were with the special servicer, CWCapital Asset Management LLC. According to the November 2013 trustee remittance report, the LXP-Kraft Foods/Perkin Elmer asset liquidated at a loss severity of 76.0%, or $8.2 million in principal losses, while the 1501 Mockingbird Lane asset liquidated at a loss severity of 35.4%, or $1.1 million in principal losses. Consequently, class G experienced a 16.9% loss to its $20.2 million original principal balance, while class H lost 100% of its $5.8 million opening balance. S&P previously lowered its rating on class H to 'D (sf)'. JP MORGAN 2013-C16: Fitch Rates $21.29MM Class E Notes 'BBsf' ------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to the J.P. Morgan Chase Commercial Mortgage Securities Trust, series 2013-C16 commercial mortgage pass-through certificates. -- $56,761,000 class A-1 'AAAsf'; Outlook Stable; -- $236,641,000 class A-2 'AAAsf'; Outlook Stable; -- $145,000,000 class A-3 'AAAsf'; Outlook Stable; -- $276,236,000 class A-4 'AAAsf'; Outlook Stable; -- $80,504,000 class A-SB 'AAAsf'; Outlook Stable; -- $878,916,000a class X-A 'AAAsf'; Outlook Stable; -- $73,835,000a class X-B 'AA-sf'; Outlook Stable; -- $83,774,000 class A-S 'AAAsf'; Outlook Stable; -- $73,835,000 class B 'AA-sf'; Outlook Stable; -- $41,177,000 class C 'A-sf'; Outlook Stable; -- $198,786,000b class EC 'A-sf'; Outlook Stable; -- $56,795,000c class D 'BBB-sf'; Outlook Stable; -- $21,299,000c class E 'BBsf'; Outlook Stable; -- $11,359,000c class F 'Bsf'; Outlook Stable. (a) Notional amount and interest only. (b) Class A-S, class B and class C certificates may be exchanged for a related amount of class EC certificates, and class EC certificates may be exchanged for class A-S, class B and class C certificates. (c) Privately placed pursuant to Rule 144A. Fitch does not rate the $52,536,247 class NR or the $85,194,247 interest only class X-C. The certificates represent the beneficial ownership in the trust, primary assets of which are 60 loans secured by 113 commercial properties having an aggregate principal balance of approximately $1.136 billion as of the cutoff date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association; General Electric Capital Corporation; Ladder Capital Finance LLC; and Redwood Commercial Mortgage Corporation. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 74.4% of the properties by balance, cash flow analysis of 85.1%, and asset summary reviews on 85.1%. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.10x, a Fitch stressed loan-to-value (LTV) of 106.6%, and a Fitch debt yield of 8.52%. Fitch's aggregate net cash flow represents a variance of 8.73% to issuer cash flows. Key Rating Drivers: Fitch Leverage: This transaction has higher leverage than other recent Fitch-rated fixed-rate deals. The pool's Fitch LTV of 106.6% is higher than the 2012 and first-half 2013 averages of 97.2% and 99.8%, respectively. However, excluding the two largest loans which are secured by multifamily properties in New York City and San Francisco, the pool's Fitch LTV is 103%. Multifamily Concentration: The pool has a multifamily concentration of 29.6%, which is significantly higher than the first-half 2013 average concentration of 8.9%. The two largest loans in the pool, The Aire (11.9%) and Veritas Multifamily Portfolio (8.1%) are collateralized by multifamily properties located in CBDs of primary markets. Subordinate Debt: Seven loans, representing 33.7% of the pool balance, have subordinate debt in place, including four of the five largest loans in the pool (30.1%). The Aire has a $25 million B-note and unsecured debt in place. The transaction has a Fitch total debt stack LTV and DSCR of 118.9% and 1.01x, respectively. Property Quality: Fitch assigned property quality grades of 'A' or 'A-' to three of the 15 largest loans in the pool, which represent 17.9% of the pool balance. Furthermore, property quality grades of 'B+' or better were assigned to 65.7% of the pool. Rating Sensitivities: Fitch performed two model-based break-even analyses to determine the level of cash flow and value deterioration the pool could withstand prior to $1 of loss being experienced by the 'BBB-sf' and 'AAAsf' rated classes. Fitch found that the JPMCC 2013-C16 pool could withstand a 45.4% decline in value (based on appraised values at issuance) and an approximately 13.3% decrease to the most recent actual cash flow prior to experiencing a $1 of loss to the 'BBB-sf' rated class. Additionally, Fitch found that the pool could withstand a 54.3% decline in value and an approximately 27.5% decrease in the most recent actual cash flow prior to experiencing $1 of loss to any 'AAAsf' rated class. Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report. The master servicer will be Wells Fargo Bank, National Association, rated 'CMS1-' by Fitch. The special servicer will be Midland Loan Services, a Division of PNC Bank, National Association, rated 'CSS1' by Fitch. KVK CLO 2013-2: S&P Assigns 'BB' Rating on Class E Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to KVK CLO 2013-2 Ltd./KVK CLO 2013-2 LLC's $372.6 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 (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 portfolio manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBOR ranging from 0.2386% to 12.7531%. -- 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% of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, subordinated portfolio management fees, portfolio manager incentive fees, and payments to the subordinated notes to principal proceeds for the purchase of additional collateral assets during the reinvestment period. RATINGS ASSIGNED KVK CLO 2013-2 Ltd./KVK CLO 2013-2 LLC Class Rating Amount (mil. $) A AAA (sf) 253.20 B AA (sf) 44.80 C (deferrable) A (sf) 36.40 D (deferrable) BBB (sf) 20.40 E (deferrable) BB (sf) 17.80 Subordinated notes NR 42.40 NR-Not rated. LB-UBS 2000-C3: Fitch Hikes Rating on Class J Notes From 'BBsf' --------------------------------------------------------------- Fitch Ratings has upgraded one class of LB-UBS Commercial Mortgage Trust, series 2000-C3 commercial mortgage pass-through certificates. Key Rating Drivers: The upgrade reflects the high concentration of defeased collateral as three (70% of the pool) of the remaining six loans are defeased. The three remaining non-defeased loans were originated as credit tenant lease loans and are current. Two are fully amortizing and each matures in 2020. The defeased loans are fully amortizing and mature in 2020. At Fitch's previous review there was one loan in special servicing; however, losses were lower than expected. As of the November 2013 distribution date, the pool's collateral balance has paid down 99% to $13.9 million from $1.3 billion at issuance. The pool has incurred 3.5% in losses to date. In addition, there is $6 million in outstanding unpaid interest shortfalls to classes K through P which Fitch believes are not likely to be recoverable. The remaining loans are collateralized by retail properties, one with tenant Walgreens and two with CVS. Rating Sensitivity: Class J now has a Stable Outlook, reflecting Fitch's expectation of future affirmations. The rating reflects the probability of full principal payoff, as well as the class's previously incurred interest shortfalls. See 'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions', dated June 12, 2013 for more details. Fitch upgrades the following class: -- $10.4 million class J to 'Asf' from 'BBsf'; Outlook to Stable from Negative. Class K remains at 'Dsf'; RE90% due to losses already incurred. Classes L through P are not rated by Fitch. Classes A-1 through H have paid in full and class X was previously withdrawn. LB-UBS 2002-C4: Fitch Affirms 'Dsf' Rating on $4.1MM Notes ---------------------------------------------------------- Fitch Ratings has affirmed eight classes of LB-UBS Commercial Mortgage Trust, series 2002-C4, commercial mortgage pass-through certificates. Key Rating Drivers: Fitch modeled losses of 7.8% of the remaining pool; expected losses on the original pool balance total 2.7%, including $35.9 million (2.5% of the original pool balance) in realized losses to date. Nine loans remain in the pool, three (15.2%) of which are specially serviced and considered Fitch Loans of Concern. As of the November 2013 distribution date, the pool's aggregate principal balance has been reduced by 96.7% to $48.7 million from $1.46 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting classes L through U. The largest contributor to expected losses is a 28,092 square foot (sf) retail property located in Orem, UT (4.5%). The property is real estate owned (REO) with a reported occupancy of 69.7% as of July 2013. Per the special servicer, the asset manager has decided to delay marketing of the property while the 24% lease roll-over risk scheduled in 2014 is being addressed. The next largest contributor to expected losses is the specially- serviced 12 multifamily apartment buildings (163 units; 5.7%) in Waterbury, CT. The loan transferred to the special servicer in March 2010 with a reported occupancy of 92.0% as of January 2013. The special servicer continues to pursue foreclosure of the assets. Rating Sensitivity: Rating Outlooks on classes J and K remain Stable due to expected continued amortization of the classes. Rating Outlooks on classes L and M remain Negative due to the concentrated nature of the pool. Fitch affirms the following classes as indicated: -- $4.5 million class J at 'AAsf', Outlook Stable; -- $12.7 million class K at 'Asf', Outlook Stable; -- $20 million class L at 'BBB-sf', Outlook Negative; -- $7.3 million class M at 'Bsf', Outlook Negative; -- $4.1 million class N at 'Dsf', RE 30%; -- $0 class Q at 'Dsf' ; -- $0 class S at 'Dsf' ; -- $0 class T at 'Dsf'. Fitch does not rate the class P and U certificates. Fitch previously withdrew the ratings on the interest-only class X-CL, X-CP and X-VF certificates. Classes A through H notes have been paid in full. LEAF RECIEVABLES 7: Moody's Raises Class E-2 Notes Rating to 'Ba1' ------------------------------------------------------------------ Moody's has upgraded seven subordinate securities and confirmed or affirmed seven securities from the LEAF Receivables Funding LLC, Series 2011-2 and 2012-1. The transactions are securitizations of small-ticket equipment leases originated and serviced by LEAF Commercial Capital, Inc. Complete rating actions are as follows: Issuer: LEAF Receivables Funding 7, LLC, Series 2011-2 Cl. A-2, Affirmed Aaa (sf); previously on Nov 2, 2011 Definitive Rating Assigned Aaa (sf) Cl. B, Confirmed at Aa2 (sf); previously on Aug 22, 2013 Aa2 (sf) Placed Under Review for Possible Upgrade Cl. C, Upgraded to Aa3 (sf); previously on Aug 22, 2013 A2 (sf) Placed Under Review for Possible Upgrade Cl. D, Upgraded to A2 (sf); previously on Aug 22, 2013 Baa2 (sf) Placed Under Review for Possible Upgrade Cl. E-1, Upgraded to Baa1 (sf); previously on Aug 22, 2013 Ba1 (sf) Placed Under Review for Possible Upgrade Cl. E-2, Upgraded to Ba1 (sf); previously on Aug 22, 2013 B1 (sf) Placed Under Review for Possible Upgrade Issuer: Leaf Receivables Funding 8, LLC, Series 2012-1 Class A-2, Affirmed Aaa (sf); previously on Sep 25, 2012 Definitive Rating Assigned Aaa (sf) Class A-3, Affirmed Aaa (sf); previously on Sep 25, 2012 Definitive Rating Assigned Aaa (sf) Class A-4, Affirmed Aaa (sf); previously on Sep 25, 2012 Definitive Rating Assigned Aaa (sf) Class B, Confirmed at Aa2 (sf); previously on Aug 22, 2013 Aa2 (sf) Placed Under Review for Possible Upgrade Class C, Confirmed at A2 (sf); previously on Aug 22, 2013 A2 (sf) Placed Under Review for Possible Upgrade Class D, Upgraded to A3 (sf); previously on Aug 22, 2013 Baa2 (sf) Placed Under Review for Possible Upgrade Class E-1, Upgraded to Baa2 (sf); previously on Aug 22, 2013 Ba1 (sf) Placed Under Review for Possible Upgrade Class E-2, Upgraded to Ba1 (sf); previously on Aug 22, 2013 Ba2 (sf) Placed Under Review for Possible Upgrade Ratings Rationale: The actions were prompted by a reduction in lifetime net loss expectations for the underlying collateral pool as a result of stronger performance than initially expected. Moody's lowered the lifetime cumulative net losses to 2.00% and 2.75% of initial pool balance for the 2011-2 and 2012-1 transactions respectively. This is lower than the original expectation of 4.25% and 4.00% for the 2011-2 and the 2012-1 transactions respectively. The action is also based on the buildup of credit enhancement due to the sequential pay structure and non-declining reserve account. Credit enhancement available to the securities includes overcollateralization, non-declining reserve accounts and excess spread. Below are key performance metrics (as of October 2013 distribution date) and credit assumptions for each affected transaction. The credit assumptions include Moody's expected lifetime CNL expectation which is expressed as a percentage of the original pool balance. Performance metrics include pool factor which is the ratio of the current collateral balance and the original collateral balance at closing; total hard credit enhancement (expressed as a percentage of the outstanding collateral pool balance) which typically consists of subordination, overcollateralization, reserve fund as applicable. Issuer - LEAF Receivables Funding 7, LLC, Series 2011-2 Lifetime CNL expectation --2.00%; Prior expected range (August 2013) - 1.50% - 2.00% Lifetime Remaining CNL expectation -- 3.29% Aaa level -- 20.00% Pool factor -- Approximately 44.38% Total Hard credit enhancement -- Cl. A - 59.06%, Cl. B - 48.13%, Cl. C - 34.16%, Cl. D - 27.85%, Cl. E-1 - 19.29%, Cl. E-2 - 12.53% Issuer - Leaf Receivables Funding 8, LLC, Series 2012-1 Lifetime CNL expectation -- 2.75%; Prior expected range (August 2013) - 2.00% - 2.50% Lifetime Remaining CNL expectation -- 3.12% Aaa level -- 22.00% Pool factor -- Approximately 69.14% Total Hard credit enhancement -- Class A - 36.32%, Class B - 30.82%, Class C - 21.93%, Class D - 18.31%, Class E-1 - 13.32%, Class E-2 - 9.42% Ratings on the subordinate notes may be downgraded if the lifetime CNL expectations are if the lifetime CNLs are higher by 40%. 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 primary source of assumption uncertainty is the current macroeconomic environment. Overall, Moody's expects overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels. LONGFELLOW PLACE: S&P Affirms 'BB' Rating on Class E Notes ---------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Longfellow Place CLO Ltd./Longfellow Place CLO LLC's $463.0 million floating-rate notes following the transaction's effective date as of April 26, 2013. Most U.S. cash flow collateralized debt obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an "effective date rating affirmation"). 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 S&P's published effective date report, it discusses its analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, S&P intends to publish an effective date report each time it issues an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. RATINGS AFFIRMED Longfellow Place CLO Ltd./Longfellow Place CLO LLC Class Rating Amount (mil. $) A AAA (sf) 325.00 B AA (sf) 52.00 C (deferrable) A (sf) 41.00 D (deferrable) BBB (sf) 23.00 E (deferrable) BB (sf) 22.00 MACH ONE 2004-1: Fitch Hikes $17.68MM Class J Notes Rating to BB ---------------------------------------------------------------- Fitch Ratings has upgraded six classes, downgraded one class, and affirmed four classes of MACH ONE 2004-1, LLC (MACH ONE). Upgrades and affirmations are a result of increased credit enhancement to the notes from principal paydowns. The downgrade is based on principal losses incurred since the last rating action. A complete list of rating actions follows at the end of this release. Key Rating Drivers: Since the last rating action in November 2012, approximately 1.02% of the collateral has been downgraded and 1.05% has been upgraded. Currently, 53.6% of the portfolio has a Fitch derived rating below investment grade and 19.7% has a rating in the 'CCC' category and below, compared to 49.7% and 16.3%, respectively, at the last rating action. Over this period, the transaction has received $90.7 million for a total of $470.2 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. Additionally, a deterministic analysis was performed where the recovery estimate on the distressed collateral was modeled in accordance with the principal waterfall. An asset by asset analysis was then performed for the remaining assets to determine the collateral coverage for the remaining liabilities. Based on these analyses, classes D through G pass at or above the assigned rating below. The below ratings reflect these results as well as the risk of adverse selection as the portfolio continues to amortize. For the class J through N 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 H notes have been affirmed at 'CCCsf' while the class J and K notes have been upgraded to 'CCCsf', indicating that default is possible. Similarly, the class L notes have been upgraded to 'CCsf', indicating that default is probable, and the M and N notes have been affirmed at 'Csf', indicating default is inevitable. The class D notes have been downgraded to 'Dsf' due to principal losses (approximately $14 thousand) incurred since the last rating action. The Stable Outlook on the class D through F notes and Positive Outlook on class G reflect Fitch's view that the transaction will continue to delever. Rating Sensitivity: In addition to the sensitivities discussed above, additional negative migration and defaults beyond those projected by SF PCM as well as increasing concentration of weaker credit quality assets could lead to downgrades for the more junior classes. The senior notes are expected to continue to amortize as 63% of the collateral are senior positions in their respective underlying transactions. MACH ONE is a static Re-REMIC backed by CMBS B-pieces that closed July 28, 2004. The transaction is collateralized by 20 assets from 18 obligors from the 1997 through 2001 vintages. Fitch has taken the following actions: -- $18,637,400 class D notes upgraded to 'Asf' from 'BBBsf'; Outlook remains Stable; -- $7,236,000 class E notes upgraded to 'Asf' from 'BBsf'; Outlook remains Stable; -- $17,689,000 class F notes upgraded to 'BBsf' from 'Bsf'; Outlook remains Stable; -- $15,277,000 class G notes affirmed at 'Bsf'; Outlook revised to Positive from Stable; -- $14,473,000 class H notes affirmed at 'CCCsf'; -- $17,689,000 class J notes upgraded to 'CCCsf' from 'CCsf'; -- $8,844,000 class K notes upgraded to 'CCCsf' from 'Csf'; -- $8,040,000 class L notes upgraded to 'CCsf' from 'Csf'; -- $8,844,000 class M notes affirmed at 'Csf'; -- $6,432,000 class N notes affirmed at 'Csf'; -- $6,418,009 class O notes downgraded to 'Dsf' from 'Csf'. MADISON PARK: S&P Raises Ratings on Class E Notes From 'BB+' ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class C, D, and E notes from Madison Park Funding I Ltd., a U.S. collateralized loan obligation transaction managed by CSFB Alternative Capital Inc., and removed them from CreditWatch with positive implications. At the same time, S&P affirmed its 'AAA (sf)' ratings on the class A-T, A-VF, and B notes. The upgrades on the class C, D, and E notes mainly reflect paydowns to the class A-T and A-VF notes and a subsequent increase in the overcollateralization (O/C) available to support all of the notes since S&P's September 2012 rating actions. Since then, the transaction has paid down the class A-T and A-VF notes pro rata by approximately $192.5 million. These paydowns have left the class A-T and A-VF notes at 13.98% of their original balances, after accounting for the Nov. 10, 2013, distribution date. S&P expects the transaction to continue paying down the class A-T and A-VF notes because it has been outside of its reinvestment period since May 2011. S&P's analysis accounts for Madison Park Funding I Ltd.'s relatively large amount of long-dated assets (underlying securities that mature after the transaction's stated maturity). Based on the November 2013 trustee report, the long-dated assets constituted 17.42% of the underlying portfolio. S&P's analysis factored in the potential market value or settlement-related risk arising from the remaining securities' potential liquidation on the transaction's legal final maturity date. This sensitivity analysis was a limited factor in the rating actions. In addition, the upgrades also reflect an improvement in the O/C available to support all of the notes, primarily because of the aforementioned paydowns. The trustee reported the following O/C ratios in the November 2013 monthly report: -- The class A/B O/C ratio was 211.05%, compared with 140.55% in August 2012; -- The class C O/C ratio was 164.31%, compared with 127.42% in August 2012; -- The class D O/C ratio was 143.17%, compared with 119.95% in August 2012; and -- The class E O/C ratio was 128.85%, compared with 114.16% in August 2012. S&P affirmed its ratings on the class A-T, A-VF, and B notes to reflect the available credit support, which corresponds to the current rating levels. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as it deems necessary. RATING AND CREDITWATCH ACTIONS Madison Park Funding I Ltd. Rating Class To From A-T AAA (sf) AAA (sf) A-VF AAA (sf) AAA (sf) B AAA (sf) AAA (sf) C AAA (sf) AA- (sf)/Watch Pos D AA (sf) BBB+ (sf)/Watch Pos E BBB+ (sf) BB+ (sf)/Watch Pos TRANSACTION INFORMATION Issuer: Madison Park Funding I Ltd. Co-issuer: Madison Park Funding I Inc. Collateral manager: CSFB Alternative Capital Inc. Underwriter: RBS Greenwich Capital Trustee: Bank of New York Mellon (The) Transaction type: Cash flow CDO CDO-Collateralized debt obligation. MERRILL LYNCH 1998-C2: S&P Affirms 'CCC' Rating on Class G Certs ---------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'CCC(sf)' rating on the class G commercial mortgage pass-through certificates from Merrill Lynch Mortgage Investors Inc.'s series 1998-C2, a U.S. commercial mortgage-backed securities (CMBS) transaction. The affirmation reflects 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, the liquidity available to the trust, and the transaction-level changes. While available credit enhancement level may suggest positive rating movement on the class G certificates, S&P's analysis also considered the class' interest shortfall history, the liquidity support available to this class, and the magnitude of nonreporting loans (three; $1.5 million, 20.2%). In addition, S&P also considered in its analysis that two ($1.4 million, 17.9%) of the four loans secured by lodging properties in the pool ($2.4 million, 32.4%) are on the master servicer's watchlist due to a low reported debt service coverage (DSC). As of the Oct. 17, 2013, trustee remittance report, the collateral pool had a $7.6 million aggregate pooled trust balance, down from $1.09 billion at issuance. The pool includes 12 loans, down from 401 loans at issuance. There are currently no loans reported with the special servicer, and four loans ($2.1 million, 28.3%) are on the master servicer's, (Wells Fargo Bank N.A.'s), watchlist. To date, the transaction has experienced $51.4 million in principal losses (4.7% of the transaction's original pooled certificate balance). Using servicer-provided financial information, S&P calculated an adjusted Standard & Poor's DSC ratio of 1.44x and a loan-to-value (LTV) ratio of 37.9% for seven of the 12 remaining loans in the pool, excluding the two fully defeased loans ($2.7 million, 36.3%) and three nonreporting loans ($1.5 million, 20.2%. Details on the four loans on Wells Fargo's watchlist are as follows: The Holiday Inn Express - Brownsburg loan ($968,694, 12.8%) is secured by a 75-key lodging property in Brownsburg, Ind. The loan is on the master servicer's watchlist due to a low reported DSC. The most recent master servicer-reported DSC was 1.19x for the year ended Dec. 31, 2011. According to the master servicer's reported comments, the low DSC is the result of reduced revenue due to lower occupancy combined with increased franchise fees. The Plaza Terrace Apartments loan ($461,885, 6.1%) is secured by a 158-unit multifamily property in Charlotte, N.C. The loan is on Wells Fargo's watchlist due to a low reported DSC. The most recent master servicer-reported DSC was 0.22x for the year ended Dec. 31, 2012, and the reported occupancy was 80.4% as of Aug. 31, 2012. According to the master servicer's reported comments, the low DSC is the result of increased real estate taxes, payroll and benefits, property insurance, professional fees, and advertising and marketing expenses. The Days Inn-Lawrenceville loan ($387,347, 5.1%) is secured by a 57-key lodging property in Lawrenceville, Ga. The loan is on the master servicer's watchlist due to a low reported DSC. The most recent master servicer-reported DSC was 0.62x for the year ended Dec. 31, 2011. According to the master servicer's reported comments, the low DSC is the result of reduced revenue due to lower occupancy combined with declining average daily rate. The Oak Forest Apartments loan ($326,744, 4.3%) is secured by a 12-unit multifamily property in Wyoming, Mich. The loan is on the master servicer's watchlist due to a low reported DSC. The most recent master servicer-reported DSC was 1.00x for the year ended Dec. 31, 2012, and the reported occupancy was 91.7% as of Dec. 31, 2012. According to the master servicer's reported comments, the low DSC is due to increased repair and maintenance, payroll and benefits, general and administrative, advertising and marketing expenses. MERRILL LYNCH 2006-1: Fitch Affirms CCC Rating on $17.9MM Notes --------------------------------------------------------------- Fitch Ratings has affirmed the two remaining classes of Merrill Lynch Floating Trust pass-through certificates, series 2006-1. The affirmations of the distressed ratings are due to continued credit risk associated with the outstanding loan. As of the November 2013 remittance, the pool has paid down by 98% since issuance. One loan remains in the pool, secured by six full- service hotels in Mexico. The properties are located within five distinct tourist markets, including Cancun, Cozumel, Ixtapa, Acapulco, and San Jose del Cabo. Key Rating Drivers: The loan has been in special servicing since February 2010 after the borrower amended certain operating leases without lender approval. The servicer continues to negotiate with all parties to the loan, and the involvement of both the U.S. and Mexican legal systems complicates the workout. According to the servicer, litigation surrounding the workout may face a long horizon as the borrower and principals continue to use their influence in Mexico to delay foreclosure proceedings. Nevertheless, fairly recent value estimates for the portfolio indicate strong recovery. Fitch affirms the following classes: -- $17.9 million class L at 'CCCsf'; RE 100%; -- $47.1 million class M at 'Dsf'; RE 90%. ML-CFC COMMERCIAL 2007-7: Moody's Cuts Rating on 2 Certs to 'Ca' ---------------------------------------------------------------- Moody's Investors Service downgraded the ratings of five classes and affirmed eight classes of ML-CFC Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-7 as follows: Cl. A-1A, Affirmed Aa3 (sf); previously on Dec 20, 2012 Downgraded to Aa3 (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Jun 20, 2007 Definitive Rating Assigned Aaa (sf) Cl. A-4FL, Affirmed Aa3 (sf); previously on Dec 20, 2012 Downgraded to Aa3 (sf) Cl. A-4, Affirmed Aa3 (sf); previously on Dec 20, 2012 Downgraded to Aa3 (sf) Cl. AM, Downgraded to B2 (sf); previously on Dec 20, 2012 Downgraded to Ba3 (sf) Cl. AM-FL, Downgraded to B2 (sf); previously on Dec 20, 2012 Downgraded to Ba3 (sf) Cl. AJ-FL, Downgraded to Ca (sf); previously on Dec 20, 2012 Downgraded to Caa3 (sf) Cl. AJ, Downgraded to Ca (sf); previously on Dec 20, 2012 Downgraded to Caa3 (sf) Cl. A-SB, Affirmed Aaa (sf); previously on May 26, 2010 Confirmed at Aaa (sf) Cl. B, Affirmed C (sf); previously on Dec 20, 2012 Downgraded to C (sf) Cl. C, Affirmed C (sf); previously on Jan 20, 2012 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Jan 20, 2012 Downgraded to C (sf) Cl. X, Downgraded to Caa1 (sf); previously on Dec 20, 2012 Downgraded to B2 (sf) Ratings Rationale: The downgrades of four below investment grade P&I classes are due to an increase in realized losses and higher anticipated losses from specially serviced and troubled loans. The downgrade of the IO Class, Class X, is a result of this WAC IO class failing to consistently receive pro rata interest distributions due to interest shortfalls. 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. 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 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 12.9% of the current balance. At last review, Moody's base expected loss was 12.4%. Base plus realized losses now total 18.9% compared to 18.5% at last review. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for investment grade classes could decline below the current levels. If future performance materially declines, the expected level of credit enhancement and the priority in the cash flow waterfall may be insufficient for the current ratings of these classes. The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Moody's review incorporated the use of the excel-based CMBS Conduit Model v 2.64 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 108 compared to 110 at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated December 20, 2012. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history. Deal Performance: As of the October 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 23% to $2.1 billion from $2.8 billion at securitization. The Certificates are collateralized by 279 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 20% of the pool. Four loans, representing approximately 3% of the pool, have defeased and are secured by U.S. Government securities. Seventy-five loans, representing 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Forty-five loans have been liquidated from the pool, resulting in an aggregate realized loss of $250.8 million (72% loss severity on average). Twenty-nine loans, representing 15% of the pool, are currently in special servicing. Moody's estimates an aggregate $150.6 million loss for specially serviced loans (46% expected loss on average). Moody's has assumed a high default probability for 51 poorly performing loans representing 20% of the pool and has estimated an aggregate $79.7 million loss (19% expected loss on average) from these troubled loans. Moody's was provided with full year 2012 and partial year 2013 operating results for 90% and 58%, respectively, of the pool's non-specially serviced loans. Excluding specially serviced and troubled loans, Moody's weighted average LTV is 107% compared to 113% at Moody's prior 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 9.5%. Excluding special serviced and troubled loans, Moody's actual and stressed DSCRs are 1.33X and 1.02X, respectively, compared to 1.30X and 0.97X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 8.2% of the pool balance. The largest loan is the Commons at Calabasas Loan ($101.5 million -- 4.6% of the pool), which is secured by a 171,000 square foot (SF) grocery anchored retail center located in Calabasas, California. As of June 2013 the property was 97% leased, the same as at last review. Tenants include Ralphs Grocery Co. (31% of the net rentable area (NRA); lease expiration November 2023) and Edwards Theaters (20% of the NRA; lease expiration December 2023). The loan is interest-only throughout the entire term and matures in June 2017. Moody's LTV and stressed DSCR are 123% and 0.73X, respectively, essentially the same as at last review. The second largest loan is the Millbridge Apartments Loan ($40.0 million -- 1.9% of the pool), which is secured by an 848-unit garden style apartment complex located in Clemonton, New Jersey. The property was 90% leased as of summer 2013, the same as at last review. Property performance has declined slightly for this interest-only loan. Moody's LTV and stressed DSCR are 117% and 0.79X, respectively, compared to 106% and 0.86X at last review. The third largest loan is the Orlando Airport Industrial Loan ($35.0 million -- 1.6% of the pool), which is secured by a 493,000 SF industrial building built in 2001. The property is 100% leased to Daimler Chrysler through September 2016. While property performance has been stable, due to the single tenant occupancy, Moody's stressed the cash flow using a dark / lit analysis. Consequently, Moody's LTV and stressed DSCR are 142% and 0.65X, respectively, the same as at last review. MORGAN STANLEY 1999-FNV1: Fitch Hikes Class K Notes Rating From C ----------------------------------------------------------------- Fitch Ratings upgrades one class of Morgan Stanley Capital I Inc., commercial mortgage pass-through certificates, series 1999-FNV1. Key Rating Drivers: The upgrade reflects the high concentration of defeased collateral as two (87% of the pool) of the remaining three loans are defeased. The remaining non-defeased loan and one defeased loan (54%) mature in 2018. The other defeased loan (46%) has an anticipated repayment date in 2018 and final maturity in 2023. At Fitch's previous review there were Fitch loans of concern approaching their maturity dates and losses were possible. All loans of concern have since paid in full. As of the November 2013 distribution date, the pool's collateral balance has paid down 99% to $5.1 million from $632.1 million at issuance. The pool has incurred 4.4% in losses to date. In addition, there are $3.9 million in outstanding unpaid interest shortfalls to classes L through O, which Fitch believes are not likely to be recoverable. The remaining loan is collateralized by a 249 pad mobile home park in Houston, TX. The remaining loan per pad amount is approximately $2,700. Rating Sensitivity: Class K has a stable outlook reflecting Fitch's expectation of future affirmations. The rating reflects the probability of full principal payoff, as well as the class's previously incurred interest shortfalls. See 'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions', dated June 12, 2013 for more details. Fitch upgrades the following class: -- $4.4 million class K to 'Asf' from 'Csf' RE 90%; Rating Outlook Stable. Classes L remains at 'Dsf' RE 90%. Classes M, and, N remain at 'Dsf' RE 0% due to losses already incurred. Classes A-1 through J have paid in full and class X was previously withdrawn. MORGAN STANLEY 2004-TOP15: S&P Lowers Rating on Cl. L. Certs to D ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class L commercial mortgage pass-through certificate from Morgan Stanley Capital I Trust 2004-TOP15, a U.S. commercial mortgage-backed securities transaction, to 'D (sf)' from 'CCC+ (sf)'. S&P lowered its rating to 'D (sf)' on the class L certificate following principal losses detailed in the Nov. 13, 2013, trustee remittance report. These losses resulted from the liquidation of the $7.4 million Aiken Exchange asset, which was with the special servicer, C-III Asset Management LLC. According to the November 2013 trustee remittance report, the asset liquidated at a loss severity of 49.2%, or $3.6 million in principal losses. Consequently, class L experienced a 76.5% loss to its $2.2 million original principal balance, while class M lost 100% of its $1.9 million opening balance. S&P previously lowered its rating on class M to 'D (sf)'. MORGAN STANLEY 2013-C13: Fitch Rates $10.18MM Cl. G Notes 'B-sf' ---------------------------------------------------------------- Fitch Ratings has issued a presale report on Morgan Stanley Bank of America Merrill Lynch Trust, series 2013-C13 commercial mortgage trust pass-through certificates. Fitch expects to rate the transaction and assign Outlooks as follows: -- $50,600,000 class A-1 'AAAsf'; Outlook Stable; -- $97,200,000 class A-2 'AAAsf'; Outlook Stable; -- $77,200,000 class A-SB 'AAAsf'; Outlook Stable; -- $200,000,000 class A-3 'AAAsf'; Outlook Stable; -- $287,623,000 class A-4 'AAAsf'; Outlook Stable; -- $790,249,000* class X-A 'AAAsf'; Outlook Stable; -- $57,264,000*b class X-B 'AA-sf'; Outlook Stable; -- $77,626,000a class A-S 'AAAsf'; Outlook Stable; -- $57,264,000a class B 'AA-sf'; Outlook Stable; -- $180,702,000a class PST 'A-sf'; Outlook Stable; -- $45,812,000a class C 'A-sf'; Outlook Stable; -- $49,629,000b class D 'BBB-sf'; Outlook Stable; -- $13,998,000b class E 'BB+sf'; Outlook Stable; -- $11,453,000b class F 'BB-sf'; Outlook Stable; -- $10,180,000b class G 'B-sf'; Outlook Stable. (*) Notional amount and interest only. (a) Class A-S, class B and class C certificates may be exchanged for class PST Certificates, and class PST Certificates may be exchanged for class A-S, class B and class C certificates. (b) Privately placed pursuant to Rule 144A. The expected ratings are based on information provided by the issuer as of November 16, 2013. Fitch does not expect to rate the $39,449,646 class H or the interest-only class X-C. The certificates represent the beneficial ownership in the trust, primary assets of which are 64 loans secured by 78 commercial properties having an aggregate principal balance of approximately $1.018 billion as of the cutoff date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC; Bank of America, National Association; and CIBC Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 71.9% of the properties by balance, cash flow analysis of 80.4%, and asset summary reviews on 80.4% of the pool. Key Rating Drivers: Fitch Leverage: The Fitch stressed DSCR and LTV of 1.17x and 105.1%, represent increased leverage as compared to recent Fitch- rated conduit transactions in 2013. Fitch-rated deals that closed in first-half 2013 had average Fitch DSCR and LTV of 1.36x and 99.8%, respectively. The MSBAM 2013-C12 transaction (rated by Fitch) had a Fitch DSCR and LTV of 1.19x and 103.2%, respectively. Retail Concentration: Retail properties represent the largest concentration at 55.4% of the pool, including eight of the top 15 loans. This is higher than the 2012 average retail concentration of 35.9%. However, three of the retail properties in the top 10 (Stonestown Galleria, The Mall at Chestnut Hill, and 428-430 N. Rodeo Drive), totaling 27.4% of the pool, are high-quality properties in strong locations. Collateral Quality: Three of the largest 10 loans (18.3% of the pool) received property quality grades of 'A-' or 'A'. In total, six of the top 10 loans received property quality grades of 'B+' or better. Rating Sensitivities: For this transaction, Fitch's net cash flow (NCF) was 13.4% below the most recent reported net operating income (NOI) (for properties that NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severity on defaulted loans and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to MSBAM 2013-C13 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A- sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities. The master servicer will be Wells Fargo Bank, National Association, rated 'CMS1-' by Fitch. The special servicer will be Rialto Capital Advisors, LLC, rated 'CSS2-' by Fitch. MOUNTAIN HAWK II: S&P Affirms 'BB' Rating on Class E Notes ---------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Mountain Hawk II CLO Ltd./Mountain Hawk II CLO LLC's $471.00 million floating-rate notes following the transaction's effective date as of Aug. 22, 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 zo 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 us by the collateral manager, and may also reflect S&P's assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," 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 we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. RATINGS AFFIRMED Mountain Hawk II CLO Ltd./Mountain Hawk II CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 261.5 A-2 AAA (sf) 53.0 B AA (sf) 76.0 C (deferrable) A (sf) 34.0 D (deferrable BBB (sf) 25.5 E (deferrable) BB (sf) 21.0 NORTEL NETWORKS 2001-1: Moody's Raises Certificates Rating to 'Ca' ------------------------------------------------------------------ Moody's Investors Service upgraded the rating of Nortel Networks Lease Pass-Through Trust, Pass-Through Trust Certificates, Series 2001-1 lease obligations as follows: Certificates, Upgraded to Ca; previously on Apr 15, 2010 Downgraded to C Ratings Rationale: The rating of the certificate was upgraded to Ca from C to reflect the current expected recovery of principal and interest and to align this expectation with Moody's general guideline for securities in default. The certificate has incurred a $41.9 million principal loss in addition to $13.7 million in cumulative interest shortfalls, which resulted in a total 40% severity. The expected recovery between 35% and 65% is associated with a Ca rating. No model was used in this review. Moody's ratings are determined by a committee process. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's prior full review is summarized in a press release dated December 13, 2012. Deal Performance: This Credit Tenant Lease (CTL) transaction was originally supported by a mortgage on two mixed-use buildings situated in Research Triangle Park, North Carolina, which were 100% leased to Nortel Networks Inc. (Nortel) under two leases. Nortel filed Chapter 11 bankruptcy protection on January 14, 2009 and rejected one of two leases on March 31, 2010. The property associated with the rejected lease -- Network Center -- was liquidated on October 28, 2011. The sale of the property resulted in a principal paydown of $27.3 million after fees plus a write-down of approximately $41.9 million. The remaining property -- Gateway Center -- continues to support the trust, and is subleased to seven tenants. Payments to the trust are current based on the reduced principal. The final distribution date of the Certificates is August 9, 2016. Based on Nortel's scheduled lease payments during the initial lease term, there was a $75 million balloon payment due at the maturity of the Certificates. To mitigate this balloon risk, the transaction was structured with a surety bond issued by ZC Specialty Insurance Company. Following a merger, the surety bond is now an obligation of Centre Reinsurance (US) Limited, (financial strength rating A1). OCTAGON INVESTMENT: S&P Assigns Prelim. BB Rating on Class D Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Octagon Investment Partners XVIII Ltd./Octagon Investment Partners XVIII LLC's $657.05 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Nov. 21, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.2386%-12.4569%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which will lead to the reclassification of up to 50% of the excess interest proceeds that are available before paying uncapped administrative expenses and fees, subordinated hedge termination payments, collateral manager subordinated and incentive fees, and subordinated note payments, to principal proceeds during the reinvestment period to purchase additional collateral assets and, after the reinvestment period, up to 70% of the excess interest proceeds to pay down the notes according to the note payment sequence. PRELIMINARY RATINGS ASSIGNED Octagon Investment Partners XVIII Ltd./ Octagon Investment Partners XVIII LLC Class Rating Amount (mil. $) A-1 AAA (sf) 422.30 A-2A AA (sf) 51.75 A-2B AA (sf) 50.00 B (deferrable) A (sf) 47.25 C (deferrable) BBB (sf) 38.00 D (deferrable) BB (sf) 32.65 E (deferrable) B (sf) 15.10 Subordinated notes NR 56.00 NR-Not rated. PPLUS TRUST RRD-1: S&P Lowers Rating on Class A & B Certs to 'BB-' ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its rating on PPLUS Trust Series RRD-1's $60 million class A and B trust certificates to 'BB-' from 'BB'. S&P's rating on the class A and B trust certificates is based on its rating on the underlying security, R.R. Donnelley & Sons Co.'s 6.625% debentures due April 15, 2029 (rated 'BB-'). The rating action reflects the Nov. 6, 2013 lowering of the underlying security to 'BB-' from 'BB'. S&P may take subsequent rating actions on the trust certificates due to changes in its rating on the underlying security. PUTMAN STRUCTURED 2003-1: Moody's Affirms Ratings on 7 Notes ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings of seven classes of notes issued by Putnam Structured Product Funding 2003-1. The affirmations are due to the key transaction parameters performing within levels commensurate with the existing ratings levels. While there has been negative credit migration to the transaction as evidenced by the weighted average rating factor (WARF) and weighted average recovery rate (WARR), this is offset by performance estimates of the subprime RMBS collateral assets within the transaction. 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: A-1LT-a, Affirmed Ba2 (sf); previously on Nov 30, 2012 Upgraded to Ba2 (sf) A-1LT-b, Affirmed Ba2 (sf); previously on Nov 30, 2012 Upgraded to Ba2 (sf) A-1LT-c, Affirmed Ba2 (sf); previously on Nov 30, 2012 Upgraded to Ba2 (sf) A-2, Affirmed Caa3 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf) B, Affirmed Ca (sf); previously on Mar 20, 2009 Downgraded to Ca (sf) C, Affirmed C (sf); previously on Mar 20, 2009 Downgraded to C (sf) Equity, Affirmed C (sf); previously on Mar 20, 2009 Downgraded to C (sf) Ratings Rationale: Putnam Structured Product Funding 2003-1 Ltd. is a static hybrid (the reinvestment period ended in October, 2010) cash transaction backed by a portfolio of: i) asset backed securities (ABS)(47.5% of the pool balance) which are primarily in the form of subprime Residential Mortgage Backed Securities (RMBS); ii) commercial mortgage backed securities (CMBS) (31.3%); iii) CRE CDO bonds (16.2%); and iv) real estate investment trust (REIT) debt (5%). The current distribution between synthetic assets and cash assets is 2.4% and 97.6% respectively. The synthetic assets are in the form of CMBS reference obligations. As of the October 7, 2013 Note Valuation report, the aggregate note balance of the transaction, including preferred shares, has decreased to $296.7 million from $561.0 million at issuance, as a result of the paydown directed to the senior most outstanding class of notes due to a combination of principal repayment of collateral and the failing of certain par value tests. There are 62 assets with a par balance of $96.9 million (33.5% of the current pool balance) that are considered defaulted as of the October 7, 2013 Trustee report. Moody's does expect moderate losses to occur on the defaulted assets once they are realized. SALOMON BROTHERS 2002-KEY2: Moody's Cuts 3 CMBS' Ratings to 'C' --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of three classes of Salomon Brothers Mortgage Securities VII, Inc., Commercial Mortgage Pass-Through Certificates, Series 2002-KEY2 as follows: Cl. Q, Downgraded to C (sf); previously on Feb 16, 2011 Downgraded to Caa1 (sf) Cl. S, Downgraded to C (sf); previously on Feb 16, 2011 Downgraded to Caa3 (sf) Cl. X-1, Downgraded to C (sf); previously on Nov 15, 2012 Downgraded to Caa3 (sf) Ratings Rationale: The downgrades of the P&I classes are due to higher than expected losses from the one remaining special servicing loan. This loan, discussed below, has been delinquent since May 2011 and is currently real estate owned (REO). The downgrade of the IO Class, Class X-1, is a result of the class no longer receiving interest payments. 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. Since there is only one remaining loan and it is in special servicing, Moody's also utilized a loss and recovery approach in rating this deal. In this approach, Moody's determines a probability of default for each specially serviced loan and determines a most probable loss given default based on Moody's data and a review of information from the special servicer and available market data. The loss given default for each loan also takes into consideration servicer advances to date and estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es)." Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated November 15, 2012. Deal Performance: As of the October 18, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $8.0 million from $932.8 million at securitization. The Certificates are collateralized by one mortgage loan. Five loans have been liquidated from the pool, resulting in an aggregate realized loss of $7 million (28% loss severity on average). The sole remaining loan in this pool, The Commons at Sauk Trail Shopping Center Loan ($8.0 million), is in special servicing. The loan is secured by a 97,000 square foot (SF) retail property located in Saline, Michigan. The loan transferred to special servicing in August 2010 following a payment default. The largest tenant (Country Market supermarket; 56% of property NRA) has ceased operations at the center, leaving the property 27% leased. The borrower had submitted to the special servicer several discounted payoff offers, all of which were been rejected. The property is slated for inclusion in this month's REO auction. Due to outstanding advances and cumulative ASERs, Moody's expects a significant loss from this loan. SARANAC CLO I: Moody's Rates $18MM Class E Notes 'Ba3' ------------------------------------------------------ Moody's Investors Service announced that it has assigned the following provisional ratings to notes to be issued by Saranac CLO I Limited (the "Issuer"): U.S.$160,500,000 Class A-1A Senior Secured Floating Rate Notes due 2024 (the "Class A-1A Notes"), Assigned (P)Aaa (sf) U.S.$25,000,000 Class A-1F Senior Secured Fixed Rate Notes due 2024 (the "Class A-1F Notes"), Assigned (P)Aaa (sf) U.S.$37,000,000 Class A-2 Senior Secured Floating Rate Notes due 2024 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) U.S.$27,500,000 Class B Senior Secured Floating Rate Notes due 2024 (the "Class B Notes"), Assigned (P)Aa2 (sf) U.S.$27,000,000 Class C Secured Deferrable Floating Rate Notes due 2024 (the "Class C Notes"), Assigned (P)A2 (sf) U.S.$20,000,000 Class D Secured Deferrable Floating Rate Notes due 2024 (the "Class D Notes"), Assigned (P)Baa3 (sf) U.S.$18,000,000 Class E Secured Deferrable Floating Rate Notes due 2024 (the "Class E Notes"), Assigned (P)Ba3 (sf) Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating (if any) may differ from a provisional rating. Ratings Rationale: Moody's provisional ratings of the Class A-1A Notes, Class A-1F Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes and Class E Notes (collectively, the "Notes") address the expected losses posed to the noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. Saranac CLO I Limited is a managed cash-flow CLO. The transaction is collateralized primarily by broadly syndicated first-lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist, in the aggregate, of senior unsecured loans, bonds, second lien loans and first-lien last-out obligations. At closing, the portfolio is expected to be approximately 75% ramped and is expected to be 100% ramped within four months thereafter. Saranac Advisory Limited (the "Manager") will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four-year reinvestment period. Thereafter, unscheduled principal payments and sale proceeds of credit risk assets and credit improved assets can be used to purchase additional collateral obligations, subject to certain conditions. In addition to the Notes rated by Moody's, the Issuer will issue two other tranches of notes, including income notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. SCHOONER TRUST 2006-5: Moody's Affirms Ba1 Rating on Class F Notes ------------------------------------------------------------------ Moody's Investors Service upgraded the ratings of two classes and affirmed 11 classes of Schooner Trust Commercial Mortgage Pass- Through Certificates, Series 2006-5 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Feb 28, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Feb 28, 2006 Definitive Rating Assigned Aaa (sf) Cl. B, Upgraded to Aa1 (sf); previously on Feb 28, 2006 Definitive Rating Assigned Aa2 (sf) Cl. C, Upgraded to A1 (sf); previously on Feb 28, 2006 Definitive Rating Assigned A2 (sf) Cl. D, Affirmed Baa2 (sf); previously on Feb 28, 2006 Definitive Rating Assigned Baa2 (sf) Cl. E, Affirmed Baa3 (sf); previously on Feb 28, 2006 Definitive Rating Assigned Baa3 (sf) Cl. F, Affirmed Ba1 (sf); previously on Feb 28, 2006 Definitive Rating Assigned Ba1 (sf) Cl. G, Affirmed Ba2 (sf); previously on Feb 28, 2006 Definitive Rating Assigned Ba2 (sf) Cl. H, Affirmed Ba3 (sf); previously on Feb 28, 2006 Definitive Rating Assigned Ba3 (sf) Cl. J, Affirmed B1 (sf); previously on Feb 28, 2006 Definitive Rating Assigned B1 (sf) Cl. K, Affirmed B2 (sf); previously on Feb 28, 2006 Definitive Rating Assigned B2 (sf) Cl. L, Affirmed B3 (sf); previously on Feb 28, 2006 Definitive Rating Assigned B3 (sf) Cl. XC, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The upgrades of the two classes are due to increased credit support from paydowns and amortization and increased defeasance since last review. 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 XC, is consistent with the credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 1.4% of the current pooled balance compared to 2% at last review. Moody's base expected loss plus realized losses is 1.0% of the original pooled balance compared to 1.6% at last review. 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 33 compared to 38 at the prior review. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated November 20, 2012. Deal Performance: As of the October 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 28% to $348.7 million from $486.6 million at securitization. The Certificates are collateralized by 74 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans representing 40% of the pool. There are two loans with investment-grade credit assessments, representing approximately 10% of the pool. There are eight defeased loans, representing 11% of the pool, that are secured by Canadian Government securities. Three loans are on the master servicer's watchlist, representing approximately 6% of the pool. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. The pool has not experienced any losses to date and there are no loans currently in special servicing. Moody's was provided with full year 2012 operating results for 90% of the pool balance. Moody's weighted average conduit LTV is 74%. 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 9.2%. Moody's actual and stressed conduit DSCRs are 1.52X and 1.44X, 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 Briton House Loan ($25.2 million -- 7.2% of the pool), which is secured by a 220- unit retirement home located in Toronto, Ontario. As of April 2012, the property was 95% leased compared to 100% at last review. Performance has been stable and the loan is benefitting from amortization. Moody's current credit assessment and stressed DSCR are Baa2 and 1.52X, the same as at last review. The second loan with a credit assessment is the Greenwood Beach Retail Centre loan ($10.8 million -- 3.1% of the pool), which is secured by three retail properties totaling 105,148 square feet and located in Toronto, Ontario. Major tenants include Ontario Jockey Club, Alliance Atlantis (movie theater), and Beach Fitness Centre. As of April 2013, the complex was 94% leased compared to 93% at last review. The loan is amortizing on a 20-year schedule and is 100% recourse to the borrower. The sponsor is EMM Financial Corp. Moody's current credit assessment and stressed DSCR are A3 and 1.68X, essentially the same as at last review. The top three performing conduit loans represent 14% of the pool balance. The largest loan is the Lindsay Square loan ($17.3 million -- 5.0% of the pool), which is secured by 193,933 square foot anchored retail mall located in Lindsay, Ontario. As of March 2013, the property was 97% leased, the same as at last review. The loan is benefiting from amortization and is partial recourse to the borrower. The sponsor is the Montez Retail Fund. Moody's LTV and stressed DSCR are 88% and 1.11X, respectively, compared to 89% and 1.1X at last review. The second largest loan is the 380 & 400 Waterloo Avenue loan ($16.2 million -- 4.7% of the pool), which is secured by 262-unit multifamily property located in Guelph, Ontario. As of January 2013, the property was 100% leased, the same as at last review. However, the loan is on the watch list for deferred maintenance issues. Per the master servicer, the borrower is in the process of remedying the issues. The loan is benefiting from amortization and is 100% recourse. The sponsor is Homestead Land Holdings. Moody's LTV and stressed DSCR are 78% and 1.08X, respectively, compared to 85% and 0.99X, respectively at last review. The third largest loan is the Springdale Square loan ($15.2 million -- 4.4% of the pool), which is secured by a 105,938 square foot anchored retail property located in Brampton, Ontario. As of March 2013, the property was 97% leased compared to 92% at last review. The loan is benefiting from amortization and is 100% recourse. The sponsor is Heritage Court Holdings. Moody's LTV and stressed DSCR are 84% and 1.13X, respectively, compared to 94% and 1.01X at last review. SDART 2013-5: Fitch Rates $87.38MM Class E Notes 'BBsf' ------------------------------------------------------- Fitch Ratings has assigned the following ratings to the Santander Drive Auto Receivables Trust 2013-5 (SDART 2013-5) notes: -- $223,000,000 class A-1 notes 'F1+sf'; -- $252,000,000 class A-2A notes 'AAAsf'; Outlook Stable; -- $252,000,000 class A-2B notes 'AAAsf'; Outlook Stable; -- $226,580,000 class A-3 notes 'AAAsf'; Outlook Stable; -- $201,920,000 class B notes 'AAsf'; Outlook Stable; -- $204,470,000 class C notes 'Asf'; Outlook Stable; -- $100,960,000 class D notes 'BBBsf'; Outlook Stable; -- $87,380,000 class E notes 'BBsf'; Outlook Stable. Key Rating Drivers: Marginally Weaker Credit Quality: The credit quality of 2013-5 is representative of subprime borrowers. While the weighted average (WA) Fair Isaac Corp. (FICO) score (590) and internal loss forecasting score (LFS; 563) are relatively consistent with the prior three transactions, the 2013-5 pool has a higher concentration in the weaker LFS score buckets. Higher Credit Enhancement (CE): The cash flow distribution is a sequential-pay structure. Initial hard CE totals 45.80% for the class A up from 43% in 2013-4 (not rated by Fitch) and 2013-3, and is higher for the class B, C and D notes, but unchanged for the class E notes. The higher CE in 2013-5 compensates for the marginally weaker pool, lower excess spread, and the incorporation of the unhedged floating-rate class A-2B notes. Stable Portfolio/Securitization Performance: Delinquencies and losses on SCUSA's portfolio and 2010-2012 securitizations declined from prior years, supported by the improving U.S. economy and healthy used vehicle values elevating recovery rates. Stable Corporate Health: SCUSA recorded solid financial results recently and has been profitable since 2007. Fitch rates Santander, majority owner of SCUSA, 'BBB+/F2' with a Negative Outlook. Consistent Origination/Underwriting/Servicing: SCUSA demonstrates adequate abilities as originator, underwriter and servicer, as evidenced by historical portfolio and securitizations' delinquency and loss performance. Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of SCUSA would not impair the timeliness of payments on the securities. Rating Sensitivities: Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case and could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to SDART 2013-5 to increased credit losses over the life of the transaction. Fitch's analysis found that the transaction displays some sensitivity to increased defaults and credit losses, showing a potential downgrade of one or two categories under Fitch's moderate (1.5x base case loss) scenario, especially for the subordinate bonds. The notes could experience downgrades of up to three or more rating categories, under Fitch's severe (2.5x base case loss) scenario. For both scenarios, the senior tranche notes do not display negative rating sensitivities. SEAWALL 2006-4: Moody's Affirms 'C' Rating on Class A Notes ----------------------------------------------------------- Moody's has affirmed the rating of one class of notes issued by Seawall 2006-4, Ltd. 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. A, Affirmed C (sf); previously on Feb 7, 2013 Affirmed C (sf) Ratings Rationale: Seawall 2006-4, Ltd. is a static synthetic transaction backed by a portfolio of credit default swaps on commercial mortgage backed securities (CMBS) (100% of the reference obligation balance). As of the October 18, 2013 Trustee report, the notional balance of the transaction has decreased to $229.3 million from $300.0 million at issuance. SESTANTE FINANCE 3: Fitch Lowers Rating on Class B Notes to 'Bsf' ----------------------------------------------------------------- Fitch Ratings has downgraded five tranches and affirmed 12 tranches of the Sestante Finance transactions, as follows: Sestante Finance S.r.l. (Sestante 1): - Class A1 (ISIN IT0003604789): affirmed at 'AA+sf'; Outlook Negative - Class A2 (ISIN IT0003604813): affirmed at 'AA+sf'; Outlook Negative - Class B (ISIN IT0003604839): affirmed at 'A+sf'; Outlook Negative - Class C (ISIN IT0003604854): affirmed at 'BBB+sf'; Outlook Negative Sestante Finance 2 S.r.l. - 2 (Sestante 2): - Class A (ISIN IT0003760136): affirmed at 'AA+sf'; Outlook Negative - Class B (ISIN IT0003760193): affirmed at 'BBB-sf'; Outlook Negative - Class C1 (ISIN IT0003760227): affirmed at 'CCCsf'; Recovery Estimate (RE) of 0% - Class C2 (ISIN IT0003760243): affirmed at 'CCsf'; RE of 0% Sestante Finance S.r.l. - 3 (Sestante 3): - Class A (ISIN IT0003937452): downgraded to 'Asf' from 'AAsf'; Outlook Negative - Class B (ISIN IT0003937486): downgraded to 'Bsf'; from 'BBsf'; Outlook Negative - Class C1 (ISIN IT0003937510): affirmed at 'CCsf'; RE of 0% - Class C2 (ISIN IT0003937569): affirmed at 'CCsf'; RE of 0% Sestante Finance S.r.l. - 4 (Sestante 4): - Class A1 (ISIN IT0004158124): downgraded to 'BBsf' from 'BBBsf'; Outlook Negative - Class A2 (ISIN IT0004158157): downgraded to 'BBsf' from 'BBBsf'; Outlook Negative - Class B (ISIN IT0004158165): downgraded to 'CCsf' from 'CCCsf'; RE of 0% - Class C1 (ISIN IT0004158249): affirmed at 'CCsf'; RE of 0% - Class C2 (ISIN IT0004158264): affirmed at 'CCsf'; RE of 0% Key Rating Drivers: Poor Asset Performance The underlying assets have performed poorly across the transactions. Sestante 2, 3 and 4 are characterised by large pipelines of late stage arrears (arrears in excess of three months are between 5.4% and 8% of the current pool balances) and increasing gross cumulative defaults, defined as loan in arrears by more than 12 months, (ranging between 7.75% and 13.2% of the original pool balances), which do not yet show any signs of stabilisation. In addition, the income from recoveries remains limited with few sales of foreclosed properties completed over the past quarter. As a result, Fitch has applied more conservative assumptions on the amount of recoveries and revised down the REs. The combination of high defaults, reserve funds depleted since 2009 and low recovery flows has contributed to increase the pipeline of unprovisioned defaults during the past year. In Sestante 2 they have increased to EUR4.6m from EUR3.6m (+25.5%), to EUR15.1m from EUR10.9m (+39%) in Sestante 3 and to EUR35.6m from EUR27.9m (+28%) in Sestante 4. As a consequence, the downgrades reflect that the current credit enhancement available to the class A and B notes of Sestante 3 and 4 can no longer withstand the current rating stresses. The affirmation of Sestante 2 reflects the sufficient credit enhancement available to the rated notes despite the weak performance. However, the Negative Outlook on the 'AA+sf' rated tranches is due to the current performance, in addition to the Outlook on the Italian sovereign. Sestante 1 has also been affected by high defaults (6.5% of the original pool balance) and significant late stage arrears (equal to 4.6% of the current pool balance). Nonetheless, the affirmation reflects the high credit enhancement available to the rated notes, which is sufficient for the current ratings. The current pool characteristics, based on a high proportion of self-employed and non-Italian borrowers as well as loans with increasing installments, combined with the current macroeconomic scenario, appear to be the major drivers of the poor asset performance. Payment Interruption Mitigated Sestante 2, 3 and 4 benefit from a fully collateralised contingency liquidity facility (1.43% of the current note balance), which is held at the account bank, Bank of New York Mellon (AA-/Stable/F1+), to cover any potential payment interruption. Sestante 1 is the only transaction with a reserve fund still in place, amounting to EUR9.5m (48% of its target balance). In its analysis, Fitch considered these amounts were sufficient to mitigate any potential liquidity shortfalls in case of servicing disruption, even in a rising interest rate scenario. Excess Spread Insufficient For Provisioning Despite Swap Agreement The swaps in place generate annual gross excess spread levels between 1.6% and 2.4%, which are available, albeit insufficient, to cover defaults. However, excess spread in Sestante 1 is providing sufficient funds to repay both the interest and the scheduled principal on the interest-only class A2 notes. Rating Sensitivities: Continued deterioration of Italian macroeconomic fundamentals could lead to negative rating actions on the sovereign, which could result in a revision of the highest achievable rating for the 'AA+sf'rated tranches. Fitch is concerned that if the current macroeconomic stresses continue and interest rates rise, borrowers' affordability might be put under pressure, given the more adverse nature of the underlying loans in these portfolios and the relatively weaker borrowers of these portfolios compared with other Italian mortgage lenders. The underlying assets include a significant portion of loans granted to self-employed and non-Italian borrowers as well as loans with increasing installments characteristics. SEQUOIA MORTGAGE 2013-12: Fitch Rates $3.4MM Certs at 'BBsf' ------------------------------------------------------------ Fitch Ratings assigns the following ratings to Sequoia Mortgage Trust 2013-12, mortgage pass-through certificates, series 2013-12 (SEMT 2013-12): -- $297,848,000 class A-1 exchangeable certificate 'AAAsf'; Outlook Stable; -- $238,278,000 class A-2 certificate 'AAAsf'; Outlook Stable; -- $59,570,000 class A-3 certificate 'AAAsf'; Outlook Stable; -- $297,848,000 class A-4 exchangeable certificate 'AAAsf'; Outlook Stable; -- $297,848,000 class A-5 exchangeable certificate 'AAAsf'; Outlook Stable; -- $297,848,000 class A-6 exchangeable certificate 'AAAsf'; Outlook Stable; -- $148,924,000 class A-7 exchangeable certificate 'AAAsf'; Outlook Stable; -- $148,924,000 class A-8 exchangeable certificate 'AAAsf'; Outlook Stable; -- $148,924,000 class A-9 exchangeable certificate 'AAAsf'; Outlook Stable; -- $148,924,000 class A-10 exchangeable certificate 'AAAsf'; Outlook Stable; -- $238,278,000 class A-11 exchangeable certificate 'AAAsf'; Outlook Stable; -- $238,278,000 class A-12 exchangeable certificate 'AAAsf'; Outlook Stable; -- $238,278,000 class A-13 exchangeable certificate 'AAAsf'; Outlook Stable; -- $238,278,000 class A-14 exchangeable certificate 'AAAsf'; Outlook Stable; -- $297,848,000 class A-IO notional certificate 'AAAsf'; Outlook Stable; -- $297,848,000 class A-IO1 notional certificate 'AAAsf'; Outlook Stable; -- $297,848,000 class A-IO2 notional certificate 'AAAsf'; Outlook Stable; -- $297,848,000 class A-IO3 notional certificate 'AAAsf'; Outlook Stable; -- $238,278,000 class A-IO4 notional certificate 'AAAsf'; Outlook Stable; -- $238,278,000 class A-IO5 notional certificate 'AAAsf'; Outlook Stable; -- $238,278,000 class A-IO6 notional certificate 'AAAsf'; Outlook Stable; -- $238,278,000 class A-IO7 notional certificate 'AAAsf'; Outlook Stable; -- $9,587,000 class B-1 certificate 'AAsf'; Outlook Stable; -- $6,337,000 class B-2 certificate 'Asf'; Outlook Stable; -- $4,387,000 class B-3 certificate 'BBBsf'; Outlook Stable; -- $3,412,000 non-offered class B-4 certificate 'BBsf'; Outlook Stable. The 'AAAsf' rating on the senior certificates reflects the 8.35% subordination provided by the 2.95% class B-1, 1.95% class B-2, 1.35% class B-3, 1.05% non-offered class B-4 and 1.05% non-offered class B-5. The $3,413,226 non-offered class B-5 certificates will not be rated by Fitch. Fitch's ratings reflect the high quality of the underlying collateral, the clear capital structure and the high percentage of loans reviewed by third party underwriters. In addition, CitiMortgage, Inc. will act as the master servicer, and Wilmington Trust will act as the Trustee for the transaction. For federal income tax purposes, elections will be made to treat the trust as one or more real estate mortgage investment conduits (REMICs). SEMT 2013-12 will be Redwood Residential Acquisition Corporation's 12th transaction of prime residential mortgages in 2013. The certificates are supported by a pool of prime fixed rate mortgage loans. All but 1.8% of the loans are fully amortizing. The aggregate pool included loans originated from First Republic Bank (18.5%) and PrimeLending (9.2%). The remainder of the mortgage loans was originated by various mortgage lending institutions, each of which contributed less than 5% to the transaction. As of the cut-off date, the aggregate pool consisted of 410 loans with a total balance of $324,984,227; an average balance of $792,644; a weighted average original combined loan-to-value ratio (CLTV) of 70.5%, and a weighted average coupon (WAC) of 4.7%. Rate/term and cash out refinances account for 26.7% and 8.7% of the loans, respectively. The weighted average original FICO credit score of the pool is 766. Owner-occupied properties comprise 91.8% of the loans. The states that represent the largest geographic concentration are California (40%), Texas (7.8%) and New York (7.1%). Key Rating Drivers: Sound Quality With Slight Drift: Sequoia transactions continue to comprise high-quality collateral, but have been moving away from the high-end of the credit spectrum. Recent deals exhibit slightly higher LTV ratios with increasing concentrations in the higher LTV bands partially due to rising percentages of purchase loans. This transaction also has a slightly lower weighted average credit score of 766, roughly six points below the post-crisis Sequoia average. Despite the drift, the pool has strong credit attributes with Fitch's loss expectations taking into account the lower credit score and higher LTV. Increasing Number of Originators: The number of lenders in Sequoia transactions has consistently increased since 2011 from two to 78 for SEMT 2013-12. As with SEMT 2013-12 and other recent Sequoia transactions, the majority of the loans were originated by lenders with limited non-agency performance history. This risk is mitigated by the 100% third-party diligence conducted on these loans with immaterial findings as well as an upward adjustment made to Fitch's loss expectations to account for potential operational risk. Geographically Diverse Pool: As with most Sequoia transactions, the collateral pool is geographically diverse partly due to the large number of lenders. Nearly 40% of the pool is concentrated in California, one of the lowest percentages of post-crisis SEMT transactions. The agency did not apply a default penalty to the pool due to the low geographic concentration risk. Transaction Provisions Enhance Deal Framework: The representation, warranty and enforcement mechanism framework is viewed positively, as it is consistent with Fitch criteria. As in other recent Fitch- rated SEMT transactions, all loans that become 120 days or more delinquent will be automatically reviewed for breaches of representations and warranties. Rating Sensitivities: After Fitch determines credit ratings through a rating stress scenario analysis, additional sensitivity analyses are considered. The analyses provide a defined stress sensitivity to demonstrate how the ratings would react to steeper market value declines (MVDs) than that assumed at issuance as well as a defined sensitivity that demonstrates the stress assumptions required to reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. Fitch's defined stress sensitivity determined how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model- projected 16.8% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. The defined rating sensitivities determine the stresses to the MVD that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For this transaction, Fitch determined that the MVD would need to be approximately 15% greater than Fitch's current estimate to result in a full rating category downgrade of the rated classes in the future. Further details of Fitch's rating stress scenarios and rating sensitivity analysis are provided in the new issue report. Model Usage: Fitch analyzed the credit characteristics of the underlying collateral to determine base case and rating stress loss expectations using its prime residential mortgage loss model, which is fully described in its August 2013 criteria report, 'U.S. RMBS Loan Loss Model Criteria.' In addition, Fitch considered the results relative to the previous version of the mortgage loss model, as described in its August 2012 criteria report, 'U.S. RMBS Loan Loss Model Criteria - Effective August 10, 2012 to Aug. 7, 2013.' Also, Fitch simulated transaction cash flow scenarios using various cash flow modeling assumptions, as described in its April 2013 criteria report, 'U.S. RMBS Cash Flow Analysis Criteria.' STUDENT LOAN 2007-1: S&P Affirms 'B-' Rating on 2 Cert. Classes --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'B-' ratings on Student Loan ABS Repackaging Trust Series 2007-1's class 6-A-1 and 6-A-IO certificates and removed them from CreditWatch, where they were placed with negative implications on Aug. 9, 2013. The ratings on the class 6-A-1 and 6-A-IO certificates are dependent on the lower of the ratings on the underlying security, transferable custody receipts relating to NCF Grantor Trust 2005- 3's series 2005-GT3 due 2033 class A-5-1 ('B- (sf)'), and the rating on the interest rate swap counterparty, Deutsche Bank AG, New York Branch ('A/A-1'). The rating actions follow the Nov. 1, 2013, affirmation of its 'B- (sf)' rating on the underlying securities and their subsequent removal from CreditWatch with negative implications. S&P may take subsequent rating actions on the certificates due to changes in its rating on the underlying security or swap counterparty. SUMMIT LAKE: S&P Affirms 'B+' Rating on Class B-2L Notes -------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class A-3L notes from Summit Lake CLO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Babson Capital Management LLC. At the same time, S&P affirmed its ratings on the class A- 1LB, A-1LR, A-2L, B-1L, and B-2L notes. Additionally, S&P removed its ratings on the class A-3L, B-1L, and B-2L notes from CreditWatch with positive implications, where S&P placed them on Sept. 5, 2013. The upgrade mainly reflects paydowns to the class A-1LA, A-1LB, and A-1LR notes and a subsequent improvement in the credit support available to the notes since January 2013, when S&P last upgraded some of the notes. Since that time, the transaction has paid down the class A-1LA, A-1LB, and A-1LR notes by $79.1 million, $0.8 million, and $20.0 million respectively. These paydowns have left the class A-1LA, A-1LB, and A-1LR notes at 0.0%, 97.7%, and 19.3% of their original balances, respectively. The upgrade also reflects an improvement in the overcollateralization (O/C) available to support the notes, primarily as a result of the aforementioned paydowns. The trustee reported the following O/C ratios in the October 2013 monthly report: -- The class A-2L O/C ratio was 196.75%, compared with a reported ratio of 137.16% in December 2012; -- The class A-3L O/C ratio was 151.28%, compared with a reported ratio of 123.27% in December 2012; -- The class B-1L O/C ratio was 126.17%, compared with a reported ratio of 113.39% in December 2012; and -- The class B-2L O/C ratio was 109.78%, compared with a reported ratio of 105.75% in December 2012. S&P affirmed its ratings on the class A-1LB, A-1LR, A-2L, B-1L, and B-2L notes to reflect the availability of credit support at the current rating levels. Furthermore, S&P's ratings on the class B-1L and B-2L notes were driven by its application of the largest obligor default test, a supplemental stress test S&P introduced as part of its 2009 corporate criteria update. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. RATING AND CREDITWATCH ACTIONS Summit Lake CLO Ltd. Rating Rating Class To From A-3L AAA (sf) AA+ (sf)/Watch Pos B-1L BBB+ (sf) BBB+ (sf)/Watch Pos B-2L B+ (sf) B+ (sf)/Watch Pos RATINGS AFFIRMED Summit Lake CLO Ltd. Class Rating A-1LB AAA (sf) A-1LR AAA (sf) A-2L AAA (sf) THL CREDIT 2013-2: S&P Assigns 'BB' Rating on Class E Notes ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to THL Credit Wind River 2013-2 CLO Ltd./THL Credit Wind River 2013-2 CLO LLC's $405.13 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation 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 investment manager's experienced management team. -- S&P's projections for 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 0.2383%-12.8430%. -- 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 diversion test, a failure of which during the reinvestment period will lead to the reclassification of up to 50% of available excess interest proceeds (before paying certain uncapped administrative expenses, subordinate and incentive management fees, hedge amounts, deposits to the supplemental reserve account, and subordinated note payments) into principal proceeds to purchase additional collateral assets. RATINGS ASSIGNED THL Credit Wind River 2013-2 CLO Ltd./ THL Credit Wind River 2013-2 CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 93.735 A-2a AAA (sf) 147.500 A-2b AAA (sf) 7.765 A-3 AAA (sf) 20.000 B-1 AA (sf) 25.850 B-2 AA (sf) 33.570 C (deferrable) A (sf) 30.250 D (deferrable) BBB (sf) 21.340 E (deferrable) BB (sf) 18.640 F (deferrable) B (sf) 6.480 M (deferrable) NR 3.00 Subordinated notes NR 41.970 NR-Not rated. TRITON AVIATION: S&P Lowers Rating on Class A-1 Notes to 'CCC' -------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on Triton Aviation Finance's class A-1 notes to 'CCC (sf)' from 'B- (sf)' and removed it from CreditWatch, where S&P had placed it with negative implications on Aug. 20, 2013. The notes are collateralized primarily by the lease revenue and sales proceeds from a portfolio of commercial aircraft. The downgrade reflects S&P's view of: -- The remaining 21 aircrafts' deteriorating value and quality (as of Nov. 15, 2013), and diminishing lease-rental- generating ability; -- The available credit enhancement, which is insufficient to withstand S&P's 'B-' rating level stress test; and -- The relatively low credit profile of the lessees; As of Nov. 15, 2013, the aircraft portfolio consisted of 21 operating aircraft. The fleet, with a significant concentration of aircraft manufactured in the 1980s and early 1990s, has a weighted average age of approximately 23 years. The older aircraft has become less favorable and, thus, less able to generate future lease revenue. As of Nov. 15, 2013, there were seven operating aircraft off lease. Standard & Poor's will continue to review whether, in its view, the rating currently assigned to the notes remains consistent with the credit enhancement available to support them, and will take further rating action as it deems necessary. VENTURE XV CLO: Moody's Rates $34.2MM Class E Notes at 'Ba3' ------------------------------------------------------------ Moody's Investors Service announced that it has assigned the following provisional ratings to notes to be issued by Venture XV CLO, Limited (the "Issuer" or "Venture XV"): U.S.$374,000,000 Class A Senior Secured Floating Rate Notes due 2025 (the "Class A Notes"), Assigned (P)Aaa (sf) U.S.$47,500,000 Class B-1 Senior Secured Floating Rate Notes due 2025 (the "Class B-1 Notes"), Assigned (P)Aa2 (sf) U.S.$10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2025 (the "Class B-2 Notes"), Assigned (P)Aa2 (sf) U.S.$52,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2025 (the "Class C Notes"), Assigned (P)A2 (sf) U.S.$35,300,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2025 (the "Class D Notes"), Assigned (P)Baa3 (sf) U.S.$34,200,000 Class E Junior Secured Deferrable Floating Rate Notes due 2025 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, Class B-1 Notes, Class B-2 Notes, Class C Notes, Class D Notes and Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating (if any) may differ from a provisional rating. Ratings Rationale: Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. Venture XV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate debt. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and bonds. The underlying collateral pool is required to be at least 50% ramped as of the closing date. MJX Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest up to 75% of unscheduled principal payments and proceeds from sales of credit risk obligations, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. VITESSE CLO: S&P Affirms 'B+' Rating on Class B2L Notes ------------------------------------------------------- Standard & Poor's Ratings Services raised and removed from CreditWatch with positive implications its ratings on the class A2L, A3L, and B1L notes from Vitesse CLO Ltd., a cash flow collateralized loan obligation transaction managed by Crescent Capital Group LP. At the same time, S&P affirmed its 'AAA (sf)' ratings on the class A1L and A1LR notes. S&P also affirmed and removed from CreditWatch positive its rating on the B2L notes. "We affirmed our ratings on the class A1L and A1LR notes and raised our ratings on the class A2L, A3L, and B1L notes to reflect an increase in available credit support. Since our February 2013 rating actions, the transaction has exited its reinvestment period and paid down the class A1L and A1LR noteholders by $168 million to 57% of their initial issuance amounts. As a result, the class A overcollateralization ratio has increased to 120% from 113% in January 2013, according to the October 2013 trustee report," S&P said. Despite the paydowns, S&P affirmed and removed from CreditWatch its rating on the class B2L notes. S&P did note that there is some concentration risk because the three largest obligors each have greater than $10 million exposure. The largest obligor test continues to constrain the rating on the class B2L notes to the current rating. In addition, the transaction currently is exposed to non-performing and 'CCC (sf)' rated collateral on CreditWatch with negative implications, for which we considered different recovery and market value stresses. 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. RATINGS RAISED AND REMOVED FROM CREDITWATCH Vitesse CLO Ltd. Rating Rating Class To From A2L AAA (sf) AA (sf)/Watch Pos A3L AA- (sf) A (sf)/Watch Pos B1L BBB+ (sf) BBB- (sf)/Watch Pos RATING AFFIRMED AND REMOVED FROM CREDITWATCH Vitesse CLO Ltd. Rating Rating Class To From B2L B+ (sf) B+ (sf)/Watch Pos RATINGS AFFIRMED Vitesse CLO Ltd. Class Rating A1L AAA (sf) A1LR AAA (sf) WACHOVIA BANK 2005-C20: Loan Defeasance No Effect on Ratings ------------------------------------------------------------ Moody's Investors Service was informed that AmericasMart Real Estate, LLC, the Borrower for the AmericasMart LLC 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 Wachovia Bank Commercial Mortgage Trust 2005-C20. 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 Wachovia Bank Commercial Mortgage Trust 2005-C20 was taken on February 28, 2013. WACHOVIA BANK 2006-C26: Moody's Cuts Rating on 2 Certs to 'Ba3' --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of seven classes and affirmed 14 classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006- C26 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Jul 12, 2006 Assigned Aaa (sf) Cl. A-J, Downgraded to Ba3 (sf); previously on Nov 29, 2012 Downgraded to Ba1 (sf) Cl. A-M, Affirmed Aa2 (sf); previously on Nov 29, 2012 Downgraded to Aa2 (sf) Cl. A-PB, Affirmed Aaa (sf); previously on Jul 12, 2006 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to B3 (sf); previously on Nov 29, 2012 Downgraded to B1 (sf) Cl. C, Downgraded to Caa1 (sf); previously on Nov 29, 2012 Downgraded to B2 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Nov 29, 2012 Downgraded to Caa1 (sf) Cl. E, Downgraded to Ca (sf); previously on Nov 29, 2012 Downgraded to Caa2 (sf) Cl. F, Downgraded to C (sf); previously on Nov 29, 2012 Downgraded to Caa3 (sf) Cl. G, Downgraded to C (sf); previously on Nov 29, 2012 Downgraded to Ca (sf) Cl. H, Affirmed C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. J, Affirmed C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. M, Affirmed C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. O, Affirmed C (sf); previously on Jan 13, 2011 Downgraded to C (sf) Cl. X-C, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Ratings Rationale: The downgrades are due to higher 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 Classes H through O are consistent with Moody's expected loss and thus are affirmed. The rating of the IO Class, Class X-C, 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 14% of the current deal balance. At last review, Moody's base expected loss was approximately 11%. Moody's base expected loss plus realized loss is 11.8% of the original, securitized deal balance, compared to 9.7% 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. Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.64 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 36 compared to 37 at Moody's prior review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated November 29, 2012. Deal Performance: As of the September 18, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $1.39 billion from $1.73 billion at securitization. The Certificates are collateralized by 102 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 40% of the pool. The pool contains no loans with investment-grade credit assessments. Four loans, representing approximately 3% of the pool, are defeased and are collateralized by U.S. Government securities. Thirty loans, representing 38% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Eight loans have liquidated from the pool, contributing to an aggregate realized loss of $15 million. Loans that were liquidated from the pool averaged a 34% loss severity. Currently, 14 loans, representing 15% of the pool, are in special servicing. The largest specially serviced loan is the Tan-Tar-A Resort Loan ($45 million -- 3% of the pool), which is secured by a 497-key resort property located on Lake of the Ozarks in Osage Beach, Missouri. The property consists of buildings constructed between 1960 and 2002, and includes a water park, marina, health club and conference facilities. The loan transferred to special servicing in April 2012 for imminent monetary default. A receiver was appointed in September 2012. The resort is currently undergoing partial renovations. Trailing-twelve month reported occupancy has been weak for several years, holding steady in the 45-49% range since at least 2011. The special servicer is currently pursuing foreclosure. The remaining 13 specially serviced loans are secured by a mix of commercial, retail and hotel property types. Moody's estimates an aggregate $114 million loss (56% expected loss) for all specially serviced loans. Moody's has assumed a high default probability for 12 poorly- performing loans representing 18% of the pool. Moody's analysis attributes to these troubled loans an aggregate $58 million loss (23% expected loss severity based on a 52% probability default). Moody's was provided with full-year 2012 and partial year 2013 operating results for 94% and 89% of the performing pool, respectively. Excluding troubled and specially-serviced loans, Moody's weighted average LTV is 96% compared to 99% 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 9.3%. Excluding troubled and specially-serviced loans, Moody's actual and stressed DSCRs are 1.35X and 1.10X, respectively, compared to 1.33X and 1.06X 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 19% of the pool. The largest loan is the Prime Outlets Pool II Loan ($138 million - - 10% of the pool), which represents a participation interest in a $278 million loan. The loan is secured by three outlet centers located in Birch Run, Michigan, Williamsburg, Virginia, and Hagerstown, Maryland. The properties are also encumbered by a B- Note which is held outside the trust. Property financial performance has improved strongly since securitization. As of June 2013, the properties overall occupancy was 96% compared to 93% at Moody's last review. The loan sponsor is Simon Property Group. Moody's current LTV and stressed DSCR are 78% and 1.24X, respectively, compared to 85% and 1.15X at last review. The second largest loan is the Eastern Shore Centre Loan ($70 million -- 5% of the pool). The loan is secured by a lifestyle center in Spanish Fort, Alabama, which is part of the Mobile metropolitan area. Anchors include Dillard's and Belk, though Dillard's is not part of the loan collateral. Other large retailers include Bed Bath and Beyond, Barnes and Noble, a Publix supermarket, and a cinema. The loan was returned from special servicing in February 2011 following a loan modification which included an interest rate reduction. The loan is currently on the watchlist for low DSCR. Property NOI DSCR has improved dramatically from a low of 0.64X in 2009 to a current level near 1.00X. Despite this improvement, the property faces substantial headwinds in the form of significant lease rollover at year-end 2014 and 2015, as the loan nears its scheduled Q2 2016 maturity. Moody's has identified this as a troubled loan with high default probability. The third largest loan is the Chemed Center Leasehold Loan ($59 million -- 4% of the pool). The loan is secured by a leasehold interest in a 551,000 square foot, Class A office tower in downtown Cincinnati, Ohio. The ground lease term is 99 years and expires in April 2105. The loan matures in May 2016. As of June 2013, the property was 97% leased, unchanged from Moody's last review. While the property has proven a strong performer historically, risks include significant lease rollover before maturity and a weak market for office space in downtown Cincinnati. Hines is the property manager. Moody's current LTV and stressed DSCR are 85% and 1.28X, respectively, compared to 79% and 1.37X at last review. WACHOVIA BANK 2006-WHALE7: S&P Cuts Rating on Class WA Notes to D ----------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class F and G commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2006-WHALE7, a U.S. commercial mortgage-backed securities (CMBS) transaction. Concurrently, S&P affirmed its ratings on four pooled certificate classes and the nonpooled class CM raked certificates from the same transaction. Furthermore, S&P lowered its rating on the non- pooled class WA raked certificates to 'D (sf)' and removed it from CreditWatch with negative implications. The raised and affirmed ratings on the pooled certificate classes reflect S&P's analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis includes a review of the credit characteristics and performance of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. The raised ratings on the class F and G certificates reflect S&P's expected credit enhancement, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective ratings levels. The raised ratings also reflect S&P's views regarding available liquidity support, the current and future performance of the transaction's collateral, and the continued reduction of the trust balance. The affirmations reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current outstanding ratings as well as S&P's views regarding available liquidity support and the collateral's current and future performance. In addition, S&P's rating actions on the pool certificate classes considered the potential for additional interest shortfalls on these classes because the second-largest asset (36.0% of the pool trust balance) is with the special servicer and the smallest loan in the pool (11.5% of the pool trust balance) reported declining net operating income (NOI) for the past three years. Excluding the Westin Aruba Resort & Spa real estate owned (REO) asset, S&P's stressed loan-to-value (LTV) ratio on the two remaining loans was 101.5% on the $173.2 million trust balance. S&P affirmed its 'CCC- (sf)' rating on the class CM raked certificates based on its analysis of the Colonial Mall Myrtle Beach loan. The raked certificate class derives 100% of its cash flow from a subordinate nonpooled component of the loan. S&P derived a stressed LTV ratio of 168.3% on the trust balance. S&P previously placed the rating on the nonpooled class WA raked certificates on CreditWatch with negative implications in October 2013 in connection with the de minimis shortfall threshold guidelines in our revised criteria for rating debt issues based on imputed promises. The de minimis shortfalls threshold is now 1 basis point (bp). S&P lowered the rating on the nonpooled class WA raked certificates to 'D (sf)' and removed it from CreditWatch with negative implications because the accumulated interest shortfalls of $28,109 reported in the Oct. 18, 2013, trustee remittance report exceeded the 1 bp de minimis threshold at 0.85% of the original certificate class balance and have been outstanding for nine consecutive months. As of the Oct. 18, 2013, trustee remittance report, the collateral pool had an aggregate pool trust balance of $268.9 million, down from $2.92 billion at issuance. The pool comprises two floating- rate loans indexed to one-month LIBOR and one REO asset, down from 19 loans at issuance. The one-month LIBOR was 0.1823% according to the October 2013 trustee remittance report. To date, the transaction has not experienced any principal losses. Two assets ($237.9 million, 88.5%) are with the special servicer, and the remaining loan ($31.0 million, 11.5%) is on the master servicer's (Wells Fargo Bank N.A.'s) watchlist, as detailed. The Jameson Inns Pool loan ($141.2 million, 52.5% of pool trust balance) is the largest loan remaining in the pool and with the special servicer, also Wells Fargo. In addition, the equity interests in the borrower of the whole loan secured mezzanine debt totaling $160.0 million. The loan is secured by 103 limited service hotels, totaling 6,610 rooms, in various U.S. states. The loan was transferred to the special servicer on July 28, 2011, due to imminent maturity default. The loan matured on Aug. 9, 2011. According to Wells Fargo, the borrower is currently performing under a forbearance agreement that closed on Dec. 18, 2012. The forbearance terms included extending the loan's maturity to December 2014, with a one-year extension option subject to a debt- yield test and an interest rate increase. Wells Fargo indicated that the special servicing and workout fees are currently paid by the borrower. S&P based its analysis of the Jameson Inns Pool loan, in part, on its review of the borrower's operating statements for the 12- months ended May 31, 2013, and years ended Dec. 31, 2012, 2011, and 2010. According to the year-end Dec. 31, 2012, operating statements provided by Wells Fargo, the hotels had a combined reported year-end occupancy of 53.8%, average daily rate (ADR) of $59.61, and revenue per available room (RevPAR) of $32.04. Wells Fargo reported a debt service coverage (DSC) of 10.15x on the trust balance for year-end 2011. Wells Fargo stated that the borrower has reflagged a majority of the collateral hotels under the Choice Hotels International Inc. and Wyndham Hotel Group brands. S&P's adjusted valuation, using a 10.0% capitalization rate, yielded an in-trust stressed 87.6% LTV ratio. The Westin Aruba Resort & Spa REO asset is the second-largest asset in the pool, and it is with the special servicer. The asset has a pooled trust balance of $96.7 million (36.0% of pool trust balance) and a nonpooled junior subordinate component balance of $3.3 million that supports the class WA raked certificates. In addition, there is a $130.0 million junior participation interest that is held outside of the trust, resulting in a whole loan balance of $230.0 million. The total reported exposure for the trust on this asset is $138.6 million. The asset consists of the leasehold interest in a 478-room full-service hotel resort in Palm Beach, Aruba, built in 1975 and renovated in 2006. The fee interest in the land is owned by the government of Aruba, and the subject ground lease expires in 2066. The original loan transferred to the special servicer on Nov. 19, 2008, because of payment default; subsequently, the property became REO in May 2009. According to Wells Fargo, ADR and occupancy for the property were $154.21 and 75.1%, respectively, as of Aug. 31, 2013. Wells Fargo reported that cash flow at the property is insufficient to cover debt service as of year-end 2012. Wells Fargo stated that it is actively marketing the property 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 trust principal balance. The Colonial Mall Myrtle Beach loan, the smallest loan in the pool, has a pooled trust loan balance of $31.0 million (11.5% of pool trust balance) and a nonpooled subordinate junior component balance of $1.1 million that supports the class CM raked certificates. In addition, a subordinate B note totaling $14.0 million is held outside the trust. The loan is secured by a 524,218-sq.-ft. enclosed mall built in 1986, in Myrtle Beach, S.C. The loan is on the master servicer's watchlist because the loan was originally transferred to the special servicer for imminent maturity default. The loan originally matured on Dec. 11, 2010. According to Wells Fargo, the borrower is performing under a forbearance agreement and has received numerous forbearance extensions; the latest extension ends on Dec. 11, 2013. As part of the forbearance agreement, the borrower is paying the special servicing and workout fees on this loan. S&P based its analysis on the Colonial Mall Myrtle Beach loan, in part, on the borrower's year-to-date Sept. 30, 2013, and years- ended 2012, 2011, and 2010, operating statements and Sept. 30, 2013, rent roll. According to a Sept. 30, 2013, rent roll provided by Wells Fargo, the overall mall was 76.9% leased and occupied, of which the inline space was 32.0% occupied. Of the vacant space, 21.1% is related to inline space (totaling 161,596 sq. ft.), and the remaining vacancy is related to a 10,650-sq.-ft. junior-anchor space. The borrower has reported declining NOI for the past three years. Wells Fargo reported a DSC of 5.06x for year-end 2012. S&P's adjusted valuation, using an 8.25% capitalization rate, yielded an in-trust stressed 168.3% LTV ratio on the trust balance. RATINGS RAISED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-WHALE7 Rating Class To From Credit enhancement (%) F A (sf) B+ (sf) 78.94 G BBB (sf) B (sf) 52.23 RATINGS AFFIRMED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-WHALE7 Class Rating Credit enhancement (%) H B- (sf) 28.11 J CCC+ (sf) 19.97 K CCC (sf) 10.53 L CCC- (sf) 0.00 CM CCC- (sf) N/A RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-WHALE7 Rating Class To From Credit enhancement (%) WA D (sf) CCC- (sf)/Watch Neg N/A N/A-Not Applicable WFRBS COMMERCIAL 2012-C10: Moody's Ba2 Rating on Class E Notes -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 14 classes of WFRBS Commercial Mortgage Trust, Series 2012-C10 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Dec 21, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Dec 21, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Dec 21, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-FL, Affirmed Aaa (sf); previously on Dec 21, 2012 Assigned Aaa (sf) Cl. A-FX, Affirmed Aaa (sf); previously on Dec 21, 2012 Assigned Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Dec 21, 2012 Definitive Rating Assigned Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Dec 21, 2012 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Dec 21, 2012 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Dec 21, 2012 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Dec 21, 2012 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Dec 21, 2012 Definitive Rating Assigned Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Dec 21, 2012 Definitive Rating Assigned B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Dec 21, 2012 Definitive Rating Assigned Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Dec 21, 2012 Definitive Rating Assigned A2 (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 interest only classes are consistent with the credit quality of their referenced classes and are 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. 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 review incorporated the use of the Excel-based CMBS Conduit Model v 2.64 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 29, the same as at securitization. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through a review utilizing MOST(R) (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated December 21, 2012. Deal Performance: As of the October 18, 2013 payment date, the transaction's aggregate certificate balance has decreased by 1% to $1.29 billion from $1.3 billion at securitization. The Certificates are collateralized by 85 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans representing 49% of the pool. The pool includes one loan with an investment-grade credit assessment, representing 9% of the pool. 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 Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Currently, there no loans are in special servicing. Moody's was provided with partial year 2013 operating results for 88% of the pool. Moody's weighted average conduit LTV is 100% compared to 101% at securitization. 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 9.43%. Moody's actual and stressed conduit DSCRs are 1.61X and 1.10X, respectively, the same as at securitization. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a credit assessment is the Concord Mills Loan ($110 million -- 9% of the pool), which represents a participation interest in the senior component of a $234 million dollar mortgage loan. The loan is secured by a 1.28 million square foot (SF) super regional mall located in Concord, North Carolina. Major tenants include Bass Pro Shops Outdoor, Burlington Coat Factory and AMC Corporation. The mall was 97% leased as of June 2013 compared to 98% at securitization. Moody's credit assessment and stressed DSCR are Baa3 and 1.31X, respectively, the same as at securitization. The top three conduit loans represent 21% of the pool. The largest loan is the Republic Plaza Loan ($125 million -- 10% of the pool), which represents a participation interest in a $277 million dollar loan. The loan is secured by a 56-story Class A trophy office tower and a separate 12-story parking garage in Denver, Colorado. Major tenants include Encana Oil & Gas, DCP Midstream, LP and Wheeler Trigg O'Donnell LLP. As of June 2013, the office tower was 95% leased, the same as at securitization. Moody's current LTV and stressed DSCR are 107% and 0.91X, respectively, the same as at securitization. The second largest loan is Dayton Mall Loan ($82 million -- 6% of the pool). The loan is secured by a 778,487 SF, two story regional mall located in Dayton, Ohio. The mall's major tenants include Macy's, Elder Beerman and Sears. As of June 2013, the mall was 92% leased, the same as at securitization. Moody's current LTV and stressed DSCR are 95% and 1.17X, respectively, the same at securitization. The third largest loan is the STAG REIT Portfolio Loan ($67 million -- 5% of the pool). The loan is secured by 3.6 million square feet in 28 industrial buildings located in eight states. The properties were 95% leased as of June 2013. Moody's current LTV and stressed DSCR are 86% and 1.28X respectively, the same as at securitization. WFRBS COMMERCIAL 2013-C17: Fitch Rates $9MM Class E Notes 'Bsf' --------------------------------------------------------------- Fitch Ratings assigns the following ratings and Rating Outlooks to WFRBS Commercial Mortgage Trust 2013-C17 pass-through certificates: -- $48,455,000 class A-1 'AAAsf'; Outlook Stable; -- $166,900,000 class A-2 'AAAsf'; Outlook Stable; -- $125,000,000 class A-3 'AAAsf'; Outlook Stable; -- $236,856,000 class A-4 'AAAsf'; Outlook Stable; -- $55,837,000 class A-SB 'AAAsf'; Outlook Stable; -- $73,478,000 class A-S 'AAAsf'; Outlook Stable; -- $58,784,000 class B 'AA-sf'; Outlook Stable; -- $31,652,000 class C 'A-sf'; Outlook Stable; -- $706,526,000a class X-A 'AAAsf'; Outlook Stable; -- $47,479,000b class D 'BBB-sf'; Outlook Stable; -- $15,826,000b class E 'BBsf'; Outlook Stable; -- $9,043,000b class F 'Bsf'; Outlook Stable; -- $58,784,000ab class X-B 'AA-'; Outlook Stable. a Notional amount and interest-only. b Privately placed pursuant to Rule 144A, Reg D and Reg S. Fitch does not rate the $35,044,517 class G or the $59,913,517 interest-only class X-C. The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership in the trust, primary assets of which are 84 loans secured by 134 commercial properties having an aggregate principal balance of approximately $904,354,517 as of the cutoff date. The loans were contributed to the trust by The Royal Bank of Scotland; Wells Fargo Bank, N.A.; Rialto Mortgage Finance; Liberty Island Group I LLC; C-III Commercial Mortgage LLC; and Basis Real Estate Capital II, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 70% of the properties by balance, cash flow analysis of 77%, and asset summary reviews on 77% of the pool. Key Rating Drivers: Fitch Leverage: This transaction has leverage metrics in line with other recent Fitch-rated fixed-rate deals. The pool's Fitch debt service coverage ratio (DSCR) and loan to value (LTV) are 1.23x and 98.2%, respectively, compared with the first-half of 2013 (1H'13) averages of 1.36x and 99.8%. Hotel and Nontraditional Property Type Concentration: The pool has a 22.2% concentration of hotels, which is higher than the 1H'13 average lodging concentration of 13.8%. Four of the 15 largest loans in the pool are secured by hospitality properties. In addition, 11.5% of the pool is secured by manufactured housing communities, and 10.5% is secured by self-storage properties. Less Amortization: The pool has five interest-only loans (19.4%), including the first and third largest loans, and 14 partial interest loans (25.4%). The pool is scheduled to amortize 13% prior to maturity. Credit Opinion Loans: The largest loan in the pool, Hilton Sandestin Beach & Spa Resort (8.3%), has a Fitch credit opinion of 'BBB-sf' on a stand-alone basis. The loan is secured by a 598-room full-service hotel in Destin, FL. The third largest loan in the pool (6.1%) has a Fitch credit opinion of 'BBBsf' on a stand-alone basis. The loan is secured by Westfield Mission Valley, a 1.6 million-sf (997,549 sf of loan collateral) regional mall and retail strip center located in San Diego, CA. The Westfield Mission Valley loan has a pari passu participation held outside the trust. The servicing of the loan will be governed by the pooling and servicing agreement (PSA) of this transaction. Rating Sensitivities: For this transaction, Fitch's net cash flow (NCF) was 12.13% below the full-year 2012 net operating income (NOI) (for properties for which 2012 NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severity on defaulted loans, and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to WFRBS 2013-C17 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the 'AAAsf' certificates to 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities in the Rating Sensitivity section. The Master Servicer will be Wells Fargo Bank, N.A., rated 'CMS2' by Fitch. The Special Servicer will be Rialto Capital Management LLC rated 'CSS2-' by Fitch. WFRBS COMMERCIAL 2013-UBS1: S&P Gives Prelim. BB Rating on E Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to WFRBS Commercial Mortgage Trust 2013-UBS1's $726.6 million commercial mortgage pass-through certificates series 2013-UBS1. The certificate issuance is a commercial mortgage-backed securities (CMBS) transaction backed by 57 commercial mortgage loans with an aggregate principal balance of $726.6 million, secured by the fee and leasehold interests in 103 properties across 27 states. The preliminary ratings are based on information as of Nov. 19, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect the credit support that the transaction structure provides, 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. PRELIMINARY RATINGS ASSIGNED WFRBS Commercial Mortgage Trust 2013-UBS1 Class Rating Amount (mil. $)(i) A-1 AAA (sf) 27,667,000 A-2 AAA (sf) 158,816,000 A-3 AAA (sf) 130,000,000 A-4 AAA (sf) 154,507,000 A-SB AAA (sf) 37,660,000 A-S AAA (sf) 47,232,000 X-A AAA (sf) 555,882,000(i) X-B AA- (sf) 49,957,000(i) X-C NR 33,607,594(i) B AA-(sf) 49,957,000 C A- (sf) 36,332,000 D BBB- (sf) 33,607,000 E BB (sf) 17,258,000 F B+ (sf) 11,808,000 G NR 21,799,594 (i)Notional balance. NR-Not rated. * Fitch Takes Rating Actions on 99 Classes from 21 SF CDOs ----------------------------------------------------------- Fitch Ratings has upgraded 15 classes and affirmed 84 classes from 21 structured finance collateralized debt obligations (SF CDOs) with exposure to various structured finance assets. Key Rating Drivers: The upgrade of 15 classes from 21 transactions is attributed to a significant deleveraging of their respective capital structures. The resulting increase in the credit enhancement (CE) levels for these classes have offset increased concentration and modest rating deterioration in the underlying portfolios, indicating that these notes are now able to withstand losses at higher rating stresses. For Lakeside CDO I, Ltd. and Mercury CDO 2004-1, Ltd., the benefit of deleveraging over the last year was negated, primarily by the continued writedowns in the underlying portfolio and diminishing excess spread. Consequently, the current CE levels show limited or no improvement in these transactions. As such, four classes from these two transactions were affirmed below the passing ratings indicated by the Structured Finance Portfolio Credit Model (SF PCM) rating loss rate (RLR). For notes with CE levels already exceeded by the expected losses from distressed assets (assets rated 'CCsf' and lower), Fitch believes that the probability of default can be evaluated without factoring potential losses from the performing portion of the portfolios. In the absence of mitigating factors, default for these notes at or prior to maturity appears inevitable. As such, these classes were affirmed at 'Csf'. Finally, the eight classes affirmed at 'Dsf' are non-deferrable classes that have experienced and are expected to continue experiencing interest payment shortfalls. Rating Sensitivities: These transactions have limited sensitivity to further negative migration given the distressed ratings of most of the notes. However, there is potential for non-deferrable classes to be downgraded to 'Dsf' should they experience any interest payment shortfalls. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. None of the transactions have been analyzed within a cash flow model framework, as the impact of structural features and excess spread available to amortize the notes were determined to be minimal. Instead, Fitch compared the CE level of each class to the expected losses from the distressed and defaulted assets in the portfolio (rated 'CCsf' or lower). For 11 transactions where expected losses from distressed assets did not exceed the CE levels of the senior class of notes, Fitch used the SF PCM to project future losses from the transaction's entire portfolio and compared the RLR to the CE levels of the notes. * Fitch Takes Rating Actions on 10 RMBS Alt-A Transactions ---------------------------------------------------------- Fitch Ratings has taken various rating actions on 10 U.S. RMBS Re- REMIC transactions. All of the transactions reviewed contained at least one class on Rating Watch Negative. The Re-REMIC transactions were issued in 2008 and 2009 and are primarily collateralized with Alt-A RMBS securitized between 2005 and 2007. Fitch reviewed 81 classes, 55 of which were on Rating Watch Negative. Of the 26 classes not on Watch Negative, Fitch affirmed 22, upgraded 1 and marked 3 paid in full. Of the 55 classes on Watch Negative, Fitch affirmed 37 and downgraded 18. All classes were removed from Rating Watch Negative. All but one of the classes downgraded held non-investment grade ratings prior to the downgrade. A spreadsheet detailing the actions can be found on Fitch's website at http://is.gd/9rZYGh Key Rating Drivers: Although the delinquency rates of the underlying Alt-A mortgage loans have continued to improve at a stable rate, the bond credit risk has increased for the downgraded Re-REMIC classes. High rates of loan modifications have reduced the interest cashflow available to pay the underlying RMBS, resulting in the redirection of principal collections to pay interest due. The redirection or principal has resulted in accelerated principal writedowns on the underlying RMBS, increasing credit risk for the Re-REMIC classes. All of the RMBS bonds collateralizing the downgraded Re-REMIC classes have defaulted and are currently incurring principal writedowns. Rating Sensitivities: Fitch's analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less-likely to occur. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario. In addition to increasing mortgage pool losses at each rating category to reflect increasingly stressful economic scenarios, Fitch analyzes various loss-timing, prepayment, loan modification, servicer advancing, and interest rate scenarios as part of the cash flow analysis. Each class is analyzed with 43 different combinations of loss, prepayment and interest rate projections. Classes currently rated below 'Bsf' are at-risk to default at some point in the future. As default becomes more imminent, bonds currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and eventually 'Dsf'. The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices to decline further in some regions before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch. Ratings on Re-REMIC classes are also sensitive to changes in servicer behavior. Unexpected changes in servicer advancing, liquidation strategy or modification practices may result in rating changes. * Moody's Takes Action on $891MM of RMBS by Various Issuers ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 38 tranches and downgraded the ratings of 4 tranches from 18 transactions issued by various trusts, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: ABFC Asset-Backed Certificates, Series 2005-HE2 Cl. M-3, Upgraded to B3 (sf); previously on Mar 6, 2013 Upgraded to Caa3 (sf) Issuer: ABFC Asset-Backed Certificates, Series 2005-WMC1 Cl. M-2, Upgraded to Ba1 (sf); previously on Feb 26, 2013 Upgraded to B1 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: Asset Backed Funding Corporation Asset-Backed Certificates, Series 2006-OPT3 Cl. A-1, Downgraded to Caa3 (sf); previously on Jun 3, 2010 Downgraded to Caa2 (sf) Cl. A-2, Downgraded to Caa3 (sf); previously on Jun 3, 2010 Downgraded to Caa2 (sf) Cl. A-3B, Downgraded to Ca (sf); previously on Jun 3, 2010 Downgraded to Caa3 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AQ1 Cl. M-2, Upgraded to B3 (sf); previously on Mar 12, 2013 Affirmed Caa2 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB2 Cl. A2-B, Downgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Issuer: C-BASS Mortgage Loan Trust, Series 2005-CB4 Cl. M-3, Upgraded to B2 (sf); previously on Mar 4, 2013 Upgraded to Caa2 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Mar 4, 2013 Upgraded to Ca (sf) Issuer: Long Beach Mortgage Loan Trust 2004-1 Cl. M-2, Upgraded to Ba1 (sf); previously on Mar 8, 2011 Downgraded to Ba2 (sf) Cl. M-3, Upgraded to B1 (sf); previously on May 2, 2012 Downgraded to B3 (sf) Cl. M-4, Upgraded to B3 (sf); previously on May 2, 2012 Confirmed at Caa2 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Mar 8, 2011 Downgraded to Ca (sf) Issuer: Long Beach Mortgage Loan Trust 2005-1 Cl. M-3, Upgraded to B2 (sf); previously on Feb 26, 2013 Upgraded to Caa2 (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on Feb 26, 2013 Upgraded to Baa3 (sf) Issuer: RASC Series 2005-EMX4 Trust Cl. M-1, Upgraded to Baa3 (sf); previously on Mar 5, 2013 Upgraded to Ba3 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Upgraded to Caa3 (sf) Issuer: RASC Series 2007-KS1 Trust Cl. A-2, Upgraded to B3 (sf); previously on Jul 15, 2011 Downgraded to Caa2 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB4 Cl. A-2B, Upgraded to B2 (sf); previously on Mar 4, 2013 Upgraded to Caa2 (sf) Issuer: RAMP Series 2004-RS2 Trust Cl. A-I-4, Upgraded to Baa3 (sf); previously on Apr 30, 2012 Reinstated to Ba2 (sf) Cl. A-I-5, Upgraded to Baa2 (sf); previously on Apr 30, 2012 Upgraded to Ba1 (sf) Cl. M-I-1, Upgraded to B2 (sf); previously on Apr 30, 2012 Upgraded to Caa2 (sf) Cl. M-II-1, Upgraded to Ba1 (sf); previously on Apr 30, 2012 Upgraded to Ba3 (sf) Issuer: RAMP Series 2004-RS8 Trust Cl. A-I-5, Upgraded to Baa2 (sf); previously on Apr 17, 2012 Upgraded to Ba1 (sf) Cl. A-I-6, Upgraded to Baa1 (sf); previously on Apr 17, 2012 Upgraded to Baa3 (sf) Cl. M-II-1, Upgraded to Ba3 (sf); previously on Mar 30, 2011 Downgraded to B1 (sf) Issuer: RAMP Series 2004-RZ3 Trust Cl. A-I-4, Upgraded to Baa1 (sf); previously on Apr 4, 2012 Confirmed at Ba1 (sf) Cl. A-I-5, Upgraded to Baa3 (sf); previously on Apr 4, 2012 Confirmed at Ba2 (sf) Cl. A-I-6, Upgraded to Baa2 (sf); previously on Apr 4, 2012 Confirmed at Ba1 (sf) Cl. M-I-1, Upgraded to Ba3 (sf); previously on Apr 4, 2012 Upgraded to B3 (sf) Cl. M-I-2, Upgraded to Caa3 (sf); previously on Apr 5, 2011 Downgraded to C (sf) Issuer: RASC Series 2003-KS11 Trust Cl. M-II-1, Upgraded to B2 (sf); previously on Apr 9, 2012 Confirmed at Caa2 (sf) Issuer: RASC Series 2005-KS3 Trust Cl. M-4, Upgraded to Baa1 (sf); previously on Mar 5, 2013 Upgraded to Ba1 (sf) Cl. M-5, Upgraded to B1 (sf); previously on Mar 5, 2013 Upgraded to Caa1 (sf) Cl. M-6, Upgraded to Caa2 (sf); previously on Mar 5, 2013 Upgraded to Ca (sf) Issuer: RASC Series 2005-KS4 Trust Cl. M-2, Upgraded to Ba3 (sf); previously on Mar 5, 2013 Upgraded to B3 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Upgraded to Caa3 (sf) Issuer: RASC Series 2005-KS5 Trust Cl. M-3, Upgraded to A2 (sf); previously on Mar 5, 2013 Upgraded to Baa1 (sf) Cl. M-4, Upgraded to Baa2 (sf); previously on Mar 5, 2013 Upgraded to Ba2 (sf) Cl. M-5, Upgraded to B1 (sf); previously on Mar 5, 2013 Upgraded to Caa1 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Upgraded to Ca (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/or faster pay-down of the bonds due to high prepayments/faster liquidations. The downgrades are a result of deteriorating performance and/or structural features resulting in higher expected losses for the bonds than previously anticipated. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 7.9% in October 2012 to 7.3% in October 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Moody's expects house prices to continue to rise in 2014. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. * Moody's Takes Action on $163MM Alt-A RMBS Issued 2006-2007 ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of 14 tranches backed by Alt-A RMBS loans, issued by three RMBS transactions. Complete rating actions are as follows: Issuer: Lehman Mortgage Trust 2006-3 Cl. 1-A1, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A2, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A4, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A8, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A9, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A10, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 1-A12, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. 3-A1, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. AX, Downgraded to Ca (sf); previously on Dec 22, 2010 Downgraded to Caa3 (sf) Cl. AP, Downgraded to Ca (sf); previously on Jan 14, 2011 Downgraded to Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT 2007-4 Cl. 1-A-5, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa2 (sf) Issuer: Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2007-5 Trust Cl. A-3, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-25, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. A-26, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Ratings Rationale: These actions reflect recent performance of the underlying pools and Moody's updated loss expectations on the pools. The actions on Lehman Mortgage Trust 2006-3 primarily are a result of change in principal and loss waterfall subsequent to subordination depletion, whereby losses and principal payments are generally allocated pro-rata amongst the remaining bonds. The primary source of assumption uncertainty is the uncertainty in Moody's central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 7.9% in October 2012 to 7.3% in October 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the year 2014. Moody's expects house prices to continue to rise in 2014. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. * Moody's Raises Ratings on $242MM of RMBS Issued 2002 to 2005 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of eight tranches issued by five RMBS trusts, backed by Subprime loans. Complete rating actions are as follows: Issuer: Ameriquest Mortgage Securities Inc., Series 2003-8 Cl. M-1, Upgraded to B1 (sf); previously on Mar 29, 2011 Downgraded to B3 (sf) Issuer: Fieldstone Mortgage Investment Trust, 2005-3 Cl. 1-A, Upgraded to Ba2 (sf); previously on Aug 6, 2010 Downgraded to B1 (sf) Cl. 2-A2, Upgraded to B1 (sf); previously on Aug 6, 2010 Downgraded to B3 (sf) Cl. 2-A3, Upgraded to Caa1 (sf); previously on Aug 6, 2010 Downgraded to Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2004-FF11 Cl. M-2, Upgraded to Ba2 (sf); previously on Apr 9, 2012 Upgraded to B1 (sf) Issuer: First Franklin Mortgage Loan Trust 2004-FFH3 Cl. M-2, Upgraded to B1 (sf); previously on Apr 9, 2012 Upgraded to B3 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Apr 9, 2012 Upgraded to Ca (sf) Issuer: Option One Woodbridge Loan Trust 2002-1 Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 18, 2011 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 upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds due to high prepayments/faster liquidations. * S&P Puts 174 Ratings on 44 US CLO Transactions on Watch Positive ------------------------------------------------------------------ Standard & Poor's Ratings Services placed its ratings on 174 tranches from 44 U.S. collateralized loan obligation (CLO) transactions on CreditWatch with positive implications. The affected tranches are from CLO transactions backed by securities issued by corporate obligors. These tranches had an original issuance amount of $ 10.39 billion. The CreditWatch placements are driven by a remarkable increase in the pace of senior note pay downs that S&P has observed recently. The spike in the levels of pay downs has provided additional credit support through increased levels of collateralization across the capital structure for many of the transactions. Out of the 44 transactions, 42 with ratings placed on CreditWatch continue to benefit from deleveraging. One transaction is static while all others have exited their reinvestment period, and the notes have begun to pay down. The remaining two transactions, which are still reinvesting, experienced improved performance in their underlying asset portfolio and will exit their reinvestment period by mid-2014. S&P will resolve the CreditWatch placements after it completes a comprehensive cash flow analysis and committee review for each of the affected transactions. S&P expects to resolve these CreditWatch placements within 90 days. S&P will continue to monitor the CDO transactions it rate and take rating actions, including CreditWatch placements, as it deems appropriate. RATINGS PLACED ON CREDITWATCH POSITIVE AIMCO CLO, Series 2006-A Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-2 notes AA (sf)/Watch Pos AA (sf) ALM Loan Funding 2010-3 Ltd. Rating Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes A+ (sf)/Watch Pos A+ (sf) D notes BBB+ (sf)/Watch Pos BBB+ (sf) AMMC CLO IV Ltd. Rating Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes AA (sf)/Watch Pos AA (sf) D notes BB+ (sf)/Watch Pos BB+ (sf) Apidos CDO IV Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-2 notes AA+ (sf)/Watch Pos AA+ (sf) B notes AA- (sf)/Watch Pos AA- (sf) C notes A- (sf)/Watch Pos A- (sf) D notes BBB- (sf)/Watch Pos BBB- (sf) E notes BB (sf)/Watch Pos BB (sf) Avenue CLO Fund Ltd. Rating Rating Class To From B-1L notes BB+ (sf)/Watch Pos BB+ (sf) Babson Mid-Market CLO Ltd 2007-II Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-2B notes AA+ (sf)/Watch Pos AA+ (sf) B notes AA (sf)/Watch Pos AA (sf) C notes A+ (sf)/Watch Pos A+ (sf) D notes BBB+ (sf)/Watch Pos BBB+ (sf) E notes BB+ (sf)/Watch Pos BB+ (sf) Ballyrock CLO 2006-1 Ltd Rating Rating Class To From C notes AA+ (sf)/Watch Pos AA+ (sf) D notes BBB+ (sf)/Watch Pos BBB+ (sf) E notes BB+ (sf)/Watch Pos BB+ (sf) Black Diamond CLO 2005-2 Ltd Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes A+ (sf)/Watch Pos A+ (sf) D notes BB+ (sf)/Watch Pos BB+ (sf) E-1 notes B- (sf)/Watch Pos B- (sf) E-2 notes B- (sf)/Watch Pos B- (sf) Bristol Bay Funding Ltd. Rating Class To From A-2 notes AA+ (sf)/Watch Pos AA+ (sf) B notes B+ (sf)/Watch Pos B+ (sf) Callidus Debt Partners CLO Fund VII Ltd Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes A+ (sf)/Watch Pos A+ (sf) D notes BBB (sf)/Watch Pos BBB (sf) E notes BB (sf)/Watch Pos BB (sf) CIT CLO 2012-1 Ltd. Rating Rating Class To From B notes AA (sf)/Watch Pos AA (sf) C notes A (sf)/Watch Pos A (sf) Columbus Park CDO Ltd. Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-2 notes AA (sf)/Watch Pos AA (sf) B notes A+ (sf)/Watch Pos A+ (sf) C notes A- (sf)/Watch Pos A- (sf) D notes BBB- (sf)/Watch Pos BBB- (sf) ColumbusNova CLO Ltd 2007-I Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) B notes AA (sf)/Watch Pos AA (sf) C notes A (sf)/Watch Pos A (sf) D notes BBB (sf)/Watch Pos BBB (sf) E notes BB (sf)/Watch Pos BB (sf) Eaton Vance CDO IX Ltd Rating Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes A+ (sf)/Watch Pos A+ (sf) D notes BBB+ (sf)/Watch Pos BBB+ (sf) Essex Park CDO Ltd Rating Rating Class To From D notes BBB+ (sf)/Watch Pos BBB+ (sf) Flagship CLO IV Rating Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes BBB (sf)/Watch Pos BBB (sf) D notes B+ (sf)/Watch Pos B+ (sf) Gallatin CLO III 2007-1 Ltd Rating Rating Class To From A-1L notes AA+ (sf)/Watch Pos AA+ (sf) A-1LR notes AA+ (sf)/Watch Pos AA+ (sf) Golden Knight II CLO Ltd Rating Rating Class To From A notes AA+ (sf)/Watch Pos AA+ (sf) B notes AA- (sf)/Watch Pos AA- (sf) C notes A- (sf)/Watch Pos A- (sf) D notes BBB (sf)/Watch Pos BBB (sf) E notes B+ (sf)/Watch Pos B+ (sf) Golub Capital Partners Funding 2007-1 Ltd Rating Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes A (sf)/Watch Pos A (sf) D notes BBB+ (sf)/Watch Pos BBB+ (sf) GSC Capital Corp Loan Funding 2005-1 Rating Rating Class To From C notes AA+ (sf)/Watch Pos AA+ (sf) D notes AA (sf)/Watch Pos AA (sf) Gulf Stream-Compass CLO 2005-1 Ltd. Rating Rating Class To From C notes AA+ (sf)/Watch Pos AA+ (sf) D notes A- (sf)/Watch Pos A- (sf) Hewett's Island CLO VI Ltd. Rating Rating Class To From A-R notes AA+ (sf)/Watch Pos AA+ (sf) A-T notes AA+ (sf)/Watch Pos AA+ (sf) B notes AA- (sf)/Watch Pos AA- (sf) C notes A (sf)/Watch Pos A (sf) D notes BBB (sf)/Watch Pos BBB (sf) E notes CCC- (sf)/Watch Pos CCC- (sf) Katonah VII CLO Ltd Rating Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes BBB+ (sf)/Watch Pos BBB+ (sf) D notes B+ (sf)/Watch Pos B+ (sf) Kingsland IV Ltd Rating Rating Class To From A-1 notes AA (sf)/Watch Pos AA (sf) A-1R notes AA (sf)/Watch Pos AA (sf) B notes A+ (sf)/Watch Pos A+ (sf) C notes BBB+ (sf)/Watch Pos BBB+ (sf) D notes BB+ (sf)/Watch Pos BB+ (sf) E notes BB (sf)/Watch Pos BB (sf) Kingsland V Ltd Rating Rating Class To From A-1 notes AA (sf)/Watch Pos AA (sf) A-2B notes AA (sf)/Watch Pos AA (sf) A-2R notes AA+ (sf)/Watch Pos AA+ (sf) B notes A+ (sf)/Watch Pos A+ (sf) C notes BBB+ (sf)/Watch Pos BBB+ (sf) D-1 notes BB+ (sf)/Watch Pos BB+ (sf) D-2 notes BB+ (sf)/Watch Pos BB+ (sf) E notes B (sf)/Watch Pos B (sf) KKR Financial CLO 2007-A Ltd Rating Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes A+ (sf)/Watch Pos A+ (sf) D notes BBB+ (sf)/Watch Pos BBB+ (sf) E notes BBB- (sf)/Watch Pos BBB- (sf) F notes BB+ (sf)/Watch Pos BB+ (sf) Landmark VIII CLO Ltd Rating Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes A+ (sf)/Watch Pos A+ (sf) D notes BBB+ (sf)/Watch Pos BBB+ (sf) E notes BB (sf)/Watch Pos BB (sf) Latitude CLO III Ltd. Rating Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes AA (sf)/Watch Pos AA (sf) D notes A (sf)/Watch Pos A (sf) E notes BBB (sf)/Watch Pos BBB (sf) F notes BB (sf)/Watch Pos BB (sf) LightPoint CLO V Ltd Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-2 notes AA (sf)/Watch Pos AA (sf) B notes A (sf)/Watch Pos A (sf) Marathon CLO I Ltd. Rating Rating Class To From D notes A+ (sf)/Watch Pos A+ (sf) Morgan Stanley Investment Management Croton Ltd. Rating Rating Class To From B (Fltg) notes AA+ (sf)/Watch Pos AA+ (sf) B (Fxd) notes AA+ (sf)/Watch Pos AA+ (sf) C notes BBB+ (sf)/Watch Pos BBB+ (sf) D notes B+ (sf)/Watch Pos B+ (sf) E notes CCC- (sf)/Watch Pos CCC- (sf) Nautique Funding Ltd Rating Rating Class To From A-1A notes AA+ (sf)/Watch Pos AA+ (sf) A-1B notes AA+ (sf)/Watch Pos AA+ (sf) A-2A notes AA+ (sf)/Watch Pos AA+ (sf) A-2B notes AA+ (sf)/Watch Pos AA+ (sf) A-3 notes AA (sf)/Watch Pos AA (sf) B-1 notes A (sf)/Watch Pos A (sf) B-2 notes A (sf)/Watch Pos A (sf) C notes BB+ (sf)/Watch Pos BB+ (sf) D notes BB- (sf)/Watch Pos BB- (sf) NewStar Commercial Loan Trust 2006-1 Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-2 notes AA+ (sf)/Watch Pos AA+ (sf) B notes AA (sf)/Watch Pos AA (sf) C notes BBB+ (sf)/Watch Pos BBB+ (sf) D notes B+ (sf)/Watch Pos B+ (sf) E notes CCC+ (sf)/Watch Pos CCC+ (sf) NewStar Commercial Loan Trust 2007-1 Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-2 notes AA+ (sf)/Watch Pos AA+ (sf) B notes AA (sf)/Watch Pos AA (sf) C notes BBB+ (sf)/Watch Pos BBB+ (sf) D notes BB- (sf)/Watch Pos BB- (sf) E notes CCC- (sf)/Watch Pos CCC- (sf) Northwoods Capital VI Ltd. Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-2 notes AA (sf)/Watch Pos AA (sf) B notes A (sf)/Watch Pos A (sf) C notes BB (sf)/Watch Pos BB (sf) Octagon Investment Partners IX Ltd. Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-2 notes AA (sf)/Watch Pos AA (sf) B notes A (sf)/Watch Pos A (sf) C notes BBB (sf)/Watch Pos BBB (sf) Octagon Investment Partners V Ltd. Rating Rating Class To From B notes AA (sf)/Watch Pos AA (sf) C-1 notes BBB (sf)/Watch Pos BBB (sf) C-2 notes BBB (sf)/Watch Pos BBB (sf) D notes BB+ (sf)/Watch Pos BB+ (sf) OFSI Fund III Ltd. Rating Rating Class To From B notes AA+ (sf)/Watch Pos AA+ (sf) C notes A+ (sf)/Watch Pos A+ (sf) D notes BBB+ (sf)/Watch Pos BBB+ (sf) E-1 notes CCC+ (sf)/Watch Pos CCC+ (sf) E-2 notes CCC+ (sf)/Watch Pos CCC+ (sf) One Wall Street CLO II Ltd. Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-2 notes AA+ (sf)/Watch Pos AA+ (sf) B notes A+ (sf)/Watch Pos A+ (sf) C notes BBB+ (sf)/Watch Pos BBB+ (sf) D notes BB+ (sf)/Watch Pos BB+ (sf) E notes CCC+ (sf)/Watch Pos CCC+ (sf) Plymouth Rock CLO Ltd. Rating Rating Class To From B notes A+ (sf)/Watch Pos A+ (sf) Red River CLO Ltd Rating Rating Class To From A notes AA+ (sf)/Watch Pos AA+ (sf) B notes AA (sf)/Watch Pos AA (sf) C notes A (sf)/Watch Pos A (sf) D notes BB+ (sf)/Watch Pos BB+ (sf) Silverado CLO 2006-I Ltd. Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-1-J notes AA+ (sf)/Watch Pos AA+ (sf) A-2 notes AA (sf)/Watch Pos AA (sf) B notes A (sf)/Watch Pos A (sf) C notes BBB (sf)/Watch Pos BBB (sf) SPF CDO I Ltd. Rating Rating Class To From A-1 notes AA+ (sf)/Watch Pos AA+ (sf) A-2 notes AA+ (sf)/Watch Pos AA+ (sf) B notes AA (sf)/Watch Pos AA (sf) C notes A (sf)/Watch Pos A (sf) D notes BBB (sf)/Watch Pos BBB (sf) Venture II CDO 2002 Ltd. Rating Rating Class To From C notes CCC- (sf)/Watch Pos CCC- (sf) ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers" public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com/ On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. For copies of court documents filed in the District of Delaware, please contact Vito at Parcels, Inc., at 302-658-9911. For bankruptcy documents filed in cases pending outside the District of Delaware, contact Ken Troubh at Nationwide Research & Consulting at 207/791-2852. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors" Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, 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 ***