/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/131222.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, December 22, 2013, Vol. 17, No. 354 Headlines ACA ABS 2004-1: Moody's Hikes Rating on $49MM Notes to Ba3 AIRSPEED LTD 2007-1: Moody's Cuts Class G-1 Notes Rating to Ba1 ALLEGRO CLO I: S&P Assigns Prelim. BB Rating on Class D Notes AMERICAN CREDIT: S&P Affirms 'BB' Ratings on 4 Note Classes ANTHRACITE CDO I: Fitch Hikes $43.8MM Class F Notes Rating to BB ARES XX CLO: Moody's Hikes $12MM Class D Notes Rating From 'Ba1' AVENTURA MALL 2013-AVM: Moody's Rates Class E Notes 'Ba2' BABSON CLO 2013-II: S&P Assigns 'BB' Rating on Class D Notes BANC OF AMERICA 2002-X1: Moody's Affirms Caa3 Rating on XC Certs BEAR STEARNS 2002-TOP6: Moody's Hikes Class J Notes Rating to B3 BEAR STEARNS 2005-TOP18: Fitch Affirms BB Rating on $12.6MM Notes CHL MORTGAGE 2007-2: Moody's Cuts Rating on Cl. A-18 Notes to Caa2 CREDIT SUISSE 2007-C1: Moody's Affirms C Ratings on 4 Note Classes CREDIT SUISSE 2007-C3: S&P Affirms 'CCC' Rating on Class B Notes CVP CASCADE: S&P Assigns Prelim. 'BB' Rating on Class D Notes DIAMOND LAKE: S&P Affirms 'BB-' Rating on Class B-2L Notes DUANE STREET CLO: Moody's Affirms Ba2 Rating on $14MM Notes Rating FOUR CORNERS CLO II: S&P Raises Rating on Class E Notes to 'B-' FREMONT HOME 2006-A: Moody's Reviews $55MM RMBS for Downgrade GANNETT PEAK: Moody's Affirms B1 Ratings on 2 Note Classes GMAC COMMERCIAL 1997-C2: Moody's Affirms 'C' Rating on Cl. H Notes GMAC COMMERCIAL 2003-C2: S&P Lowers Rating on Class J Notes to D GREENWICH CAPITAL 2005-GG3: Moody's Ups Cl. D Notes Rating to Ba3 HEWETTS ISLAND V: Moody's Ups Rating on Cl. E Notes Rating to Ba2 JFIN REVOLVER: S&P Assigns Prelim. BB Rating on Class E Notes JP MORGAN 2005-LDP5: Moody's Affirms 'Ba1' Rating on Cl. F Notes JP MORGAN 2007-LDP12: Fitch Lowers Ratings on 2 Cert. Classes JP MORGAN 2011-C3: S&P Affirms 'BB+' Rating on Class H Notes HIGHBRIDGE LOAN: S&P Assigns Prelim. BB Rating on Class D Notes LB-UBS COMMERCIAL 2001-C2: Moody's Cuts Cl. X Notes Rating to C LB-UBS COMMERCIAL 2002-C2: Moody's Cuts X-CL Notes Rating to C MERCER FIELD: Fitch Affirms BB Rating on $60.48MM Cl. E Notes MERRILL LYNCH 1997-C1: Moody's Affirms Caa3 Rating on Cl. IO Notes MERRILL LYNCH 2006-CA: Moody's Affirms Ba1 Rating on Class F Notes ML-CFC COMMERCIAL 2006-4: Moody's Affirms B3 Rating on AJ Notes MORGAN STANLEY 2003-HQ2: Moody's Cuts Rating on X-1 Certs to Caa2 MORGAN STANLEY 2008-TOP29: Fitch Cuts Rating on $1.5MM Notes to CC MORGAN STANLEY 2011-C1: S&P Affirms BB+ Rating on Class F Notes NANTUCKET CLO I: S&P Affirms 'B+' Rating on Class E Notes OCTAGON INVESTMENT: S&P Assigns 'BB' Rating on Class D Notes OZLM FUNDING V: S&P Assigns 'BB' Rating on Class D Notes RICHLAND TOWERS 2013-1: Fitch Rates $2.65MM Cl. B Notes 'BB-sf' STANFIELD CLO: Moody's Lowers Rating on Cl. D-1 Notes to C(sf) STEERS 2004-1: Moody's Confirms B1 Rating on $19MM Certificates UNITED AUTO 2012-1: S&P Affirms 'BB' Rating on Class E Notes VENTERRA RE: S&P Assigns Prelim. 'BB' Rating on Class A Notes VENTURE XV: Moody's Rates $34.2MM Class E Notes 'Ba3' WACHOVIA BANK 2002-C1: Moody's Ups Class N Notes Rating to Ba1 WACHOVIA BANK 2005-WHALE 6: Moody's Cuts K Notes Rating to Caa3 WACHOVIA BANK 2006-C27: S&P Affirms CCC Rating on Class B Notes WACHOVIA BANK 2006-C28: S&P Lowers Rating on Class D Notes to CCC- WHITEHORSE III: Moody's Hikes Rating on Cl. B-2L Notes From Ba1 * Fitch Takes Various Rating Actions on 122 Notes From 20 SF CDOs * Moody's Hikes Ratings on $74MM of Subprime RMBS Issued on 2004 * Moody's Lowers Ratings on $98MM of RMBS Issued 2003-2007 ********* ACA ABS 2004-1: Moody's Hikes Rating on $49MM Notes to Ba3 ---------------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating of the following notes issued by ACA ABS 2004-1, Ltd.: U.S.$49,500,000 Class A-2 Senior Secured Floating Rate Notes Due July 16, 2039 (current outstanding balance of $22,819,034) , Upgraded to Ba3 (sf); previously on June 6, 2013 Upgraded to B3 (sf) Ratings Rationale: According to Moody's, the rating action taken on the notes is primarily a result of delevering of the senior notes and an increase in the Class A-2 overcollateralization ratio since the last rating action in June 2013. Moody's notes that the Class A-2 Notes have been paid down by approximately 43.2% or $17.4 million since the last rating action. Based on the latest trustee report dated October 30th, 2013 the Moody's calculated Class A-2 overcollateralization ratio is 245.4%, versus June 2013 level of 171.7%. ACA ABS 2004-1, Ltd., issued in May 2004, is a collateralized debt obligation issuance backed by a portfolio of primarily Residential Mortgage-Backed Securities (RMBS) and CRE CDOs. Factors That Would Lead To an Upgrade or Downgrade of the Rating Moody's notes that this transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: Primary sources of assumption uncertainty are the extent of the slowdown in growth in the current macroeconomic environment and the commercial and residential real estate property markets. While commercial real estate property markets are gaining momentum, a consistent upward trend will not be evident until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. Among the uncertainties in the residential real estate property market are those surrounding future housing prices, pace of residential mortgage foreclosures, loan modification and refinancing, unemployment rate and interest rates. Loss and Cash Flow Analysis Moody's applied the Monte Carlo simulation framework within Moody's CDOROMv2.10-15(R) to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool. Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the Moody's CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model . The cash-flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario. Moody's rating action factors in a number of sensitivity analyses and stress scenarios, discussed below. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal: Assets notched up by 2 rating notches: Class A-2: 0 Class B: 0 Class C-1: 0 Class C-2: 0 Assets notched down by 2 rating notches: Class A-2: -2 Class B: 0 Class C-1: 0 Class C-2: 0 AIRSPEED LTD 2007-1: Moody's Cuts Class G-1 Notes Rating to Ba1 --------------------------------------------------------------- Moody's has downgraded the rating of the Series 2007-1 Class G-1 Notes issued by Airspeed Limited. The complete rating action is as follows: Issuer: Airspeed Limited, Series 2007-1 Cl. G-1, Downgraded to Ba1 (sf); previously on Aug 20, 2013 Downgraded to Baa2 (sf) and Placed Under Review for Possible Downgrade Ratings Rationale: The downgrade reflects the continued high loan to value ratio (LTV) of the Class G Notes and Moody's expectation about the pace of future note amortization. During 2012 and 2011, aircraft values declined slightly more than the Class G-1 note amortized, and the LTV is now in the mid-80% range. 2013 amortization has been somewhat stronger, but Moody's expects the LTV to improve only slowly in the coming years. The outstanding combined Class G note balance is currently lagging the Expected Target Principal Balance by approximately $165 million; this differential increased by $23 million over the last 12 months. In its analysis, Moody's considered future prospects for lease income based on recent market lease rate trends, the servicer's remarketing activities, and the deal's fleet characteristics. The portfolio consists of narrowbody aircraft with a 50% concentration in Boeing 737-800s. The remainder of the portfolio consists of Boeing 737-700, Airbus A319, A320, A321 and A330 aircraft. 66% of the aircraft were manufactured between 2003 and 2005 and the rest of the aircraft were manufactured between 1999 through 2002. The weighted average age of the fleet is 10 years. Moody's notes that Class G-1 in this transaction is wrapped by Ambac Assurance Corporation (unrated) and the current rating reflects Moody's policy of rating to the higher of the financial guarantor rating and the underlying rating. Primary sources of uncertainty include the global economic environment, aircraft lease income generating ability, aircraft maintenance and other expenses to the trust, and valuation for the aircraft backing the transaction. Factors that would lead to an upgrade or downgrade of the rating -- Changes to lease rates or aircraft values that differ from historical trends. ALLEGRO CLO I: S&P Assigns Prelim. BB Rating on Class D Notes ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Allegro CLO I Ltd./Allegro CLO I LLC's $324.10 million floating-rate notes. The note issuance is backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Dec. 13, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy-remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which 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 0.26%-12.78%. -- 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 will benefit from a reinvestment overcollateralization test, a failure of which will lead to the reclassification of principal proceeds of up to 50% of the excess interest proceeds that are available before paying uncapped administrative expenses and fees, hedge payments, incentive management fees, and subordinate note payments. However, since the test has a junior priority to the cumulative uncapped subordinated manager fees, S&P's stress scenarios did not give credit to this feature. -- The weighted average recovery rates in the identified portfolio are below the minimum weighted average recovery rates covenanted to in the transaction documents. However, the target pool presented to Standard & Poor's for its analysis represents that the portfolio will satisfy the minimum covenanted weighted average recovery rates. If the collateral manager is unable to acquire portfolio collateral during the ramp-up period with characteristics similar to the unidentified collateral in the target portfolio, the break-even default rates (BDRs) may decrease and the cushion outlined in the preliminary ratings table -- the difference between the BDRs and the scenario default rates -- could be diminished. If this difference becomes negative, S&P may not affirm the ratings on the effective date. PRELIMINARY RATINGS ASSIGNED Allegro CLO I Ltd./Allegro CLO I LLC Class Rating Amount (mil. $) A-1 AAA (sf) 213.80 A-2 AA (sf) 45.70 B (deferrable) A (sf) 28.50 C (deferrable) BBB (sf) 19.10 D (deferrable) BB (sf) 17.00 Subordinate notes NR 45.25 NR-Not rated. AMERICAN CREDIT: S&P Affirms 'BB' Ratings on 4 Note Classes ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on 10 classes of notes from American Credit Acceptance Receivables Trust 2011-1, 2012-1, and 2012-2. In addition, S&P affirmed its ratings on the remaining 14 classes of notes from American Credit Acceptance Receivables Trust 2012-1, 2012-2, 2012-3, 2013-1, and 2013-2. The rating actions reflect the transactions' collateral performance to date, S&P's views regarding future collateral performance, its current economic forecast, the transactions' structures, and the credit enhancement available. In addition, S&P incorporated secondary credit factors into its analysis such as credit stability, payment priorities under certain scenarios, and sector- and issuer-specific analysis. Considering all these factors, S&P believes the creditworthiness of the notes remains consistent with the raised and affirmed ratings. Since the transactions closed, the credit support for each series has increased as a percent of the amortizing pool balance. In addition to a non-amortizing reserve account with a higher overcollateralization (O/C) percentage, subordination (as a percent of the current pool balance) for the higher classes has increased due to the sequential pay structure. Cumulative lifetime losses are also increasing and are projected to be higher for series 2012-1 and 2012-2. S&P is raising or affirming the outstanding ratings because, in its opinion, the total credit support (as a percentage of the amortizing pool balance), compared with its revised expected remaining losses, is adequate for the raised and affirmed ratings, even with higher revised loss expectations for series 2012-1, 2012-2, and series 2012-3 (which was tested at similar loss levels). S&P has limited its ratings on the senior classes to 'AA' to reflect certain limitations that, when taken as a whole, S&P believes weigh against assigning a rating above 'AA'. ACA underwrites two lines of auto loans: ACA Indirect and Auto Finance (AF). Each line has different collateral loan characteristics: the AF-originated loans have higher annual percentage rates (APRs) and vehicle mileage than the ACA Indirect loans, as well as lower original loan terms and average loan balances. ACA Indirect also includes a large percentage of contracts from Carmax-affiliated dealers, which S&P expects to be somewhat stronger than the remainder of ACA Indirect's originations. The percent of Carmax-affiliated loans increased in each subsequent transaction to about 55% of the series 2013-1 pool at close from about 16% of the series 2011-1 pool, but decreased to 49% of the series 2013-2 pool. While series 2011-1's loss performance continues to trend in-line with S&P's initial expectations, it has adjusted its loss expectation for both series 2012-1 and 2012-2 as each are projecting worse than our initial expectations. Although S&P is not adjusting our loss number on series 2012-3 at this time, S&P believes that early indications project the transaction to perform at similar loss levels to series 2012-1 and 2012-2. S&P tested the transaction at the higher loss levels, and loss coverage levels remain adequate for its affirmed ratings. Series 2013-1 and 2013-2 have only seven and three months of performance, respectively, and S&P is not revising its loss expectations at this time. To derive the expected loss for each transaction, S&P analyzed loss projections by the two collateral pool segments, ACA Indirect and AF loans. S&P also examined the Carmax subset of the ACA Indirect portion of each transaction's pool to arrive at S&P's revised lifetime loss expectations for the total pools. Table 1 Collateral Performance And CNL Expectations(%) As of the November 2013 distribution month Pool 60-plus day Current Series Mo. factor delinquent CNL 2011-1 25 24.90 7.99 15.90 2012-1 21 33.82 9.99 20.92 2012-2 16 51.29 8.93 15.47 2012-3 11 66.09 9.10 10.81 2013-1 7 81.59 8.41 5.42 2013-2 3 94.49 4.63 0.68 CNL--cumulative net loss expectations. Mo.--month. Table 2 CNL Expectations (%) As of the November 2013 distribution month Initial Revised lifetime lifetime Series CNL exp. CNL exp. 2011-1 19.00-19.50 19.00-19.50 2012-1 21.50-22.00 27.50-28.50 2012-2 21.50-22.00 27.25-28.25 2012-3 21.65-22.15 N/A 2013-1 21.15-21.65 N/A 2013-2 22.70-23.20 N/A CNL exp.--Cumulative net loss expectations. N/A -- Not applicable. Each transaction has a sequential principal payment structure with credit enhancement consisting of O/C, a non-amortizing reserve account of 2%, subordination for the higher-rated classes, and excess spread. Each transaction is also structured with a monthly cumulative net loss (CNL) trigger that, if breached, would result in a higher O/C target. Currently, all of the transactions are below the CNL trigger levels. Each transaction is structured with an O/C target as a percent of the current pool balance and a floor of 1% of the initial pool balance, except for series 2011-1, which has a 0.5% O/C floor. Series 2012-1, 2012-2, 2012-3, and 2013-1 are currently slightly below their respective O/C target levels, but overall credit enhancement continues to grow for the higher tranches as a percent of their current pool balances. S&P also expects the junior-most tranches' credit support for each transaction to remain stable or grow over time as a percent of the current pool balance, given the revised loss expectations. Table 3 Hard Credit Support (%) As of the November 2013 distribution month Current Total hard total hard credit support credit support(i) Class at issuance(i) (% of current) 2011-1 A 27.79 94.96 B 24.62 82.27 C 16.00 47.65 D 9.00 19.53 2012-1 A 33.38 86.31 B 29.11 73.69 C 19.80 46.18 D 10.50 18.68 2012-2 A 33.37 61.72 B 29.10 53.40 C 19.80 35.26 D 10.50 17.13 2012-3 A 33.37 50.81 B 29.12 44.38 C 19.81 30.29 D 10.50 16.20 2013-1 A 32.37 41.62 B 27.01 35.06 C 18.53 24.66 D 10.50 14.82 2013-2 A 48.25 53.98 B 31.75 36.52 C 21.50 25.67 D 12.00 15.62 (i) Consists of overcollateralization, reserve account, as well as subordination for the higher tranches, and excludes excess spread that can also provide additional enhancement. "Our review of the transactions incorporated cash flow analysis, which included current and historical performance to estimate future performance. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. Aside from our break-even cash flow analysis, we also conducted sensitivity analysis to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses were to begin trending higher than our revised base-case loss expectation. Our results show the raised and affirmed ratings are consistent with our rating stability criteria, which outline the outer bound of credit deterioration for any given security under specific, hypothetical stress scenarios. The results demonstrated, in our view, that all of the classes from these transactions have adequate credit enhancement at their respective raised and affirmed rating levels," S&P said. S&P will continue to monitor the performance of all of the outstanding transactions to ensure that the credit enhancement remains sufficient, in its view, to cover its revised CNL expectations under our stress scenarios for each of the rated classes. RATINGS RAISED American Credit Acceptance Receivables Trust Series Class To From 2011-1 A-3 AA (sf) A+ (sf) 2011-1 B AA- (sf) A (sf) 2011-1 C A+ (sf) BBB (sf) 2011-1 D BBB (sf) BB (sf) 2012-1 A-2 AA (sf) A+ (sf) 2012-1 B AA- (sf) A (sf) 2012-1 C A+ (sf) BBB (sf) 2012-2 A AA (sf) A+ (sf) 2012-2 B AA- (sf) A (sf) 2012-2 C BBB+ (sf) BBB (sf) RATINGS AFFIRMED American Credit Acceptance Receivables Trust Series Class Rating 2012-1 D BB (sf) 2012-2 D BB (sf) 2012-3 A A+ (sf) 2012-3 B A (sf) 2012-3 C BBB (sf) 2012-3 D BB (sf) 2013-1 A A+ (sf) 2013-1 B A (sf) 2013-1 C BBB (sf) 2013-1 D BB (sf) 2013-2 A AA (sf) 2013-2 B A (sf) 2013-2 C BBB (sf) 2013-2 D BB (sf) ANTHRACITE CDO I: Fitch Hikes $43.8MM Class F Notes Rating to BB ---------------------------------------------------------------- Fitch Ratings has upgraded five classes issued by Anthracite CDO I Ltd./Corp. Key Rating Drivers: The rating actions are a result of positive credit migration and de-leveraging of the capital structure offsetting the negative credit migration of the underlying collateral. Since Fitch's last rating action in December 2012, approximately 14.7% of the underlying collateral has been upgraded and 4.9% has been downgraded. Currently, 50.8% of the portfolio has a Fitch derived rating below investment grade and 38.0% has a rating in the 'CCC' category and below, compared to 49.3% and 32.7%, respectively, at the time of the last rating action. Over this period, the transaction has received $113 million in paydowns. This resulted in the full payment of the class A, B and C notes and $30.5 million in pay down to the class D notes. This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Based on this analysis, the class D through F notes' breakeven rates are generally consistent with the ratings assigned below. Rating Sensitivities: The Stable Outlook on the class D through F notes reflects Fitch's view that the transaction will continue to delever. Anthracite CDO I is a static cash flow commercial real estate collateralized debt obligation (CRE CDO) that closed on May 29, 2002. The collateral is composed of 100% of commercial mortgage mortgage-backed securities (CMBS) from the 1998 through 2003 vintages. Fitch has affirmed the following classes and revises the Rating Outlooks as indicated below: -- $222,246 class D upgraded to 'Asf' from 'BBBsf'; Outlook Stable; -- $207,730 class D-FL upgraded to 'Asf' from 'BBBsf'; Outlook Stable; -- $20,506,000 class E upgraded to 'BBBsf' from 'BBsf'; Outlook to Stable from Negative; -- $4,000,000 class E-FL upgraded to 'BBBsf' from 'BBsf'; Outlook to Stable from Negative; -- $43,853,000 class F upgraded to 'BBsf' from 'Bsf'; Outlook to Stable from Negative. ARES XX CLO: Moody's Hikes $12MM Class D Notes Rating From 'Ba1' ---------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of the following notes issued by Ares XX CLO, Ltd.: U.S.$19,500,000 Class C Floating Rate Notes Due December 6, 2017, Upgraded to Aa2 (sf); previously on August 6, 2013 Upgraded to A1 (sf) U.S.$12,000,000 Class D Floating Rate Notes Due December 6, 2017, Upgraded to Baa2 (sf); previously on August 6, 2013 Upgraded to Ba1 (sf) Moody's also affirmed the ratings of the following notes: U.S. $186,500,000 Class A-1 Floating Rate Notes Due December 6, 2017 (current outstanding balance of $20,118,332), Affirmed Aaa (sf); previously on August 6, 2013 Affirmed Aaa (sf) U.S. $100,000,000 Class A-2 Floating Rate Notes Due December 6, 2017 (current outstanding balance of $10,787,310), Affirmed Aaa (sf); previously on August 6, 2013 Affirmed Aaa (sf) U.S. $75,000,000 Class A-3a Floating Rate Notes Due December 6, 2017 (current outstanding balance of $507,403), Affirmed Aaa (sf); previously on August 6, 2013 Affirmed Aaa (sf) U.S. $8,500,000 Class A-3b Floating Rate Notes Due December 6, 2017, Affirmed Aaa (sf); previously on August 6, 2013 Affirmed Aaa (sf) U.S. $30,000,000 Class A-4 Floating Rate Notes Due December 6, 2017, Affirmed Aaa (sf); previously on August 6, 2013 Affirmed Aaa (sf) U.S. $28,000,000 Class B Floating Rate Notes Due December 6, 2017, Affirmed Aaa (sf); previously on August 6, 2013 Affirmed Aaa (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the last rating action in August 2013. Moody's notes that the Class A-1, A-2 and A-3a Notes have been paid down by approximately 48.5% or $26.6 million since August 2013. Based on the latest trustee report dated November 14, 2013, the Class A, B, C and D overcollateralization ratios are reported at 215.9%, 154.1%, 128.5% and 116.6%, respectively, versus July 2013 levels of 154.1%, 129.8%, 117.0% and 110.3%, respectively. Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the November 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 11.4% of the underlying portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Ares XX CLO, Ltd., issued in December 2005, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Factors That Would Lead To an Upgrade or Downgrade of the Rating Moody's notes that this transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: CLO performance may be negatively impacted by a) uncertainties of credit conditions in the general economy and b) the large concentration of upcoming speculative- grade debt maturities which may create challenges for issuers to refinance. 2) Collateral credit risk: A shift towards holding collateral of better credit quality, or better than expected credit performance of the underlying assets collateralizing the transaction, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the underlying collateral can have adverse consequences for CLO performance. 3) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO 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. Faster than expected note repayment will usually have a positive impact on CLO notes, beginning with those having the highest payment priority. 4) 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. 5) 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. 6) Collateral Manager: Performance may also be impacted, either positively or negatively, by a) the manager's investment strategy and behavior and b) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Loss and Cash Flow Analysis Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique. 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 $150.6 million, defaulted par of $4.5 million, a weighted average default probability of 14.65% (implying a WARF of 2542), a weighted average recovery rate upon default of 51.5%, and a diversity score of 32. The default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also factors. 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% (2034) Class A-1: 0 Class A-2: 0 Class A-3a: 0 Class A-3b: 0 Class A-4: 0 Class B: 0 Class C: +1 Class D: +3 Moody's Adjusted WARF + 20% (3050) Class A-1: 0 Class A-2: 0 Class A-3a: 0 Class A-3b: 0 Class A-4: 0 Class B: 0 Class C: -2 Class D: -1 AVENTURA MALL 2013-AVM: Moody's Rates Class E Notes 'Ba2' --------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seven classes of commercial mortgage pass-through certificates, issued by Aventura Mall Trust 2013-AVM. Cl. A, Assigned (P)Aaa (sf) Cl. X-A*, Assigned (P)Aaa (sf) Cl. X-B*, Assigned (P)Aa3 (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba2 (sf) * Interest-Only Classes Ratings Rationale: The Certificates are collateralized by a single loan backed by a first lien commercial mortgage related to one regional mall. The borrower underlying the mortgage is a special-purpose entity (SPE), Aventura Mall Venture (G.P.). The ratings are based on the collateral and the structure of the transaction. Moody's rating approach for securities backed by a single loan compares the credit risk inherent in the underlying property with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The Aventura Mall loan is secured by the Borrower's fee simple interest in approximately 1,004,103SF contained within a 2,087,343 SF, three-level regional mall. The mall contains six anchors comprised of Macy's (254,539 SF), Bloomingdale's (251,831 SF), Macy's Men's and Home (225,000 SF), JC Penney (193,759 SF), Nordstrom (167,000 SF) and Sears (191,809 SF). The collateral for the loan includes the JC Penney anchor space and the pad sites ground leased to Macy's, Bloomingdale's, Macy's Men's and Home, and Nordstrom. The improvements and land associated with the Sears box are owned by the respective tenant and are not contributed as loan collateral. The Property was originally developed in 1983 at Biscayne Boulevard (US Highway 1) and William Lehman Causeway (State Highway 856), approximately one mile east of Interstate 95 in Aventura, FL. Subsequent renovations occurred during 1997, 1998, and most recently in 2006 with the addition of the Nordstrom. As of September 2013, the Property (including non-collateral space) was approximately 99.5% occupied by 232 tenants. The Property has a large mix of luxury and mass market tenants that appeal to a wide variety of shoppers. Notable national tenants in occupancy include a 24-screen AMC Theatres, Cheesecake Factory, Apple, Forever 21, H&M, Victoria Secret, Banana Republic, Abercrombie & Fitch as well as luxury tenants such Burberry, Louis Vuitton, Cartier, Tiffany & Co., and Henri Bendel. The credit risk of the loan is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by the DSCR, and 2) Moody's assessment of the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. Moody's Trust LTV Ratio of 83.4% is in-line with other fixed-rate single-property loans that have previously been assigned an underlying rating of Ba2. The Moody's Trust Actual DSCR of 2.24X (amortizing) and Moody's Stressed Trust DSCR of 0.91X are considered to be in-line with other Moody's rated loans of similar respective leverages. Moody's review incorporated the use of the excel-based Large Loan Model v8.6. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis also uses the CMBS IO calculator v1.0 which references the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. The V Score for this transaction is assessed as Medium, the same as the V score assigned to the U.S. Single Borrower CMBS sector. This reflects typical volatility with respect to the critical assumptions used in the rating process as well as an average disclosure of securitization collateral and ongoing performance. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches). Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 16%, or 25%, the model-indicated rating for the currently rated Aaa class would be Aa1, A1, or Baa2, respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. Factors that Would Lead to an Upgrade or Downgrade of the Rating The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. BABSON CLO 2013-II: S&P Assigns 'BB' Rating on Class D Notes ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its 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 ratings reflect: -- 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 0.24%-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. RATINGS ASSIGNED Babson CLO Ltd. 2013-II/Babson CLO 2013-II LLC Class Rating Amount (mil. $) A-1 AAA (sf) 415.000 A-2 AA (sf) 97.000 B-1 (deferrable) A (sf) 32.000 B-2 (deferrable) A (sf) 16.000 C (deferrable) BBB (sf) 38.000 D (deferrable) BB (sf) 29.000 E (deferrable) B (sf) 10.000 Subordinated notes NR 60.725 NR--Not rated. BANC OF AMERICA 2002-X1: Moody's Affirms Caa3 Rating on XC Certs ---------------------------------------------------------------- Moody's Investors Service affirmed the rating of one class of Banc of America Structured Securities Trust, Commercial Mortgage Pass- Through Certificates, Series 2002-X1 as follows: Cl. XC, Affirmed Caa3 (sf); previously on Feb 21, 2013 Affirmed Caa3 (sf) Ratings Rationale: The rating of the IO Class is consistent with the expected credit performance (or the weighted average rating factor or WARF) of its referenced classes and thus is affirmed. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Description of Models Used: Moody's review utilized 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. Other concentrations and correlations may be considered in our 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. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 3 compared to 4 at prior review. In cases where the Herf falls below 20, Moody's uses the excel- based Large Loan Model v 8.6 and then reconciles and weights the results from the Conduit and Large Loan 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. Deal Performance: As of the November 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $7 million from $419 million at securitization. The Certificates are collateralized by seven mortgage loans ranging in size from less than 1% to 39% of the pool. The pool does not contain any defeased loans or loans with investment grade credit assessments. One loan, representing 39% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of our 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 at a loss from the pool, resulting in an aggregate realized loss of $13 million (34% loss severity on average). One loan, representing 7.7% of the pool, is currently in special servicing. The specially serviced loan is the Franklin Coffey Estates Loan ($567 thousand -- 7.7% of the pool), which is secured by a 51-unit low income multifamily housing complex located approximately 100 miles north of Jackson, Mississippi in Itta Bena, Mississippi. The loan transferred to special servicing in July 2010 due to imminent default. The property is 82% leased as of May 2013. The servicer is attempting to sell the property. The servicer has recognized a $297 thousand appraisal reduction for the specially serviced loan. Moody's was provided with full year 2012 and full or partial year 2013 operating results for 100% of the pool. Moody's weighted average conduit LTV is 76% compared to 58% at Moody's prior review. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 16% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.7%. Moody's actual and stressed conduit DSCRs are 1.43X and 1.97X, respectively, compared to 1.43X and 2.17X at prior review. Moody's actual DSCR is based on Moody's 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. Moody's stressed conduit DSCR is greater than Moody's actual conduit DSCR for this transaction because the actual loan constant is greater than Moody's 9.25% stressed rate. The top three conduit loans represent 83% of the pool balance. The largest loan is the Comfort Inn- Palm Springs, CA Loan ($2.87 million -- 39.1% of the pool), which is secured by a 129-room limited-service hotel located in Palm Springs, California. The collateral is subject to a ground lease that expires in November 2024. The loan was in special servicing at last review, but has since been modified and returned to the master servicer. The modification extended the loan's maturity to October 1, 2017, reduced the loan's coupon rate and forgave approximately $228 thousand of principal. In exchange for the modification terms the borrower paid down the principal by almost $1 million. Moody's LTV and stressed DSCR are 111% and 1.17X, respectively, compared to 160% and 0.81X at last review. The second largest conduit loan is the Pennsylvania Place Apartments Loan ($2.68 million -- 36.5% of the pool), which is secured by a 152-unit multifamily property located in Forth Worth, Texas. The property was 96% leased as of September 2013 compared to 94% as of December 2012. Moody's LTV and stressed DSCR are 60% and 1.72X, respectively, compared to 70% and 1.47X at last review. The third largest conduit loan is the Madison Parkway Apartments Loan ($551 thousand -- 7.5% of the pool), which is secured by a 32-unit multi-family property located in Plainfield, New Jersey. The loan is fully amortizing and has amortized 43% since securitization. The property is fully leased as of December 2012, which is the same as at last review. The current loan exposure is approximately $17,000 per unit. Moody's LTV and stressed DSCR are 21% and 5.38X, respectively, compared to 26% and 4.22X at last review. BEAR STEARNS 2002-TOP6: Moody's Hikes Class J Notes Rating to B3 ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of four classes and affirmed three classes of Bear Stearns Commercial Mortgage Securities Trust 2002-TOP6, Commercial Mortgage Pass-Through Certificates, Series 2002-TOP6 as follows: Cl. E, Upgraded to Aaa (sf); previously on Apr 18, 2013 Upgraded to Aa3 (sf) Cl. F, Upgraded to Aa2 (sf); previously on Apr 18, 2013 Upgraded to A1 (sf) Cl. G, Upgraded to A2 (sf); previously on Apr 18, 2013 Upgraded to Baa1 (sf) Cl. H, Upgraded to Baa2 (sf); previously on Apr 18, 2013 Upgraded to Ba1 (sf) Cl. J, Affirmed B3 (sf); previously on Apr 18, 2013 Upgraded to B3 (sf) Cl. K, Affirmed Caa3 (sf); previously on Apr 18, 2013 Affirmed Caa3 (sf) Cl. X-1, Affirmed B3 (sf); previously on Apr 18, 2013 Downgraded to B3 (sf) Ratings Rationale: The upgrades of Classes E, F, G and H are primarily due to increased credit support resulting from loan paydowns and amortization. The deal has paid down 14% since last review. The ratings of Classes J and K are consistent with Moody's expected loss and thus are 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. Moody's rating action reflects a base expected loss of 0.5% of the current balance compared to 0.4% at Moody's prior review. Moody's base expected loss plus realized losses is now 1.8% of the original pooled balance, the same at the prior review. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Description of Models Used: Moody's review utilized 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. 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. 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 2, the same as at prior review. In cases where the Herf falls below 20, Moody's uses the excel- based Large Loan Model v 8.6 and then reconciles and weights the results from the Conduit and Large Loan 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. Deal Performance: As of the November 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $56.1 million from $1.1 billion at securitization. The Certificates are collateralized by 16 mortgage loans ranging in size from less than 1% to 55% of the pool, with the top ten loans representing 76% of the pool. The pool contains one loan, representing 55% of the pool, that has an investment grade credit assessment. Three loans, representing 21% of the pool have defeased and are secured by US Government securities. One loan, representing 1% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $20.3 million (39% loss severity on average). There are currently no specially serviced or troubled loans in the pool. Moody's was provided with full year 2012 and partial year 2013 operating results for 92% and 75% of the pool, respectively. Moody's weighted average conduit LTV is 38% compared to 41% at Moody's prior review. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.73X and 3.50X, respectively, compared to 1.73X and 3.22X at prior review. Moody's actual DSCR is based on Moody's 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 Regent Court Loan ($30.6 million -- 54.5% of the pool), which is secured by a 567,000 square foot (SF) Class A office building located in Dearborn, Michigan. The property is 100% leased to the Ford Motor Company. The loan is co-terminus with the lease and fully amortizes over a 15-year period. The loan has amortized by about 65% since securitization. Moody's current credit assessment and stressed DSCR are A1 and 2.86X, respectively, compared to A3 and 2.42X at last review. The top three conduit loans represent 11.4% of the pool. The largest conduit loan is the McKee Commercial Center Loan ($2.7 million -- 4.8% of the pool), which is secured by a 23,000 SF retail center built in 2001 and located in San Jose, California. The loan is anchored by Walgreens. As of September 2013, the property was 100% leased. The loan has amortized 41% since securitization. Moody's LTV and stressed DSCR are 50% and 2.16X, respectively, compared to 55% and 1.95X at last review. The second largest conduit loan is the Sylvan Square Shopping Center Loan ($2.4 million -- 4.2% of the pool), which is secured by a 80,000 SF shopping center located in Modesto, California. As of September 2013, the property was 78% leased. The loan has amortized 40% since securitization. Moody's LTV and stressed DSCR are 33% and 3.25X, respectively, compared to 32% and 3.35X at last review. The third largest loan is the Brighton Walgreens Loan ($1.3 million -- 2.4% of the pool), which is secured by a 14,490 SF single tenant retail building located in Adams, Colorado. The property is 100% leased to Walgreens through September 2061. Moody's LTV and stressed DSCR are 50% and 2.1X, respectively, compared to 47% and 2.23X at last review. BEAR STEARNS 2005-TOP18: Fitch Affirms BB Rating on $12.6MM Notes ----------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Bear Stearns Commercial Mortgage Securities Inc. commercial mortgage pass-through certificates series 2005-TOP18. Key Rating Drivers: The affirmations are due to the relatively stable performance of the pool. Fitch modeled losses of 2.9% of the remaining pool; expected losses on the original pool balance total 3.6%, including $18.7 million (1.7% of the original pool balance) in realized losses to date. Fitch has designated 19 loans (10.2% of the pool) as Fitch Loans of Concern, which includes two specially serviced assets (1.4% of the pool). As of the November 2013 distribution date, the pool's aggregate principal balance has been reduced by 34.1% to $739.1 million from $1.12 billion at issuance. Per the servicer reporting, seven loans (15.3% of the pool) are defeased. Interest shortfalls are currently affecting classes J through P. The largest contributor to expected losses (1.2% of the pool) is a specially-serviced 155,462 square foot (sf) office property located in Inglewood, CA. The property became real estate owned (REO) in February 2013 and is currently under contract to sell with closing expected by year end (YE) 2013. Occupancy was 19.2% as of September 2013. The next largest contributor to expected losses (0.7% of the pool) is a full service 104-room boutique hotel and a non-contiguous parking garage located in Baltimore, MD. The property has struggled over the past few years with a YE 2011 occupancy and net operating income (NOI) debt service coverage ratio (DSCR) of 59% and 0.64x, respectively, and YE 2012 occupancy of 61% and NOI DSCR of 0.39x. However, as of June 2013 the property's cash flow covers debt service and the loan remains current. The third largest contributor to expected losses (1.1% of the pool) is a 162,660 sf industrial property located in Chula Vista, CA (San Diego MSA). Occupancy has fluctuated in recent years due to a seasonal tenant that accounts for 24% of the leasable area from October to December. Tenant will not be renewed with a long term lease and there is no other leasing activity per Borrower. The current occupancy not including the seasonal tenant is 76%. Rating Sensitivity: The ratings of the senior classes A-4 and A-4FL are expected to remain stable as credit enhancement has been increasing. Rating Outlooks on classes A-J and B are Negative as they may be subject to downgrades should loans not refinance at their expected maturity dates and realized losses be greater than Fitch's expectations. The distressed classes (those rated below 'B') may be subject to further downgrades as losses are realized. Fitch affirms the following classes as indicated: -- $495.3 million class A-4 at 'AAAsf', Outlook Stable; -- $71.8 million class A-4FL at 'AAAsf', Outlook Stable; -- $74.3 million class A-J at 'AAAsf', Outlook Negative; -- $29.4 million class B at 'Asf', Outlook Negative; -- $8.4 million class C at 'BBBsf', Outlook Stable; -- $12.6 million class D at 'BBsf', Outlook Stable; -- $11.2 million class E at 'Bsf', Outlook Stable; -- $9.8 million class F at 'CCCsf', RE 100%; -- $9.8 million class G at 'CCsf', RE 100%; -- $8.4 million class H at 'Csf', RE 30%; -- $4.2 million class J at 'Csf', RE 0%; -- $3.8 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 and A-AB certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class X certificates. CHL MORTGAGE 2007-2: Moody's Cuts Rating on Cl. A-18 Notes to Caa2 ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating of one tranche issued by CHL Mortgage Pass-Through Trust 2007-2. The tranche is backed by Prime Jumbo RMBS loans issued in 2007. Complete rating actions are as follows: Issuer: CHL Mortgage Pass-Through Trust 2007-2 Cl. A-18, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B3 (sf) Ratings Rationale: The tranche downgraded is a result of deteriorating performance and structural features resulting in higher expected losses for the bonds than previously anticipated. The correction of an error in the cash flow model used by Moody's in rating this transaction also contributed to the downgrade. In prior rating actions, undercollateralized amounts were incorrectly applied as realized losses to senior bonds. This error has now been corrected, and rating action reflects this change. Factors That Would Lead to an Upgrade or Downgrade of the Rating Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 7.0% in November 2013 from 7.8% in November 2012. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2014. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, 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. CREDIT SUISSE 2007-C1: Moody's Affirms C Ratings on 4 Note Classes ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 14 classes of Credit Suisse Commercial Mortgage Trust Commercial Mortgage Pass- Through Certificates, Series 2007-C1 as follows as follows: Cl. A-AB, Affirmed Aaa (sf); previously on Jan 25, 2013 Affirmed Aaa (sf) Cl. A-1-A, Affirmed Baa1 (sf); previously on Jan 25, 2013 Downgraded to Baa1 (sf) Cl. A-3, Affirmed Baa1 (sf); previously on Jan 25, 2013 Downgraded to Baa1 (sf) Cl. A-M, Affirmed B3 (sf); previously on Jan 25, 2013 Downgraded to B3 (sf) Cl. A-MFL, Affirmed B3 (sf); previously on Jan 25, 2013 Downgraded to B3 (sf) Cl. A-J, Affirmed Caa2 (sf); previously on Jan 25, 2013 Affirmed Caa2 (sf) Cl. B, Affirmed Caa3 (sf); previously on Jan 25, 2013 Affirmed Caa3 (sf) Cl. C, Affirmed Ca (sf); previously on Jan 25, 2013 Affirmed Ca (sf) Cl. D, Affirmed C (sf); previously on Jan 25, 2013 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Jan 25, 2013 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Jan 25, 2013 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Jan 25, 2013 Affirmed C (sf) Cl. A-SP, Affirmed Aaa (sf); previously on Jan 25, 2013 Affirmed Aaa (sf) Cl. A-X, Affirmed B2 (sf); previously on Jan 25, 2013 Downgraded to B2 (sf) Ratings Rationale: The affirmations of the investment grade P&I classes are due to key parameters, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. The ratings of the below investment grade P&I classes are consistent with Moody's expected loss and thus are affirmed. The ratings of the IO Classes A-X and A-SP are consistent with the expected credit performance (or the weighted average rating factor or WARF) of their referenced classes and thus are affirmed. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. 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 our 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 49, compared to 51 at prior review. Deal Performance: As of the November 18, 2013 payment date, the transaction's aggregate certificate balance has decreased by 22% to $2.63 billion from $3.37 billion at securitization. The Certificates are collateralized by 195 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans representing 38% of the pool. Fifty-nine 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 our ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fifty-nine loans have liquidated from the pool, resulting in an aggregate realized loss of $212.9 million (56% average loan loss severity). Sixteen loans, representing 9% of the pool, are in special servicing. The largest specially serviced loan is the 717 North Harwood Street Loan ($64.0 million -- 2.4% of the pool), which is secured by an 826,300 square foot (SF) office property located in Dallas, Texas. The loan was transferred to the Special Servicer on February 25, 2010 for payment default. The trust took title to the property on June 5, 2012, and the loan is now Real Estate Owned (REO).The property was 79% leased as of December 2012. The remaining 14 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $129.8 million loss for the specially serviced loans (57% expected loss on average). Moody's has assumed a high default probability for 36 poorly performing loans representing 19% of the pool. Moody's analysis attributes to these troubled loans an aggregate $220.1 million loss (44% expected loss on average). Moody's was provided with full-year 2012 and partial year 2013 operating results for 92% and 76% of the performing pool, respectively. Excluding troubled and specially-serviced loans, Moody's weighted average LTV is 109%, the same as at last full review. Moody's net cash flow reflects a weighted average haircut of 7% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.41X and 0.95X, respectively, compared to 1.44X 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 conduit loans represent 15% of the pool. The largest loan is the Savoy Park Loan ($200.0 million -- 7.6% of the pool), which is secured by seven adjacent apartment buildings totaling 1,802 units located in the Harlem neighborhood of New York City. At securitization, the borrower's plan was to increase property value through a comprehensive renovation program and the deregulation of rent-stabilized units. At Moody's last full review, the loan was in special servicing due to imminent default. The loan was modified in June 2012, and returned to the Master Servicer in April 2013. Under the modification the loan was split into a $160.0 million A note and a $50.0 million B note which is held within the trust. Interest will accrue at 4.0% for the first two years, 5.0% for the third year and 6.136% starting in year four. The maturity date was also extended to December 2017. The properties are 95% leased as of June 2013. Moody's current LTV and stressed DSCR on the A-note are 100% and 0.86X, respectively, the same as at last review. The second largest loan is the HGA Portfolio Loan ($123.3 million -- 4.7% of the pool), which is secured by an 11 multifamily community portfolio throughout Maryland and Texas with a combined 2,051 units. As of September 2013, portfolio occupancy was 95% compared to 93% at last review. Moody's LTV and stressed DSCR are 126% and 0.75X, respectively, compared to 134% and 0.70X at last review. The third largest loan is the Koger Center Loan ($115.5 million -- 4.4% of the pool). The loan is secured by an 868,000 SF office property located in Tallahassee, Florida. The loan was in Special Servicing at last review due to imminent default, but transferred back to the Master Servicer in April 2013. The largest tenant is The State of Florida Department of Management Services (70% of the Net Rentable Area (NRA)) and has a scheduled lease expiration of October 2019. The properties were 87% leased as of August 2013, the same as at last review. Moody's current LTV and stressed DSCR are 138% and 0.71X, respectively. CREDIT SUISSE 2007-C3: S&P Affirms 'CCC' Rating on Class B Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on three classes of commercial mortgage pass-through certificates from Credit Suisse Commercial Mortgage Trust Series 2007-C3, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on five other classes from the same transaction including the class A-X interest-only (IO) certificates. S&P's rating actions follow its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics 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 A-4, A-1-A1, and A-1-A2 certificates reflect Standard & Poor's expected credit enhancement, which S&P believes is greater than its most recent estimate of the necessary credit enhancement for the respective rating levels. The upgrades also reflect S&P's views regarding available liquidity support, the current and future performance of the transaction's collateral, and the deleveraging of the transaction. S&P affirmed its ratings on the class A-AB, A-M, A-J, and B certificates because the available credit enhancement for these classes are within its estimate of the necessary credit enhancement required for the current ratings. S&P also affirmed these ratings to reflect its analysis of the credit characteristics and performance of the remaining assets, the transaction structure, and liquidity support available to the classes. S&P affirmed its rating on the class A-X IO certificates to reflect its current criteria for rating IO securities. As of the Nov. 18, 2013, trustee remittance report, the trust experienced monthly interest shortfalls totaling $644,142, primarily related to cash shortages from interest adjustments of $375,713 and appraisal subordinate entitlement reduction (ASER) amounts of $153,223 on 12 ($91.3 million, 5.2%) of the 17 specially serviced assets ($245.1 million, 14.1%), against which there were ASER recoveries of $8,163 on an asset liquidated in October 2013. After the Nov. 18, 2013, trustee remittance report, one loan that S&P had deemed credit impaired, Butterfield Centre ($3.0 million, .17%), was transferred to the special servicer, while one other loan, Barrington Place Apartments ($30.2 million, 1.7%) was subsequently returned to the master servicer, and three assets ($20.0 million, 1.2%) have been liquidated. RATINGS RAISED Credit Suisse Commercial Mortgage Trust Series 2007-C3 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-4 A+ (sf) A- (sf) 34.75 A-1-A1 A+ (sf) A- (sf) 34.75 A-1-A2 A+ (sf) A- (sf) 34.75 RATINGS AFFIRMED Credit Suisse Commercial Mortgage Trust Series 2007-C3 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-AB AAA (sf) 34.75 A-M B- (sf) 19.35 A-J CCC+ (sf) 7.80 B CCC (sf) 6.84 A-X AAA (sf) N/A N/A-Not applicable CVP CASCADE: S&P Assigns Prelim. 'BB' Rating on Class D Notes ------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to CVP Cascade CLO-1 Ltd./CVP Cascade CLO-1 LLC's $380.75 million 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 Dec. 17, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which 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 0.2419%-13.8385%. -- 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, subordinated and incentive management fees, and subordinated note payments into principal proceeds to purchase additional collateral assets during the reinvestment period. PRELIMINARY RATINGS ASSIGNED CVP Cascade CLO-1 Ltd./CVP Cascade CLO-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 255.25 A-2 AA (sf) 40.50 B (deferrable) A (sf) 34.50 C (deferrable) BBB (sf) 21.00 D (deferrable) BB (sf) 18.25 E (deferrable) B (sf) 11.25 Subordinated NR 38.60 notes NR--Not rated. DIAMOND LAKE: S&P Affirms 'BB-' Rating on Class B-2L Notes ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1L, A-1LR, A-2L, A-3L, and B-1L notes from Diamond Lake CLO Ltd., 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 it had placed them with positive implications on Sept. 5, 2013. In addition, S&P affirmed its rating on the class B-2L notes and removed it from CreditWatch positive. The upgrades reflect paydowns to the class A-1L and A-1LR notes and a subsequent improvement in the credit enhancement and overcollateralization (O/C) available to support the notes since May 2012, when S&P raised the ratings on six classes. Since then, the transaction has paid down the class A-1L and A-1LR notes by approximately $97.3 million, reducing their outstanding note balances to 59.5% of their original balances. The upgrades also reflect an improvement in the O/C coverage ratios, predominantly because of the paydowns since S&P's May 2012 rating actions. The trustee reported the following O/C ratios in the October 2013 monthly report: -- The senior class A O/C ratio was 134.09%, compared with a reported ratio of 123.77% in April 2012. -- The class A O/C ratio was 121.95%, compared with a reported ratio of 116.54% in April 2012. -- The class B-1L O/C ratio was 113.00%, compared with a reported ratio of 110.88% in April 2012. -- The class B-2L O/C ratio was 104.88%, compared with a reported ratio of 105.48% in April 2012. As of the October 2013 trustee report, the transaction had $6.05 million (or 2.7%) of assets from obligors in the 'CCC' rated category. This was down from the $8.20 million (or 2.5%) S&P referenced for its May 2012 rating actions. As of the October 2013 trustee report, the transaction had $5.84 million (or 2.6%) of defaulted assets. This was up from the $4.01 million (or 1.2%) S&P referenced for its May 2012 rating actions. S&P affirmed its rating on the class B-2L notes to reflect the availability of credit support at the current rating levels. Furthermore, S&P's rating on the class B-2L notes reflected its application of the largest obligor default test, a supplemental stress test S&P introduced as part of its 2009 corporate criteria update. S&P is listing the class A-1LR notes to differentiate the class A- 1L notes from the class A-1LR revolving notes specified in the executed indenture. 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 Diamond Lake CLO Ltd. Rating Rating Class To From A-1L AAA (sf) AA+ (sf)/Watch Pos A-1LR AAA (sf) AA+ (sf)/Watch Pos A-2L AA+ (sf) AA (sf)/Watch Pos A-3L AA- (sf) A (sf)/Watch Pos B-1L BBB+ (sf) BBB (sf)/Watch Pos B-2L BB- (sf) BB- (sf)/Watch Pos DUANE STREET CLO: Moody's Affirms Ba2 Rating on $14MM Notes Rating ------------------------------------------------------------------ Moody's Investors Service announced that it has upgraded the ratings of the following notes issued by Duane Street CLO III, Ltd.: U.S.$33,000,000 Class B Senior Floating Rate Notes Due 2021, Upgraded to Aaa (sf); previously on November 9, 2012 Upgraded to Aa1 (sf) U.S.$28,500,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2021, Upgraded to Aa2 (sf); previously on November 9, 2012 Upgraded to A1 (sf) U.S.$27,500,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2021, Upgraded to Baa2 (sf); previously on November 9, 2012 Upgraded to Baa3 (sf) Moody's also affirmed the ratings of the following notes: U.S.$262,100,000 Class A-1 Senior Floating Rate Notes Due 2021 (current outstanding balance of $126,974,542.01),Affirmed Aaa (sf); previously on August 16, 2011 Upgraded to Aaa (sf) U.S.$137,500,000 Class A-2a Senior Revolving Floating Rate Notes Due 2021 (current outstanding balance of $62,745,358.97), Affirmed Aaa (sf); previously on August 16, 2011 Upgraded to Aaa (sf) U.S.$7,500,000 Class A-2b Senior Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on November 9, 2012 Upgraded to Aaa (sf) U.S.$14,000,000 Class E Deferrable Junior Floating Rate Notes Due 2021, Affirmed Ba2 (sf); previously on November 9, 2012 Upgraded to Ba2 (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since the deal ended its reinvestment in January 2013. Moody's notes that the Class A Notes have been paid down by approximately 51.3% or $208.1 million since January 2013. Based on the latest trustee report dated October 31, 2013, the Senior, Mezzanine and Class E overcollateralization ratios are reported at 144.0%, 115.9% and 110.5%, respectively, versus January 2013 levels of 124.0%, 109.9% and 106.9%, respectively. Duane Street CLO III Ltd., issued in December 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Factors that Would Lead To an Upgrade or Downgrade of the Rating Moody's notes that this transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: CLO performance may be negatively impacted by a) uncertainties of credit conditions in the general economy and b) the large concentration of upcoming speculative- grade debt maturities which may create challenges for issuers to refinance. 2) Collateral credit risk: A shift towards holding collateral of better credit quality, or better than expected credit performance of the underlying assets collateralizing the transaction, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the underlying collateral can have adverse consequences for CLO performance. 3) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO 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. Faster than expected note repayment will usually have a positive impact on CLO notes, beginning with those having the highest payment priority. 4) 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. 5) Collateral Manager: Performance may also be impacted, either positively or negatively, by a) the manager's investment strategy and behavior and b) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Loss and Cash Flow Analysis Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique. 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 balance of $307.6 million, defaulted par of $16.1 million, a weighted average default probability of 17.76% (implying a WARF of 2786), a weighted average recovery rate upon default of 48.36%, and a diversity score of 46. 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. 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% (2229) Class A-1: 0 Class A-2a: 0 Class A-2b: 0 Class B: 0 Class C: +2 Class D: +3 Class E: +2 Moody's Adjusted WARF + 20% (3344) Class A-1: 0 Class A-2a: 0 Class A-2b: 0 Class B: 0 Class C: -1 Class D: -1 Class E: 0 FOUR CORNERS CLO II: S&P Raises Rating on Class E Notes to 'B-' --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on two classes of notes from Four Corners CLO II Ltd., a U.S. cash flow collateralized loan obligation transaction, and removed them from CreditWatch with positive implications, where S&P had placed them on Sept. 5, 2013. At the same time S&P affirmed its ratings on three classes of notes and removed one of them from CreditWatch with positive implications. The transaction is currently in the amortization period, since its reinvestment period ended in January 2012. The upgrades reflect various factors, including paydowns of more than $54 million to the class A notes since S&P's December 2012 rating actions. This increased the credit support, particularly to the senior notes. For instance, per the Nov. 15, 2013, monthly trustee report, the class A/B overcollateralization (O/C) ratio increased by 13.02% to 141.29% (from 128.27% in October 2012), and the class C O/C ratio increased by 5.33% to 119.26% (from 113.93% in October 2012). S&P noted that Four Corners CLO II Ltd. has had consistently low defaults, currently totaling only 0.32% of the total collateral per the November 2013 monthly trustee report. This transaction also has significant exposure to long-dated assets. According to the Nov. 5, 2013, trustee report, 8.55% of the collateral has a maturity after the notes' stated maturity. S&P's analysis considered the potential market value or settlement-related risk arising from the potential liquidation of the remaining securities on the transaction's legal final maturity date. S&P's rating on the class D notes is limited by its largest obligor default test, which addresses potential concentration risks of exposure to obligors in the transaction's portfolio. S&P raised its rating on the class E notes to 'B- (sf)' from 'CCC+ (sf)', although the largest obligor default test indicated a limitation at 'CCC+'. This decision was based on several factors in the analysis, including low levels of both defaults and 'CCC' rated assets in the portfolio, O/C ratios greater than 100%, and cash flow results. Consequently, S&P believes that the class E notes are not currently vulnerable to default and do not meet S&P's criteria for assigning 'CCC' ratings. The affirmations reflect sufficient credit support available to the notes at their current rating levels. S&P will continue to review whether the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. RATING AND CREDITWATCH ACTIONS Four Corners CLO II Ltd. Rating Class To From C AA+ (sf) A+ (sf)/Watch Pos D BBB+ (sf) BBB+ (sf)/Watch Pos E B- (sf) CCC+ (sf)/Watch Pos RATINGS AFFIRMED Four Corners CLO II Ltd. Class Rating A AAA (sf) B AAA (sf) FREMONT HOME 2006-A: Moody's Reviews $55MM RMBS for Downgrade ------------------------------------------------------------- Moody's Investors Service has placed on review the ratings of two tranches with direction uncertain, backed by Subprime mortgage loans issued by Fremont Home Loan Trust 2006-A. Complete rating actions are as follows: Issuer: Fremont Home Loan Trust 2006-A Cl. 1-A-1, Caa2 (sf) Placed Under Review Direction Uncertain; previously on Apr 29, 2010 Downgraded to Caa2 (sf) Cl. 1-A-2, Caa3 (sf) Placed Under Review Direction Uncertain; previously on Apr 29, 2010 Downgraded to Caa3 (sf) Ratings Rationale: The actions reflect discrepancy between the provisions in the pooling and servicing agreement (PSA) and the prospectus supplement (prosupp) with regards to the allocation of loss to class 1-A-2. The prosupp states that losses will be allocated to Class 1-A-2 once the mezzanine certificates are written down while the PSA does not specify anything about loss allocation. The transaction's remittance reports show that the trust administrator is allocating losses to Class 1-A-2. The watch list will be resolved once Moody's receives clarification from the trust administrator on the allocation of losses. Factors That Would Lead To An Upgrade Or Downgrade Of The Rating Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 7% in November 2013 from 7.8% in November 2012 . Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2014. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, 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. GANNETT PEAK: Moody's Affirms B1 Ratings on 2 Note Classes ---------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of the following notes issued by Gannett Peak CLO I, Ltd.: U.S.$26,000,000 Class B-1 Senior Secured Deferrable Floating Rate Notes, Due 2020, Upgraded to Aaa (sf); previously on July 26, 2013 Upgraded to Aa1 (sf); U.S.$9,000,000 Class B-2 Senior Secured Deferrable Fixed Rate Notes, Due 2020, Upgraded to Aaa (sf); previously on July 26, 2013 Upgraded to Aa1 (sf); U.S.$33,500,000 Class C Senior Secured Deferrable Floating Rate Notes, Due 2020, Upgraded to Baa1 (sf); previously on July 26, 2013 Upgraded to Baa2 (sf). Moody's also affirmed the ratings of the following notes: U.S.$369,100,000 Class A-1a Senior Secured Floating Rate Notes, Due 2020 (current outstanding balance of $124,195,802), Affirmed Aaa (sf); previously on July 26, 2013 Affirmed Aaa (sf); U.S.$60,000,000 Class A-1b Senior Secured Revolving Floating Rate Notes, Due 2020 (current outstanding balance of $20,188,968), Affirmed Aaa (sf); previously on July 26, 2013 Affirmed Aaa (sf); U.S.$41,000,000 Class A-2 Senior Secured Floating Rate Notes, Due 2020, Affirmed Aaa (sf); previously on July 26, 2013 Affirmed Aaa (sf); U.S.$19,000,000 Class D-1 Secured Deferrable Floating Rate Notes, Due 2020, Affirmed B1 (sf); previously on July 26, 2013 Affirmed B1 (sf); U.S.$5,000,000 Class D-2 Secured Deferrable Fixed Rate Notes, Due 2020, Affirmed B1 (sf); previously on July 26, 2013 Affirmed B1 (sf); US. $14,000,000 Type I Combo Note Due 2020 (current rated balance of $8,521,998), Affirmed Aaa (sf); previously on July 26, 2013 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since July 2013. Moody's notes that the Class A-1a and Class A-1b Notes have been paid down by approximately 47% or $128.7 million since July 2013. Based on the latest trustee report dated November 1, 2013, the Class A, Class B, Class C, and Class D overcollateralization ratios are reported at 159.3%, 134.0%, 116.3% and 106.3%, respectively, versus June 2013 levels of 137.5%, 123.7%, 112.9%, and 106.2%, respectively. Gannett Peak CLO I, Ltd., issued in October 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, with exposures to structured finance securities, non-senior secured loans and bonds. Factors that would lead to an upgrade or downgrade of the rating Moody's notes that this transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: CLO performance may be negatively impacted by a) uncertainties of credit conditions in the general economy and b) the large concentration of upcoming speculative- grade debt maturities which may create challenges for issuers to refinance. 2) Collateral Manager: Performance may also be impacted, either positively or negatively, by a) the manager's investment strategy and behavior and b) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. 3) Collateral credit risk: A shift towards holding collateral of better credit quality, or better than expected credit performance of the underlying assets collateralizing the transaction, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the underlying collateral can have adverse consequences for CLO performance. 4) 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. 5) 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. Loss and Cash Flow Analysis Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique. 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 $290.6 million, defaulted par of $12.6 million, a weighted average default probability of 19.36% (implying a WARF of 2994), a weighted average recovery rate upon default of 50.10% and a diversity score of 44. 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. 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% (2395) Class A-1a: 0 Class A-1b: 0 Class A-2: 0 Class B-1: +1 Class B-2: +1 Class C: +2 Class D-1: +2 Class D-2: +1 Type I Combo Note: 0 Moody's Adjusted WARF + 20% (3592) Class A-1a: 0 Class A-1b: 0 Class A-2: 0 Class B-1: -1 Class B-2: -1 Class C: -2 Class D-1: 0 Class D-2: -1 Type I Combo Note: 0 GMAC COMMERCIAL 1997-C2: Moody's Affirms 'C' Rating on Cl. H Notes ------------------------------------------------------------------ Moody's Investors Service upgraded the ratings of one class and affirmed two classes of GMAC Commercial Mortgage Securities, Inc., Mortgage Pass-Through Certificates, Series 1997-C2 as follows: Cl. G, Upgraded to Aaa (sf); previously on Jan 10, 2013 Upgraded to Ba1 (sf) Cl. H, Affirmed C (sf); previously on Sep 14, 2005 Downgraded to C (sf) Cl. X, Affirmed Caa3 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) Ratings Rationale: The upgrade of the P&I class, Class G, is primarily due to increased credit support resulting from loan paydowns and amortization. The deal has paid down 6% since last review and one defeased loan represents 46% of the pool balance. The ratings of the P&I class, Class H, is consistent with Moody's expected loss and thus is affirmed. The ratings of the IO Class X is consistent with the expected credit performance (or the weighted average rating factor or WARF) of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of approximately 0.4% of the current deal balance. At last review, Moody's base expected loss was approximately 11.9%. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. 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 our 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 2, the same as last review. In cases where the Herf falls below 20, Moody's uses the excel- based Large Loan Model v 8.6 and then reconciles and weights the results from the Conduit and Large Loan 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. Deal Performance: As of the November 17, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $21.0 million from $1.1 billion at securitization. The Certificates are collateralized by three mortgage loans remaining in the pool, representing 54% of the pool, and one defeased loan, representing 46% of the pool. The defeased loan is collateralized with U.S. Government securities. There are no loans on the master servicer's watchlist. Fifteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $57.5 million (20% loss severity overall). Currently, there are no loans on the watchlist or in special servicing. Moody's was provided with full-year 2012 and partial year 2013 operating results for 57% and 51% of the performing pool, respectively. Excluding troubled and specially-serviced loans, Moody's weighted average LTV is 83%, compared to 89% at last full review. Moody's net cash flow reflects a weighted average haircut of 28% 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 0.74X and 1.37X, respectively, compared to 0.75X and 1.29X 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 conduit loans represent 54% of the deal balance. The largest loan is Kmart - Laredo Loan ($5.8 million -- 27.4% of the pool), which is secured by a 112,000 square foot (SF) single- tenant retail property located in Laredo, Texas. The property is 100% leased to Kmart through October 2022. Performance continues to remain stable. The loan amortizes 100% during its term and is co-terminus with the lease maturity. Moody's LTV and stressed DSCR are 80% and 1.35X, respectively, compared to 85% and 1.27X at last review. The second largest loan is the Kmart - Lafayette Loan ($4.9 million -- 23.1% of the pool), which is secured by a 119,000 SF retail property located in Lafayette, Indiana, which is 100% leased to Kmart through October 2022. The property is part of a larger strip center which is not part the collateral. The loan amortizes 100% during its term and is co-terminus with the lease maturity. Performance continues to remain stable. Moody's LTV and stressed DSCR are 95% and 1.14X, respectively, compared to 101% and 1.07X at last review. The last loan is the CVS Drugstore Loan ($707,142 -- 3.4% of the pool), which is secured by a 9,400 SF single-tenant retail property located in located in a suburban retail corridor in Media, Pennsylvania, 12 miles east of Philadelphia. The property is 100% leased to CVS through January 2018. The loan amortizes 100% during its term and is co-terminus with the lease maturity. Performance continues to remain stable. Moody's LTV and stressed DSCR are 35% and 3.08X, respectively, compared to 39% and 2.76X at last review. GMAC COMMERCIAL 2003-C2: S&P Lowers Rating on Class J Notes to D ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on the class J commercial mortgage pass-through certificates from GMAC Commercial Mortgage Securities Inc.'s series 2003-C2, a U.S. commercial mortgage-backed securities transaction, to 'D (sf)' from 'CCC- (sf)'. In addition, S&P withdrew its 'BBB+ (sf)' and B- (sf)' ratings on the class G and H certificates, respectively, from the same transaction. S&P lowered its rating to 'D (sf)' on class J following the principal losses detailed in the Dec. 10, 2013, trustee remittance report. S&P attributed the principal losses, totaling $11.9 million, primarily to the liquidation of the Boulevard Mall asset at a loss severity of 30.9% of its beginning scheduled balance of $38.4 million. Consequently, the Dec. 10, 2013, trustee remittance report detailed that class J incurred principal losses totaling $170,709, or 0.8% of the class' original principal balance. Classes K and L lost 100% of their beginning balances. S&P previously lowered the ratings on classes K and L to 'D (sf)'. In addition, S&P withdrew its ratings on classes G and H following the classes' full principal repayment, as reflected in the Dec. 10, 2013, trustee remittance report. RATING LOWERED GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2003-C2 Rating Class To From J D (sf) CCC- (sf) RATINGS WITHDRAWN GMAC Commercial Mortgage Securities Inc. Commercial mortgage pass-through certificates series 2003-C2 Rating Class To From G NR BBB+ (sf) H NR B- (sf) NR-Not rated. GREENWICH CAPITAL 2005-GG3: Moody's Ups Cl. D Notes Rating to Ba3 ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of four classes and affirmed 11 classes of Greenwich Capital Commercial Funding Corp., Commercial Mortgage Pass-Through Certificates, Series 2005-GG3 as follows: Cl. A-AB, Affirmed Aaa (sf); previously on Feb 28, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-1-A, Affirmed Aaa (sf); previously on Feb 28, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Feb 28, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Feb 28, 2005 Definitive Rating Assigned Aaa (sf) Cl. A-J, Upgraded to Aa2 (sf); previously on Dec 20, 2012 Confirmed at Baa1 (sf) Cl. B, Upgraded to A2 (sf); previously on Dec 20, 2012 Confirmed at Ba1 (sf) Cl. C, Upgraded to Baa3 (sf); previously on Dec 20, 2012 Confirmed at Ba3 (sf) Cl. D, Upgraded to Ba3 (sf); previously on Dec 20, 2012 Confirmed at B2 (sf) Cl. E, Affirmed B3 (sf); previously on Dec 20, 2012 Confirmed at B3 (sf) Cl. F, Affirmed Caa2 (sf); previously on Dec 20, 2012 Confirmed at Caa2 (sf) Cl. G, Affirmed Caa3 (sf); previously on Dec 20, 2012 Confirmed at Caa3 (sf) Cl. H, Affirmed Ca (sf); previously on Dec 20, 2012 Confirmed at Ca (sf) Cl. J, Affirmed C (sf); previously on Sep 27, 2012 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Sep 27, 2012 Downgraded to C (sf) Cl. XC, Affirmed Ba3 (sf); previously on Dec 20, 2012 Confirmed at Ba3 (sf) Ratings Rationale: The upgrades of four P&I classes are primarily due to a lower expected loss, an increase in defeasance and increased credit support since last review resulting from paydowns and amortization as well as expected additional increases in credit support from the payoff of loans approaching maturity that are well positioned for refinance. The pool has paid down by 16% since Moody's prior review. In addition, loans representing 55% of the pool have scheduled maturities within the next 24 months and have debt yields in excess of 10.0%. In addition, 15 loans, representing 11% of the pool has defeased. The affirmations of the four 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 six 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. Moody's rating action reflects a base expected loss of 7.8% of the current balance compared to 9.5% at Moody's prior review. Moody's base expected loss plus realized losses is now 6.2% of the original pooled balance compared to 7.0% at the prior review. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Description of Models Used: Moody's review utilized 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. 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. Negative pooling, or adding credit enhancement at the credit assessment level, is incorporated for loans with similar credit assessments in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 19 compared to 24 at last review. In cases where the Herf falls below 20, Moody's employs also the large loan/single borrower methodology. This methodology uses the excel-based Large Loan Model v 8.6. 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 Deal Performance: As of the November 13, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 16% to $1.51 billion from $3.55 billion at securitization. The Certificates are collateralized by 90 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans representing 52% of the pool. Fifteen loans, representing 11% of the pool, have defeased and are secured by U.S. Government Securities. Twenty 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 Twenty-four loans have been liquidated from the pool, resulting in an aggregate realized loss of $101.0 million (36% loss severity on average). Eight loans, representing 12% of the pool, are currently in special servicing. The largest specially serviced loan is the Birtcher/Charlesbank Office Portfolio ($43.9 million - 2.9% of the pool). The loan is secured by a portfolio of three office properties located in Santa Ana, California. The loan transferred to special servicing in January 2011 as the result of imminent monetary default. The loan became REO in October 2012. The portfolio has currently a combined occupancy of 85%. The remaining seven specially serviced loans are represented by a mix of property types. Moody's has estimated an aggregate $63.7 million loss (52% expected loss on average) for all of the specially serviced loans. Moody's has assumed a high default probability for ten poorly performing loans representing 7% of the pool and has estimated an aggregate $19.6 million loss (20% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2012 and a partial year 2013 operating results for 98% and 58% of the pool, respectively. Moody's weighted average conduit LTV is 92 % compared to 94% at Moody's prior review. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.42X and 1.18X, respectively, compared to 1.40X and 1.15X at prior review. Moody's actual DSCR is based on Moody's 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 27% of the pool balance. The largest loan is the 1440 Broadway Loan ($207.9 million -- 13.7% of the pool), which is secured by a 751,364 square foot (SF) office building located in New York City. The property was 94% leased as of June 2013, the same as lat review. The loan is also encumbered by a $15 million B note, which is held outside the trust. The performance has improved since last review due to higher revenues. Moody's LTV and stressed DSCR are 89% and 1.1X, respectively, compared to 99% and 0.98X at prior review. The second largest loan is the Shops at Wailea Loan ($106.3 million -- 7.0% of the pool), which is secured by a 164,400 SF retail property located in Wailea, Hawaii on the island of Maui. The tenant mix includes Tiffany, Cartier, Louis Vuitton, Guess and Gap. As of March 2013, the property was 90% leased compared to 96% at last review. Moody's LTV and stressed DSCR are 103% and 0.94X, respectively, compared to 103% and 0.95X at prior review . The third largest loan is the Waikiki Galleria Loan ($93.1 million -- 6.1% of the pool), which is secured by a 160,522 SF mixed used (office/retail) property located in Honolulu, Hawaii. The largest tenant is DFS Galleria, 47% of NRA, lease expiration January 2016). As of December 2012, the property was 98% leased. Overall, performance has been improving over the last few years; however, 55% lease rollover in the next 3 years is a concern. Moody's LTV and stressed DSCR are 93% and 1.11X, respectively, compared to 98% and 1.05X at prior review. HEWETTS ISLAND V: Moody's Ups Rating on Cl. E Notes Rating to Ba2 ----------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of the following notes issued by Hewett's Island CLO V, Ltd.: U.S.$27,500,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2018, Upgraded to Aaa (sf); previously on Oct 10, 2012 Upgraded to Aa1 (sf); U.S.$15,500,000 Class C Third Priority Senior Secured Deferrable Floating Rate Notes Due 2018, Upgraded to Aaa (sf); previously on Oct 10, 2012 Upgraded to A2 (sf); U.S.$15,500,000 Class D Fourth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2018, Upgraded to A2 (sf); previously on Oct 10, 2012 Upgraded to Ba1 (sf); U.S.$16,000,000 Class E Fifth Priority Mezzanine Secured Deferrable Floating Rate Notes Due 2018 (current outstanding balance of $13,663,069), Upgraded to Ba2 (sf); previously on Aug 24, 2011 Upgraded to B1 (sf). Moody's also affirmed the ratings of the following notes: U.S.$255,500,000 Class A-T First Priority Senior Secured Floating Rate Term Notes Due 2018 (current outstanding balance of $57,411,188), Affirmed Aaa (sf); previously on Aug 24, 2011 Upgraded to Aaa (sf); U.S.$50,000,000 Class A-R First Priority Senior Secured Floating Rate Revolving Notes Due 2018 (current outstanding balance of $11,235,066), Affirmed Aaa (sf); previously on Aug 24, 2011 Upgraded to Aaa (sf). Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since January 2013. Moody's notes that the Class A-T and Class A-R Notes have been paid down by approximately 75% or $203 million since January 2013. Based on the latest trustee report dated November 29, 2013, the Class A/B, Class C, Class D and Class E overcollateralization ("OC") ratios are reported at 146.6%, 129.0%, 115.2% and 105.2%, respectively, versus January 2013 levels of 118.5%, 112.7%, 107.4% and 103.1%, respectively. Moody's also notes that the OC ratios trustee reported on November 29, 2013 did not reflect the $17.4 million pay down on the Class A-T and Class A-R Notes in December. In addition, Moody's notes that the deal has benefited from an improvement in the credit quality of the underlying portfolio since January 2013. Based on the November 2013 trustee report, the weighted average rating factor is currently 2263 compared to 2469 in January 2013. Hewett's Island CLO V, Ltd., issued in December 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Factors That Would Lead To an Upgrade or Downgrade of the Rating Moody's notes that this transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: CLO performance may be negatively impacted by a) uncertainties of credit conditions in the general economy and b) the large concentration of upcoming speculative- grade debt maturities which may create challenges for issuers to refinance. 2) Collateral Manager: Performance may also be impacted, either positively or negatively, by a) the manager's investment strategy and behavior and b) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. 3) Collateral credit risk: A shift towards holding collateral of better credit quality, or better than expected credit performance of the underlying assets collateralizing the transaction, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the underlying collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO 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. Faster than expected note repayment will usually have a positive impact on CLO notes, beginning with those having the highest payment priority. Loss and Cash Flow Analysis Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique. 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 $149 million, no defaulted par, a weighted average default probability of 13.49% (implying a WARF of 2494), a weighted average recovery rate upon default of 49.71%, and a diversity score of 41. 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. 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% (1995) Class A-T: 0 Class A-R: 0 Class B: 0 Class C: 0 Class D: +2 Class E: +1 Moody's Adjusted WARF + 20% (2993) Class A-T: 0 Class A-R: 0 Class B: 0 Class C: -1 Class D: -2 Class E: -1 JFIN REVOLVER: S&P Assigns Prelim. BB Rating on Class E Notes ------------------------------------------------------------- Standard & Poor's Ratings Services rated JFIN Revolver CLO Ltd./JFIN Revolver CLO LLC's $350.5 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 ratings reflect: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's 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 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%-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 $350.5 million floating-rate notes Class Prelim rating Prelim amount (mil. $) A AAA (sf) 221.00 B AA (sf) 51.50 C (deferrable) A (sf) 34.00 D (deferrable) BBB (sf) 23.00 E (deferrable) BB (sf) 21.00 Sub notes NR 94.00 JP MORGAN 2005-LDP5: Moody's Affirms 'Ba1' Rating on Cl. F Notes ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 22 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Jan 25, 2013 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jan 25, 2013 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jan 25, 2013 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jan 25, 2013 Affirmed Aaa (sf) Cl. A-J, Affirmed Aa3 (sf); previously on Jan 25, 2013 Affirmed Aa3 (sf) Cl. A-M, Affirmed Aaa (sf); previously on Jan 25, 2013 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jan 25, 2013 Affirmed Aaa (sf) Cl. B, Affirmed A1 (sf); previously on Jan 25, 2013 Affirmed A1 (sf) Cl. C, Affirmed A3 (sf); previously on Jan 25, 2013 Affirmed A3 (sf) Cl. D, Affirmed Baa1 (sf); previously on Jan 25, 2013 Affirmed Baa1 (sf) Cl. E, Affirmed Baa2 (sf); previously on Jan 25, 2013 Affirmed Baa2 (sf) Cl. F, Affirmed Ba1 (sf); previously on Jan 25, 2013 Downgraded to Ba1 (sf) Cl. G, Affirmed Ba3 (sf); previously on Jan 25, 2013 Downgraded to Ba3 (sf) Cl. H, Affirmed B2 (sf); previously on Jan 25, 2013 Downgraded to B2 (sf) Cl. HG-1, Affirmed Ba3 (sf); previously on Jan 25, 2013 Affirmed Ba3 (sf) Cl. HG-2, Affirmed B1 (sf); previously on Jan 25, 2013 Affirmed B1 (sf) Cl. HG-3, Affirmed B2 (sf); previously on Jan 25, 2013 Affirmed B2 (sf) Cl. HG-4, Affirmed B3 (sf); previously on Jan 25, 2013 Affirmed B3 (sf) Cl. HG-X, Affirmed B2 (sf); previously on Jan 25, 2013 Affirmed B2 (sf) Cl. J, Affirmed Caa2 (sf); previously on Jan 25, 2013 Downgraded to Caa2 (sf) Cl. K, Affirmed Caa3 (sf); previously on Jan 25, 2013 Downgraded to Caa3 (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Jan 25, 2013 Affirmed Ba3 (sf) Ratings Rationale: The affirmations of Classes A-1A through G are due to key parameters, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. The ratings of Classes H, J and K are consistent with Moody's expected loss and thus are affirmed. The rating of the IO Classes, X-1 and HG-X, are consistent with the expected credit performance of their referenced classes and thus are affirmed. The ratings of the non- pooled classes HG-1 through HG-4, which are supported by the B- note on the Houston Galleria, are affirmed based on stable performance of the asset. Moody's rating action reflects a base expected loss of 6.1% of the current balance compared to 6.4% at Moody's prior review. Moody's base expected loss plus realized losses is now 3.5% of the original pooled balance compared to 5.5% at the prior review. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Description of Models Used: Moody's review utilized 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. 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. 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 27 compared to 28 at prior review. Deal Performance: As of the November 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 23% to $3.25 billion from $4.33 billion at securitization. The Certificates are collateralized by 155 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 two loans with investment-grade credit assessments, representing 13.5% of the pool. Seven loans, representing approximately 2% of the pool, are defeased and are collateralized by U.S. Government securities. Thirty-five loans, representing 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Ten loans have liquidated from the pool, resulting in an aggregate realized loss of $22.9 million (21% average loan loss severity). Currently, five loans, representing 6% of the pool, are in special servicing. The largest specially serviced loan is the NEC America Corporate Center Loan ($94 million -- 3% of the pool), which is secured by two Class A office buildings located in Irving, Texas. The property is 100% leased to NEC Corporation of America through March of 2016. The loan transferred to special servicing in March 2012 due to a covenant default. The special servicer indicated that it intends to return the loan to the master servicer in the first quarter of 2014. The remaining four specially serviced loans are secured by a mix of office, retail, and industrial property types. Moody's estimates an aggregate $73 million loss (65% expected loss) for all specially serviced loans. Moody's has assumed a high default probability for 20 poorly performing loans representing 8% of the pool. Moody's analysis attributes to these troubled loans an aggregate $63 million loss (24% expected loss severity based on a 55% probability default). Moody's was provided with full-year 2011 and full or partial year 2012 operating results for 95% and 98% of the pool, respectively. Excluding troubled loans, Moody's weighted average LTV is 95% compared to 91% at last full review. Moody's net cash flow reflects a weighted average haircut of 10% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.0% Excluding troubled loans, Moody's actual and stressed DSCRs are 1.42X and 1.06X, respectively, compared to 1.51X and 1.10X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The largest loan with a credit assessment is the Houston Galleria Loan ($290 million -- 9% of the pool), which represents a 50% pari passu interest in a $580 million mortgage loan. The loan is secured by a portion of a 2.3 million square foot super-regional mall, anchored by Macy's, Neiman Marcus, Saks Fifth Avenue, and Nordstrom. The property was 99% leased as of March 2013, up from 94% in June 2012, reflecting steadily improving performance of the mall in recent years. Simon Property Group is the sponsor. The property is also encumbered by two B-Notes. The senior B-Note ($110 million) is held outside the trust. The junior B-Note ($130 million) is held within the trust and supports the non-pooled, or "rake" bonds HG-1, HG-2, HG-3, HG-4, HG-5, and HG-X. Moody's does not rate HG-5. Moody's credit assessment and stressed DSCR of the A-Note is Baa1 and 1.41X, respectively, compared to Baa1 and 1.35X at last review. The second largest loan with a credit assessment is the Jordan Creek Loan Oakbrook Center Loan ($147 million -- 4.5% of the pool), which is secured by a 1.5 million square foot regional mall located 13 miles west of downtown Des Moines, Iowa. The mall's shadow anchors include Dillard's, Younkers, and Costco. The property was 99% leased as of September 2013 compared to 95% as of June 2012. Moody's current credit assessment and stressed DSCR are Baa2 and 1.47X, respectively, compared to Baa3 and 1.34X at last review. The top three performing conduit loans represent 22% of the pool. The largest loan is the Brookdale Office Portfolio Loan ($320 million -- 10% of the pool), which is secured by fee interests in 18 suburban office properties and leasehold interests in three suburban office buildings located across five southern U.S. states. Sixty five percent of the allocated loan balance is secured by properties in Florida. The portfolio was 72% leased as of September 2013 compared to 74% at last review. Moody's current LTV and stressed DSCR are 105% and 0.96X, respectively, compared to 91% and 1.07X at last review. The second largest loan is the Selig Office Portfolio Loan ($242 million -- 8% of the pool). The loan is secured by seven Class B office properties, totaling 1.5 million square feet, in downtown Seattle, Washington. The portfolio was 96% leased as of October 2013 compared to 92% in September 2012. Moody's current LTV and stressed DSCR are 88% and 1.13X, respectively, compared to 89% and 1.12X at last review. The third largest loan is the Grand Plaza Loan ($146 million -- 5% of the pool). The loan is secured by a luxury apartment complex in the River North section of Chicago, Illinois. Performance has steadily improved in recent years, with occupancy rising from 89% at year-end 2010 to 95% as of September 2013. Moody's current LTV and stressed DSCR are 79% and 1.07X respectively, compared to 89% and 0.94X at last review. JP MORGAN 2007-LDP12: Fitch Lowers Ratings on 2 Cert. Classes ------------------------------------------------------------- Fitch Ratings has downgraded two classes, upgraded one class, and affirmed 19 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2007-LDP12. Key Rating Drivers: The upgrade is a result of increased credit enhancement from paydown and higher than expected recoveries on two of the larger assets liquidated since Fitch's last rating action, lowering Fitch's overall loss expectations. The downgrades to the distressed classes are due to a greater certainty of loss expectations associated with loans currently in special servicing. Fitch modeled losses of 10.2% of the remaining pool; expected losses on the original pool balance total 12.8%, including $134.5 million (5.4% of the original pool balance) in realized losses to date. Fitch has designated 35 loans (25.5%) as Fitch Loans of Concern, which includes nine specially serviced assets (6.9%). As of the November 2013 distribution date, the pool's aggregate principal balance has been reduced by 27.2% to $1.82 billion from $2.5 billion at issuance. Per the servicer reporting, one loan (0.2% of the pool) is defeased. Interest shortfalls are currently affecting classes F through NR. The largest contributor to expected losses is the REO asset, Liberty Plaza (2.4% of the pool), a 371,109 square foot (sf) community shopping plaza located in Philadelphia, PA, anchored by a 24 hour Wal-Mart, Dick's Sporting Goods, and PathMark. The loan was transferred to special servicing in January 2013 due to imminent default and became REO through a deed in lieu. Per the special servicer, the largest tenant, Wal-Mart has exercised an option to extend its lease through March 2014. Wal-Mart plans to vacate at lease expiration as they will be relocating to an adjacent location at the Franklin Mills Mall. Wal-Mart comprises 131,812 SF (36% of NRA and 34% of net rental income. The property is 98% occupied as of July 2013. Per the special servicer, the leasing team continues to search for replacements for Wal-Mart. The servicer is also addressing deferred maintenance items. The next largest contributor to expected losses is the St. Joe 150 W. Main loan (2.5%), which is secured by a 227, 047 sf multi- tenanted office building located in Norfolk, VA. The largest three tenants are Kaufman & Canoles (28%), SunTrust Bank (21%), CB Richard Ellis (7%) with lease expirations in 2022, 2018, and 2015; respectively. Occupancy at the property has declined to 78% from 84% at last review with average rent of $23.30 per square foot (psf). There is minimal rollover until 2015 when 11% of the space rolls. Per REIS as of 3Q 2013, the Norfolk submarket vacancy is 20.5% with average asking rent of $21.69 psf. The most recently reported debt-service coverage ratio as of September 2013 is 0.84x with occupancy at 78.5%. The third largest contributor to expected losses is the BB&T Tower loan (1.7%), which is secured by an 18 story high rise office building with 252,507 sf built in 1975, renovated in 1994, located in Jacksonville, FL. The largest tenants are Branch Banking (19%), HDR Engineering (9%), Patriot Transport (6%), with lease expirations in 2019, 2018, and 2023; respectively. As of September 2013, the property is 84.2% occupied with average rent of $19.80 psf. Per REIS as of 3Q 2013, the Jacksonville metro vacancy rate is 20.8% with asking rent of $18.52. The loan structure includes a leasing holdback and capital expenditure holdback for the purpose of upgrading the property's equipment and common areas. Wells Fargo has reviewed and approved a second amendment to the office lease for Office of Chapter 13 trustee, an instrument of the US Government. The loan matures in July 2014. There is 4% upcoming rollover in 2015 and 12% in 2016. The Replacement Reserve has a current balance of $250,241; Tenant Reserve $1,608,632; and Debt Service Reserve $31.23. Rating Sensitivity: Rating Outlooks on classes A-2 through A-M are Stable due to increasing credit enhancement and continued paydown. Fitch downgrades the following classes as indicated: -- $21.9 million class D to 'CCsf' from 'CCCsf', RE 0%; -- $12.5 million class E to 'Csf' from 'CCsf', RE 0%. Fitch upgrades the following class: -- $250.5 million class A-M to 'BBBsf' from 'BBB-sf', Outlook to Stable from Negative. Fitch affirms the following classes as indicated: -- $12 million class A-2 at 'AAAsf', Outlook Stable; -- $346.2 million class A-3 at 'AAAsf', Outlook Stable; -- $601.7 million class A-4 at 'AAAsf', Outlook Stable; -- $36 million class A-SB at 'AAAsf', Outlook Stable; -- $211.8 million class A-1A at 'AAAsf', Outlook Stable; -- $197.2 million class A-J at 'CCCsf', RE 90% -- $21.9 million class B at 'CCCsf', RE 0%; -- $28.2 million class C at 'CCCsf', RE 0%; -- $25 million class F at 'Csf', RE 0%; -- $28.2 million class G at 'Csf', RE 0%; -- $28.2 million class H at 'Csf', RE 0%; -- $3.1 million class J at 'Dsf', RE 0%; -- $0 class K at 'Dsf', RE 0%; -- $0 class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%; -- $0 class P at 'Dsf', RE 0%; -- $0 class Q at 'Dsf', RE 0%; -- $0 class T at 'Dsf', RE 0%. The class A-1 certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the rating on the interest-only class X certificates. JP MORGAN 2011-C3: S&P Affirms 'BB+' Rating on Class H Notes ------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on 14 classes of commercial mortgage pass-through certificates, including the class X-A interest-only (IO) certificates, from J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3, a U.S. commercial mortgage-backed securities (CMBS) transaction. The affirmations of S&P's ratings on the principal and interest paying classes follow 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 the remaining loans in the pool, the transaction structure, and the liquidity available to the trust. The affirmations of the principal and interest paying classes reflect S&P's expectation that the available credit enhancement for these classes will be within its estimated necessary credit enhancement requirement for the current outstanding ratings. The affirmations also reflect S&P's review of the loans' credit characteristics and the remaining loans' performance, as well as the transaction-level changes. In addition, S&P's analysis also considered that three loans ($134.0 million, 9.3%) mature on Nov. 1, 2015. The affirmation of our 'AAA (sf)' rating on the class X-A IO certificates reflects S&P's current criteria for rating IO securities. RATINGS AFFIRMED J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3 Class Rating Credit enhancement (%) A-1 AAA (sf) 17.62 A-2 AAA (sf) 17.62 A-3 AAA (sf) 17.62 A-3FL AAA (sf) 17.62 A-4 AAA (sf) 17.62 B AA (sf) 14.77 C A+ (sf) 11.14 D A- (sf) 8.68 E BBB+ (sf) 5.83 F BBB (sf) 5.18 G BBB- (sf) 4.53 H BB+ (sf) 3.37 J BB (sf) 3.11 X-A AAA (sf) N/A N/A-Not applicable. HIGHBRIDGE LOAN: S&P Assigns Prelim. BB Rating on Class D Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Highbridge Loan Management 3-2014 Ltd./Highbridge Loan Management 3-2014 LLC's $378.25 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Dec. 13, 2013. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 primarily comprises broadly syndicated speculative-grade senior secured term loans. -- The asset manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the 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 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 reinvestment test, a failure of which will lead to the reclassification of excess interest proceeds that are available before paying subordinated management fees, uncapped administrative expenses, deferred base management fees,, and subordinated note payments to principal proceeds to purchase additional collateral assets during the reinvestment period. PRELIMINARY RATINGS ASSIGNED Highbridge Loan Management 3-2014 Ltd./Highbridge Loan Management 3-2014 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 246.00 A-2 AA (sf) 50.00 B (deferrable) A (sf) 37.25 C (deferrable) BBB (sf) 20.25 D (deferrable) BB (sf) 17.00 E (deferrable) B (sf) 7.75 Subordinated notes NR 31.45 NR-Not rated. LB-UBS COMMERCIAL 2001-C2: Moody's Cuts Cl. X Notes Rating to C --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of two classes and downgraded one class of LB-UBS, Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2001-C2 as follows: Cl. H, Affirmed Caa3 (sf); previously on Jan 28, 2013 Downgraded to Caa3 (sf) Cl. J, Affirmed C (sf); previously on Jan 28, 2013 Affirmed C (sf) Cl. X, Downgraded to C (sf); previously on Jan 28, 2013 Affirmed Caa3 (sf) Ratings Rationale: The ratings of the two P&I classes are consistent with Moody's expected loss and thus are affirmed. The downgrade of the IO Class, Class X, is due to a decline in the credit performance (or the weighted average rating factor or WARF) of its referenced classes and because the class is being impacted by interest shortfalls. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan amortization, defeasance or overall improved performance for the remaining loan. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the remaining loan, increased expected losses from the remaining loan. Loss and Cash Flow Analysis: The methodological approach used in this rating is as follows: Moody's utilized a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing and there are no performing conduit loans. In this approach, Moody's determines a probability of default for each specially serviced loan that we expect will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, 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). Description of Models Used: Moody's review utilized the excel-based IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 1 compared to 2 at prior review. Deal Performance: As of the November 18, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $9 million from $1.3 billion at securitization. The Certificates are collateralized by one mortgage loan. No loans 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 our ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-four loans have been liquidated at a loss from the pool, resulting in an aggregate realized loss of $68 million (40% loss severity on average). There are no remaining conduit loans. The pool's one remaining loan is currently in special servicing. The Metroplex Tech Center I Loan ($9 million -- 100% of the pool) is secured by a 106,000 square foot Class B office / flex property located in Carrollton, Texas. The loan transferred to special servicing in December 2009 for a technical default and became real estate owned in June 2011. The property is 99.6% leased as of November 2013 up from 75% as of January 2013. The servicer will look to market the stabilized asset for sale. The servicer recognizes a $3.1 million appraisal reduction for the loan. LB-UBS COMMERCIAL 2002-C2: Moody's Cuts X-CL Notes Rating to C -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of three classes and downgraded one class of LB-UBS Commercial Mortgage Trust 2002- C2, Commercial Mortgage Pass-Through Certificates, Series 2002-C2 as follows: Cl. Q, Affirmed Caa3 (sf); previously on Feb 28, 2013 Affirmed Caa3 (sf) Cl. S, Affirmed C (sf); previously on Feb 28, 2013 Affirmed C (sf) Cl. T, Affirmed C (sf); previously on Feb 28, 2013 Affirmed C (sf) Cl. X-CL, Downgraded to C (sf); previously on Feb 28, 2013 Downgraded to Caa3 (sf) Ratings Rationale: The ratings of the three P&I classes are consistent with Moody's expected loss and thus are affirmed. The downgrade of the IO Class, Class X-CL, is due to a decline in the credit performance (or the weighted average rating factor or WARF) of its referenced classes. The IO class is also impacted by interest shortfalls. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Loss and Cash Flow Analysis: The methodological approach used in this rating is as follows: Moody's utilized a loss and recovery approach in rating the P&I classes in this deal since 97% of the pool is in special servicing and the other 3% is fully defeased. There are no performing conduit loans. In this approach, Moody's determines a probability of default for each specially serviced loan that we expect will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, 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). Description of Models Used: Moody's review utilized the excel-based IO calculator, which uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point for consideration by the rating committee. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 2, the same as at prior review. Deal Performance: As of the November 18, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $11 million from $1.2 billion at securitization. The Certificates are collateralized by three mortgage loans ranging in size from 3% to 52% of the pool. One loan, representing 3% of the pool, has defeased and is secured by US Government securities. No loans 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 our ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Fourteen loans have been liquidated at a loss from the pool, resulting in an aggregate realized loss of $15 million (18% loss severity on average). The largest specially serviced loan is the South Rivers Market Loan ($5.5 million -- 52.2 % of the pool), which is secured by an 81,000 square foot (SF) retail property located in Greensville, Mississippi. The loan transferred to special servicing in August 2009 due to payment default after the property's anchor tenant vacated the property. The property became real estate owned (REO) in March 2011. A replacement anchor took occupancy in March 2011 and the property was 88% leased as of October 2013 compared to 89% as of December 2012. The servicer is currently looking to sell the property. The second largest loan in special servicing is the Square 67 Shopping Center Loan ($4.7 million -- 44.8% of the pool), which is secured by a 183,000 SF retail property in Dallas, Texas. The loan transferred to special servicing in April 2012 due to maturity default and the borrower's bankruptcy filing. The property became REO in October 2013. The collateral is 52% leased as of November 2013 compared to 94% at last review. The servicer is currently evaluating loan resolution strategies. The servicer has recognized an aggregate $4.1 million appraisal reduction for the two specially serviced loans. Moody's has estimated an aggregate $5.6 million loss (54% average loss severity) for the specially serviced loans. There is no conduit level information because the pool does not have any remaining conduit loans. MERCER FIELD: Fitch Affirms BB Rating on $60.48MM Cl. E Notes ------------------------------------------------------------- Fitch Ratings has affirmed the following ratings to Mercer Field CLO LP: -- $556,500,000 class A notes at 'AAAsf'; Outlook Stable; -- $154,350,000 class B notes at 'AAsf'; Outlook Stable; -- $78,750,000 class C notes at 'Asf'; Outlook Stable; -- $65,100,000 class D notes at 'BBBsf'; Outlook Stable; -- $60,480,000 class E notes at 'BBsf'; Outlook Stable; -- $316,902,042 exchangeable combination notes at 'BBB-sf'; Outlook Stable. The exchangeable combination notes comprise 100% of the class C, class D and class E notes, $97,041,000 (70%) of the unrated income notes and the current accreted value of a $55 million Fannie Mae (FNMA) principal-only strip. Key Rating Drivers: The ratings affirmation is based on the stable credit enhancement levels on the transaction, stable performance of the portfolio and the cushions available in the CLO's cash flow modeling results. As of the Nov. 14, 2013 report, the transaction continues to pass all of its coverage and primary collateral quality tests. Fitch's cash flow analysis also indicates each class of notes are passing all 12 interest rate and default timing scenarios at or above their current rating levels. The loan portfolio par amount plus principal cash is approximately $1.06 billion, compared to the effective date target par balance of $1.05 billion, resulting in relatively stable credit enhancement levels since closing. The minimum required weighted average spread (WAS) trigger is 4.8%, versus a current WAS of 5.17%, as reported by the trustee. No assets have defaulted in the portfolio and though the weighted average rating factor increased slightly, it still remains in 'B/B-' range. The trustee currently reports the 'CCC' concentration at 7.4% of the portfolio versus a maximum allowance of 7.5%, based on Fitch's public ratings and S&P ratings. However, Fitch currently considers 19.3% of the collateral assets to be rated in the 'CCC' category in its analysis versus 8.8% in the indicative portfolio at closing. Approximately 3.2% of Fitch's 'CCC' bucket is composed of obligors with a Fitch published rating or credit opinion of 'CCC+' or lower, 9.2% are derived from other published agency ratings (according to Fitch's IDR Equivalency Map in Fitch's Global Rating Criteria for Corporate CDOs), and 6.9% are not publicly rated and assumed at 'CCC'. The portfolio is invested in 97.1% senior secured loans, and 2.9% senior secured bonds compared to 90.1% senior secured loans and 9.9% senior secured bonds at closing. Currently, 89.1% of the portfolio has strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher verses 61.1% at closing. Both the improved seniority profile of this portfolio and the decrease in the weighted average life (WAL) to 5.1 from 6.1 at closing have helped mitigate the risks of the larger 'CCC' bucket. Rating Sensitivities: The ratings of the notes may be sensitive to the following: asset defaults, portfolio migration, including assets being downgraded to 'CCC', portions of the portfolio being placed on Rating Watch Negative, OC or IC test breaches, or breach of concentration limitations or portfolio quality covenants. Fitch conducted rating sensitivity analysis on the closing date of Mercer Field CLO, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities. Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on Jan. 18, 2013. Mercer Field CLO is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Guggenheim Partners Investment Management, LLC (GPIM). The transaction remains in its reinvestment period, which is scheduled to end in December 2016. This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs' using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. These default and recovery levels were then utilized in Fitch's cash flow model under various combinations of default timing and interest rate stress scenarios, as described in the report 'Global Rating Criteria for Corporate CDOs' '. The cash flow model was customized to reflect the transaction's structural features. The current portfolio's 'AAAsf' Rating Default Rate (RDR) and Rating Recovery Rate (RRR) outputs from PCM(the stress used to achieve a 'AAAsf' rating on the class A notes) are 56.8% and 39.8%, respectively, versus an RDR of 58.5% and RRR of 35.0% for the indicative portfolio at closing. The RDR decreases to 38.7% and the RRR increases 70.3% at the 'BBsf' stress (the stress used to achieve a 'BBsf' rating on the class E notes) versus RDR of 39.2% and RRR of 64.0% for the indicative portfolio at closing. The ratings of the Mercer Field CLO notes and combination notes are not expected to experience rating volatility in the near term, supporting their Stable Outlooks. MERRILL LYNCH 1997-C1: Moody's Affirms Caa3 Rating on Cl. IO Notes ------------------------------------------------------------------ Moody's Investors Service affirmed the rating of one class of Merrill Lynch Commercial Mortgage Trust, Commercial Mortgage Pass- Through Certificates, Series 1997-C1 as follows: Cl. IO, Affirmed Caa3 (sf); previously on Feb 22, 2013 Affirmed Caa3 (sf) Ratings Rationale: The affirmation of the IO Class, Class X, is based on the credit performance of its reference classes. Moody's rating action reflects a base expected loss of 0.6% of the current balance, same as at Moody's prior review. Moody's base expected loss plus realized losses is now 3.3% of the original pooled balance, the same as at Moody's prior review. Factors that Would Lead to an Upgrade or Downgrade of the Rating: Ratings of IO classes are based on the credit performance of its referenced classes. An IO class may be upgraded based on a lower weighted average rating factor or WARF due to improved credit quality of its reference classes. An IO class may be downgraded based on a higher WARF due to declined credit qualityof its reference classes, paydowns of higher quality reference classes or non-payment of interest. Classes that have paid off through loan paydowns or amortization are not included in the WARF calculation. Classes that have experienced losses are grossed up for losses and included in the WARF calculation, even if Moody's has withdrawn the rating. 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 2, the same as at 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. Deal Performance: As of the November 18, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $3.9 million from $840.8 million at securitization. The Certificates are collateralized by three mortgage loans ranging in size from 12% to 53% of the pool. No loans are defeased. Thirty loans have been liquidated from the pool, resulting in an aggregate realized loss of $27.6 million (31% loss severity on average). There are currently no loans in special servicing. Moody's was provided with full-year 2012 and partial year 2012 operating results for 100% and 33% of the performing pool, respectively. Moody's weighted average LTV is 27% compared to 42% at Moody's prior review. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.2%. Moody's actual and stressed conduit DSCRs are 1.57X and 4.29X, respectively, compared to 1.24X and 2.81X at prior 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. MERRILL LYNCH 2006-CA: Moody's Affirms Ba1 Rating on Class F Notes ------------------------------------------------------------------ Moody's Investors Service upgraded the rating of one class and affirmed the ratings of 12 classes of Merrill Lynch Financial Assets Inc., Commercial Mortgage Pass-Through Certificates, Series 2006-Canada 18 as follows as follows: Cl. A-2, Affirmed Aaa (sf); previously on Jan 28, 2013 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jan 28, 2013 Affirmed Aaa (sf) Cl. B, Upgraded to Aaa (sf); previously on Jan 28, 2013 Affirmed Aa1 (sf) Cl. C, Affirmed A1 (sf); previously on Jan 28, 2013 Affirmed A1 (sf) Cl. D, Affirmed Baa2 (sf); previously on Jan 28, 2013 Affirmed Baa2 (sf) Cl. E, Affirmed Baa3 (sf); previously on Jan 28, 2013 Affirmed Baa3 (sf) Cl. F, Affirmed Ba1 (sf); previously on Jan 28, 2013 Affirmed Ba1 (sf) Cl. G, Affirmed Ba2 (sf); previously on Jan 28, 2013 Affirmed Ba2 (sf) Cl. H, Affirmed Ba3 (sf); previously on Jan 28, 2013 Affirmed Ba3 (sf) Cl. J, Affirmed B1 (sf); previously on Jan 28, 2013 Affirmed B1 (sf) Cl. K, Affirmed B2 (sf); previously on Jan 28, 2013 Affirmed B2 (sf) Cl. L, Affirmed B3 (sf); previously on Jan 28, 2013 Affirmed B3 (sf) Cl. XC, Affirmed Ba3 (sf); previously on Jan 28, 2013 Affirmed Ba3 (sf) Ratings Rationale: The upgrade is due to increased credit support from paydowns and amortization. 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 interest- only class is consistent with the credit quality of its referenced classes and is thus affirmed. Moody's rating action reflects a base expected loss of approximately 2.4% of the current deal balance compared to 2.3% at last review. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Description of Models Used: 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 20, the same as at last review. Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output. Deal Performance: As of the November 12, 2013 payment date, the transaction's aggregate certificate balance has decreased by approximately 40% to $356.1 million from $590.2 million at securitization. The Certificates are collateralized by 57 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing approximately 57% of the pool. There is one defeased loan, representing approximately 2% of the pool, that is secured by Canadian government securities. Currently, there are no loans in special servicing and the pool has not experienced any realized losses to date. Fourteen loans, representing approximately 15% 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. Moody's has assumed a high default probability for two poorly performing loans, representing 2.3% of the pool. Moody's estimates an aggregate loss of $1.64 million loss (40% expected loss based on a 50% probability default) for these troubled loans. Moody's was provided with full year 2012 operating results for 92% of the pool. Moody's weighted average conduit LTV is 80% compared to 76% at last review. Moody's net cash flow reflects a weighted average haircut of 10.9% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.47X and 1.33X, respectively, compared to 1.55X and 1.38X at last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing loans represent 30% of the pool balance. The largest loan is the TransGlobe Pooled Senior Loan ($45.7 million -- 12.9% of the pool), which represents a 45% pari-passu interest in a $101.7 million A-note. There is also $10.7 million B-note held outside the trust. The loan is secured by 25 multi- family properties totaling 2,491 units located in Ontario and Nova Scotia. As of November 2013, the total occupancy was approximately 91% compared to 93% at last review. In 2012, net operating income increased due to an uptick in revenues. Furthermore, the loan is has amortized 25% since securitization. The loan is full recourse to PD Kanco LP. Moody's LTV and stressed DSCR are 87% and 1.05X, respectively, compared to 91% and 1.01X at last review. The second largest loan is the Anchored Retail Portfolio Loan ($36.6 million -- 10.3% of the pool), which is secured by 14 retail centers ranging in size from 6,054 SF to 58,343 square feet (SF) and totaling 369,618 SF. Thirteen of the properties are located in Quebec and one is located in Ontario. The largest tenant at each center is Jean Coutu (34% of net rentable area), a Canadian pharmacy chain, with leases maturing in 2020. Financial performance declined since 2010 due to lower base rents despite occupancy remaining stable at 96% as of December 2012. The loan has amortized 13% since securitization. Moody's LTV and stressed DSCR are 110% and 0.89X, respectively, compared to 91% and 1.07X at last review. The third largest loan is the Halifax Marriott Center Loan ($24.5 million -- 6.9% of the pool), which is secured by a six-story full service hotel located on Halifax's waterfront at the northern edge of the central business district. The property is connected to the Halifax Casino via a pedestrian walkway. Performance declined since last review due to a decrease occupancy and an increase in operating expenses. For 2012, the hotel's occupancy and revenue per available room (RevPAR) were 65.8% and $108.67 compared to 68.9% and $112.34 at last review. Moody's LTV and stressed DSCR are 68% and 1.75X, respectively, compared to 55% and 2.16X at last review. ML-CFC COMMERCIAL 2006-4: Moody's Affirms B3 Rating on AJ Notes --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 19 classes of ML-CFC Commercial Mortgage Trust 2006-4 Commercial Mortgage Pass- Through Certificates, Series 2006-4 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Jan 31, 2013 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jan 31, 2013 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jan 31, 2013 Affirmed Aaa (sf) Cl. A-2FL, Affirmed Aaa (sf); previously on Jan 31, 2013 Affirmed Aaa (sf) Cl. A-2FX, Affirmed Aaa (sf); previously on Jan 31, 2013 Affirmed Aaa (sf) Cl. AM, Affirmed A1 (sf); previously on Jan 31, 2013 Affirmed A1 (sf) Cl. AJ, Affirmed B3 (sf); previously on Jan 31, 2013 Downgraded to B3 (sf) Cl. AJ-FL, Affirmed B3 (sf); previously on Jan 31, 2013 Downgraded to B3 (sf) Cl. AJ-FX, Affirmed B3 (sf); previously on Jan 31, 2013 Downgraded to B3 (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jan 31, 2013 Affirmed Aaa (sf) Cl. B, Affirmed Caa1 (sf); previously on Jan 31, 2013 Downgraded to Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on Jan 31, 2013 Downgraded to Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Jan 31, 2013 Downgraded to Caa3 (sf) Cl. E, Affirmed C (sf); previously on Jan 31, 2013 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Jan 31, 2013 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Jan 31, 2013 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Jan 31, 2013 Affirmed C (sf) Cl. XC, Affirmed Ba3 (sf); previously on Jan 31, 2013 Affirmed Ba3 (sf) Cl. XP, Affirmed Aaa (sf); previously on Jan 31, 2013 Affirmed Aaa (sf) Ratings Rationale: The affirmations of the investment grade P&I classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. The ratings of the below-investment grade P&I classes are consistent with Moody's expected loss and thus are affirmed. The ratings of the IO Classes, Classes XP and XC, are consistent with the expected credit performance of their referenced classes and thus are affirmed. Moody's rating action reflects a base expected loss of 11.0% of the current balance compared to 10.2% at Moody's prior review. Moody's base expected loss plus realized losses is now 12.6% of the original pooled balance compared to 11.8% at the prior review. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Description Of Models Used: Moody's review utilized 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. 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. 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 43 compared to 46 at prior review. Deal Performance: As of the November 12, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 27% to $3.3 billion from $4.5 million at securitization. The Certificates are collateralized by 227 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans representing 32% of the pool. The pool contains one loan, representing 1.5% of the pool, that has an investment grade credit assessment. One loan, representing less than 1% of the pool has defeased and is secured by US Government securities. Sixty-seven 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 loans have been liquidated from the pool, resulting in an aggregate realized loss of $204.3 million (41% loss severity on average). Eighteen loans, representing 10% of the pool, are currently in special servicing. The largest specially serviced loan is the Sahara Pavilion North ($56.3 million -- 1.7% of the pool), which is secured by a 334,000 square-foot (SF) retail property located in Las Vegas, Nevada. The property became REO in June 2011 and was 51% leased as of June 2013. Decreased occupancy and operating performance has in part been caused by the departure of Von's as the property's grocery anchor. The tenant vacated its 50,000 SF space upon its lease expiration in September 2011. The second largest specially-serviced loan is Konover Hotel Portfolio Loan ($50.6 million -- 1.5% share of the pool), which was originally secured by a portfolio of 15 limited service hotels totaling 1,103 rooms located in Indiana, Michigan and Kansas. The loan was transferred to special servicing in October 2009. Eight properties located in Michigan and Kansas are real estate-owned (REO) while the remaining seven properties in Indiana are currently being foreclosed upon. Five Michigan properties have been sold. The remaining 16 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $177.8 million loss for the specially serviced loans (52% expected loss on average). Moody's has assumed a high default probability for 38 poorly performing loans representing 23% of the pool and has estimated an aggregate $ 142.6 million loss (18% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year 2012 and partial year 2013 operating results for 99% and 64% of the pool, respectively. Moody's weighted average conduit LTV is 105% compared to 112% at Moody's prior review. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.34X and 1.00X, respectively, compared to 1.24X and 0.93X at prior review. Moody's actual DSCR is based on Moody's 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 White Oaks Mall Loan ($50.0 million -- 1.5%), which is secured by a 834,000 SF regional mall located in Springfield, Illinois. The loan is interest only for its entire 10-year term. The property was 87% leased as of September 2013, essentially the same at last review. The center is anchored by Sears, Macy's and Bergner's. Moody's current credit assessment and stressed DSCR are Baa1 and 1.56X, respectively, compared to Baa1 and 1.50X at last review. The top three conduit loans represent 20% of the pool balance. The largest loan is the Park La Brea Apartments Loan ($387.5 million - - 11.7%), which represents a pari passu interest in a $775 million first mortgage loan. The loan is secured by a 4,238-unit multifamily complex located in Hollywood, California. The property was 96% leased as of April 2013, essentially the same at last review. The loan is interest only for its entire 10 year term. Moody's LTV and stressed DSCR are 106% and 0.76X, respectively, compared to 101% and 0.80X at last review. The second largest loan is the Pinnacle Hills Promenade Loan ($140.0 million -- 4.2%), which is secured by a 661,071 SF (425,965 SF of which represents loan collateral) open air retail center located in Rogers, Arkansas. The mall is anchored by Dillard's and J.C. Penney and was 96% leased as of June 2013. The loan was modified to extend the maturity to December 12, 2014. The loan is interest only for its remaining term. Moody's LTV and stressed DSCR are 187% and 0.56X, respectively, compared to 184% and 0.57X at last review. Moody's considers this a troubled loan and has assumed a loss for this loan. The third largest loan is the Central Park Shopping Center Loan ($125.0 million - 3.8%), which is secured by a retail property located in Fredericksburg, Virginia. The loan is currently on the watchlist due to a low DSCR caused by continued low occupancy. The property was 84% leased as of September 2013, the same at last review. Moody's LTV and stressed DSCR are 156% and 0.62X, respectively, compared to 161% and 0.60X at last review. Moody's considers this a troubled loan and has assumed a loss for this loan. MORGAN STANLEY 2003-HQ2: Moody's Cuts Rating on X-1 Certs to Caa2 ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of one class, affirmed five classes and downgraded one classes of Morgan Stanley Dean Witter Capital I Inc. Commercial Pass-Through Certificates, Series 2003-HQ2 as follows: Cl. H, Upgraded to A2 (sf); previously on Feb 1, 2013 Upgraded to Baa1 (sf) Cl. J, Affirmed B1 (sf); previously on Feb 1, 2013 Affirmed B1 (sf) Cl. K, Affirmed B2 (sf); previously on Feb 1, 2013 Affirmed B2 (sf) Cl. L, Affirmed Caa1 (sf); previously on Feb 1, 2013 Affirmed Caa1 (sf) Cl. N, Affirmed C (sf); previously on Feb 1, 2013 Downgraded to C (sf) Cl. M, Affirmed Caa3 (sf); previously on Feb 1, 2013 Downgraded to Caa3 (sf) Cl. X-1, Downgraded to Caa2 (sf); previously on Feb 1, 2013 Downgraded to B2 (sf) Ratings Rationale: The upgrade of the investment-grade P&I class, Class H, is primarily due to increased credit support resulting from loan paydowns and amortization. The deal has paid down 70% since last review. The ratings of the below investment-grade P&I classes are consistent with Moody's expected loss and thus are affirmed. The downgrade of the IO Class, Class X-1, is due to a decline in the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. 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 our 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 4, compared to 13 at prior review. In cases where the Herf falls below 20, Moody's uses the excel- based Large Loan Model v 8.6 and then reconciles and weights the results from the Conduit and Large Loan 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. Deal Performance: As of the November 18, 2013 payment date, the transaction's aggregate certificate balance has decreased by 98% to $21.3 million from $931.6 million at securitization. The Certificates are collateralized by five mortgage loans ranging in size from 10% to 34% of the pool. One loan, representing 14% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of our ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Three loans have been liquidated from the pool since securitization, resulting in an aggregate $6.8 million loss (32% loss severity on average). There are currently three loans, representing 66% of the pool, in special servicing. The largest specially serviced loan is the 200 SW Michigan Building Loan ($7.1 million - 33.4% of the pool), which is secured by an 83,000 square foot (SF) office property located in Seattle, Washington. The loan transferred to special servicing in November 2012 as the result of maturity default on November 1, 2012. The loan became Real Estate Owned (REO) on September 13, 2013. As of September 2013, the property was 13% leased. This loan has been deemed non- recoverable. The second largest specially serviced loan is the Arlington Green Executive Center Loan ($4.8 million - 22.4% of the pool). The loan is secured by a 62,300 SF office property located in Arlington Heights, Illinois. The loan transferred to special servicing in February 2012 as the result of imminent default. A receiver was appointed in October 2012. A foreclosure sale is projected for July 2013. As of October 2013, the property was 51% leased. The third largest specially serviced loan is the Salisbury Professional Center Loan ($2.2 million - 10.2% of the pool). The loan is secured by a 38,800 SF office property located in Jacksonville, Florida. The loan transferred to special servicing in December 2012 as the result of maturity default on December 1, 2012. A two-year loan extension closed on August 20, 2013. The loan will be monitored for three successful months of payments, and then returned to the Master Servicer. Moody's estimates an aggregate $ 9.7 million loss for two of the specially serviced loans (80% expected loss on average). Moody's was provided with full-year 2012 and partial year 2013 operating results for 100% and 65% of the performing pool, respectively. Excluding troubled and specially-serviced loans, Moody's weighted average LTV is 99%, compared to 93% at last full review. Moody's net cash flow reflects a weighted average haircut of 2% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.50X and 1.20X, respectively, compared to 1.34X and 1.21X 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. Two loans remain in the conduit pool, presenting 34% of the pool. The largest loan is the 2310 & 2344 Washington Street Loan ($4.3 million -- 20.0% of the pool). The loan is secured by an office property located in Newton, Massachusetts. The property was 100% leased as of June 2013. Moody's current LTV and stressed DSCR are 66% and 1.64X, respectively, compared to 68% and 1.59X at last review. The second largest loan is the Star Village Commons Loan ($3.0 million -- 14.1% of the pool). The loan is secured by a retail property located in Lake Worth, Texas. The loan was placed on the Watchlist due to an occupancy lower than 80%. As of September 2013, the property was 72% leased. Moody's LTV and stressed DSCR are 137% and 0.73X, respectively. MORGAN STANLEY 2008-TOP29: Fitch Cuts Rating on $1.5MM Notes to CC ------------------------------------------------------------------ Fitch Ratings has downgraded three classes of Morgan Stanley Capital I Trust (MSCI), series 2008-TOP29. Key Rating Drivers: The downgrades were the result of higher modeled losses on performing loans with declines in performance indicative of a higher probability of default. Fitch modeled losses of 4.4% of the remaining pool. Expected losses of the original pool are at 4.9%, including losses realized to date. Fitch designated 21 loans (19% of the pool balance) as Fitch Loans of Concern. No loans were in special servicing as of the November distribution date. Although 80% of the loans are reporting a debt service coverage ratio (DSCR) greater than 1.20x, approximately half of the pool has Fitch loan-to-values greater than 90%. As of the November 2013 distribution date, the pool's aggregate principal balance has been reduced by approximately 9.4% (including 1% in realized losses) to $1.12 billion from $1.23 billion at issuance. One loan is defeased (0.6% of the pool). Interest shortfalls are affecting the non-rated class P. Rating Sensitivities: The Negative Rating Outlooks reflect the likelihood of a future downgrade should values deteriorate further on highly leveraged loans. While no loans are currently in special servicing, if a significant number of loans transfer to the special servicer, additional downgrades may be possible due to the pool's high leverage and the relatively small tranche sizes of the subordinate classes. In addition, Fitch is modeling 77% of the pool as a maturity default, indicating a high refinance risk based on Fitch's stressed refinance constants. The largest contributor to Fitch modeled losses is a 98,772 square foot (sf) office property (2% of the pool balance) located in Valencia, CA. The loan remains current; however, the property is approximately 30% occupied, as the largest tenant vacated. The remainder of the space has several tenants that occupy less than 1,000 to 6,000 sf each. The second-largest contributor to modeled losses is backed by a 140,204 sf grocery anchored retail center (1.5% of the pool balance) in Fredericksburg, VA. The property has experienced cash flow issues due to a decline in occupancy; however, it remains current and per the most recent rent roll, remains anchored by a Giant grocery store on a long-term lease. The third-largest contributor to modeled losses is secured by a 106,674 sf anchored retail property (1.2% of the pool balance) in Covington, WA. The Kohl's anchored retail center has experienced cash flow issues due to a decline in rents although occupancy remains high at a reported 97% as of June 2013. Fitch downgrades the following classes and revises Ratings Outlooks as indicated: -- $10.8 million class C to 'BBBsf' from 'Asf'; Outlook to Stable from Negative; -- $1.5 million class J to 'CCsf' from 'CCCsf', RE 0%; -- $1.5 million class L to 'Csf' from 'CCsf', RE 0%. Fitch affirms the following classes as indicated: -- $52.6 million class A-3 at 'AAAsf'; Outlook Stable; -- $38.9 million class A-AB at 'AAAsf'; Outlook Stable; -- $629.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $75 million class A-4FL at 'AAAsf'; Outlook Stable; -- $123.4 million class A-M at 'AAAsf'; Outlook Stable; -- $72.5 million class A-J1 at 'AAsf'; Outlook Stable; -- $20.1 million class B at 'Asf'; Outlook Stable; -- $21.6 million class D at 'BBB-sf'; Outlook Negative; -- $12.3 million class E at 'BBsf'; Outlook Negative; -- $13.9 million class F at 'Bsf'; Outlook Negative; -- $13.9 million class G at 'CCCsf', RE 15%; -- $10.8 million class H at 'CCCsf', RE 0%; -- $4.6 million class K at 'CCsf', RE 0%; -- $1.5 million class M at 'Csf', RE 0%. -- $4.6 million class N at 'Csf', RE 0%; -- $4.6 million class O at 'Csf', RE 0%. Fitch does not rate class P, which has been reduced to $3.6 million from $15.2 million due to realized losses. Classes A-1 and A-2 are paid in full. Fitch previously withdrew the rating on the interest-only class X. MORGAN STANLEY 2011-C1: S&P Affirms BB+ Rating on Class F Notes --------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on 15 classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2011-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction, including the class X-A interest-only (IO) certificates. The affirmations on the principal- and interest-paying classes follow 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 the remaining loans in the pool, the transaction structure, and the liquidity available to the trust. The affirmations of the principal- and interest-paying classes reflect S&P's expectation that the available credit enhancement for these classes will be within its estimated necessary credit enhancement requirement for the current outstanding ratings. The affirmations also reflect S&P's review of the remaining loans' credit characteristics and performance as well as the transaction- level changes. In addition, S&P's analysis also considered that two loans ($348.3 million, 23.2%) mature in November 2015 and 11 loans ($265.2 million, 17.6%) mature in January or February of 2016. The affirmation of S&P's 'AAA (sf) rating on the class X-A IO certificates reflects its current criteria for rating IO securities. RATINGS AFFIRMED Morgan Stanley Capital I Trust 2011-C1 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-1 AAA (sf) 23.55 A-2 AAA (sf) 23.55 A-3 AAA (sf) 23.55 A-4 AAA (sf) 23.55 B AA+ (sf) 19.56 C A+ (sf) 13.64 D BBB (sf) 7.98 E BBB- (sf) 6.69 F BB+ (sf) 5.79 G BB (sf) 4.76 H BB- (sf) 3.86 J B+ (sf) 2.83 K B (sf) 1.93 L B- (sf) 1.29 X-A AAA (sf) N/A N/A-Not applicable. NANTUCKET CLO I: S&P Affirms 'B+' Rating on Class E Notes --------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A, B, C, and D notes from Nantucket CLO I Ltd., a U.S. collateralized loan obligation transaction managed by BNP Paribas Asset Management. At the same time, S&P affirmed its rating on the class E notes, and it removed all of the ratings from CreditWatch, where it placed them with positive implications on Sept. 5, 2013. The rating actions follow S&P's review of the transaction's performance using data from the trustee report dated Nov. 15, 2013. The upgrades were driven primarily by substantial paydowns to the class A notes since S&P's February 2012 rating actions. The affirmed rating reflects our belief that the credit support available is commensurate with the current rating level. The transaction exited its reinvestment period in November 2012. Over the period of time since S&P's last rating action, for which it referenced the December 2011 trustee report, the class A notes have been paid down by $70.86 million. This has improved the transaction's overcollateralization tests, resulting in increased credit support to the rated notes. The trustee report currently shows that the class A notes' remaining balance is 66.84% of its original outstanding balance. According to the November 2013 trustee report, the transaction does not hold any underlying collateral obligations that are considered in default. In addition, the amount of 'CCC' rated collateral held in the transaction's asset portfolio has remained stable over the time since S&P's last rating action. According to the November 2013 trustee report, the transaction held $7.92 million in 'CCC' rated collateral, compared with $5.92 million noted in the December 2011 trustee report. "Our 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 our criteria, our cash flow scenarios applied forward- looking assumptions on the timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our 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 our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action," S&P noted. 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 Dec. 2011 Nov. 2013 Notional balance (mil. $) A 215.03 144.17 B 15.00 15.00 C 18.00 18.00 D 15.60 15.60 E 12.60 12.60 Weighted average spread (%) 3.09 3.03 Coverage tests (%) A/B O/C 124.56 132.73 C O/C 115.52 120.22 D O/C 108.68 111.14 E O/C 103.73 104.75 A/B I/C 364.72 492.82 C I/C 338.27 450.59 D I/C 306.25 396.65 E I/C 263.52 325.08 O/C-Overcollateralization test. I/C-Interest coverage test. RATING AND CREDITWATCH ACTIONS Nantucket CLO I Ltd. Rating Class To From A AAA (sf) AA+ (sf)/Watch Pos B AA+ (sf) AA (sf)/Watch Pos C AA (sf) A (sf)/Watch Pos D BBB+ (sf) BBB- (sf)/Watch Pos E B+ (sf) B+ (sf)/Watch Pos OCTAGON INVESTMENT: S&P Assigns 'BB' Rating on Class D Notes ------------------------------------------------------------ Standard & Poor's Ratings Services assigned its 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 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 S&P expects to be bankruptcy remote; -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans; -- The collateral manager's experienced management team; -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios (including LIBOR ranging from 0.2386%-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; and -- 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. 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) 71.75 A-2B AA (sf) 30.00 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 56.35 NR-Not rated. OZLM FUNDING V: S&P Assigns 'BB' Rating on Class D Notes -------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to OZLM Funding V Ltd./OZLM Funding V LLC's $455.00 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- 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 0.305%-12.813%. -- 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. RATINGS ASSIGNED OZLM Funding V Ltd./OZLM Funding V LLC Class Rating Amount (mil. $) A-1 AAA (sf) 290.50 A-2 AA (sf) 65.25 B (deferrable) A (sf) 36.75 C (deferrable) BBB (sf) 26.25 D (deferrable) BB (sf) 23.00 E (deferrable) B (sf) 13.25 Subordinated notes NR 46.25 NR-Not rated. RICHLAND TOWERS 2013-1: Fitch Rates $2.65MM Cl. B Notes 'BB-sf' --------------------------------------------------------------- Fitch Ratings assigns the following ratings and Rating Outlooks to Richland Towers, LLC secured multi-use communication tower revenue notes, series 2013-1: -- $32,600,000 2013-1 class A 'Asf'; Outlook Stable; -- $2,650,000 2013-1 class B 'BB-sf'; Outlook Stable. In addition, Fitch has affirmed the following ratings and Outlooks on Richland Towers, LLC secured multi-use communication tower revenue notes, series 2011-1: -- $119,797,136** 2011-1 class A at 'Asf'; Outlook Stable; -- $45,000,000** 2011-1 class B at 'BB-sf'; Outlook Stable. Class balances are as of the November 15, 2013 distribution date. The issuer may from time to time issue additional series of notes pursuant to the indenture and an indenture supplement. The pari passu series 2011-1 and 2013-1 are notes backed by multiple assets and ownership interests in multi-use (tall tower) communication tower sites used to transmit broadcast signals for television, FM radio, land mobile radio, wireless communication equipment, and other related purposes. At the closing of the series 2013-1 notes, the pool consists of 67 broadcast structures located on 58 sites with 432 tenant leases. The notes are issued by the direct owners of the asset entities, and are secured primarily by mortgages on the interests of the asset entities in tall tower communication sites representing approximately 92% of the issuer net cash flow (NCF) or approximately 95% of Fitch NCF. The remainder of the Fitch NCF consists of equity pledges; Fitch generally excludes income from managed sites. Key Rating Drivers: Cash flow and leverage: Fitch's NCF on the pool is approximately $22.4 million, which is approximately 20.2% below the issuer's NCF, implying a Fitch stressed debt service coverage ratio (DSCR) of DSCR of 1.23 times (x) following the issuance of the 2013-1 notes. Gross potential rents were determined on a tenant-by-tenant basis, with the average of contractual rent increases over the term of the loan applied to rental income for investment-grade- rated tenants; no credit to contractual rent increases were given to non-investment-grade-rated tenants. Adjustments to rents were applied on a tenant-by-tenant review based on site type, tower occupancy, credit rating, tenant type, technology type, and tenure of the lease. The debt multiple relative to Fitch's NCF for each class of notes is 6.8x and 8.9x, respectively which equates to a debt yield of 14.7% and11.2% for the respective class. At the issuance of the series 2011-1 notes, Fitch's total debt multiple was 9.6x with a stressed DSCR of 1.22x. Fitch did not include leases commencing after December 2013, the remaining FLO-TV leases (excluded at issuance of the series 2011-1 notes) or the revenue and expenses from five managed sites in its cash flow analysis. Diverse assets and revenues: The assets are geographically dispersed, with the largest states, Texas, Florida, and California, accounting for 20.7%, 15.5%, and 13.1% of issuer revenues, respectively. No other state represents more than 10% of revenues. Investment-grade-rated tenants account for approximately 30% of the issuer revenue. The tenant leases generally have automatic contractual extension options and reimbursement schedules that recoup approximately 63% of portfolio expenses. The tenant leases have an average remaining lease term of approximately eight years and a fully extended average lease term of approximately 15 years. Long-term tenant leases: The underlying tenant leases are substantially similar to commercial real estate leases with higher expectations of renewal given the mission critical nature of their use, the costs to move, and lack of alternative locations. Fully extended tenant leases range from one to 95 years in term, with many including contractual rent increases of 3%-4% per annum, automatic renewal clauses, and common area maintenance (CAM) reimbursement structures. The average remaining tenant lease term for the portfolio is eight years, with the average remaining fully extended lease term of approximately 15 years. Approximately 60.7% of the issuer revenue is based on television broadcast tenants (TV and low-power TV). Scheduled amortization paid sequentially: The notes are structured with scheduled amortization until each series' respective anticipated repayment date (ARD). The 2011-1 class A notes have scheduled monthly principal payments that will amortize down the original principal balance a minimum of 26.5% by the ARD in year five (2016), reducing the refinance risk; failure to meet minimum performance thresholds increase the scheduled amortization amount to 31.5%. The series 2013-1 notes' scheduled amortization would amortize the original principal balance by 25% by the 2018 ARD. The scheduled amortization is deferrable such that no event of default will have occurred if there is not sufficient cash flow to meet the scheduled amortization. Refinance risk: The series 2011-1 notes have an ARD occurring in March 2016 and the series 2013-1 notes ARD is December 2018. To the extent the loan is not repaid by the respective ARD, all excess cash flow will be used to amortize the loan. All active sites securitized: At the closing of this transaction, all of Richland Towers' tall tower communication sites will be securitized in this transaction, including the 10 new sites and associated tenant leases acquired since the end of the series 2011-1 issuance site acquisition period. Notes secured by mortgages and first-priority security interests: The notes are secured by: perfected first mortgage liens on the interests of the asset entities in fee assets, ground leased assets, and other sites representing approximately 92% of the NCF from all such assets; a perfected first priority security interest in certain other assets; and the equity interests of the issuers and each asset entity, as well as various transaction accounts and agreements. The security interests in the equity of the issuers and the asset entities provide noteholders with the ability to foreclose on the ownership of the issuers and the asset entities in addition to their assets pledged as collateral in the event of default. Risk of technological obsolescence: The series 2011-1 and 2013-1 notes have rated final payment dates of 2041 and 2043, respectively, both 25 years after their respective ARD. There is a risk of an alternative technology rendering obsolete the current transmission of broadcast television, FM radio, wireless signals and other technologies utilized by the current tenants. Issuance of additional notes: The transaction allows for the issuance of additional notes at any time following the series 2011-1 initial site acquisition period (which ended in 2012). Such additional notes may rank senior to (except for class A), pari passu with, or subordinate to the existing notes, and must have a later ARD than any other series that will remain outstanding. The additional notes will be pari passu with any class of notes bearing the same alphabetical class designation and the additional notes may or may not have the same amount of amortization as the 2011-1 notes. In the case of the series 2013-1 notes, the classes are pari passu to the notes with the same class designation and the ARD is 33 months subsequent to the ARD of the series 2011-1 notes. Rating Sensitivities: Fitch evaluated the sensitivity of the pari passu series 2011-1 class A and series 2013-1 class A ratings and a 9.6% decline in Fitch NCF would result in a one category downgrade to 'BBBsf'. An 18.9% decline would result in a downgrade to below investment- grade. Rating sensitivity was also performed for the pari passu series 2011-1 class B and series 2013-1 class B notes and an 8% decline in Fitch NCF would result in a one category downgrade to 'B-sf'. An 18.7% decline would result in a downgrade at or below 'CCCsf'. In addition, Fitch determined that a 54% reduction in Fitch NCF would cause the notes to break even at 1.0x DSCR on an interest- only basis. The Stable Outlooks on the series 2011-1 and series 2013-1 notes reflect the limited prospect for upgrades given the provision to issue additional notes. STANFIELD CLO: Moody's Lowers Rating on Cl. D-1 Notes to C(sf) -------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the ratings of the following notes issued by Stanfield CLO Ltd.: U.S.$17,000,000 Class D-1 Floating Rate Notes Due 2014 (current outstanding balance of $582,336.93 including interest shortfall), Downgraded to C (sf); previously on May 24, 2010 Downgraded to Ca (sf); U.S.$16,000,000 Class D-2 Fixed Rate Notes Due 2014 (current outstanding balance of $585,013.66 including interest shortfall), Downgraded to C (sf); previously on May 24, 2010 Downgraded to Ca (sf). Ratings Rationale: According to Moody's, the rating actions reflect insufficient collateralization, which is expected to result in a default in payment of interest and principal on the outstanding notes by their July 2014 maturity date. Based on the trustee report, dated November 15, 2013, there are two defaulted assets and no performing assets in the portfolio. The two remaining defaulted assets, totaling $2.4 million, are expected to have no recoveries. In Moody's assessment, the poor recovery prospects relating to the two defaulted assets results in expected losses on the Class D Notes consistent with a C rating. Stanfield CLO Ltd., issued in June 1999, is a collateralized loan obligation. Factors that would lead to an upgrade or downgrade of the rating Moody's notes that this transaction is subject to a number of factors and circumstances that could lead to an upgrade of the ratings, as described below: 1) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee 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. Realization of higher than assumed recoveries could positively impact the CLO. STEERS 2004-1: Moody's Confirms B1 Rating on $19MM Certificates --------------------------------------------------------------- Moody's Investors Service announced the following rating action on Steers Series 2004-1: STEERS Credit-Linked Trust, ML Tranche Series 2004-1 U.S. $19,000,000 Certificates, Confirmed at B1 (sf); previously on November 19, 2013 B1 (sf) Placed Under Review for Possible Upgrade This transaction is a corporate synthetic collateralized debt obligation (CSO) referencing a portfolio of corporate senior unsecured bonds. Ratings Rationale: Actions reflect key changes to the modelling assumptions, which incorporate (1) removing the 30% macro default probability stress for corporate credits (2) lowering the average recovery rate assumptions for most types of debt (3) modifying the modelling framework for corporate asset correlations (4) introducing an adverse selection adjustment on default probabilities where relevant, and (5) simplifying the cheapest-to-deliver haircut that applies to recoveries. Since the last rating review in August 2013, the credit quality of the portfolio continues to remain stable with no additional credit events. The current ten year weighted average rating factor (WARF) of the portfolio is 793, excluding settled credit events, and the majority of reference credits are rated investment grade. The CSO has a remaining life of 0.44 years. Factors that would lead to an upgrade or downgrade of the rating: Moody's notes that these transaction are subject to a high level of uncertainties, the primary sources of which are (1) large and unexpected deviations in the credit environment and the macroeconomy, (2) divergence in legal interpretation of documentation by different transactional parties due to embedded ambiguities, (3) potential changes or new rulings in law, case law by the courts and/or regulatory authorities leading to different loss outcomes than those inferred from the initial reading of the legal documentation, (4) lack of reporting or misreporting of changes to the transaction and (5) if applicable, the manager's investment strategy and course of action taken by a trustee in an event of default. These uncertainties could negatively impact the ratings of the notes. For CSOs, the credit default swaps' performance may be affected either positively or negatively by (1) variations over time in default rates for instruments with a given rating, (2) variations in recovery rates for instruments with particular seniority/security characteristics, and (3) uncertainty about the default and recovery correlations characteristics of the reference pool. Given the tranched nature of CSO liabilities, rating transitions in the reference pool may have leveraged rating implications for the ratings of the CSO liabilities, thus leading to a high degree of rating volatility. All else being equal, the volatility is likely to be higher for more junior or thinner liabilities. Loss and Cash Flow Analysis: Moody's performed sensitivity analyses, discussed in each scenario below. Results are given in terms of the number of notches' difference versus the base case, where higher notches correspond to lower expected losses, and vice-versa: Moody's reviews a scenario consisting of extending the maturity of the CSO to one year keeping all other things equal. The result of this run is one notch higher than in the base case. In addition to the quantitative factors that are explicitly modelled, qualitative factors are part of the rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision. UNITED AUTO 2012-1: S&P Affirms 'BB' Rating on Class E Notes ------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on two classes from United Auto Credit Securitization Trust (UACST) 2012-1. In addition, S&P affirmed its ratings on seven classes from UACST's series 2012-1 and 2013-1. The collateral pools for the UACST transactions consist of auto loans originated and serviced by United Auto Credit Corp. The rating actions reflect each transaction's collateral performance to date and S&P's views regarding future collateral performance, its economic outlook, each transaction's structure, and the respective credit enhancement levels. In addition, S&P's analysis incorporated secondary credit factors such as credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Series 2012-1 is performing worse than S&P's initial expectations, and, as a result, it has increased its loss expectations. While losses are trending higher than S&P's initial expectations, each class' credit support has increased as a percentage of the amortizing pool balance since the transaction closed. In S&P's opinion, the total credit support, as a percentage of the amortizing pool balance, compared with its revised expected remaining losses, is adequate for the raised and affirmed ratings. S&P is maintaining its initial loss expectations for UACST 2013-1 pending further collateral performance, given this transaction's short performance history. However, since UACST 2013-1 closed, the credit support for each class has increased as a percentage of the amortizing pool balance and in S&P's view, is adequate to support the affirmed ratings. Table 1 Collateral Performance (%) As of the December 2013 distribution date Pool Current 60-plus days Series Mo. factor CNL delinquent 2012-1 15 41.67 8.81 2.66 2013-1 7 77.57 3.82 2.34 CNL--Cumulative net loss. Mo.--Month. Table 2 CNL Expectations (%) As of the December 2013 distribution date Former Revised lifetime lifetime Series CNL exp. CNL exp. 2012-1 11.75-12.25 14.00-14.50 2013-1 14.50-15.00 N/A CNL exp.--Cumulative net loss expectations. N/A--Not applicable. Each transaction was structured with credit enhancement consisting of overcollateralization and a non-amortizing reserve account. The more senior tranches also benefit from credit enhancement in the form of subordination. In addition, series 2012-1 includes a performance trigger which will increase overcollateralization if cumulative net losses exceed designated levels. To date, the trigger has not been breached. This feature is not present in series 2013-1. The credit enhancement for UACST 2012-1 is at its specified target. For UACST 2013-1, the target overcollateralization has not been met yet; however, the overcollateralization is growing monthly as a percentage of the amortizing pool balance and at the current pace, should reach its target next month. Each class' credit support also continues to grow as a percentage of the amortizing collateral balance (see table 3). Table 3 Hard Credit Support (%) As of the December 2013 distribution date Total hard Current total hard credit support credit support Series Class at issuance (i) (% of current)(i) 2012-1 A-2 35.60 83.37 2012-1 B 27.39 63.68 2012-1 C 16.52 37.59 2012-1 D 7.65 16.30 2013-1 A-2 43.50 61.48 2013-1 B 33.35 48.40 2013-1 C 25.55 38.34 2013-1 D 17.20 27.58 2013-1 E 5.25 12.17 (i) Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P's review of the transactions incorporated cash flow analysis, which included current and historical performance to estimate future performance. S&P's various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that S&P believes is appropriate given each transaction's performance to date. The results demonstrated, in S&P's view, that all of the classes from these transactions have adequate credit enhancement at their raised and affirmed rating levels. Aside from S&P's break-even cash flow analysis, it also conducted sensitivity analysis to determine the impact that a moderate ('BBB') stress scenario would have on its ratings if losses were to begin trending higher than S&P's revised base-case loss expectation. S&P's results show the raised and affirmed ratings are consistent with its rating stability criteria, which outline the outer bound of credit deterioration for any given security under specific, hypothetical stress scenarios. S&P will continue to monitor the performance of all of the outstanding transactions to ensure that the credit enhancement remains sufficient, in S&P's view, to cover its revised cumulative net loss expectations under its stress scenarios for each of the rated classes. RATINGS RAISED United Auto Credit Securitization Trust Rating Series Class To From 2012-1 B AA+ (sf) AA (sf) 2012-1 C AA- (sf) A (sf) RATINGS AFFIRMED United Auto Credit Securitization Trust Series Class Rating 2012-1 A-2 AAA (sf) 2012-1 D BBB (sf) 2013-1 A-2 AAA (sf) 2013-1 B AA (sf) 2013-1 C A+ (sf) 2013-1 D BBB+ (sf) 2013-1 E BB (sf) VENTERRA RE: S&P Assigns Prelim. 'BB' Rating on Class A Notes ------------------------------------------------------------- Standard & Poor's Ratings Services said that it has assigned its 'BB(sf)' preliminary rating to the series 2013-1 class A notes issued by VenTerra Re Ltd. The notes cover losses in the covered area arising out of or resulting from earthquakes (including related earth shake, fire, sprinkler leakage, volcanic disturbance or eruption, tsunami, and flooding due to dam or levy ruptures) and cyclone, including ensuing damage caused by related windstorm, rainstorm, hailstorm, tornado, flood, and storm surge on a per occurrence basis. The ratings are based on the lowest of S&P's ratings on the catastrophe risk, 'BB'; its rating on the assets in the collateral account, 'AAAm'; and its rating on the ceding company, 'A+'. The 'BB' implied rating on the catastrophe risk derives from Risk Management Solution's (RMS) North America Earthquake Model version 9.0, RMS Australia Earthquake Model version 5.0, and RMS Australia Cyclone Model version 5.0, each as implemented in RiskLink version 13.0 and Miu version 2.9. The modeling was done using the ceding insurer's subject exposures as of July 1, 2013. The model will be held in escrow and used for each annual reset. Ratings List VenTerra Re Ltd. Series 2013-1 class A notes BB(sf) prelim VENTURE XV: Moody's Rates $34.2MM Class E Notes 'Ba3' ----------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Venture XV CLO, Limited. U.S.$374,000,000 Class A Senior Secured Floating Rate Notes due 2025 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) U.S.$47,500,000 Class B-1 Senior Secured Floating Rate Notes due 2025 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) U.S.$10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2025 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf) U.S.$52,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2025 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) U.S.$35,300,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2025 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) U.S.$34,200,000 Class E Junior Secured Deferrable Floating Rate Notes due 2025 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Ratings Rationale: Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, 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 loans. 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 and unsecured loans. The Issuer's documents require the portfolio 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 the assets 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 assets, 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. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2500 Weighted Average Spread (WAS): 3.80% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 7.75 years. Factors that would lead to an upgrade or downgrade of the rating The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was an important component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2500 to 2875) Rating Impact in Rating Notches Class A Notes: 0 Class B-1 Notes: 0 Class B-2 Notes: 0 Class C Notes: -1 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2500 to 3250) Rating Impact in Rating Notches Class A Notes: 0 Class B-1 Notes: -2 Class B-2 Notes: -2 Class C Notes: -3 Class D Notes: -2 Class E Notes: -1 The V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V Score assigned for the global cash flow CLO sector. 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. WACHOVIA BANK 2002-C1: Moody's Ups Class N Notes Rating to Ba1 -------------------------------------------------------------- Moody's Investors Service affirmed the rating of one class and upgraded the rating of one class of Wachovia Bank Commercial Mortgage Trust 2002-C1, Commercial Mortgage Securities, Inc., Series 2002-C1 as follows: Cl. N, Upgraded to Ba1 (sf); previously on May 23, 2002 Definitive Rating Assigned B3 (sf) Cl. IO-I, Affirmed Caa3 (sf); previously on Jan 10, 2013 Downgraded to Caa3 (sf) Ratings Rationale: The upgrade of the P&I class is primarily due to increased credit support resulting from amortization and defeasance. The deal has paid down 6% since last review. The rating of the IO Class is consistent with the expected credit performance of its referenced classes and thus is affirmed. Moody's rating action reflects a base expected loss of 26.8% of the current balance compared to 16.7% at Moody's prior review. Moody's base expected loss plus realized losses is now 1.9% of the original pooled balance compared to 1.8% at the prior review. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Description of Models Used: Moody's review utilized 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. 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. 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 four, the same as at prior review. In cases where the Herf falls below 20, Moody's uses the excel- based Large Loan Model v 8.6 and then reconciles and weights the results from the Conduit and Large Loan 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. Deal Performance: As of the November 15, 2013 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $14.6 million from $950.0 million at securitization. The Certificates are collateralized by eight mortgage loans ranging in size from less than 1% to 25% of the pool. One loan, representing 31% of the pool, has defeased and is secured by US Government securities. One loan, representing less than 1% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Nineteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $14 million (13% loss severity on average). Three loans, representing 54% of the pool, are currently in special servicing. The largest specially serviced loan is the Ahwatukee Hills Plaza ($3.6 million -- 25% of the pool), which is secured by a 32,000 square foot (SF) retail center located in Phoenix, Arizona. The loan transferred to special servicing on March 15, 2012 as the result of maturity default. The loan had matured on March 11, 2012. The borrower filed bankruptcy on February 27, 2013. Foreclosure proceedings are ongoing. The remaining two specially serviced loans are secured by two retail centers located in Arizona and Nevada. Moody's estimates an aggregate $3.9 million loss for the three specially serviced loans (49% expected loss on average). Moody's was provided with full year 2012 and full or partial year 2013 operating results for 100% and 66% of the pool, respectively. Moody's weighted average conduit LTV is 35% compared to 64% at Moody's prior review. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 10.7% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.0%. Moody's actual and stressed conduit DSCRs are 1.55X and 3.71X, respectively, compared to 1.2X and 2.06X at prior review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 15% of the pool balance. The largest loan is the Rivergreen Office Park Loan ($1.1 million -- 7.3% of the pool), which is secured by a 21,400 SF office property located in Corvallis, Oregon, which is 80 miles south of Portland. The loan was on the watchlist due to occupancy concerns but remains 100% leased. The loan is fully amortizing and matures August 2019. Moody's LTV and stressed DSCR are 43% and 2.56X, respectively, compared to 55% and 2.03X at prior review. The second largest loan is the Walgreens Arlington Texas Loan ($708,573 -- 4.9% of the pool), which is secured by a 14,500 SF single tenant retail property located in Arlington, Texas. The property is 100% leased to Walgreens Co. until February 2077. The loan is fully amortizing and matures in March 2022. Moody's LTV and stressed DSCR are 29% and 3.5X, respectively, compared to 41% and 2.52X at prior review. The third largest loan is the 2120 Jimmy Durante Boulevard Loan ($340,565 -- 2.3% of the pool), which is secured by a 17,099 SF industrial property located in Del Mar, California. As of September 2013, the property was 100% leased compared to 94% leased at last review. Moody's LTV and stressed DSCR are 22% and 4.0X, respectively, compared to 21% and 4.0X at prior review. WACHOVIA BANK 2005-WHALE 6: Moody's Cuts K Notes Rating to Caa3 --------------------------------------------------------------- Moody's Investors Service downgraded the ratings of three classes of Wachovia Bank Commercial Mortgage Pass-Through Certificates, Series 2005-WHALE 6. Cl. K, Downgraded to Caa3 (sf); previously on Feb 14, 2013 Affirmed Caa2 (sf) Cl. X-1B, Downgraded to Caa3 (sf); previously on Feb 14, 2013 Affirmed Caa2 (sf) Cl. X-2, Downgraded to Caa3 (sf); previously on Feb 14, 2013 Affirmed Caa2 (sf) Ratings Rationale: The downgrade of the one P&I class, Class K, is due to a higher than anticipated expected loss estimate from the only loan remaining in the pool. The downgrades of the two interest only (IO) classes are due to a change in the credit assessment of the referenced loan. The Certificates are collateralized by a single floating rate loan, the 230 Peachtree Loan, which is backed by a first lien commercial mortgage loan on an office building in Atlanta, GA. The special servicer completed the foreclosure sale in October 2012, and is in the process of marketing the property for sale. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, an increase in loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Description of Models Used: Moody's review incorporated the use of the excel-based Large Loan Model v 8.6. 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. Deal Performance: As of the November 18, 2013 Payment Date, the transaction's aggregate certificate balance has not changes since last review. The one remaining loan in the pool was transferred to special servicing on May 25, 2010 due to imminent default but remains current. The loan has matured after two years of forbearance period (July 2012). The special servicer completed the foreclosure sale in October 2012. The pooling and servicing agreement for the transaction prohibits loans being extended beyond the date which is five years prior to the Rated Final Distribution Date (in October 2017), and the loan is currently in the tail period. The property was under contract for sale, but the initial sale contract was terminated. Sale discussions continue with backup bidders. The 230 Peachtree Loan ($18 million - 100% of the trust balance) is secured by a 414,768 square foot Class B office building located in downtown Atlanta, GA. The building was completed in 1965 and renovated in 1997. The collateral consist of office, ground floor retail and below grade parking. The property's net cash flow (NCF) for the year-end 2012 was approximately $1.7 million and year-to-date through September 2013 NCF is approximately $872,945. According to the rent roll dated September 2013, the building is 47% leased. Moody's trust loan to value (LTV) ratio is 145%. Moody's stressed debt service coverage ratio (DSCR) for the trust is at 1.02X. As of the current Payment Date, there are outstanding interest shortfalls totaling $12,042 and cumulative loss of $3,750 affecting Class K. In addition, there is servicer advances totaling $97,146 outstanding. WACHOVIA BANK 2006-C27: S&P Affirms CCC Rating on Class B Notes --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-3 and A-1A commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2006-C27, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'AAA (sf)' from 'AA (sf)'. At the same time, S&P affirmed its ratings on six classes of certificates from the same transaction. S&P's rating actions follow its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. The upgrades reflect S&P's expectation of the available credit enhancement for the class A-3 and A-1A certificates, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also reflect S&P's views regarding the current and future performance of the transaction's collateral as well as the significant deleveraging of the trust balance. S&P affirmed its ratings on the principal and interest certificates because it expects that the available credit enhancement for these classes will be within its estimated necessary credit enhancement required for the current outstanding ratings. The affirmations also reflect S&P's review of the remaining assets' credit characteristics and performance as well as transaction-level changes. In addition, S&P's recent review also considered the monthly interest shortfalls affecting the trust. As of the Nov. 18, 2013, trustee remittance report, the trust experienced net monthly interest shortfalls totaling $339,564, primarily due to interest on advances of $257,299, interest not advanced from nonrecoverable determination of $166,136, special servicing and workout fees of $117,464, appraisal subordinate entitlement reduction (ASER) amounts of $301,681, and an interest rate reduction from loan modification of $40,989. The interest shortfalls this month were offset by ASER recovery totaling $578,814. Accumulated interest shortfalls have been outstanding on classes subordinate to and including class E. The affirmation of S&P's rating on the class X-C interest-only (IO) certificates reflects its current criteria for rating IO securities. RATINGS RAISED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C27 Rating Class To From Credit enhancement (%) A-3 AAA (sf) AA (sf) 38.24 A-1A AAA (sf) AA (sf) 38.24 RATINGS AFFIRMED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C27 Class Rating Credit enhancement (%) A-M A- (sf) 23.50 A-J B+ (sf) 12.81 B CCC (sf) 9.50 C CCC- (sf) 8.02 D CCC- (sf) 7.65 X-C AAA (sf) N/A N/A-Not applicable. WACHOVIA BANK 2006-C28: S&P Lowers Rating on Class D Notes to CCC- ------------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on three classes of commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2006-C28, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on 11 classes of certificates from the same transaction. "Our rating actions follow our analysis of the transaction primarily using our criteria for rating U.S. and Canadian CMBS. Our analysis included 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," S&P said. "We lowered our ratings on three classes of certificates to reflect the projected losses and credit support erosion that we anticipate will occur upon the eventual resolution of the specially serviced assets. The downgrades also reflect accumulated interest shortfalls that we believe will remain outstanding for the foreseeable future. According to the Nov. 18, 2013, trustee remittance report, the trust experienced monthly interest shortfalls totaling $1.4 million. The interest shortfalls are primarily due to appraisal subordinate entitlement reduction (ASER) amounts of $1.0 million, nonrecoverable payments of $137,190, special servicing and workout fees of $95,167, interest on advances of $54,139, and a rate modification of $65,467. The current monthly interest shortfalls affected all classes subordinate to and including class D. We lowered our ratings on the class E and F certificates to 'D (sf)' to reflect our expectation that these bonds will continue to experience shortfalls for the foreseeable future," S&P noted. S&P affirmed its ratings on the principal and interest certificates because it expects that the available credit enhancement for these classes will be within its estimated necessary credit enhancement required for the current outstanding ratings. The affirmations also reflect S&P's review of the remaining assets' credit characteristics and performance as well as transaction-level changes. In addition, the affirmed rating on the class A-4FL certificates reflects S&P's current counterparty criteria. Wells Fargo Bank N.A., (AA-/Stable/A-1+) is the swap counterparty for the subject class. Following the application of S&P's counterparty criteria for structured finance transactions, the 'AA (sf)' rating on the subject class is one notch above S&P's rating on Wells Fargo Bank N.A., and is based primarily on its understanding that the derivative obligations contain counterparty replacement frameworks. The affirmed rating is consistent with the consideration of this criterion. The affirmation of the rating on the interest-only (IO) certificates reflects S&P's current criteria for rating IO securities. RATINGS LOWERED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C28 Rating Class To From Credit enhancement (%) D CCC- (sf) CCC+ (sf) 8.20 E D (sf) CCC (sf) 6.52 F D (sf) CCC- (sf) 5.15 RATINGS AFFIRMED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C28 Class Rating Credit enhancement (%) A-2 AAA (sf) 33.62 A-PB AAA (sf) 33.62 A-3 AAA (sf) 33.62 A-4 AA (sf) 33.62 A-4FL AA (sf) 33.62 A-1A AA (sf) 33.62 A-M BBB (sf) 21.44 A-J B+ (sf) 12.00 B B (sf) 11.24 C B- (sf) 9.26 IO AAA (sf) N/A N/A-Not applicable. WHITEHORSE III: Moody's Hikes Rating on Cl. B-2L Notes From Ba1 --------------------------------------------------------------- Moody's Investors Service announced that it has upgraded the ratings of the following notes issued by Whitehorse III, Ltd.: U.S.$12,000,000 Class B-1L Notes Due May 1, 2018, Upgraded to Aa3 (sf); previously on July 31, 2013 Upgraded to A2 (sf) U.S.$12,000,000 Class B-2L Notes Due May 1, 2018 (current outstanding balance of $10,332,877), Upgraded to Baa2 (sf); previously on July 31, 2013 Confirmed at Ba1 (sf) Moody's also affirmed the ratings of the following notes: U.S. $254,000,000 Class A-1L Due 2018 (current outstanding balance of $67,405,251), Affirmed Aaa (sf); previously on July 31, 2013 Affirmed Aaa (sf) U.S. $30,000,000 Class A-2L Due 2018 (current outstanding balance of $18,500,000), Affirmed Aaa (sf); previously on July 31, 2013 Affirmed Aaa (sf) U.S. $19,000,000 Class A-3L Due 2018, Affirmed Aaa (sf); previously on July 31, 2013 Upgraded to Aaa (sf) Ratings Rationale: According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization ratios since July 2013. Moody's notes that the Class A-1L Notes have been paid down by approximately 43% or $51.7 million since that time. Based on the latest trustee report dated November 20, 2013, the Senior Class A, Class A, Class B-1L and Class B-2L overcollateralization ratios are reported at 174.1%, 142.6%, 128.0% and 116.0%, respectively, versus June 2013 levels of 145.4%, 127.8%, 118.7% and 111.8%, respectively. Notwithstanding benefits of the deleveraging, Moody's notes that the credit quality of the underlying portfolio has deteriorated since the July 2013 rating action. Based on the November 2013 trustee report, the weighted average rating factor is currently 2981 compared to 2719 in June 2013. Moody's notes that the underlying portfolio includes a number of investments in securities that mature after the maturity date of the notes. Based on the November 2013 trustee report, securities that mature after the maturity date of the notes currently make up approximately 9.66% of the underlying portfolio. These investments potentially expose the notes to market risk in the event of liquidation at the time of the notes' maturity. Whitehorse III, Ltd., issued in February 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Factors That Would Lead to an Upgrade or Downgrade of the Rating Moody's notes that this transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: Sources of additional performance uncertainties are described below: 1) Macroeconomic uncertainty: CLO performance may be negatively impacted by a) uncertainties of credit conditions in the general economy and b) the large concentration of upcoming speculative- grade debt maturities which may create challenges for issuers to refinance. 2) Collateral credit risk: A shift towards holding collateral of better credit quality, or better than expected credit performance of the underlying assets collateralizing the transaction, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the underlying collateral can have adverse consequences for CLO performance. 3) 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. 4) 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. 5) 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. 6) Collateral Manager: Performance may also be impacted, either positively or negatively, by a) the manager's investment strategy and behavior and b) divergence in legal interpretation of CLO documentation by different transactional parties due to embedded ambiguities. Loss and Cash Flow Analysis Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique. 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 $146.8 million, defaulted par of $2.8 million, a weighted average default probability of 18.22% (implying a WARF of 2979), a weighted average recovery rate upon default of 50.56%, 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. 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% (2383) Class A-1L: 0 Class A-2L: 0 Class A-3L: 0 Class B-1L: +3 Class B-2L: +2 Moody's Adjusted WARF + 20% (3575) Class A-1L: 0 Class A-2L: 0 Class A-3L: -1 Class B-1L: -1 Class B-2L: -2 * Fitch Takes Various Rating Actions on 122 Notes From 20 SF CDOs ----------------------------------------------------------------- Fitch Ratings has upgraded three and affirmed 119 classes of notes from 20 structured finance collateralized debt obligations (SF CDOs) issued between 2005 and 2007, with exposure to various structured finance assets. Key Rating Drivers: The upgrade of the class A-1A and A-1B (together, class A-1) notes of Huntington CDO, Ltd. is attributed to a significant deleveraging of the capital structure since the last review. The resulting increase in the credit enhancement (CE) levels for these classes have offset increased concentration and modest credit deterioration in the underlying portfolio, indicating that these notes are now able to withstand losses at higher rating stresses. Similarly, the upgrade of the class A-1B notes of Bernoulli High Grade CDO I, Ltd. is also the result of the ongoing deleveraging of the capital structure since Fitch's last review in January 2013. However, due to the fact that the notes are exposed to the risk of being additionally funded up to the Class A-1B Swap Availability amount of $27.4 million to cover floating amount events and credit events from synthetic securities in the portfolio, as well as the ongoing leakage of principal proceeds to cover interest obligations over the past four payment dates, these notes were upgraded to a rating below the passing ratings indicated by the Structured Finance Portfolio Credit Model (SF PCM) rating loss rate (RLR). At the rating level to which the class A-1B notes are being upgraded to, Fitch believes the notes would still have sufficient coverage from underlying collateral in case of additional funding events. The certificates in Blue Heron Funding II Ltd. have been affirmed because the principal is protected by a zero coupon bond with a face value of $6 million maturing in April 2030, issued by Resolution Funding Corporation, a U.S. government agency. As per the terms of the transaction, no party to the transaction other than the certificate holders have claim against this protection asset. Therefore, Fitch maintains the certificates at 'AAAsf' on Rating Watch Negative. The 103 classes affirmed at 'Csf' have CE levels that are 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. The 15 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 two 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. * Moody's Hikes Ratings on $74MM of Subprime RMBS Issued on 2004 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of four tranches from three transactions backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R9 Cl. M-3, Upgraded to B1 (sf); previously on Feb 28, 2013 Affirmed B3 (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-5 Cl. M-2, Upgraded to B3 (sf); previously on Apr 16, 2012 Confirmed at Caa2 (sf) Issuer: Finance America Mortgage Loan Trust 2004-3 Cl. M-2, Upgraded to B1 (sf); previously on Apr 19, 2012 Upgraded to Caa1 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 24, 2011 Downgraded 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. Performance of the underlying pools has improved over the past year with serious delinquencies (loans delinquent 60 or more days, including loans in REO and foreclosure) trending down. Factors that would lead to an upgrade or downgrade of the rating Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 7% in Novemeber 2013 from 7.8% in November 2012 . Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2014. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, 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 Lowers Ratings on $98MM of RMBS Issued 2003-2007 ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 13 tranches backed by Prime Jumbo RMBS loans, issued by miscellaneous issuers. Complete rating actions are as follows: Issuer: CHL Mortgage Pass-Through Trust 2005-J4 Cl. A-7, Downgraded to Caa1 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. PO, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B3 (sf) Cl. X, Downgraded to Caa1 (sf); previously on Feb 22, 2012 Downgraded to B2 (sf) Issuer: CHL Mortgage Pass-Through Trust 2007-11 Cl. A-4, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2003-E Cl. A-1, Downgraded to Baa3 (sf); previously on Mar 8, 2013 Downgraded to Baa1 (sf) Cl. A-2, Downgraded to Ba1 (sf); previously on Mar 8, 2013 Downgraded to Baa1 (sf) Cl. B-1, Downgraded to B2 (sf); previously on Mar 8, 2013 Downgraded to Ba2 (sf) Cl. B-2, Downgraded to Caa1 (sf); previously on Mar 8, 2013 Downgraded to B2 (sf) Cl. X-A-2, Downgraded to Ba1 (sf); previously on Mar 8, 2013 Downgraded to Baa1 (sf) Cl. X-B, Downgraded to Caa1 (sf); previously on Mar 8, 2013 Downgraded to B3 (sf) Issuer: Prime Mortgage Trust 2006-2 Cl. I-A1-4, Downgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. II-A1-1, Downgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Cl. X, Downgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to B3 (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. Factors that would lead to an upgrade or downgrade of the rating Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 7.0% in November 2013 from 7.8% in November 2012 . Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2014. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, 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. ********* 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 ***