/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/140406.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, April 6, 2014, Vol. 18, No. 95 Headlines ABSPOKE 2005: Fitch Affirms & Withdraws Class A Notes' Dsf Rating AMERICREDIT FINANCIAL: Moody's Affirms B1 Rating on Class E Notes APIDOS CLO XV: S&P Affirms 'BB' Rating on Class D Notes AVIATION CAPITAL: S&P Withdraws 'BB+' Ratings on 2 Note Classes BANC OF AMERICA 2006-6: S&P Lifts Rating on Class A-M Certs to BB+ BANC OF AMERICA 2007-4: S&P Raises Rating on 3 Notes Classes to B- BAYVIEW COMMERCIAL: Moody's Takes Action on $450MM of Biz Loans BEAR STEARNS 2003-PWR2: Fitch Raises Rating on Class J notes to BB BEAR STEARNS 2004-PWR6: S&P Affirms CCC- Rating on Class M Notes C-BASS CBO VIII: Moody's Hikes Rating on $12MM Cl. D-1 Notes to Ca CAPITALSOURCE 2006-A: Moodys Affirms 'Caa3' Ratings on 5 Notes CARFINANCE CAPITAL 2014-1: S&P Assigns BB Rating on Class D Notes CBA COMMERCIAL 2006-1: S&P Cuts Class A Securities Rating to CCC- CEDAR CREEK: S&P Affirms 'BB' Rating on Class E Notes CENTURION CDO 8: Moody's Hikes Rating $16.5MM Class D Notes to Ba2 CFIP CLO 2014-1: S&P Assigns Prelim. BB Rating on Class E Notes CREDIT SUISSE 2001-CK1: Fitch Affirms B- Rating on Class J Notes CREDIT SUISSE 2004-C4: S&P Raises Rating on Class D Notes to BB+ DRYDEN XI: S&P Affirms 'BB+' Rating on Class D Notes DUANE STREET III: S&P Raises Rating on Class E Notes to 'BB+' EAGLE CREEK: Moody's Affirms Ba3 Rating on $11.8MM Class Notes EIG GLOBAL: S&P Affirms 'BB+' Ratings on 2 Note Classes FORTRESS CREDIT III: S&P Assigns Prelim. BB Rating on Cl. E Notes GMAC COMMERCIAL 1999-C1: Fitch Hikes Class H Notes Rating to BBsf GP PORTFOLIO 2014-GPP: S&P Assigns 'BB' Ratings on 3 Note Classes GULF STREAM-COMPASS 2007: S&P Affirms BB Rating on Class E Notes JAY STREET: S&P Lowers Rating on Class B Notes to 'CCC' JP MORGAN 2004-C1: Fitch Hikes Rating on Class J Notes to 'BB' JP MORGAN 2014-FL4: S&P Assigns 'BB' Ratings on 3 Note Classes KINNEY HILL: S&P Lowers Rating on Class C-1 Notes to 'BB' LB-UBS COMMERCIAL 2001-C2: Fitch Affirms 'D' Ratings on 6 Notes LB-UBS COMMERCIAL 2003-C8: Moody's Cuts X-CL Certs Rating to Caa3 LB-UBS COMMERCIAL 2005-C7: Fitch Affirms CC Ratings on 2 Notes LIMEROCK CLO II: S&P Assigns 'BB' Rating on Class E Notes MERRILL LYNCH 2005-LC1: S&P Lowers Rating on Class F Notes to B+ MORGAN STANLEY 2002-HQ: Moody's Cuts Rating on Cl. L Certs to C MWAM CBO 2001-1: Fitch Affirms Csf Rating on Class C-1 Notes NACM CLO I: S&P Raises Rating on Class D Notes to 'BB+' PREMIUM LOAN: Moody's Lowers Class C Notes to 'Ca(sf)' PUTNAM STRUCTURED 2002-1: Moody's Affirms Cl. B Notes' Ba3 Rating REPACS TRUST: Moody's Hikes Rating on 2 Debt Units to 'B2' RIVERFRONT RE: S&P Assigns 'BB-' Rating to Variable Rate Notes SATURNS TRUST 2003-1: S&P Affirms 'CCC+' Rating on $60.19MM Units SEQUOIA MORTGAGE 2014-1: Fitch Rates Class B-4 Certificates 'BBsf' SNAAC AUTO 2014-1: S&P Assigns Prelim. BB Rating on Class E Notes SOUND POINT: Moody's Assigns 'B2' Rating on $16MM Class F Notes SOVEREIGN COMMERCIAL: Fitch Affirms C Ratings on 2 Note Classes STANFIELD CARRERA: S&P Lowers Rating on 4 Note Classes to 'D' STONE TOWER I: S&P Lowers Ratings on 7 Note Classes to 'BB' SYMPHONY CREDIT: S&P Lowers Rating on 3 Note Classes to 'BB' THL CREDIT 2013-2: S&P Affirms 'BB' Rating on Class E Notes TICP CLO I: S&P Assigns 'BB' Rating on Class D Notes UBS COMMERCIAL 2012-C1: Moody's Affirms B2 Rating on Cl. F Certs VITESSE CLO: Moody's Hikes Rating on $17MM Class B-2L Notes to Ba1 WACHOVIA BANK 2005-C16: S&P Lowers Rating on Class O Notes to D WACHOVIA 2006-WHALE 7: Fitch Puts 'Bsf' Rating on Class G Notes WELLS FARGO 2014-TISH: S&P Assigns BB Rating on Class WTS-2 Notes WFRBS COMMERCIAL 2014-C19: Fitch Rates Class E Notes 'BB-' WFRBS 2014-C19: Moody's Assigns Ba3 Rating to Cl. X-B Securities ZAIS CLO 1: S&P Assigns 'BB' Rating on Class D Notes * Fitch Lowers 86 Distressed Bonds in 51 RMBS Deals to 'Dsf' * Moody's Takes Action on $657MM Subprime RMBS by Various Trusts * Moody's Takes Action on $407 Million of Prime Jumbo RMBS * S&P Withdraws Ratings on 30 Classes From 18 CDO Transactions * S&P Lowers 210 Ratings on 126 U.S. RMBS Deals to 'D' * U.S. Auto Loan ABS Losses Inch Higher in February, Fitch Says ********* ABSPOKE 2005: Fitch Affirms & Withdraws Class A Notes' Dsf Rating ----------------------------------------------------------------- Fitch Ratings has withdrawn the rating on the class A notes issued by ABSpoke 2005-VIA, Ltd. -- $0 class A notes affirmed at 'Dsf' and withdrawn. Key Rating Drivers The rating action follows the exercise of the Optional Termination on March 24, 2014. As a result of the termination, approximately $3.4 million in principal proceeds were distributed to the class A notes. Fitch does not consider this final distribution to be a full repayment of the class' initial rated balance as prior to the exercise of the Optional Termination, the notes were experiencing writedowns and were downgraded to 'Dsf'. ABSpoke 2005-VIA was a partially funded, synthetic collateralized debt obligation (CDO), which closed in July 2005. The transaction allowed investors to achieve leveraged exposure to a diversified portfolio of asset-backed securities. Credit enhancement to the transaction was based primarily on subordination provided by the first loss amount. AMERICREDIT FINANCIAL: Moody's Affirms B1 Rating on Class E Notes ----------------------------------------------------------------- Moody's Investor Services has upgraded 2 tranches and affirmed 4 tranches from AmeriCredit 2013-4 securitization sponsored by AmeriCredit Financial Services, Inc (AmeriCredit). The complete rating actions as follow: Issuer: AmeriCredit Automobile Receivables Trust 2013-4 Class A-2 Notes, Affirmed Aaa (sf); previously on Aug 15, 2013 Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Affirmed Aaa (sf); previously on Aug 15, 2013 Definitive Rating Assigned Aaa (sf) Class B Notes, Upgraded to Aaa (sf); previously on Aug 15, 2013 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Aug 15, 2013 Definitive Rating Assigned Aa3 (sf) Class D Notes, Affirmed Baa1 (sf); previously on Aug 15, 2013 Definitive Rating Assigned Baa1 (sf) Class E Notes, Affirmed Ba1 (sf); previously on Aug 15, 2013 Definitive Rating Assigned Ba1 (sf) Ratings Rationale The actions are a result of build-up of credit enhancement relative to remaining losses due to the sequential pay structure and non-declining reserve account. The combined target credit enhancement level which consists of a combination of over- collateralization and a non-declining reserve account is 14.25% of the outstanding pool balance. The combined credit enhancement is still building to its target level providing little incremental credit protection for the most subordinate bonds. The target level will be maintained until it reaches a floor of 2.50% of the original pool balance. The cumulative lifetime net loss expectation on the transaction remains unchanged from the loss expectation at closing. Principal Methodology The principal methodology used in this rating was "Moody's Approach to Rating Auto Loan-Backed ABS" published in May 2013. Below are key performance metrics (as of the March 2014 distribution date) and credit assumptions for each affected transaction. Credit assumptions include Moody's expected lifetime CNL expected range/loss which is expressed as a percentage of the original pool balance; Moody's lifetime remaining CNL expectation and Moody's Aaa (sf) level which are expressed as a percentage of the current pool balance. The Aaa (sf) level is the level of credit enhancement that would be consistent with a Aaa (sf) rating for the given asset pool. Performance metrics include pool factor which is the ratio of the current collateral balance to the original collateral balance at closing; total credit enhancement, which typically consists of subordination, overcollateralization, and a reserve fund; and per annum excess spread. Issuer: AmeriCredit Automobile Receivables Trust 2013-4 Lifetime CNL expectation - 10.00%; prior expectation (at closing) - 10.00% Lifetime Remaining CNL expectation -- 10.66% Aaa (sf) level -- 36.50% Pool factor -- 84.76% Total Hard credit enhancement -- Class A 45.73%, Class B 37.18%, Class C 26.56%, Class D 16.12%, Class E 13.34% Excess Spread per annum -- Approximately 8.9% Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the rating. Moody's current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or appreciation in the value of the vehicles that secure the obligor's promise of payment. The US job market and the market for used vehicle are primary drivers of performance. Other reasons for better performance than Moody's expected include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Moody's current expectations of loss may be worse than its original expectations because of higher frequency of default by the underlying obligors of the loans or a deterioration in the value of the vehicles that secure the obligor's promise of payment. The US job market and the market for used vehicle are primary drivers of performance. Other reasons for worse performance than Moody's expected include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. APIDOS CLO XV: S&P Affirms 'BB' Rating on Class D Notes ------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Apidos CLO XV/Apidos CLO XV LLC's $469 million fixed- and floating-rate notes following the transaction's effective date as of Jan. 8, 2014. Most U.S. cash flow collateralized loan obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an "effective date rating affirmation"). "An effective date rating affirmation reflects our opinion that the portfolio collateral purchased by the issuer, as reported to us by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that we assigned on the transaction's closing date. The effective date reports provide a summary of certain information that we used in our analysis and the results of our review based on the information presented to us," S&P said. "We believe the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets," S&P added. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of S&P's criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P noted. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P added. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as S&P deems necessary. RATINGS AFFIRMED Apidos CLO XV/Apidos CLO XV LLC Class Rating Amount (mil. $) A-1 AAA (sf) 304.00 A-2A AA (sf) 58.00 A-2B AA (sf) 10.00 B-1 (deferrable) A (sf) 10.00 B-2 (deferrable) A (sf) 25.00 C (deferrable) BBB (sf) 28.00 D (deferrable) BB (sf) 23.00 E (deferrable) B (sf) 11.00 AVIATION CAPITAL: S&P Withdraws 'BB+' Ratings on 2 Note Classes --------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on the class G-1, G-2, and B-1 notes from Aviation Capital Group Trust II, which is backed by lease revenue and sale proceeds from a commercial aircraft portfolio. The withdrawals follow the recent complete paydown of the notes on the March 20, 2014, payment date. RATINGS WITHDRAWN Aviation Capital Group Trust II Rating Class To From G-1 NR BB+ (sf) G-2 NR BB+ (sf) B-1 NR B (sf) NR-Not rated. BANC OF AMERICA 2006-6: S&P Lifts Rating on Class A-M Certs to BB+ ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on three classes of commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Trust 2006-6, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on six other classes from the same transaction. S&P's rating actions reflect its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS. S&P's analysis included a review of the credit characteristics and performance of all of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. The raised ratings on the class A-4, A-1A, and A-M certificates reflect S&P's expectation of the available credit enhancement for these tranches, which S&P believes exceeds its most recent estimate of necessary credit enhancement for the rating levels. The affirmations of S&P's ratings on the principal and interest certificates reflect its expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current outstanding ratings. The affirmations also reflect S&P's review of the credit characteristics and performance of the remaining assets, as well as the transaction-level changes. S&P affirmed its 'AAA (sf)' rating on the class XC interest-only (IO) certificates based on S&P's criteria for rating IO securities. RATINGS RAISED Banc of America Commercial Mortgage Trust 2006-6 Commercial mortgage pass-through certificates series 2006-6 Rating Rating Credit enhancement Class To From (%) A-4 AA (sf) A (sf) 40.22 A-1A AA (sf) A (sf) 40.22 A-M BB+ (sf) BB- (sf) 26.17 RATINGS AFFIRMED Banc of America Commercial Mortgage Trust 2006-6 Commercial mortgage pass-through certificates series 2006-6 Class Rating Credit enhancement (%) A-2 AAA (sf) 40.22 A-3 AAA (sf) 40.22 A-SB AAA (sf) 40.22 A-J B- (sf) 15.11 B CCC (sf) 12.30 XC AAA (sf) N/A N/A--Not applicable. BANC OF AMERICA 2007-4: S&P Raises Rating on 3 Notes Classes to B- ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on seven classes of commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Trust 2007-4, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its 'CCC- (sf)' ratings on three other classes from the same transaction. S&P's rating actions reflect 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 these classes, which S&P believes is greater than its current estimate of necessary credit enhancement for the most recent rating levels. The upgrades also follow S&P's view regarding the current and future performance of the transaction's collateral. The upgrades on classes A-4, A-1A, A-M, and A-J reflect the trust balance's significant reduction as well as the better-than- expected recovery of the corrected Hines Office Portfolio crossed mortgage loans ($237.3 million original trust balance), and the full repayment of the Sawgrass Mills loan ($132.6 million original trust balance), and the Arundel Mills loan ($128.3 million original trust balance). The upgrades on classes B, C, and D reflect S&P's view of the adequate liquidity support available to the classes and, based on S&P's analysis, it do not believe that these classes are at risk of default in the near term. The affirmations reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings. The affirmations also reflect S&P's analysis of the credit characteristics and performance of the remaining assets, the transaction-level changes, and the liquidity support available to the classes. S&P's analysis also considered the duration and magnitude of the accumulated interest shortfalls currently outstanding on classes E, F, and G. As of the March 10, 2014, trustee remittance report, the trust experienced net monthly interest shortfalls totaling $121,066, primarily related to net appraisal subordinate entitlement reduction amounts totaling $108,015 on the seven ($44.7 million, 3.2%) specially serviced assets, $8,707 in special servicing fees, $811 in workout fees, and $3,577 in reimbursement of interest on advances. RATINGS RAISED Banc of America Commercial Mortgage Trust 2007-4 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-4 AAA (sf) A+ (sf) 41.10 A-1A AAA (sf) A+ (sf) 41.10 A-M A (sf) BB+ (sf) 25.22 A-J B (sf) B- (sf) 12.52 B B- (sf) CCC+ (sf) 10.93 C B- (sf) CCC (sf) 9.54 D B- (sf) CCC- (sf) 7.96 RATINGS AFFIRMED Banc of America Commercial Mortgage Trust 2007-4 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) E CCC- (sf) 6.37 F CCC- (sf) 5.38 G CCC- (sf) 4.18 BAYVIEW COMMERCIAL: Moody's Takes Action on $450MM of Biz Loans --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on six tranches, and downgraded the ratings on eleven tranches from nine securitizations of small business loans issued by Bayview Commercial Asset Trusts. The loans are secured primarily by small commercial real estate properties in the U.S. owned by small businesses and investors. Complete rating actions as follow: Issuer: Bayview Commercial Asset Trust 2003-2 Cl. M-2, Upgraded to Ba3 (sf); previously on May 31, 2012 Downgraded to B1 (sf) Cl. B, Upgraded to B2 (sf); previously on May 31, 2012 Downgraded to B3 (sf) Issuer: Bayview Commercial Asset Trust 2005-1 Cl. B-2, Upgraded to Ba3 (sf); previously on May 31, 2012 Downgraded to B1 (sf) Issuer: BayView Commercial Asset Trust 2005-4 Cl. M-5, Downgraded to B3 (sf); previously on May 31, 2012 Downgraded to B2 (sf) Cl. M-6, Downgraded to Caa2 (sf); previously on May 31, 2012 Downgraded to B3 (sf) Cl. B-1, Downgraded to Caa3 (sf); previously on May 31, 2012 Downgraded to Caa2 (sf) Issuer: Bayview Commercial Asset Trust 2006-3 Cl. M-4, Downgraded to Ca (sf); previously on May 31, 2012 Downgraded to Caa3 (sf) Issuer: Bayview Commercial Asset Trust 2007-1 Cl. M-4, Downgraded to Caa2 (sf); previously on Sep 13, 2012 Downgraded to Caa1 (sf) Cl. M-5, Downgraded to Caa3 (sf); previously on Sep 13, 2012 Downgraded to Caa2 (sf) Issuer: Bayview Commercial Asset Trust 2007-4 Cl. A-1, Downgraded to Ba2 (sf); previously on May 31, 2012 Downgraded to Ba1 (sf) Cl. A-2, Downgraded to B3 (sf); previously on May 31, 2012 Downgraded to B2 (sf) Cl. M-1, Downgraded to Caa2 (sf); previously on Oct 31, 2013 Downgraded to Caa1 (sf) Issuer: Bayview Commercial Asset Trust 2007-5 Cl. A-4, Downgraded to Caa2 (sf); previously on Oct 31, 2013 Downgraded to Caa1 (sf) Issuer: BayView Commercial Mortgage Pass-Through Trust 2006-SP1 Cl. A-2, Upgraded to Aaa (sf); previously on May 31, 2012 Downgraded to Aa1 (sf) Cl. M-1, Upgraded to Aa2 (sf); previously on May 31, 2012 Downgraded to Aa3 (sf) Cl. M-2, Upgraded to A2 (sf); previously on May 31, 2012 Downgraded to A3 (sf) Issuer: Bayview Commercial Mortgage Pass-Through Trust 2006-SP2 Cl. B-1, Downgraded to Caa2 (sf); previously on May 31, 2012 Downgraded to Caa1 (sf) Ratings Rationale The upgrade actions were prompted by a build-up in credit enhancement due to non-declining overcollateralization, in the case of Bayview 2006-SP1, non-amortization of the subordinate tranches, and availability of excess spread in combination with relatively stable collateral performance. The downgrades are generally due to continued realized losses on the underlying pools in combination with depleted credit enhancement from overcollateralization and subordinate tranches. Over the past year, cumulative net losses for Bayview 2005-4, 2006-3, 2007-1, 2007-4, 2007-5, and 2006-SP2 increased to a range of 21 to 30% as of the March 2014 distribution date from a range of 17 to 25% as of the March 2013 distribution date, in each case as a percent of the original pool balance. For the pro-rata pay deals, as a result of continuing losses, Moody's believes that the remaining amount of time the lower subordinate tranches which have been downgraded to Caa3 or Ca ratings will receive principal payments is limited. Over the past 12 months for the Bayview portfolio excluding the Canadian transactions, delinquencies of 60 days or more, including loans in foreclosure and REO, decreased to 17% of the outstanding pool balances from 21%. Average severities are still high in the 75% to 80% range. Despite a modest rebound in small balance commercial property values, delinquencies remain at these fairly high levels due to newly delinquent loans and re-defaults by modified loans. Recoveries on loans stemming from liquidated properties are expected to trend modestly higher because of shorter REO timelines and higher commercial property values. However, expenses such as foreclosure costs, property maintenance and accumulated servicer advances continue to limit recoveries to the trust. A key factor in Moody's updated loss projections is its evaluation and treatment of modified loans. Bayview Loan Servicing has modified approximately 50% to 55% of the loans it now classifies as current in the deals affected by the rating actions. Most of these loans had performance problems and were delinquent before modification and are therefore more likely to become delinquent in the future than non-modified loans. Moody's evaluation of loan- level data shows that these current, modified loans are at least twice as likely to become delinquent and default compared to current, non-modified loans. Moody's accounted for this likelihood in its loss projection methodology described below. Methodology The principal methodology used in these ratings was Moody's Global Approach to Rating SME Balance Sheet Securitizations published in January 2014. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline below Moody's expectations as a result of a decrease in seriously delinquent loans and lower severities than expected on liquidated loans. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of an increase in seriously delinquent loans and higher severities than expected on liquidated loans. Moody's evaluated the sufficiency of credit enhancement by first analyzing the loans to determine an expected lifetime net loss for each collateral pool. Moody's compared these net losses with the available credit enhancement, consisting of subordination and excess spread, as well as a reserve account or overcollateralization. Moody's evaluated the sufficiency of loss coverage provided by credit enhancement in light of 1) the magnitude and projected variability of losses on the collateral and 2) servicer quality. For the lower subordinate tranches, Moody's identified relatively near term future writedowns by examining the current pace of writedowns and the expected losses from loans in foreclosure and REO in relation to a tranche's available credit enhancement. To forecast expected losses for the Bayview small business ABS collateral pools, Moody's evaluated each pool according to the delinquency and modification status of the underlying loans, applying different roll rates to default to loans according to each status. In order to determine the roll rates to default, Moody's first assessed the past 12 months of monthly roll rate behavior for loans according to their modification and delinquency status. Then, to translate this recent historical data into lifetime default rates, Moody's applied the recent roll rates to each delinquency and modification category for a stress period of 15 months. Moody's then decreased the monthly roll rates to more stable historical norms for the remainder of the period over which Moody's calculates the loss, typically until the pool of loans pays down to 5% to 10% of its original balance. This approach generally assumes that the modification strategy pursued by Bayview Loan Servicing will continue to be viable and will continue to prevent losses on some loans that would otherwise default. This approach leads to a wide range of lifetime default rates. For modified current loans, the lifetime default rate was 20%, double the lifetime default rate estimate of 10% for non-modified current loans. In the deals affected by the rating actions, roughly 50-55% of loans classified as current have been modified by Bayview Loan Servicing and are now classified as current. For delinquent loans, the lifetime default rates range from 20% to 60% depending on delinquency and modification status. For loans in foreclosure or REO, the lifetime default rates are roughly 45% to 65% and 95% to 100%, respectively, depending on vintage and modification status. For loss severities, Moody's generally applied recent severities for the stress period of the loss calculation. Recent severities have been, in aggregate, over 87% for non-modified loans and about 75% for modified loans. For the period after the stress period, Moody's applied severities ranging from 65% to 75%. The resulting remaining expected losses are 5.6%, 13.2%, 23.5%, 32.6%, 17.7%, 29.3%, 32.7%, 33.5%, and 25.7% of the original pool balances for the 2003-2, 2005-1, 2005-4, 2006-3, 2006-SP1, 2007-1, 2007-4, 2007-5, and 2006-SP2 deals, respectively. Because the ultimate re-default risk of small business loan modifications and the success of Bayview's modification program is unknown, Moody's considers the potential volatility of expected losses for these pools to be higher than pools with no modifications. BEAR STEARNS 2003-PWR2: Fitch Raises Rating on Class J notes to BB ------------------------------------------------------------------ Fitch Ratings has upgraded four and affirmed seven classes of Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2003-PWR2. Key Rating Drivers The upgrades to classes E through H are due to increased credit enhancement from significant paydowns and the relatively stable performance of the pool. Fitch modeled losses of 15% of the remaining pool; expected losses on the original pool balance total 2%, including losses already incurred. The pool has experienced $6.5 million (0.6% of the original pool balance) in realized losses to date. Fitch has designated four (30.8%) of the remaining 10 loans as Fitch Loans of Concern, which includes one specially serviced asset (17.3%). One loan (0.8%) is currently defeased. As of the March 2013 distribution date, the pool's aggregate principal balance has been reduced by 90.9% to $97.5 million from $1.1 billion at issuance. Interest shortfalls are currently affecting classes M through P. The largest contributor to Fitch's modeled losses is a 128,829 square foot (sf) office building (17.3%) located in Farmington Hills, MI. At origination the property was occupied by a single tenant. The sole tenant vacated in December 2011 and a new tenant took occupancy in April 2012. The loan transferred to the special servicer in June 2012 due to imminent monetary default. The property is 76% occupied by one tenant as of first quarter 2014 while the special servicer continues to actively marketing the vacant space. RATING SENSITIVITIES The ratings on the class C through H notes are expected to be stable as the credit enhancement remains high. The class J and K notes are expected to be upgraded as the transaction continues to delever. Classes L through N may be subject to further downgrades as losses are realized. Fitch upgrades the following classes: -- $12.0 million class E notes to 'AAAsf' from 'AAsf'; Outlook Stable; -- $10.7 million class F notes to 'AAsf' from 'A-sf'; Outlook Stable; -- $9.3 million class G notes at to 'Asf' from 'BBB+sf'; Outlook Stable; -- $13.3 million class H notes to 'BBBsf' from 'BBB-sf'; Outlook to Stable from Negative. Fitch has affirmed the following classes: -- $14.7 million class C notes at 'AAAsf'; Outlook Stable; -- $9.3 million class D notes at 'AAAsf'; Outlook Stable; -- $5.3 million class J notes at 'BBsf'; Outlook to Positive from Negative; -- $5.3 million class K notes at 'Bsf'; Outlook to Positive from Negative; -- $4.0 million class L notes at 'CCCsf'; RE 70%; -- $5.3 million class M notes at 'CCsf'; RE 0%; -- $2.7 million class N notes at 'CCsf'; RE 0%. Class A-1, A-2, A-3, A-4, and B have paid in full. Fitch does not rate the $5.4 million class P. Fitch has previously withdrawn the rating on the interest-only classes X-1 and X-2. BEAR STEARNS 2004-PWR6: S&P Affirms CCC- Rating on Class M Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on five classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on nine classes, including its 'AAA (sf)' rating on the class X-1 interest-only (IO) certificates, from the same transaction. S&P's rating actions on the principal- and interest-paying certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. The upgrades reflect S&P's expectation of the available credit enhancement for these classes s, which S&P believes exceeds its most recent estimate of necessary credit enhancement for the most recent rating levels, S&P's views of the current and future performance of the transaction's collateral, and the reduction of the trust balance. The affirmations on the principal- and interest-paying certificates reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current outstanding ratings. The affirmations also reflect S&P's views of the available liquidity support, transaction-level changes, and the collateral's current and future performance. In addition, S&P's analysis also considered the magnitude of nondefeased performing loans maturing in 2014 (47 loans; $374.9 million, 55.9%). S&P affirmed its 'AAA (sf)' rating on the class X-1 IO certificates based on its criteria for rating IO securities. RATINGS RAISED Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) B AAA (sf) AA (sf) 14.84 C AAA (sf) AA- (sf) 13.25 D AA (sf) A (sf) 10.86 E AA- (sf) A- (sf) 9.27 F A (sf) BBB+ (sf) 7.08 RATINGS AFFIRMED Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-6 AAA (sf) 30.15 A-J AAA (sf) 19.81 G BBB (sf) 5.69 H BB+ (sf) 3.51 J BB (sf) 3.11 K BB- (sf) 2.51 L B+ (sf) 1.72 M CCC- (sf) 0.92 X-1 AAA (sf) N/A N/A-Not applicable. C-BASS CBO VIII: Moody's Hikes Rating on $12MM Cl. D-1 Notes to Ca ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on notes issued by C-Bass CBO VIII Ltd.: $18,350,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2038 (current outstanding balance $2,768,626), Upgraded to Aaa (sf); previously on March 6, 2014 Baa2 (sf) Placed Under Review for Possible Upgrade $20,700,000 Class C Fourth Priority Secured Floating Rate Deferrable Interest Notes Due 2038 (current outstanding balance $20,801,220), Upgraded to Caa1 (sf); previously on March 6, 2014 Caa3 (sf) Placed Under Review for Possible Upgrade $12,000,000 Class D-1 Fifth Priority Secured Floating Rate Deferrable Interest Notes Due 2038 (current outstanding balance $6,779,774), Upgraded to Ca (sf); previously on May 7, 2010 Downgraded to C (sf) $4,950,000 Class D-2 Fifth Priority Secured Fixed Rate Deferrable Interest Notes Due 2038 (current outstanding balance $3,208,468), Upgraded to Ca (sf); previously on May 7, 2010 Downgraded to C (sf) C-Bass CBO VIII Ltd., issued in November 2003, is a collateralized debt obligation backed primarily by a portfolio of RMBS, CMBS and ABS assets originated in 2003. Ratings Rationale These rating actions are due primarily to the deleveraging of the senior notes and an increase in the transaction's over- collateralization ratios since October 2013. The Class B notes have paid down by approximately 82% or $12.6 million since October 2013. Based on the trustee's February 2014 report, the over- collateralization ratios of the Class B Notes, Class C Notes, and Class D Notes are 1132.78%, 132.63%, and 88.12%, respectively, versus October 2013 levels of 276.61%, 115.87%, and 88.14%, respectively. The rating action on Class B notes reflects the amount of cash available to pay down the notes on the next payment date. Moody's notes that the deal currently has $5.2 MM in its principal collection account, and the Class B notes are expected to be paid down in full on the next payment date in May 2014. The deal also benefit from the updates to Moody's SF CDO methodology described in "Moody's Approach to Rating SF CDOs" published on March 6, 2014. These updates include: (i) lowering the resecuritization stress factors for RMBS (US Prime, Subprime, Manufactured Housing), CDOs exposed to investment grade corporate assets, and ABS backed by franchise loans or by mutual fund fees; (ii) using a common table of recovery rates for all structured finance assets (except for CMBS and SF CDO); and (iii) providing more guidance on the rating caps Moody's apply to deals experiencing event of default. In taking the foregoing actions, Moody's also announced that it had concluded its review of its rating(s) on the issuer's Class B Notes and Class C Notes announced on March 6, 2014. At that time, Moody's said that it had placed the rating(s) on review for upgrade as a result of the aforementioned methodology updates. Despite benefits of the deleveraging, the credit quality of the portfolio has deteriorated since October 2013. Based on the trustee's February 2014 report, the weighted average rating factor is currently 4084 compared to 3387 on October 2013. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs," published in March 2014. Factors That Would Lead To an Upgrade or Downgrade of the Rating: 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: Primary causes of uncertainty about assumptions are the extent of any slowdown in growth in the current macroeconomic environment and in the commercial and residential real estate property markets. Although the commercial real estate property markets are gaining momentum, consistent growth will be unlikely until the volume of transactions increases, distressed properties are cleared from the pipeline and job creation rebounds. The residential real estate property market is subject to uncertainty about housing prices; the pace of residential mortgage foreclosures, loan modifications and refinancing; the unemployment rate; and interest rates. 2) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds, recoveries from defaulted assets, and excess interest proceeds will continue and at what pace. Faster deleveraging than Moody's expects could have a significant impact on the notes' ratings. 3) Recovery of defaulted assets: The amount of recoveries received from defaulted assets reported by the trustee and those that Moody's assumes as having defaulted as well as the timing of these recoveries create additional uncertainty. Moody's analyzed defaulted assets assuming no recoveries, and therefore, realization of any recoveries in the future would positively impact the notes' ratings. 4) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors Moody's rates Caa1 or lower, especially if they jump to default. Because of the deal's lack of granularity, Moody's supplemented its analysis with a individual scenario analysis. Loss and Cash Flow Analysis: Moody's applies a Monte Carlo simulation framework in Moody's CDOROM(TM) to model the loss distribution for SF CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios define the reference pool's loss distribution. Moody's then uses the loss distribution as an input in the CDOEdge(TM) cash flow model. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Caa ratings notched up by two rating notches (2792): Class B: 0 Class C: +2 Class D-1: 0 Class D-2: 0 Caa ratings notched down by two rating notches (4214): Class B: 0 Class C: 0 Class D-1: 0 Class D-2: 0 CAPITALSOURCE 2006-A: Moodys Affirms 'Caa3' Ratings on 5 Notes -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by CapitalSource Real Estate Loan Trust 2006-A: Cl. A-1A, Upgraded to A2 (sf); previously on Apr 5, 2013 Affirmed A3 (sf) Cl. A-1R, Upgraded to A2 (sf); previously on Apr 5, 2013 Affirmed A3 (sf) Cl. A-2A, Upgraded to Aa1 (sf); previously on Apr 5, 2013 Affirmed Aa2 (sf) Moody's has also affirmed the ratings on the following notes: Cl. A-2B, Affirmed Baa3 (sf); previously on Apr 5, 2013 Affirmed Baa3 (sf) Cl. B, Affirmed B2 (sf); previously on Apr 5, 2013 Affirmed B2 (sf) Cl. C, Affirmed Caa2 (sf); previously on Apr 5, 2013 Affirmed Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Apr 5, 2013 Affirmed Caa3 (sf) Cl. E, Affirmed Caa3 (sf); previously on Apr 5, 2013 Affirmed Caa3 (sf) Cl. F, Affirmed Caa3 (sf); previously on Apr 5, 2013 Affirmed Caa3 (sf) Cl. G, Affirmed Caa3 (sf); previously on Apr 5, 2013 Affirmed Caa3 (sf) Cl. H, Affirmed Caa3 (sf); previously on Apr 5, 2013 Affirmed Caa3 (sf) Cl. J, Affirmed Ca (sf); previously on Apr 5, 2013 Affirmed Ca (sf) Ratings Rationale Moody's has upgraded the ratings of the notes due to rapid amortization of senior classes from higher credit risk collateral, and stable weighted average rating factor (WARF) and weighted average recovery rate (WARR) since last review. Moody's has affirmed the ratings of the notes because its key transaction metrics are commensurate with existing ratings. The affirmation is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. CapSource 2006-A is a currently static cash transaction whose reinvestment period ended in January 2012. The transaction is wholly backed by a portfolio of whole loans (93.7% of the current pool balance), b-notes (2.8%), asset backed securities (2.2%) and commercial mortgage backed securities (CMBS) (1.3%). As of the trustee's February 28, 2014 report, the aggregate note balance of the transaction, including preferred shares, has decreased to $726.8 million from $1.3 billion at issuance with pay-downs currently directed to the senior most classes of notes; including certain pari-passu classes. The Issuer had its Real Estate Investment Trust (REIT) status revoked on June 18, 2009, therefore federal and state income taxes became payable pursuant to the transaction's Indenture. However, NorthStar Realty Finance Corp. ("NorthStar") stated that in July 2010 it purchased classes J, K and Equity and became the collateral manager delegate as well as special servicer delegate. NorthStar subsequently was approved as the replacement special servicer for the transaction. NorthStar is a qualified REIT and holder of the transaction's equity, and has decided to no longer escrow for the payment of such taxes as of October 2011. However, based on documentation received to date, Moody's modeling continues to assume income taxes are deducted in the cash flow waterfall. Since all interest coverage tests are passing, the income taxes are primarily absorbed by the non-rated equity classes. The pool contains two assets totaling $3.7 million (0.5% of the collateral pool balance) that are listed as defaulted securities as of the trustee's February 28, 2014 report. All of these assets (100.0% of the defaulted balance) are commercial real estate loans. While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate losses to occur on the defaulted securities. Moody's has identified the following as key indicators of the expected loss in CRE CDO CLO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CLO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 6,822, compared to 5,976 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 (1.3% compared to 3.2% at last review), A1-A3 (2.3% compared to 3.1% at last review), Baa1-Baa3 (4.3% compared to 3.7% at last review), Ba1-Ba3 (2.2% compared to 2.1% at last review), B1-B3 (18.8% compared to 18.9% at last review), and Caa1-Ca/C (71.1% compared to 69.0% at last review. Moody's modeled a WAL of 4.0 years, compared to 4.1 years at last review. The WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 44.7%, compared to 45.7% at last review. Moody's modeled a MAC of 99.9%, compared to 17.2% at last review. The increased MAC is due to a greater concentration of a smaller number of high credit risk obligors. Factors that would lead to an upgrade or downgrade of the rating: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. Holding all other key parameters static, changing the recovery rate assumption down from 44.7% to 34.7% or up to 54.7% would result in a modeled rating movement on the rated tranches of 0 to 8 notches downward and 0 to 11 notches upward, respectively (e.g., two notches down implies a ratings movement of Baa3 to Ba2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. CARFINANCE CAPITAL 2014-1: S&P Assigns BB Rating on Class D Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to CarFinance Capital Auto Trust 2014-1's $235.20 million automobile receivables-backed notes series 2014-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 40.3%, 29.1%, 24.9%, 21.4%, and 18.8% credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread), which provides coverage of more than 2.50x, 2.25x, 1.85x, 1.60x, and 1.40x S&P's 12.0%-12.5% expected cumulative net loss. -- The timely interest and principal payments made to the rated notes by the assumed legal final maturity dates under stressed cash flow modeling scenarios that S&P believes is appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A notes would remain within one rating category of its 'A (sf)' rating during the first year; and S&P's ratings on the class B, C, D, and E notes would remain within two rating categories of its 'A- (sf)', 'BBB (sf)', 'BB (sf)', and 'BB- (sf)' ratings, respectively, during the first year. These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bound of credit deterioration as a two-category downgrade within the first year for 'A' through 'BB' rated securities under the moderate stress conditions. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's cumulative net loss trigger. -- The transaction's payment and legal structure. RATINGS ASSIGNED CarFinance Capital Auto Trust 2014-1 Class Rating Type Interest Amount rate (mil. $) A A (sf) Senior Fixed 168.00 B A- (sf) Subordinate Fixed 38.40 C BBB (sf) Subordinate Fixed 13.32 D BB (sf) Subordinate Fixed 10.08 E(i) BB- (sf) Subordinate Fixed 5.40 (i) The class E notes are not being offered. CBA COMMERCIAL 2006-1: S&P Cuts Class A Securities Rating to CCC- ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its rating on class A from CBA Commercial Assets LLC series 2006-1, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'CCC- (sf)' from 'CCC+ (sf)'. The downgrade reflects anticipated credit enhancement erosion upon the liquidation of the transaction's specially serviced assets. As of the March 2014 remittance report, 35 assets ($13.0 million, 23.9%) were reported as being with the special servicer, Ocwen Loan Servicing LLC. S&P analyzed the specially serviced assets using primarily recent broker price opinions and appraisals to arrive at loss estimates for the collateral. S&P's estimates also considered expenses and fees required to complete the workout process. S&P's loss estimates indicate that class A should experience significant credit enhancement erosion upon the liquidation of these assets. S&P's weighted-average estimated loss severity for the specially serviced assets was 37.5%. The collateral pool for the transaction consists of 109 loans and five real estate-owned (REO) assets with an aggregate trust balance of $54.5 million compared with 316 loans totaling $166.8 million at issuance. Since issuance, the transaction has paid down $89.8 million of the principal amount and has experienced $22.4 million in realized losses. The top three property types remaining in the pool are multifamily ($16.6 million, 30.5%), retail ($15.0 million, 27.5%), and office ($11.7 million, 21.5%). The properties are primarily located in California ($10.0 million, 18.4%) and Louisiana ($9.0 million, 16.5%). As of the March 2014 remittance report, 35 assets ($13.0 million, 23.9%) were reported as being with the special servicer. The reported payment status of the specially serviced assets is as follows: five ($1.2 million, 2.2%) are REO, 17 ($6.9 million, 12.6%) are in foreclosure, 11 ($4.6 million, 8.5%) are 90-plus days delinquent, one ($252,454, 0.5%) is 30 days delinquent, and one ($77,532, 0.1%) is current. As part of S&P's analysis, it stressed the specially serviced assets and certain other loans in the pool. CEDAR CREEK: S&P Affirms 'BB' Rating on Class E Notes ----------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on Cedar Creek CLO Ltd./Cedar Creek CLO LLC's $371.60 million floating-rate notes following the transaction's effective date as of June 30, 2013. Most U.S. cash flow collateralized loan obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an "effective date rating affirmation"). "An effective date rating affirmation reflects our opinion that the portfolio collateral purchased by the issuer, as reported to us by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that we assigned on the transaction's closing date. The effective date reports provide a summary of certain information that we used in our analysis and the results of our review based on the information presented to us," S&P said. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of S&P's criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P noted. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P added. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as S&P deems necessary. RATINGS AFFIRMED Cedar Creek CLO Ltd./Cedar Creek CLO LLC Class Rating Amount (mil. $) A AAA (sf) 264.00 B AA (sf) 35.00 C (deferrable) A (sf) 37.40 D (deferrable) BBB (sf) 16.20 E (deferrable) BB (sf) 17.00 F (deferrable) B- (sf) 2.00 CENTURION CDO 8: Moody's Hikes Rating $16.5MM Class D Notes to Ba2 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Centurion CDO 8 Limited: $13,000,000 Class B-1 Deferrable Fixed Rate Notes Due 2017, Upgraded to Aaa (sf); previously on July 31, 2013 Upgraded to Aa2 (sf); $41,000,000 Class B-2 Deferrable Floating Rate Notes Due 2017, Upgraded to Aaa (sf); previously on July 31, 2013 Upgraded to Aa2 (sf); $16,500,000 Class C Deferrable Floating Rate Notes Due 2017, Upgraded to A3 (sf); previously on July 31, 2013 Upgraded to Baa1 (sf); $16,500,000 Class D Deferrable Floating Rate Notes Due 2017 (current balance of $ 16,251,453), Upgraded to Ba2 (sf); previously on July 31, 2013 Upgraded to Ba3 (sf). Moody's also affirmed the rating on the following note: $465,000,000 Class A Floating Rate Notes Due 2017 (current Balance: $ 110,331,309.76), Affirmed Aaa (sf); previously on July 31, 2013 Affirmed Aaa (sf). Centurion CDO 8 Limited, issued in January 2005, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. Ratings Rationale These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over- collateralization ratios since July 2013. The Class A notes have been paid down by approximately 43% or $83.9 million since July 2013. Based on the trustee's March 2014 report, the over- collateralization (OC) ratios for the Class A, Class B, Class C and Class D notes are reported at 173.8%, 129.89%, 120.58% and 112.63%, respectively, versus July 2013 levels of 160.65%, 125.71%, 117.88% and 111.06%, respectively. Moody's notes that the transaction holds significant amount of equity securities which are part of recoveries from defaulted or restructured issuers. Moody's considered alternative scenarios in its analysis where a limited amount of credit was given to these holdings. The portfolio includes a number of investments in securities that mature after the notes do. Based on the trustee's March 2014 report, securities that mature after the notes do currently make up approximately 18.66% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the 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 could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. 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. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will 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) or the asset's current market value. The deal's increased exposure owing to amendments to loan agreements extending maturities continues. In light of the deal's sizable exposure to long-dated assets, which increases its sensitivity to the liquidation assumptions in the rating analysis, Moody's ran scenarios using a range of liquidation value assumptions. However, actual long-dated asset exposures and prevailing market prices and conditions at the CLO's maturity will drive the deal's actual losses, if any, from long-dated assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2006) Class A: 0 Class B-1: +1 Class B-2: +1 Class C: +3 Class D: +1 Moody's Adjusted WARF + 20% (3008) Class A: 0 Class B-1: -1 Class B-2: -1 Class C: -1 Class D: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations," published in February 2014. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $217.8 million, defaulted par of $13.7 million, a weighted average default probability of 12.14% (implying a WARF of 2507), a weighted average recovery rate upon default of 49.68%, a diversity score of 32 and a weighted average spread of 2.96%. Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. CFIP CLO 2014-1: S&P Assigns Prelim. BB Rating on Class E Notes --------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to CFIP CLO 2014-1 Ltd./CFIP CLO 2014-1 LLC's $371.25 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 March 28, 2014. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's assessment of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the income notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.2356%-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. PRELIMINARY RATINGS ASSIGNED CFIP CLO 2014-1 Ltd./CFIP CLO 2014-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 189.00 A-2 AAA (sf) 64.50 B AA (sf) 50.00 C (deferrable) A (sf) 31.25 D (deferrable) BBB (sf) 20.00 E (deferrable) BB (sf) 16.50 Income notes NR 40.55 CREDIT SUISSE 2001-CK1: Fitch Affirms B- Rating on Class J Notes ---------------------------------------------------------------- Fitch Ratings has affirmed three classes of Credit Suisse First Boston Mortgage Securities Corp., series 2001-CK1 (CSFB 2001-CK1) commercial mortgage pass-through certificates. Key Rating Drivers The affirmations are due to sufficient credit enhancement to the remaining classes, despite expected losses. Fitch modeled losses of 28.5% of the remaining pool; expected losses on the original pool balance total 4.4%, including losses already incurred. The pool has experienced $35.9 million (3.6% of the original pool balance) in realized losses to date. There are four loans remaining in the pool three (95.4%) of which are designated as Fitch Loans of Concern, including two specially serviced assets (33.7%). As of the March 2014 distribution date, the pool's aggregate principal balance has been reduced by 97.4% to $26.2 million from $997.1 million at issuance. Interest shortfalls are currently affecting the class K through O notes. The largest specially serviced asset is a 191,653 square foot (sf) community center located in Albuquerque, NM (25.8% of the pool). The loan transferred to the special servicer in March 2010 due to imminent monetary default. The property became REO on March 30, 2011 and is 72% occupied as of September 2013. The special servicer continues working to stabilize the property by actively marketing the vacant spaces. The largest loan in the pool is a 160,509 sf office property located in Raleigh, NC (61.7%). The loan transferred to the special servicer in January 2011 due to maturity default. The loan was transferred back to the master servicer after the borrower's bankruptcy plan was approved and the loan was modified. The loan faces significant rollover risk before year-end 2014. RATING SENSITIVITIES The rating on the class J are expected to be stable as the credit enhancement remains high. Class K is likely to be downgraded to 'Dsf' as losses are likely. Fitch has affirmed the following classes: -- $12 million class J at 'B-sf'; Outlook Stable; -- $7.5 million class K at 'Csf'; RE 65%; -- $2.7 million class L at 'Dsf'; RE 0%. Fitch does not rate classes M, N, and O certificates and previously withdrew the ratings on the A-X and A-CP notes. Classes A-1 through H have paid in full. CREDIT SUISSE 2004-C4: S&P Raises Rating on Class D Notes to BB+ ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on four classes of commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2004-C4, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on six classes, including its 'AAA (sf)' ratings on the class A-X and A-Y interest-only (IO) certificates from the same transaction. S&P's rating actions on the principal- and interest-paying certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. The upgrades reflect S&P's expectation of available credit enhancement for the affected tranches, which S&P believes exceeds its most recent estimate of necessary credit enhancement for the 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 continued reduction of the trust balance since issuance. The transaction's principal balance has been paid down by 27.9% since S&P's last review in September 2013. At that time, the balance was approximately $541.7 million. The affirmations reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current outstanding ratings. The affirmations also reflect S&P's views regarding available liquidity support and the collateral's current and future performance. Although available credit enhancement levels may suggest further positive rating movements on classes B, C, D, E, and F, S&P's analysis considered its view on available liquidity support, the 32 ($64.9 million, 16.5%) loans on the master servicers' combined watchlist, and the 70 ($227.6 million, 59.4%) nondefeased loans scheduled to mature this year. S&P affirmed its 'AAA (sf)' ratings on the class A-X and A-Y IO certificates based on its criteria for rating IO securities. RATINGS RAISED Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-C4 Rating Class To From Credit enhancement (%) B AA+ (sf) A (sf) 17.66 C A (sf) BBB+ (sf) 10.98 D BB+ (sf) BB- (sf) 8.20 E B- (sf) CCC (sf) 4.84 RATINGS AFFIRMED Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-C4 Class Rating Credit enhancement (%) A-6 AAA (sf) 28.06 A-1-A AAA (sf) 28.06 A-J AAA (sf) 28.06 F CCC- (sf) 2.61 A-X AAA (sf) N/A A-Y AAA (sf) N/A N/A-Not applicable. DRYDEN XI: S&P Affirms 'BB+' Rating on Class D Notes ---------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1, A-2B, A-3, and B notes from Dryden XI-Leveraged Loan CDO 2006, a U.S. collateralized loan obligation (CLO) transaction managed by Prudential Investment Management. At the same time, S&P affirmed its ratings on the A-2A, C-1, C-2, and D notes from the same transaction. In addition, S&P removed the ratings on the A-1, A-2B, A-3, B, C-1, C-2, and D notes from CreditWatch, where S&P placed them with positive implications on Jan. 22, 2014. Dryden XI-Leveraged Loan CDO 2006 ended its reinvestment period in April 2013. The upgrades mainly reflect paydowns to the class A-1 and A-2A notes due to delivering. This transaction has a pro rata-sequential structure. The A-1 and the A-2 notes pay pro rata, but between each other, A-2A is senior to A-2B. The A-2B notes will receive any payments of principal only after the A-2A notes have been paid in full. Since S&P's February 2013 review, the class A-1 and A-2A notes have paid down about $181 million in total, and they are currently at 65.71% and 61.90%, respectively, of their balances at issuance. As a result, the credit enhancement available to support the notes has improved since our last rating action. The paydowns and resulting increased credit enhancement are reflected in the transaction's overcollateralization (O/C) ratios. According to the March 7, 2014, trustee report, which S&P used for its current review, all the O/C ratios improved since its February 2013 review: -- The class A-3 O/C ratio is 134.99%, up from 124.84% in January 2013. -- The class B O/C ratio is 120.84%, up from 115.52% in January 2013. -- The class C-2 O/C ratio is 111.56%, up from 109.05% in January 2013. -- The class D O/C ratio is 107.13%, up from 105.86% in January 2013. According to the trustee report dated March 7, 2014, which S&P used for its current rating actions, the transaction held $5.67 million in defaulted assets. This number is marginally higher than the $4.6 million noted in the January 4, 2013, trustee report, which S&P used for its review in February 2013. Given the shorter weighted average life of the portfolio, the delevering of the transaction, and the overall improvements, the back-ended default stresses were not given much consideration, and the ratings of the class D notes were affirmed at 'BB+ (sf)'. S&P affirmed its ratings on the class A-2A, C-1, and C-2 notes to reflect its opinion that there is sufficient support at the current ratings. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Dryden XI-Leveraged Loan CDO 2006 Cash flow Previous implied Cash flow Final Class rating rating cushion(i) rating A-1 AA+ (sf)/Watch Pos AAA (sf) 11.31% AAA (sf) A-2A AAA (sf) AAA (sf) 24.46% AAA (sf) A-2B AA+ (sf)/Watch Pos AAA (sf) 11.31% AAA (sf) A-3 AA+ (sf)/Watch Pos AAA (sf) 4.16% AAA (sf) B A+ (sf)/Watch Pos AA (sf) 1.77% AA (sf) C-1 BBB (sf)/Watch Pos BBB (sf) 0.11% BBB (sf) C-2 BBB (sf)/Watch Pos BBB (sf) 0.11% BBB (sf) D BB+ (sf)/Watch Pos B+ (sf) 8.92% BB+ (sf) (i) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-3 AAA (sf) AAA (sf) AA+ (sf) AAA (sf) AAA (sf) B AA (sf) AA- (sf) AA- (sf) AA (sf) AA (sf) C-1 BBB (sf) BB+ (sf) BBB- (sf) BBB (sf) BBB (sf) C-2 BBB (sf) BB+ (sf) BBB- (sf) BBB (sf) BBB (sf) D B+ (sf) B+ (sf) B+ (sf) B+ (sf) BB+ (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A-1 AAA (sf) AAA (sf) AA+ (sf) AAA (sf) A-2A AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2B AAA (sf) AAA (sf) AA+ (sf) AAA (sf) A-3 AAA (sf) AAA (sf) AA+ (sf) AAA (sf) B AA (sf) AA- (sf) A- (sf) AA (sf) C-1 BBB (sf) BBB- (sf) BB- (sf) BBB (sf) C-2 BBB (sf) BBB- (sf) BB- (sf) BBB (sf) D B+ (sf) B+ (sf CCC (sf) BB+ (sf) RATING AND CREDITWATCH ACTIONS Dryden XI-Leveraged Loan CDO 2006 Rating Class To From A-1 AAA (sf) AA+ (sf)/Watch Pos A-2A AAA (sf) AAA (sf) A-2B AAA (sf) AA+ (sf)/Watch Pos A-3 AAA (sf) AA+ (sf)/Watch Pos B AA (sf) A+ (sf)/Watch Pos C-1 BBB (sf) BBB (sf)/Watch Pos C-2 BBB (sf) BBB (sf)/Watch Pos D BB+ (sf) BB+ (sf)/Watch Pos TRANSACTION INFORMATION Issuer: Dryden XI-Leveraged Loan CDO 2006 Co-issuer: Dryden XI-Leveraged Loan CDO 2006 Corp. Collateral manager: Prudential Investment Management Trustee: The Bank of New York Mellon Transaction type: Cash flow CLO DUANE STREET III: S&P Raises Rating on Class E Notes to 'BB+' ------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C, D, and E notes and affirmed its ratings on the class A1, A2a, and A2b notes from Duane Street CLO III Ltd.. At the same time, S&P removed the ratings on the class B, C, D, and E notes from CreditWatch, where it had placed them with positive implications on Jan. 22, 2013. Duane Street CLO III Ltd. is a collateralized loan obligation transaction (CLO) that closed in January 2007. The transaction's reinvestment period ended in December 2012. S&P upgraded all seven classes in May 2013 following paydowns to the class A1 and A2a notes. Since S&P's May 2013 rating actions, the class A1 and A2a notes have received over $159.4 million in additional combined paydowns. The deal is structured such that though the class A1 and A2 notes are pari passu, the class A2a notes receive paydowns before the class A2b notes and, hence, can be paid down in full before the class A1 and A2b notes. The upgrades reflect paydowns to the class A1 and A2a notes, which increased credit support for the subordinate notes. The improvements are also evident in the increased senior and mezzanine overcollateralization ratios since S&P's May 2013 rating actions. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Duane Street CLO III Ltd. Cash flow Previous implied Cash flow Final Class rating rating cushion (i) rating A-1 AAA (sf) AAA (sf) 25.96% AAA (sf) A-2a AAA (sf) AAA (sf) 25.96% AAA (sf) A-2b AAA (sf) AAA (sf) 25.96% AAA (sf) B AA+ (sf)/Watch Pos AAA (sf) 14.50% AAA (sf) C A+ (sf)/Watch Pos AA+ (sf) 10.38% AA+ (sf) D BBB- (sf)/Watch Pos A- (sf) 1.83% A- (sf) E B+ (sf)/Watch Pos BB+ (sf) 9.06% BB+ (sf) (i)The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. CORRELATION Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2a AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2b AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) C AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf) D A- (sf) BBB+ (sf) BBB+ (sf) A+ (sf) A- (sf) E BB+ (sf) BB+ (sf) BB+ (sf) BBB- (sf) BB+ (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2a AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2b AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AAA (sf) AAA (sf) AAA (sf) C AA+ (sf) AA+ (sf) AA- (sf) AA+ (sf) D A- (sf) A- (sf) BB+ (sf) A- (sf) E BB+ (sf) BB+ (sf) CCC (sf) BB+ (sf) RATINGS RAISED AND REMOVED FROM CREDITWATCH Duane Street CLO III Ltd. Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AA+ (sf) A+ (sf)/Watch Pos D A- (sf) BBB- (sf)/Watch Pos E BB+ (sf) B+ (sf)/Watch Pos RATINGS AFFIRMED Duane Street CLO III Ltd. Class Rating A1 AAA (sf) A2a AAA (sf) A2b AAA (sf) EAGLE CREEK: Moody's Affirms Ba3 Rating on $11.8MM Class Notes -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Eagle Creek CLO Ltd.: $23,200,000 Class B Second Priority Deferrable Floating Rate Notes Due February 28, 2018, Upgraded to Aaa (sf); previously on September 23, 2013 Upgraded to Aa2 (sf) $12,700,000 Class C Third Priority Deferrable Floating Rate Notes Due February 28, 2018, Upgraded to Baa1 (sf); previously on September 23, 2013 Upgraded to Baa2 (sf) Moody's also affirmed the ratings on the following notes: $183,600,000 Class A-1 Senior Secured Floating Rate Notes Due February 28, 2018 (current outstanding balance of $8,164,365), Affirmed Aaa (sf); previously on September 23, 2013 Affirmed Aaa(sf) $45,900,000 Class A-2 Senior Secured Floating Rate Notes Due February 28, 2018, Affirmed Aaa (sf); previously on September 23, 2013 Affirmed Aaa (sf) $11,800,000 Class D Fourth Priority Deferrable Floating Rate Notes Due February 28, 2018 (current outstanding balance of $10,460,103),Affirmed Ba3 (sf); previously on September 23, 2013 Affirmed Ba3 (sf) Eagle Creek CLO Ltd., issued in February 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in February 2013. Ratings Rationale These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over- collateralization ratios since September 2013. The Class A-1 notes have been paid down by approximately 84% or $43.6 million since September 2013. Based on the trustee's February 2014 report, the over-collateralization (OC) ratios for the Class A, Class B, Class C and Class D notes are reported at 164.8%, 127.9%, 113.9% and 104.5%, respectively, versus August 2013 levels of 144.3%, 121.0%, 111.2% and 104.3%, respectively. The deal has benefited from an improvement in the credit quality of the portfolio since September 2013. Based on the trustee's February 2014 report, the weighted average rating factor is currently 1914 compared to 2005 in August 2013. The action on the notes also reflects corrections to the modeling of the Excess Interest Deflection Test and the diversion of excess interest proceeds when the interest diversion test fails. In previous rating actions, Moody's did not model the expected recovery on defaults in the Excess Interest Deflection Test, and interest proceeds were modeled to pay down the notes when they should have been modeled as being reinvested. The aforementioned errors have now been corrected and the rating action reflects this correction. The portfolio includes a number of investments in securities that mature after the notes do. Based on Moody's calculation, securities that mature after the notes do currently make up approximately 18.6% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the 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 could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. 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. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. In light of the deal's sizable exposure to long-dated assets, which increases its sensitivity to the liquidation assumptions in the rating analysis, Moody's ran scenarios using a range of liquidation value assumptions. However, actual long-dated asset exposures and prevailing market prices and conditions at the CLO's maturity will drive the deal's actual losses, if any, from long-dated assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (1677) Class A-1: 0 Class A-2: 0 Class B: 0 Class C: +2 Class D: +2 Moody's Adjusted WARF + 20% (2516) Class A-1: 0 Class A-2: 0 Class B: -1 Class C: -2 Class D: -2 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations," published in February 2014. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $105.4 million, defaulted par of $0.77 million, a weighted average default probability of 10.61% (implying a WARF of 2096), a weighted average recovery rate upon default of 48.61%, a diversity score of 22 and a weighted average spread of 2.63%. Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. EIG GLOBAL: S&P Affirms 'BB+' Ratings on 2 Note Classes ------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on the class A-1, A-2, B-1, B-2, C and revolving notes from EIG Global Project Fund III Ltd., a cash flow collateralized debt obligation (CDO) managed by EIG Management Co. LLC and collateralized by project finance securities. The actions follow the application of S&P's updated criteria for rating CDOs of project finance debt and S&P's review of the transaction's performance. Since S&P's February 2013 rating actions, the revolving notes have paid down by $179 million to 11% of their initial issuance amount. After the March 2014 principal paydown to the revolving notes, the trustee reported the following overcollateralization (O/C) ratios: -- The class A O/C ratio was 172.0%, -- The class B O/C ratio was 139.3%, and -- The class C O/C ratio was 120.9%. There are currently no defaults in the portfolio; however, there could be concentration risk as there are currently only 20 obligors remaining in the portfolio. Following S&P's model-based default analysis and the supplemental test, it found that the available credit enhancement for all of the rated notes is sufficient to support the current rating levels. RATINGS AFFIRMED EIG Global Project Fund III Ltd. Class Rating Revolving AAA (sf) A-1 AAA (sf) A-2 A+ (sf) B-1 BB+ (sf) B-2 BB+ (sf) C B+ (sf) FORTRESS CREDIT III: S&P Assigns Prelim. BB Rating on Cl. E Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Fortress Credit Opportunities III CLO L.P.'s $624 million floating- and fixed-rate notes. The note issuance is a collateralized loan obligation transaction backed by a revolving pool consisting primarily of middle-market senior secured loans. The preliminary ratings are based on information as of April 2, 2014. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the partnership interests. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- The transaction's ability to make timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.2386%-12.8177%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of available excess interest as principal proceeds to purchase additional collateral assets during the reinvestment period, before paying uncapped administrative expenses and fees, subordinated hedge termination payments, and payments on the partnership interests. PRELIMINARY RATINGS ASSIGNED Fortress Credit Opportunities III CLO L.P. Class Rating Amount (mil. $) A-1R(i) AAA (sf) 100.00 A-1T AAA (sf) 228.00 A-2T AAA (sf) 40.00 B-1 AA (sf) 20.00 B-2 AA (sf) 68.00 C (deferrable) A (sf) 64.00 D (deferrable) BBB (sf) 56.00 E (deferrable) BB (sf) 48.00 Partnership interests NR 176.00 (i) The class A-1R notes are revolving notes that may be drawn and repaid throughout the commitment period. NR - Not rated. GMAC COMMERCIAL 1999-C1: Fitch Hikes Class H Notes Rating to BBsf ----------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed one class of GMAC Commercial Mortgage Securities, Inc. 1999-C1 commercial mortgage pass-through certificates. Key Rating Drivers The upgrade of class H is a result of stable performance of the remaining collateral, with low leveraged loans. Despite high credit enhancement and minimal expected losses, upgrades were limited given the concentrated nature of the pool. There are 13 loans remaining, three are defeased (19.5%) and one is designated as a Fitch Loan of Concern (12.2%). None of the loans are specially serviced. Expected losses on the original pool balance total 3.1%, including $39 million (2.9% of the original pool balance) in realized losses to date. As of the March 2014 distribution date, the pool's aggregate principal balance has been reduced by 98.8% to $16 million from $1.33 billion at issuance. The Loan of Concern is the River Walk - Uniprop NCII loan (12.2% of the pool), which was originally secured by a 197 pad mobile home park located in Raleigh, NC. The property ceased operations in September 2008 and has been vacant ever since. The master servicer reports that the borrower has been trying to sell the property since it closed due to the rezoning of the land for multifamily use. The loan has remained current since issuance. There are several single tenant property concentrations in the remaining pool, with six loans (34.2% of the pool) being occupied by a single tenant. Five of the loans (29.2%) are currently occupied by Rite Aids, four of which have lease expirations in 2018 and one in 2016. The remaining single tenant property (5%) is occupied by a CVS, which has a lease expiration in 2017. RATING SENSITIVITY The Rating Outlook on class H has been revised to Stable from Negative due to increasing credit enhancement and continued paydown. Upgrades are not expected due to the credit quality of the remaining pool, with assets located in tertiary markets. Class J will remain at 'Dsf' due to already realized losses. Fitch upgrades the following class and revises the Rating Outlook: -- $5 million class H to 'BBsf' from 'B+sf', Outlook to Stable from Negative. Fitch affirms the following class: -- $11 million class J at 'Dsf', RE 60%. Fitch previously withdrew the rating on the interest-only class X certificates. GP PORTFOLIO 2014-GPP: S&P Assigns 'BB' Ratings on 3 Note Classes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to GP Portfolio Trust 2014-GPP's $460.2 million commercial mortgage pass-through certificates series 2014-GPP. The note issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate commercial mortgage loan totaling $460.2 million, with three, one-year extension options, secured by first-mortgage liens on the fee interests in 94 buildings and parcels (three of which consist of two buildings located on a single parcel) that form 33 office, mixed-use, and industrial properties, as well as six vacant land parcels adjacent to some of these assets. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED GP Portfolio Trust 2014-GPP Class Rating(i) Amount ($) A AAA (sf) 260,800,000 X-CP BB (sf) 368,148,000(ii) X-EXT BB (sf) 460,185,000(ii) B AA (sf) 39,200,000 C A+ (sf) 35,300,000 D BBB- (sf) 91,700,000 E BB (sf) 33,185,000 (i) The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii) Notional balance. GULF STREAM-COMPASS 2007: S&P Affirms BB Rating on Class E Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1B and C notes from Gulf Stream-Compass CLO 2007 Ltd., a U.S. collateralized loan obligation (CLO) managed by GSAM Apollo Holdings LLC, and removed them from CreditWatch with positive implications. Simultaneously, S&P affirmed its ratings on the class A-1A, B, D, and E notes and removed its ratings on classes B, D, and E from CreditWatch with positive implications. The upgrades mainly reflect the increased credit support that resulted from the continued paydowns of the senior notes. The affirmations reflect the sufficient credit enhancement at the current rating levels. The transaction's reinvestment period ended in October 2012. Since then, it has paid down approximately $50.66 million to the class A-1A notes, which now stand at 70.79% of the original balance. The note paydowns have increased the transaction's overcollateralization (O/C) ratios. According to the February 2014 monthly trustee report, the O/C ratios increased for each class of notes as follows: -- The class B O/C ratio is 130.20%, up from 123.90% in the August 2012 trustee report used in our August 2012 analysis; -- The class C O/C ratio is 121.50%, up from 117.40% in August 2012; -- The class D O/C ratio is 113.00%, up from 110.70% in August 2012; and -- The class E O/C ratio is 107.70%, up from 106.40% in August 2012. As of the February 2014 trustee report, the transaction had no defaulted assets and approximately $10.89 million in assets from obligors with ratings in the 'CCC' range. This compares to $0.76 million in defaults and approximately $12.54 million in assets from obligors with ratings in the 'CCC' range as noted in the July 2012 trustee report, which S&P referenced for its August 2012 rating actions. Since S&P's August 2012 rating actions, the transaction's exposure to long-dated assets (assets maturing after the stated maturity of the CLO) has increased. According to the February 2014 trustee report, the balance of long-dated assets is approximately $6.81 million or 2.9% of the portfolio, up from no long-dated assets at the time of the August 2012 rating actions. This exposes the transaction to market-value risk if the assets need to be sold at or near the maturity of the transaction. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Gulf Stream-Compass CLO 2007 Ltd. Cash Flow Previous Implied Cash flow Final Class rating rating cushion(i) rating A1A AAA (sf) AAA (sf) 29.86% AAA (sf) A1B AA+ (sf)/Watch Pos AAA (sf) 5.65% AAA (sf) B AA+ (sf)/Watch Pos AA+ (sf) 9.45% AA+ (sf) C A+ (sf)/Watch Pos AA- (sf) 1.80% AA- (sf) D BBB+ (sf)/Watch Pos BBB- (sf) 2.15% BBB+ (sf) E BB (sf)/Watch Pos BB (sf) 0.82% BB (sf) (i) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Rate Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A1A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A1B AA+ (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf) C A+ (sf) A+ (sf) A+ (sf) AA+ (sf) AA- (sf) D BBB+ (sf) BB+ (sf) BB+ (sf) BBB (sf) BBB+ (sf) E BB (sf) B+ (sf) B+ (sf) B+ (sf) BB (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Default Biasing Sensitivity Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A1A AAA (sf) AAA (sf) AAA (sf) AAA (sf) A1B AA+ (sf) AAA (sf) AAA (sf) AAA (sf) B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) C A+ (sf) AA- (sf) A- (sf) AA- (sf) D BBB+ (sf) BBB- (sf) B (sf) BBB+ (sf) E BB (sf) B+ (sf) CCC (sf) BB (sf) 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 Gulf Stream-Compass CLO 2007 Ltd. Rating Class To From A-1B 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 BB (sf) BB (sf)/Watch Pos RATING AFFIRMED Gulf Stream-Compass CLO 2007 Ltd. Class Rating A-1A AAA (sf) TRANSACTION INFORMATION Issuer: Gulf Stream-Compass CLO 2007 Ltd. Co-issuer: Gulf Stream-Compass CLO 2007 Corp. Collateral manager: GSAM Apollo Holdings LLC Trustee: U.S. Bank N.A. Transaction type: Cash flow CLO JAY STREET: S&P Lowers Rating on Class B Notes to 'CCC' ------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on both of the rated notes from Jay Street Market Value CLO I Ltd., a U.S. market value collateralized debt obligation (CDO). At the same time, S&P removed the ratings from CreditWatch, where it had placed them with negative implications on Dec. 23, 2013, following a review of the transaction ratings under S&P's updated criteria for rating market value securities. Market value securities rely on liquidating collateral as their primary source of repayment, which is an inherent risk because the underlying collateral's value fluctuates over time. Therefore, S&P's analysis focuses on this potential market value fluctuation. According to the Jan. 29, 2014 compliance report, the majority of the underlying securities were non-investment-grade corporate securities (rated 'BB+' or lower). The updated criteria increased the "haircut" to these type of securities, among other changes. The haircut determines the expected price depreciation upon the sale of the financial assets backing rated notes. The haircut will vary based on the rating assigned to the notes, the asset, program/fund-specific considerations, and the estimated worst historical price declines for each class of financial assets backing the rated notes. The downgrades reflect the quantitative analysis using S&P's Market Value Evaluator, which indicated that the assets were insufficient, given their characteristics and corresponding haircuts as determined by S&P's updated criteria, to support the previous ratings. S&P also considered rating caps outlined in its updated criteria and the fact that the transaction documents will not be amended. In addition, S&P considered the decision to not provide a representation that the fund abides by the asset limitations outlined in paragraph 52 of the updated criteria in the calculation of the fund's borrowing base. The downgrades also reflect an increase in the funded amount of the class A VFN notes since S&P's CreditWatch placement on Dec. 23, 2013. According to the Nov. 27, 2013 report, which S&P used for its CreditWatch analysis, the funded portion of the class A VFN notes was $65 million. However, this amount increased to $210 million, its current amount, as of the Dec. 26, 2013 monthly report. 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. RATINGS LOWERED AND REMOVED FROM CREDITWATCH Jay Street Market Value CLO I Ltd. Rating Class To From A VFN BB- (sf) AAA (sf)/Watch Neg B CCC (sf) A (sf)/Watch Neg JP MORGAN 2004-C1: Fitch Hikes Rating on Class J Notes to 'BB' -------------------------------------------------------------- Fitch Ratings has upgraded five classes and affirmed five classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. 2004-C1 commercial mortgage pass-through certificates. KEY RATING DRIVERS The upgrades are the result of increased credit enhancement from loan payoffs and a significant amount of defeasance remaining in the pool. The affirmations are due to the increasing concentration risk and adverse selection of the remaining pool. There are 19 loans remaining in the pool, three of which are defeased (37.5%). Fitch has designated six loans (22.3%) as Fitch Loans of Concern, which includes four specially serviced assets (17.4%). Fitch modeled losses of 8.6% of the remaining pool; expected losses on the original pool balance total 1.5%, including $9.6 million (0.9% of the original pool balance) in realized losses to date. As of the March 2014 distribution date, the pool's aggregate principal balance has been reduced by 92.8% to $74.9 million from $1.04 billion at issuance. Interest shortfalls are currently affecting class NR. The largest contributor to expected losses is a 40,563 square foot (sf) office complex located in Bloomfield Hills, MI (5.2% of the pool). The loan transferred to special servicing in November 2013 due to maturity default. As per the special servicer, the property was foreclosed upon in March 2014 and a receiver has been appointed during the six month right of redemption period. As per the property's year-end 2013 rent roll, occupancy was 96.1%. Although, the largest tenant (50.7% of the net rentable area) has not renewed their lease which expires in July 2014. The second largest contributor to Fitch expected losses is a specially-serviced loan (3.9%), which was originally secured by 10,908 sf single tenant retail property located in Audubon, NJ. The loan transferred to special servicing upon maturity in January 2014. Eckerd, the single credit tenant, vacated the property around 2007 after it was acquired by Rite Aid. Rite Aid assumed the lease and remains obligated to pay rent until November 2023. The special servicer reports that the loan remains current under its lockbox payment. Additionally, the special servicer states the borrower has been unresponsive regarding payoff. The third largest contributor to expected losses is a 15,760 sf office building located in Lawrenceville, GA, a distant suburb of Atlanta. The loan transferred to special servicing in January 2013 for imminent default after the largest tenant vacated. Foreclosure occurred in August 2013 and the special servicer is trying to lease-up the property and reports the March 2014 occupancy is at 75%. RATING SENSITIVITY Rating Outlooks on classes E through K are Stable due to increasing credit enhancement, continued paydown and expected payoff from defeasance. Upgrades to the lower rated classes are possible if losses are lower than expected. Fitch upgrades the following classes and assigns or revises Rating Outlooks as indicated: -- $11.5 million class E to 'AAAsf' from 'AAsf'; Outlook Stable; -- $11.7 million class F to 'AAAsf' from 'Asf'; Outlook Stable; -- $9.1 million class G to 'AAAsf' from 'BBBsf'; Outlook Stable; -- $10.4 million class H to 'Asf' from 'BBsf'; Outlook to Stable from Negative; -- $6.5 million class J to 'BBsf' from 'Bsf'; Outlook to Stable from Negative. Fitch affirms the following classes, revises Rating Outlooks and assigns REs as indicated: -- $5.2 million class K at 'Bsf'; Outlook to Stable from Negative; -- $3.9 million class L at 'CCCsf'; RE 100%; -- $5.2 million class M at 'CCCsf'; RE 100%; -- $2.6 million class N at 'CCsf'; RE 100%; -- $2.6 million class P at 'Csf'; RE 100%. The class A-1, A-2, A-3, A-1A, B, C, D and X-2 certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the rating on the interest-only class X- 1 certificates. JP MORGAN 2014-FL4: S&P Assigns 'BB' Ratings on 3 Note Classes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL4's $755.3 million commercial mortgage pass-through certificates series 2014-FL4. The certificate issuance is a commercial mortgage-backed securities transaction backed by nine commercial mortgage loans with an aggregate principal balance of $755.3 million, secured by the fee and leasehold interests in 61 properties across 10 U.S. states, Mexico, and Canada. The ratings reflect S&P's view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and S&P's overall qualitative assessment of the transaction. RATINGS ASSIGNED J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 Class Rating Amount ($) A AAA (sf) 392,400,000 X-CP BB (sf) 755,300,000(ii) X-EXT(i) BB (sf) 755,300,000(ii) B AA- (sf) 110,300,000 C A (sf) 77,000,000 D BBB- (sf) 135,700,000 E BB (sf) 39,900,000 (i) Non-offered certificates. (ii) Notional balance. KINNEY HILL: S&P Lowers Rating on Class C-1 Notes to 'BB' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on all of the rated notes from Kinney Hill Credit Opportunities Fund Ltd., a U.S. market value collateralized debt obligation (CDO). At the same time, S&P removed these ratings from CreditWatch with negative implications, where they were placed on Dec. 23, 2013, following a review of the transaction ratings under S&P's updated criteria for rating market value securities, including leverage funds regulated in the U.S. under the Investment Company Act of 1940. Market value securities rely on liquidating collateral as their primary source of repayment, which is an inherent risk because the underlying collateral's value fluctuates over time. Therefore, S&P's analysis focuses on this potential market value fluctuation. According to the Jan. 31, 2014, compliance report, the majority of the underlying securities were noninvestment-grade corporate securities. The updated criteria applied a more conservative "haircut" to these securities. The haircut determines the price depreciation applicable to financial assets backing rated notes. The haircut will vary based on the rating assigned to the notes, the asset and program/fund-specific considerations, and the estimated worst historical price declines for each financial asset backing the rated notes. The downgrades reflect the quantitative analysis using S&P's Market Value Evaluator, which indicated that the assets were insufficient, given the haircuts in the updated criteria, to support the current rating. S&P considered that the manager did not intend to incorporate the updated criteria into its transaction documents. However, S&P did receive a representation from the fund manager that the fund currently abides and is expected to abide in the future by the asset limitations outlined in paragraph 52 of the updated criteria, which S&P uses to calculate the fund's borrowing base. 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. RATINGS LOWERED AND REMOVED FROM CREDITWATCH Kinney Hill Credit Opportunities Fund Ltd. Rating Rating Class To From A-1 A (sf) AAA (sf)/Watch Neg B-1 BBB (sf) AA (sf)/Watch Neg C-1 BB (sf) A (sf)/Watch Neg D-1 BB- (sf) BBB (Sf)/Watch Neg LB-UBS COMMERCIAL 2001-C2: Fitch Affirms 'D' Ratings on 6 Notes --------------------------------------------------------------- Fitch Ratings has affirmed seven classes of LB-UBS Commercial Mortgage Trust 2001-C2 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations reflect the uncertainty surrounding recoveries of the lone remaining asset. The pool has experienced $67.8 million (5.1% of the original pool balance) in realized losses to date. The remaining asset in the pool is specially serviced. As of the March 2014 distribution date, the pool's aggregate principal balance has been reduced by 99.3% to $9.1 million from $1.3 billion at issuance. Interest shortfalls are currently affecting classes H through Q. The remaining asset is a 106,000 square foot class B office building located in Carrollton, TX. The loan transferred to the special servicer in December 2009 due to a technical loan default. Subsequently, the loan was foreclosed and is currently real estate owned (REO). The property was enter into an REO auction in July 2013 but failed to receive a bid. At the time of the auction the property was 75% occupied. The occupancy has improved to 100% as of Sept. 2013. RATING SENSITIVITIES Higher than expected losses on the remaining loan may lead to a downgrade of the class H notes. Fitch has affirmed the following classes: -- $4.4 million class H notes at 'CCCsf'; RE 100%. -- $4.8 million class J notes at 'Dsf'; RE 50%; -- Class K notes at 'Dsf'; RE 0%; -- Class L notes at 'Dsf'; RE 0%; -- Class M notes at 'Dsf'; RE 0%; -- Class N notes at 'Dsf'; RE 0%; -- Class P notes at 'Dsf'; RE 0%. Fitch does not rate the class Q notes and previously withdrew the ratings on the X notes. Classes A-1, A-2, B, C, D, E, F, and G notes have paid in full. LB-UBS COMMERCIAL 2003-C8: Moody's Cuts X-CL Certs Rating to Caa3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one class and downgraded one class in LB-UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2003-C8 as follows: Cl. N, Upgraded to B3 (sf); previously on Aug 29, 2013 Affirmed Caa2 (sf) Cl. X-CL, Downgraded to Caa3 (sf); previously on Aug 29, 2013 Downgraded to Caa1 (sf) Ratings Rationale The rating on Class N was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 88% since Moody's last review. Although Class N is fully covered by a defeased loan, Moody's is concerned that this class may experience interest shortfalls caused by specially serviced loans. The rating on the IO Class (Class X-CL) was downgraded due to a decline in the weighted average rating factor or WARF of its referenced classes. Moody's rating action reflects a base expected loss of 45% of the current balance compared to 7% at Moody's prior review. Moody's base expected loss plus realized losses is now 1.6% of the original pooled balance compared to 1.8% at the prior review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. 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 uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 3 compared to 8 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model v 8.7 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. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the March 17, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $18.1 million from $1.4 billion at securitization. The Certificates are collateralized by five mortgage loans ranging in size from 6% to 37% of the pool. One loan, representing 37% of the pool has defeased and is secured by US Government securities. The remaining loans are all in special servicing. Fourteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $14.6 million (19% loss severity on average). Four loans, representing 63% of the pool, are currently in special servicing. The largest specially serviced loan is the PGA Commons Loan ($6.5 million -- 36% of the pool), which is secured by a 38,054 square foot retail/office property Palm Beach Gardens, Florida. The property was 25% leased as of February 2014. The servicer has recognized an $5.4 million appraisal reduction for this loan. The remaining four specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $8.1 million loss for the specially serviced loans (71% expected loss on average). LB-UBS COMMERCIAL 2005-C7: Fitch Affirms CC Ratings on 2 Notes -------------------------------------------------------------- Fitch Ratings has affirmed 25 classes of LB-UBS Commercial Mortgage Trust commercial mortgage pass-through certificates series 2005-C7. KEY RATING DRIVERS The affirmations reflect stable performance and sufficient credit enhancement to offset Fitch modeled losses for the pool. Fitch modeled losses of 4% of the remaining pool; expected losses on the original pool balance total 6.2%, including $83 million (3.4% of the original pool balance) in realized losses to date. Fitch has designated 23 loans (11.3%) as Fitch Loans of Concern, which includes seven specially serviced assets (6.1%). RATING SENSITIVITY The ratings on the super senior and mezzanine 'AAA' rated classes are expected to remain Stable due to sufficient credit enhancement, stable performance and continued paydown. Fitch revised the Rating Outlooks on classes A-J, B, and C to Positive from Stable as future upgrades may be warranted if collateral performance continues to remain stable, and credit enhancement improves as loans repay at their maturities over the next 24 months. As of the March 2014 distribution date, the pool's aggregate principal balance has been reduced by 30.2% to $1.61 billion from $2.34 billion at issuance. Per the servicer reporting, five loans (10.3% of the pool) are defeased. Interest shortfalls are currently affecting classes H through T. The largest contributor to Fitch-modeled losses is attributed to the Sarasota Main Plaza (2.21% of the pool balance). The loan is secured by a 253,504 square foot (sf) mixed use (office/retail) building located in the downtown sector of Sarasota, FL. The original $36 million loan on this property had transferred to the special servicer in December 2008 for imminent default. The loan was modified while in special servicing, and returned back to the master servicer in February 2013. Terms of the modification included an extension of the interest only payment period, and bifurcation of the loan into a senior ($21.3 million) and junior ($14.6 million) component. Although losses are not expected imminently, any recovery to the B-note is contingent upon full recovery to the A-note proceeds at the loan's maturity in September 2015. Unless collateral performance improves, recovery to the B-note component is unlikely. The loan had returned back to special servicing in October 2013 upon the borrowers request for a discounted sale of the property, which is currently under review by the servicer. The loan has been amortizing as of January 2014, and is paid through the February 2014 payment date. The next largest contributor to expected losses is secured by 159,629sf of a 299,831sf retail center located in Provo, UT (0.9%). The property transferred to special servicing in January 2012 due to legal action brought by the Securities and Exchange Commission (SEC) against the original borrowing entities. The loan had gone into payment default in February 2012. The special servicer was unable to appoint a receiver or pursue foreclosure until January 2013, after the initial court ordered SEC receiver was approved to abandon the property. The special servicer had completed foreclosure of the property in October 2013. Occupancy at the property is 76.5% as of January 2014, compared to 62% in February 2013. The servicer continues to market the vacant space, and expects to market the property for sale in the second quarter of 2014. The third largest contributor to expected losses is secured by a 253,459sf office property in Southfield, MI. The property transferred to special servicing in April 2013 for payment default. According to the servicer, the property has experienced cash flow issues due to declining rental rates and growing property expenses. A receiver was appointed in June 2013, and the special servicer had completed foreclosure in February 2014. The property is currently 93.2% occupied, compared to 93% at December 2012, and 78% in 2011. Fitch affirms the following classes and assigns or revises Rating Outlooks as indicated: -- $37.2 million class A-3 at 'AAAsf'; Outlook Stable; -- $20.1 million class A-AB at 'AAAsf'; Outlook Stable; -- $847.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $84.5 million class A-1A at 'AAAsf'; Outlook Stable; -- $233.9 million class A-M at 'AAAsf'; Outlook Stable; -- $195.9 million class A-J at 'Asf'; Outlook to Positive from Stable; -- $14.2 million class B at 'BBBsf'; Outlook to Positive from Stable; -- $35.2 million class C at 'BBB-sf'; Outlook to Positive from Stable; -- $29.3 million class D at 'BBsf'; Outlook Stable; -- $23.5 million class E at 'Bsf'; Outlook Stable; -- $23.5 million class F at 'CCCsf'; RE 100%; -- $26.4 million class G at 'CCsf'; RE 50%; -- $17.5 million class H at 'CCsf'; RE 0%; -- $17.5 million class J at 'Csf'; RE 0%; -- $4.3 million class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%; -- $0 class S at 'Dsf'; RE 0%; -- $1 million class CM-1 at 'AAsf'; Outlook Stable; -- $5 million class CM-2 at 'Asf'; Outlook Stable; -- $956,000 class CM-3 at 'A-sf'; Outlook Stable; -- $3 million class CM-4 at 'BBBsf'; Outlook Stable. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class T certificate. Fitch previously withdrew the ratings on the interest-only class X-CP and X-CL certificates. The CM rake classes represent the $10 million B-note for the Cherryvale Mall. The $69.9 million A-note is included in the pooled portion of the trust. Fitch does not rate the SP-1 through SP-7 rake classes, which are specific to the Station Place I $63 million B-note. An $8 million A-note for Station Place I is included in the pooled portion of the trust. LIMEROCK CLO II: S&P Assigns 'BB' Rating on Class E Notes --------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Limerock CLO II Ltd./Limerock CLO II LLC's $615.50 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The 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 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 0.2429%-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. RATINGS ASSIGNED Limerock CLO II Ltd./Limerock CLO II LLC Class Rating Amount (mil. $) A AAA (sf) 406.25 B-1 AA (sf) 59.75 B-2 AA (sf) 20.00 C-1 (deferrable) A (sf) 47.00 C-2 (deferrable) A (sf) 1.50 D (deferrable) BBB (sf) 34.75 E (deferrable) BB (sf) 30.25 F (deferrable) B (sf) 16.00 Subordinated notes NR 54.25 NR-Not rated. MERRILL LYNCH 2005-LC1: S&P Lowers Rating on Class F Notes to B+ ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on the class A-J commercial mortgage pass-through certificates from Merrill Lynch Mortgage Trust's series 2005-LC1, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'AA- (sf)' from 'A (sf)'. In addition, S&P lowered its ratings on three other classes and affirmed its ratings on nine additional classes from the same transaction. S&P's rating actions follow its analysis of the transaction primarily using its criteria for rating U.S and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction structure, and the liquidity available to the trust. The upgrade reflects S&P's expectation of available credit enhancement for the affected tranche, which S&P believes exceeds its most recent estimate of necessary credit enhancement for the rating levels. The upgrade also reflects S&P's views of the current and future performance of the transaction's collateral and the deleveraging of the trust balance. The affirmations on the principal and interest-paying certificates reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current outstanding ratings. The affirmations also reflect S&P's views of available liquidity support and the collateral's current and future performance. The affirmation on class A-4FC also reflects the application of S&P's counterparty criteria for structured finance transactions. Floating-rate interest payments to the certificateholders are partially dependent on the performance of the credit support provider of the interest rate swap counterparty. Bank of America Corp. (A-/Negative/A-2) is the swap counterparty and the guarantor. We affirmed the rating on class A-4FC at 'A (sf)', which is one notch above S&P's rating on the guarantor, primarily based on its understanding that the derivative obligation contains a counterparty replacement framework. S&P lowered its ratings on classes F and G to reflect the credit support erosion that S&P anticipates will occur upon the eventual resolution of the eight assets ($61.1 million, 5.9%) currently with the special servicer, LNR Partners LLC. S&P lowered its rating on class H to 'D (sf)' because it believes the bond's accumulated interest shortfalls will remain outstanding for the foreseeable future. As of the March 12, 2014, trustee remittance report, the trust experienced monthly interest shortfalls totaling $130,524, primarily related to net appraisal subordinate entitlement reduction amounts of $97,742 (net of recoveries of $3,340) on seven ($59.0 million, 5.7%) of the eight specially serviced assets ($61.1 million, 5.9%), special servicing fees of $32,431, and workout fees of $177. The interest shortfalls affected all of the classes subordinate to, and including, class H. S&P affirmed its 'AAA (sf)' rating on the class X interest-only (IO) certificates to reflect its current criteria for rating IO securities. RATING RAISED Merrill Lynch Mortgage Trust Commercial mortgage pass-through certificates series 2005-LC1 Rating Class To From Credit enhancement (%) A-J AA- (sf) A (sf) 17.14 RATINGS LOWERED Merrill Lynch Mortgage Trust Commercial mortgage pass-through certificates series 2005-LC1 Rating Class To From Credit enhancement (%) F B+ (sf) BB- (sf) 5.76 G B- (sf) B+ (sf) 3.89 H D (sf) CCC- (sf) 1.84 RATINGS AFFIRMED Merrill Lynch Mortgage Trust 2005-LC1 Commercial mortgage pass-through certificates series 2005-LC1 Class Rating Credit enhancement (%) A-4 AAA (sf) 41.23 A-4FC A (sf) 41.23 A-1A AAA (sf) 41.23 A-M AAA (sf) 26.29 B A- (sf) 13.97 C BBB+ (sf) 12.48 D BBB- (sf) 9.68 E BB+ (sf) 8.18 X AAA (sf) N/A N/A-Not applicable. MORGAN STANLEY 2002-HQ: Moody's Cuts Rating on Cl. L Certs to C --------------------------------------------------------------- Moody's Investors Service has downgraded one class and affirmed the ratings of three classes of Morgan Stanley Dean Witter Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2002-HQ as follows: Cl. L, Downgraded to C (sf); previously on Apr 25, 2013 Affirmed Caa3 (sf) Cl. M, Affirmed C (sf); previously on Apr 25, 2013 Affirmed C (sf) Cl. N, Affirmed C (sf); previously on Apr 25, 2013 Affirmed C (sf) Cl. X-1, Affirmed Caa3 (sf); previously on Apr 25, 2013 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on Class L, was downgraded due to higher realized and anticipated losses from specially serviced loan. The ratings on Classes M and N were affirmed due to ratings being consistent with Moody's expected loss. The rating on the IO class, Class X-1 was affirmed based on the weighted average rating factor or WARF of the 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 can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. Loss and Cash Flow Analysis: Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects 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 uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of one compared to two at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model v8.7 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. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the March 17, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $13.6 million from $845.9 million at securitization. The certificates are collateralized by one mortgage loan that is currently in special servicing. Five loans have been liquidated from the pool, resulting in an aggregate realized loss of $11.9 million (for an average loss severity of 56%). The specially serviced loan is the Armstrong Corporate Park 2 & 4 Loan ($13.6 million -- 100% of the pool), which is secured by a 151,703 square foot office complex located in Shelton, Connecticut. The loan transferred to special servicing in May 2011 due to imminent monetary default and became REO in January 2014. As of July 2013, the property was 52% leased compared to 63% leased at Moody's last review, with 9% of the net rentable area (NRA) expiring in 2014 and 3% in 2016. Moody's anticipates a significant loss on this loan. MWAM CBO 2001-1: Fitch Affirms Csf Rating on Class C-1 Notes ------------------------------------------------------------ Fitch Ratings has upgraded one class and affirmed two classes of notes issued by MWAM CBO 2001-1, Ltd./Inc. (MWAM 2001-1) as follows: -- $6,066,132 class B notes upgraded to 'Asf' from 'CCCsf'; assign Outlook Stable; -- $17,641,519 class C-1 notes affirmed at 'Csf'; -- $13,249,668 class C-2 notes affirmed at 'Csf'. Key Rating Drivers The upgrade of the class B notes is attributed to the increased credit enhancement (CE) to the class as a result of the transaction's deleveraging over the last year, as well as the notes' robust performance under Fitch's cash flow model analysis. Following the full repayment of principal to the class A notes in July 2013, the class B notes have received approximately $15.8 million or 72.3% of their initial rated balance. The CE to the notes has subsequently increased to 85.6% from 48.7%. Although the notes are able to pass higher than the 'Asf' rating stress under Fitch's cash flow analysis, the class remains susceptible to the highly concentrated portfolio of only 31 obligors. The Outlook reflects Fitch's expectation of stable performance until the notes are fully paid down. The class C-1 and C-2 notes (collectively, class C) are currently receiving their periodic interest due. Although the CE level of the notes has increased since Fitch's last review, it is still exceeded by the expected losses from the distressed and defaulted collateral (rated 'CCsf' or lower) in the underlying portfolio. This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using Fitch's Structured Finance Portfolio Credit Model (SF PCM) to project future default levels for the underlying portfolio. These default levels were then compared to the transaction's breakeven levels generated by Fitch's cash flow model under various default timing and interest rate stress scenarios. Rating Sensitivities The class B notes have limited rating sensitivity given their CE level and the likelihood for the class to pay in full within the next two to four payment periods. The class C notes are already rated 'Csf' and have limited downward rating sensitivity. However, higher than expected recoveries, from the portfolio's distressed collateral, could lead to upgrades above the notes' current rating. MWAM 2001-1 is a structured finance collateralized debt obligation (SF CDO) that closed on Jan. 24, 2001. As of the Feb. 28, 2014 report, the portfolio is comprised of residential mortgage-backed securities (45.3%), corporate bonds (29.5%), commercial asset- backed securities (16.8%), commercial mortgage-backed securities (5.2%), and SF CDOs (3.2%), from 1992 through 2003 vintage transactions. NACM CLO I: S&P Raises Rating on Class D Notes to 'BB+' ------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class C and D notes from NACM CLO I, a collateralized loan obligation (CLO) transaction, and S&P removed the ratings from CreditWatch, where it had placed them with positive implications on Jan. 22, 2014. At the same time, S&P affirmed its ratings on the class A- 1, A-2, and B notes from the same transaction, and removed its rating on the Class B notes from CreditWatch with positive implications. The upgrades reflect paydowns to the class A-1 notes since S&P's last rating actions in July 2013, when it raised its ratings on four classes. Since then, the class A-1 notes have paid down $60.8 million, reducing the notes to about 22.4% of their original balance, and increasing credit support for the subordinate notes. In addition, the class A, B, C, and D par value ratios have increased since S&P's July 2013 rating actions. S&P's rating affirmations on the class A-1, A-2, and B notes reflect the availability of adequate credit support at the current rating levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS NACM CLO I Cash flow Previous implied Cash flow Final Class rating rating cushion(i) rating A-1 AAA (sf) AAA (sf) 26.01% AAA (sf) A-2 AAA (sf) AAA (sf) 24.77% AAA (sf) B AA+ (sf)/Watch Pos AA+ (sf) 14.31% AA+ (sf) C A- (sf)/Watch Pos A+ (sf) 5.88% A+ (sf) D BB (sf)/Watch Pos BB+ (sf) 8.58% BB+ (sf) (i) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf) C A+ (sf) A (sf) A+ (sf) AA- (sf) A+ (sf) D BB+ (sf) BB+ (sf) BB+ (sf) BBB- (sf) BB+ (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) C A+ (sf) A+ (sf) BBB+ (sf) A+ (sf) D BB+ (sf) BBB- (sf B- (sf) BB+ (sf) RATINGS RAISED AND REMOVED FROM CREDITWATCH NACM CLO I Rating Class To From C A+ (sf) A- (sf)/Watch Pos D BB+ (sf) BB (sf)/Watch Pos RATING AFFIRMED AND REMOVED FROM CREDITWATCH NACM CLO I Rating Class To From B AA+ (sf) AA+ (sf)/Watch Pos RATINGS AFFIRMED NACM CLO I Class Rating A-1 AAA (sf) A-2 AAA (sf) PREMIUM LOAN: Moody's Lowers Class C Notes to 'Ca(sf)' ------------------------------------------------------ Moody's Investors Service has downgraded the rating on the following notes issued by Premium Loan Trust I, Ltd.: US$11,000,000 Class C Secured Notes Due October 25, 2014 (current outstanding balance of $1,869,433), Downgraded to Ca (sf); previously on October 18, 2012 Downgraded to Caa2 (sf). Premium Loan Trust I, Ltd., issued in November 2004, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The CLO currently has one performing obligor and three defaulted assets. The transaction will mature in October 2014. Ratings Rationale The rating action is primarily a result of insufficient asset coverage for the Class C notes which has deteriorated significantly over the last year. Based on the trustee's February 28, 2014 report, the over-collateralization (OC) ratio for the Class C notes is reported at 14.73% versus 73.06% in March 2013. The Class C notes are likely to suffer material principal losses at its maturity due to the insufficient coverage. The rating action also reflects growing concerns about a potential interest payment default on the Class C notes on the April 25th payment date. Moody's expects that the interest collections will not be sufficient to pay the current interest due on the Class C notes. The CLO portfolio currently consists of one Caa1-rated performing security that matures after the notes do and three defaulted assets. These assets could expose the notes to market risk in the event of liquidation when the notes mature. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the rating: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. 5) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will 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) or the asset's current market value. 6) Lack of portfolio granularity: The performance of the portfolio depends on the credit conditions of one performing obligor Moody's rates Caa1, especially if it jumps to default. 7) Equity holdings: The transaction holds significant amount of equity securities which are part of recoveries from defaulted or restructured issuers. The equity securities are privately held, hence there is high uncertainty around the timing and the amount of proceeds from these securities. Moody's did not model the transaction and no additional sensitivities or stress scenarios were run because Moody's analyzed the transaction by assessing the overcollateralization of the rated notes. PUTNAM STRUCTURED 2002-1: Moody's Affirms Cl. B Notes' Ba3 Rating ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by Putnam Structured Product CDO 2002-1 Ltd. U.S.$176,000,000 Class A-1MT -a Medium Term Floating Rate Notes Du 2038, Affirmed Baa2 (sf); previously on May 14, 2013 Affirmed Baa2 (sf) U.S.$176,000,000 Class A-1MT -b Medium Term Floating Rate Notes Due 2038, Affirmed Baa2 (sf); previously on May 14, 2013 Affirmed Baa2 (sf) U.S.$176,000,000 Class A-1MT -c Medium Term Floating Rate Notes Due 2038, Affirmed Baa2 (sf); previously on May 14, 2013 Affirmed Baa2 (sf) U.S.$176,000,000 Class A-1MM -d Floating Rate Notes Due 2038, Affirmed Baa2 (sf); previously on May 14, 2013 Affirmed Baa2 (sf) U.S.$176,000,000 Class A-1MM -e Floating Rate Notes Due 2038, Affirmed Baa2 (sf); previously on May 14, 2013 Affirmed Baa2 (sf) U.S.$176,000,000 Class A-1MM -f Floating Rate Notes Due 2038, Affirmed Baa2 (sf); previously on May 14, 2013 Affirmed Baa2 (sf) U.S.$176,000,000 Class A-1MM -g Floating Rate Notes Due 2038, Affirmed Baa2 (sf); previously on May 14, 2013 Affirmed Baa2 (sf) U.S.$176,000,000 Class A-1MM -h Floating Rate Notes Due 2038, Affirmed Baa2 (sf); previously on May 14, 2013 Affirmed Baa2 (sf) U.S.$176,000,000 Class A-1MM -i Floating Rate Notes Due 2038, Affirmed Baa2 (sf); previously on May 14, 2013 Affirmed Baa2 (sf) U.S.$176,000,000 Class A-1MM -j Floating Rate Notes Due 2038, Affirmed Baa2 (sf); previously on May 14, 2013 Affirmed Baa2 (sf) U.S.$80,000,000 Class A-2 Floating Rate Notes Due 2038, Affirmed Caa3 (sf); previously on May 14, 2013 Affirmed Caa3 (sf) U.S.$150,000,000 Class B Participating Notes Due 2038, Affirmed Ba3 (sf); previously on May 14, 2013 Affirmed Ba3 (sf) Ratings Rationale Moody's has affirmed the ratings of the notes because its key transaction metrics are commensurate with existing ratings. The affirmations are the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation CRE CDO and RE-REMIC transactions. Putnam Structured Product CDO 2002-1 Ltd. is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (46.8% of the pool balance), asset backed securities (ABS) (42.5%; of which 42.1% of these are government- sponsored mortgage-backed securities (RMBS) and the remainder is primarily in the form of subprime and Alt-A; and CRE CDOs (10.7%). As of the trustee's March 3, 2014 report, the aggregate note balance of the transaction, including preferred shares, is $631.3 million, compared to 2.0 billion at issuance. The pool contains thirteen assets totaling $63.6 million (8.9% of the collateral pool balance) that are listed as defaulted securities as of the trustee's March 3, 2014 report. Three of these assets (46.6% of the defaulted balance) are CMBS, one asset is CRE CDO (19.2%), and nine assets are ABS (primarily in the form of non-government backed RMBS (34.2%). While there have been no realized losses on the underlying collateral to date, Moody's does expect moderate losses to occur on the defaulted securities. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 3,441, compared to 3,040 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 (30.5% compared to 37.7% at last review); A1-A3 (9.1% compared to 8.6% at last review); Baa1-Baa3 (3.6%, compared to 4.1% at last review); Ba1-Ba3 (3.2% compared to 4.1% at last review); B1-B3 (19.5% compared to 15.5% at last review); and Caa1-Ca/C (34.1% compared to 30% at last review). Moody's modeled a WAL of 5.1 years, the same as last review. Moody's modeled a fixed WARR of 25.3%, compared to 38% at last review. Moody's modeled a MAC of 0%, same as last review. Factors that would lead to an upgrade or downgrade of the rating: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. Reducing the recovery rates of the collateral pool by 10% would result in an average modeled rating movement on the rated notes of zero to one notch (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Increasing the recovery rate of the collateral pool by 10% would result in an average modeled rating movement on the rated notes of zero to one notch (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. REPACS TRUST: Moody's Hikes Rating on 2 Debt Units to 'B2' ---------------------------------------------------------- Moody's Investors Service announced the following rating action on REPACS Trust Series Bayshore I: $35,000,000 Class A Debt Unit, Upgraded to B2 (sf); previously on March 16, 2012 Downgraded to Caa1 (sf) $750,000 Class B Debt Unit, Upgraded to B2 (sf); previously on March 16, 2012 Downgraded to Caa2 (sf) This transaction is a corporate synthetic collateralized debt obligation (CSO) referencing a portfolio of structured finance assets and six portfolios of corporate senior unsecured bonds, originally rated in 2004. Ratings Rationale According to Moody's, the rating upgrades taken on the CSOs are due to a shorter time-to-maturity and a sufficient level of credit enhancement remaining since the last review. In addition, the actions are also the result of the placement of MBIA Insurance Corporation's rating on review for upgrade on February 14, 2014. Based on the trustee's February 2014 report, eight credit events across all six corporate bond portfolios have taken place on Ambac Assurance Corp., Ambac Financial Group, Inc., Delphi Corp., Fannie Mae, General Motors Corp., Lehman Brothers Holdings, Takefuji Corp., and Washington Mutual Inc. The effective attachments for the Class A and Class B Notes are 23.84% and 18.11%, respectively. There have been no additional credit events since the last review. The ten-year weighted average rating factor (WARF) of the portfolio of structured finance assets is 2160. There is one C (sf) rated asset, comprising 13.25% of the portfolio. The WARF of the six corporate bond portfolios range between 1268 and 1518, averaging 1415 across all six portfolios. Moody's rates the majority of these reference credits investment-grade, with an average of 12.42% rated Caa (sf) or lower across all six portfolios. The CSO has a remaining life of 0.6 years. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating Corporate Synthetic Collateralized Debt Obligations" published in November 2013. Factors that would lead to an upgrade or downgrade of the rating: These transactions are subject to a high level of uncertainty, primarily because of 1) unexpected volatility in the credit and macroeconomic environment; 2) divergence in the legal interpretation of documentation by different transactional parties because of embedded ambiguities; and 3) unexpected changes in the portfolio composition as a result of the actions of the transaction parties. For CSOs, the performance of the credit default swaps can 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 can have leveraged rating implications for the ratings of the CSO liabilities that could lead to a high degree of rating volatility, which is likely to be higher for the more junior or thinner liabilities. In addition to the base case analysis described above, Moody's also conducted sensitivity analyses, discussed below. Results are in the form of the difference in the number of notches from the base case, in which a higher number of notches corresponds to lower expected losses, and vice-versa. Moody's ran a scenario in which it removed the adjustment for forward-looking measures of reference credits that are on review for upgrade or downgrade, or with a negative outlook, from the calculation of the MIR gap. The result of this run was comparable to the base case. In addition to the quantitative factors Moody's models explicitly, rating committees also consider qualitative factors in the rating process. These qualitative factors include a transaction's structural protections, recent deal performance in the current market environment, the legal environment, specific documentation features and the portfolio manager's track record. 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, can influence the final rating decision. RIVERFRONT RE: S&P Assigns 'BB-' Rating to Variable Rate Notes -------------------------------------------------------------- Standard & Poor's Ratings Services said that it assigned its 'BB-(sf)' rating to Riverfront Re Ltd.'s principal-at-risk variable rate notes. The notes cover losses in the covered areas arising from named storms, earthquakes, fire following, severe thunderstorms, and winter storms on a per-occurrence basis between the attachment point of $100 million and the exhaustion point of $200 million. S&P based the rating on the lowest of the natural-catastrophe risk factor ('BB-'), the rating on the assets in the collateral account ('AAAm'), and the rating on the ceding insurer. The cedants will be Great American Insurance Co. and its affiliates, Mid-Continent Casualty Co. and American Empire Surplus Lines Insurance Co. Great American Insurance Co. will act as agent of the companies comprising the ceding insurer for purposes of sending and receiving required notices as well as remitting or receiving all payments when due. This is the first catastrophe bond issued by Great American Insurance Co. RATINGS LIST New Rating Riverfront Re Ltd. Principal-At-Risk Variable-Rate Notes BB-(sf) SATURNS TRUST 2003-1: S&P Affirms 'CCC+' Rating on $60.19MM Units ----------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its 'CCC+' rating on SATURNS Trust No. 2003-1's $60.192 million units, and removed the rating from CreditWatch, where S&P had placed it with negative implications on Jan. 17, 2014. S&P's rating on the units is dependent on its rating on the underlying security, Sears Roebuck Acceptance Corp.'s 7.00% notes due June 1, 2032 ('CCC+'). The rating action follows S&P's March 24, 2014, affirmation of its 'CCC+' rating on the underlying security and its subsequent removal from CreditWatch Negative. S&P could take further rating actions on the units as a result of changes in S&P's rating on the underlying security. SEQUOIA MORTGAGE 2014-1: Fitch Rates Class B-4 Certificates 'BBsf' ------------------------------------------------------------------ Fitch Ratings assigns the following ratings to Sequoia Mortgage Trust 2014-1, mortgage pass-through certificates, series 2014-1 (SEMT 2014-1): -- $136,463,000 class 1-A1 certificate 'AAAsf'; Outlook Stable; -- $136,463,000 class 1-AIO notional certificate 'AAAsf'; Outlook Stable; -- $186,703,000 class 2-A1 exchangeable certificate 'AAAsf'; Outlook Stable; -- $93,352,000 class 2-A2 certificate 'AAAsf'; Outlook Stable; -- $93,351,000 class 2-A3 certificate 'AAAsf'; Outlook Stable; -- $93,352,000 class 2-A4 exchangeable certificate 'AAAsf'; Outlook Stable; -- $179,731,000 class 2-A5 exchangeable certificate 'AAAsf'; Outlook Stable; -- $6,972,000 class 2-A6 exchangeable certificate 'AAAsf'; Outlook Stable; -- $93,352,000 class 2-AIO1 notional certificate 'AAAsf'; Outlook Stable; -- $186,703,000 class 2-AIO notional certificate 'AAAsf'; Outlook Stable; -- $7,294,000 class B-1 certificate 'AAsf'; Outlook Stable; -- $6,251,000 class B-2 certificate 'Asf'; Outlook Stable; -- $5,210,000 class B-3 certificate 'BBBsf'; Outlook Stable; -- $1,736,000 non-offered class B-4 certificate 'BBsf'; Outlook Stable. The 'AAAsf' rating on the senior certificates reflects the 6.95% subordination provided by the 2.10% class B-1, 1.80% class B-2, 1.50% class B-3, 0.50% non-offered class B-4 and 1.05% non-offered class B-5. The $3,647,602 non-offered class B-5 certificates will not be rated by Fitch. Fitch's ratings reflect the high quality of the underlying collateral, the clear capital structure and the high percentage of loans reviewed by third party underwriters. In addition, CitiMortgage, Inc. will act as the master servicer, and Wilmington Trust will act as the Trustee for the transaction. For federal income tax purposes, elections will be made to treat the trust as two or more real estate mortgage investment conduits (REMICs). SEMT 2014-1 will be Redwood Residential Acquisition Corporation's 1st transaction of prime residential mortgages in 2014. The certificates are supported by a pool of prime mortgage loans with 57.8% 30-year fixed rate mortgages (FRMs), 28.6% 15-year FRMs and 13.6% 10-year hybrid adjustable rate mortgages (ARMs). All but 3.2% of the loans are fully amortizing. The aggregate pool included loans originated from First Republic Bank (19.9%), Opes Advisors, Inc. (7.3%), JMAC Lending, Inc. (6.2%), Amerisave Mortgage Corporation (5.8%), and PrimeLending (5.3%). The remainder of the mortgage loans was originated by various mortgage lending institutions, each of which contributed nearly 5% or less to the transaction. As of the cut-off date, the aggregate pool consisted of 429 loans with a total balance of $347,304,602; an average balance of $809,568; a weighted average original combined loan-to-value ratio (CLTV) of 68.4%, and a weighted average coupon (WAC) of 4.2%. Rate/term and cash out refinances account for 40% and 11.1% of the loans, respectively. The weighted average original FICO credit score of the pool is 765. Owner-occupied properties comprise 92.4% of the loans. The states that represent the largest geographic concentration are California (54.1%), Texas (7.2%) and Massachusetts (5.7%). KEY RATING DRIVERS High-Quality Mortgage Pool: The collateral pool consists of 15- and 30-year fixed-rate, and 10-year adjustable-rate, fully documented loans to borrowers with strong credit profiles, low leverage and substantial liquid reserves. Third-party, loan-level due diligence was conducted on 94.4% of the pool, and Fitch believes the results indicate strong underwriting controls. Market Value Decline Sensitivity: Fitch considered additional market value decline (MVD) sensitivities in addition to those generated by its sustainable home price model. These scenarios aligned Fitch's 'Asf' MVD stress assumptions with peak-to-trough MVDs experienced during the housing crisis through 2009. The sensitivity analysis, which was factored into Fitch's loss expectations, resulted in Fitch assuming a base-case sustainable MVD (sMVD) of 17%, rather than the model-generated base-case sMVD of 20%. Aggregator Quality: Redwood's loan acquisition platform and underwriting overlays it applies to loans it acquires are robust, as evidenced by the very limited findings from the due diligence review. Fitch factored these qualitative strengths in its loss expectations despite the continued increase in the number of unknown lenders participating in Sequoia transactions. Fitch believes that Redwood's sound acquisition strategy is also reflected in the very strong performance of the post-crisis Sequoia pools. Cash Flow Structure: The transaction features a 'Y' structure in which the two senior certificate groups are backed by their individual mortgage pools, and credit support is provided by the single set of subordinate classes. There is limited cross- collateralization so that one class does not have a disproportionate exposure to another. Furthermore, the trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net weighted average coupon (WAC) of the loans, which does not impact the contractual interest due on the certificates. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model- projected 18% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities, which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 4%, 23% and 41% would potentially reduce the 'AAAsf' rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. Additional detail on the transaction is described in the new issue report 'Sequoia Mortgage Trust 2014-1'. SNAAC AUTO 2014-1: S&P Assigns Prelim. BB Rating on Class E Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to SNAAC Auto Receivables Trust 2014-1's $210 million auto receivables-backed notes series 2014-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of March 31, 2014. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 40.0%, 35.3%, 28.7%, 22.4%, and 18.5% of credit support for the class A, B, C, D, and E notes, respectively, based on stress cash-flow scenarios (including excess spread), which provide coverage of approximately 3.55x, 3.10x, 2.40x, 1.75x, and 1.50x S&P's 10.5%-11.5% expected cumulative net loss. -- The timely interest and principal payments made under stress cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A and B notes would remain within one rating category of its preliminary 'AAA (sf)' and 'AA (sf)' ratings, respectively, within the first year and our ratings on the class C, D, and E notes would remain within two rating categories of S&P's preliminary 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings, respectively, within the first year. These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bound of credit deterioration equal to a one-category downgrade within the first year for 'AAA' and 'AA' rated securities and a two- category downgrade within the first year for 'A' through 'BB' rated securities under moderate stress conditions. -- The credit enhancement in the form of subordination, overcollateralization, reserve account, and excess spread. -- The favorable track record of the management team, which has many years of experience individually in the industry and together at the company. -- The collateral's characteristics. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED SNAAC Auto Receivables Trust 2014-1 Class Rating Type Interest Amount rate(i) (mil. $)(i) A AAA (sf) Senior Fixed 152.25 B AA (sf) Subordinate Fixed 12.60 C A (sf) Subordinate Fixed 17.85 D BBB (sf) Subordinate Fixed 17.85 E BB (sf) Subordinate Fixed 9.45 (i) The interest rates and actual sizes of these tranches will be determined on the pricing date. SOUND POINT: Moody's Assigns 'B2' Rating on $16MM Class F Notes --------------------------------------------------------------- Moody's Investors Service announced that it has assigned the following ratings to notes issued by Sound Point CLO V, Ltd.: $4,000,000 Class X Senior Secured Floating Rate Notes due 2026 (the "Class X Notes"), Assigned Aaa (sf) $390,000,000 Class A Senior Secured Floating Rate Notes due 2026 (the "Class A Notes"), Assigned Aaa (sf) $37,000,000 Class B-1 Senior Secured Floating Rate Notes due 2026 (the "Class B-1 Notes"), Assigned Aa2 (sf) $30,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2026 (the "Class B-2 Notes"), Assigned Aa2 (sf) $32,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class C Notes"), Assigned A2 (sf) $35,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class D Notes"), Assigned Baa3 (sf) $27,000 000 Class E Junior Secured Deferrable Floating Rate Notes due 2026 (the "Class E Notes"), Assigned Ba3 (sf) $16,000 000 Class F Junior Secured Deferrable Floating Rate Notes due 2026 (the "Class F Notes"), Assigned B2 (sf) Ratings Rationale Moody's ratings of the Class X Notes, the Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F Notes (the "Notes") address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. Sound Point CLO V is a managed cash flow CLO. The transaction is collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must be invested in first lien senior secured loans and eligible investments and up to 7.5% of the portfolio may consist of second lien loans and first-lien last-out loans. The underlying collateral pool is approximately 61% ramped as of the closing date. Sound Point Capital Management, LP ("Sound Point") will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, unscheduled principal payments and proceeds from sales of credit risk assets may be used to purchase additional collateral obligations, subject to certain restrictions. In addition to the notes rated by Moody's, the Issuer issued 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, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in February 2014. For modeling purposes, Moody's used the following base-case assumptions: Target Par Amount of $600,000,000 Diversity: 48 WARF: 2500 Weighted Average Spread: 3.75% Weighted Average Coupon: 6.00% Weighted Average Recovery Rate: 48.0% Weighted Average Life: 8 years Factors that would lead to an upgrade or downgrade of the rating: The performance of the Notes is subject to uncertainty. The Notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Sound Point's investment decisions and management of the transaction will also affect the Notes' performance. 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 Notes. This sensitivity analysis includes increased default probability relative to the base case. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), holding all other factors equal: Percentage Change in Moody's WARF -- Moody's WARF + 15% (from 2500 to 2875) Impact in Rating Notches Class X Notes: 0 Class A Notes: 0 Class B-1 Notes: -1 Class B-2 Notes: -1 Class C Notes: -1 Class D Notes: 0 Class E Notes: 0 Class F Notes: 0 Percentage Change in Moody's WARF -- Moody's WARF +30% (from 2500 to 3250) Impact in Rating Notches Class X Notes: 0 Class A Notes: -1 Class B-1 Notes: -2 Class B-2 Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Class F Notes: 0 The V Score for this transaction is Medium/High. 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. SOVEREIGN COMMERCIAL: Fitch Affirms C Ratings on 2 Note Classes --------------------------------------------------------------- Fitch Ratings has upgraded three classes and affirmed nine classes of Sovereign Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2007-C1. KEY RATING DRIVERS Fitch modeled losses of 24% of the remaining pool; expected losses on the original pool balance total 4.2%, including $23.3 million (2.3% of the pool) in realized losses to date. Fitch has designated 28 loans (79%) as Fitch Loans of Concern, which includes seven specially serviced assets (34.8%). While modeled losses are slightly higher, the upgrades reflect increased credit enhancement to the senior classes as a result of paydown of $123 million (39%) since Fitch's last review. RATING SENSITIVITIES The loans in this transaction do not have the same features as typical commercial mortgage conduit loans originated for securitization. Additionally, the loans lack some of the typical structural features and reporting requirements seen in CMBS transactions. Therefore, Fitch applied additional stresses, including adjustments of operating income and cap rates. Fitch modeled losses are based on actual performance or expected changes in performance. The ratings reflect the potential for adverse selection and higher than modeled losses on distressed and highly leveraged assets, as this could rapidly deteriorate the credit enhancement of the subordinate classes. No further upgrades are expected on the remaining classes given the increasing pool concentration and the potential for adverse selection. As of the March 2014 distribution date, the pool's aggregate principal balance has been reduced by 92.2% to $78.7 million from $1.01 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting classes F through N. The largest specially serviced asset (15.2% of the pool) is secured by a 106,981 square foot (sf) office property located in Dublin, OH. The loan transferred to special servicing in January 2014 for maturity default. The borrower is attempting to refinance the loan which matured in December 2013. Fitch upgrades the following classes and revises Rating Outlooks as indicated: -- $4.9 million class A-J to 'Asf' from 'BBB-sf'; Outlook Stable; -- $15.2 million class B to 'BBBsf' from 'BBsf'; Outlook Stable; -- $17.7 million class C to 'BBsf' from 'Bsf'; to Outlook Stable from Outlook Negative. Fitch affirms the following classes and updates Recovery Estimates as indicated: -- $20.3 million class D at 'CCCsf', RE 100%; -- $10.1 million class E at 'CCsf'; RE 25%; -- $7.6 million class F at 'Csf'; RE 0%; -- $2.5 million class G at 'Csf'; RE 0%; -- $1.2 million class H at 'Dsf'; RE 0%. The fully depleted classes J, K, L and M remain at 'Dsf', RE 0% due to realized losses. The class A-1, A-2, and A1-A certificates have paid in full. Fitch does not rate the class N certificates. Fitch previously withdrew the rating on the interest-only class X certificates. STANFIELD CARRERA: S&P Lowers Rating on 4 Note Classes to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class C-1 and C-2 notes (collectively, the class C notes) from Stanfield Carrera CLO Ltd., a collateralized loan obligation (CLO) transaction, to 'D (sf)' from 'CCC- (sf)'. In addition, S&P lowered its ratings on the class D-1 and D-2 notes (collectively, the class D notes) from the same transaction to 'D (sf)' from 'CC (sf)'. After the class B-1 and B-2 notes (collectively, the class B notes) were paid down in full on the December 2012 payment date, the class C notes became the senior nondeferrable notes, according to the indenture. On Dec. 26, 2012, S&P withdrew its ratings on the class B notes and simultaneously lowered its ratings on the class C and D notes to 'CCC- (sf)' and 'CC (sf)', respectively, due to the transaction's concentration risk, which caused the top obligor tests to fail for both notes, and exposure to distressed assets. As of the March 2014 trustee report, the class C and D overcollateralization ratios were 261% and 63%, respectively. S&P lowered its ratings on the class C notes to 'D (sf)' because, according to the March 2014 trustee note valuation report, they failed to make timely interest payments on a nondeferrable note, which triggered an event of default. S&P also lowered its ratings on the class D notes to 'D (sf)'. S&P do not expect the principal balance and the interest deferral balance to be paid in full upon the transaction's legal final maturity date. RATINGS LOWERED Stanfield Carrera CLO Ltd. Rating Class To From C-1 D (sf) CCC- (sf) C-2 D (sf) CCC- (sf) D-1 D (sf) CC (sf) D-2 D (sf) CC (sf) STONE TOWER I: S&P Lowers Ratings on 7 Note Classes to 'BB' ----------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on seven classes from Stone Tower Credit Funding I Ltd. to 'BB (sf)' from 'AAA (sf)' and removed them from CreditWatch with negative implications, where they were placed on Dec. 23, 2013, following the application of S&P's updated criteria for rating market value securities. Market value securities rely on liquidating collateral as their primary source of repayment, which is an inherent risk because the underlying collateral's value fluctuates over time. Therefore, S&P's analysis focused on this potential market value fluctuation. The downgrades reflect the quantitative analysis using S&P's Market Value Evaluator, which indicated that the assets were insufficient, given their characteristics and corresponding haircuts as determined by S&P's updated criteria, to support the current ratings assigned. According to the Jan. 31, 2014, compliance report, the majority of the underlying securities held within the transaction are non- investment-grade corporate securities (rated 'BB+' or lower). The updated criteria increased the "haircut" to these types of securities, among other changes. The haircut determines the potential price depreciation upon the sale of the financial assets backing the rated notes under different economic stresses. The haircut will vary based on the rating assigned to the notes, the asset, program/fund-specific considerations, and the estimated worst-historical price declines for each asset type. S&P also considered the rating caps outlined in its updated criteria, including the manager's decision to not incorporate the updated criteria into the transaction's documents. In addition, S&P considered the manager's decision to not provide a representation that the fund abides by the asset limitations outlined in paragraph 52 of the updated criteria in the calculation of the fund's borrowing base. RATINGS LOWERED AND REMOVED FROM CREDITWATCH Stone Tower Credit Funding I Ltd. Rating Class To From 2006-1 BB (sf) AAA (sf)/Watch Neg 2006-2 BB (sf) AAA (sf)/Watch Neg 2006-3 BB (sf) AAA (sf)/Watch Neg 2006-4 BB (sf) AAA (sf)/Watch Neg 2007-1 BB (sf) AAA (sf)/Watch Neg 2007-2 BB (sf) AAA (sf)/Watch Neg 2007-3 BB (sf) AAA (sf)/Watch Neg SYMPHONY CREDIT: S&P Lowers Rating on 3 Note Classes to 'BB' ------------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on four classes of notes from Symphony Credit Opportunities Fund Ltd., a market value collateralized debt obligation (CDO). S&P also removed these ratings from CreditWatch, where it had placed them with negative implications on Dec. 23, 2013, following the application of S&P's updated criteria for rating market value securities. Market value securities rely on liquidating collateral as their primary source of repayment, which is an inherent risk because the underlying collateral's value fluctuates over time. Therefore, S&P's analysis focuses on this potential market value fluctuation. According to the Jan. 31, 2014 compliance report, the majority of the underlying securities held within the transaction are non- investment-grade corporate securities (rated 'BB+' or lower). The updated criteria increased the "haircut" to these types of securities, among other changes. The haircut determines the potential price depreciation upon the sale of the financial assets backing rated notes under different economic stresses. The haircut will vary based on the rating assigned to the notes, the asset, program/fund-specific considerations, and the estimated worst historical price declines for each asset type. The downgrades reflect the quantitative analysis using S&P's Market Value Evaluator, which indicated that the assets were insufficient, given their characteristics and corresponding haircuts as determined by S&P's updated criteria, to support the previous ratings. S&P also considered rating caps outlined in its updated criteria, including the manager's decision to not incorporate the updated criteria into the transaction's documents. In addition, S&P considered the manager's decision to not provide a representation that the fund abides by the asset limitations outlined in paragraph 52 of the updated criteria in the calculation of the fund's borrowing base. RATINGS LOWERED AND REMOVED FROM CREDITWATCH Symphony Credit Opportunities Fund Ltd. Rating Class To From A VFN BB(sf) AAA(sf)/Watch Neg B BB(sf) AA(sf)/Watch Neg C BB(sf) A(sf)/Watch Neg D B(sf) BBB(sf)/Watch Neg THL CREDIT 2013-2: S&P Affirms 'BB' Rating on Class E Notes ----------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on THL Credit Wind River 2013-2 CLO Ltd./THL Credit Wind River 2013-2 CLO LLC's $405.13 million fixed- and floating-rate notes following the transaction's effective date as of Feb. 21, 2014. Most U.S. cash flow collateralized loan obligations (CLOs) close before purchasing the full amount of their targeted level of portfolio collateral. On the closing date, the collateral manager typically covenants to purchase the remaining collateral within the guidelines specified in the transaction documents to reach the target level of portfolio collateral. Typically, the CLO transaction documents specify a date by which the targeted level of portfolio collateral must be reached. The "effective date" for a CLO transaction is usually the earlier of the date on which the transaction acquires the target level of portfolio collateral, or the date defined in the transaction documents. Most transaction documents contain provisions directing the trustee to request the rating agencies that have issued ratings upon closing to affirm the ratings issued on the closing date after reviewing the effective date portfolio (typically referred to as an "effective date rating affirmation"). "An effective date rating affirmation reflects our opinion that the portfolio collateral purchased by the issuer, as reported to us by the trustee and collateral manager, in combination with the transaction's structure, provides sufficient credit support to maintain the ratings that we assigned on the transaction's closing date. The effective date reports provide a summary of certain information that we used in our analysis and the results of our review based on the information presented to us," S&P said. "We believe the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets," S&P added. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P added. "In our published effective date report, we discuss our analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, we intend to publish an effective date report each time we issue an effective date rating affirmation on a publicly rated U.S. cash flow CLO," S&P noted. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as it deems necessary. RATINGS AFFIRMED THL Credit Wind River 2013-2 CLO Ltd/ THL Credit Wind River 2013-2 CLO LLC Amount Class Rating (Mil. $) A-1 AAA (sf) 93.735 A-2a AAA (sf) 147.500 A-2b AAA (sf) 7.765 A-3 AAA (sf) 20.000 B-1 AA (sf) 25.850 B-2 AA (sf) 33.570 C (deferrable) A (sf) 30.250 D (deferrable) BBB (sf) 21.340 E (deferrable) BB (sf) 18.640 F (deferrable) B (sf) 6.480 TICP CLO I: S&P Assigns 'BB' Rating on Class D Notes ---------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to TICP CLO I Ltd./TICP CLO I LLC's $434.00 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: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting the excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which primarily comprises broadly syndicated, speculative-grade senior- secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.2365%-13.8385%. -- The transaction's overcollateralization and interest z coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which will lead to the reclassification of excess interest proceeds that are available before paying uncapped administrative expenses, incentive management fees, and subordinated note payments into principal proceeds for additional collateral asset purchases during the reinvestment period. RATINGS ASSIGNED TICP CLO I Ltd./TICP CLO I LLC Class Rating Amount (mil. $) A-1 AAA (sf) 283.50 A-2A AA (sf) 10.00 A-2B AA (sf) 40.75 A-2C AA (sf) 15.00 B (deferrable) A (sf) 27.25 C (deferrable) BBB (sf) 25.00 D (deferrable) BB (sf) 22.00 E (deferrable) B (sf) 10.50 Subordinated notes NR 45.00 NR-Not rated. UBS COMMERCIAL 2012-C1: Moody's Affirms B2 Rating on Cl. F Certs ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 12 classes of UBS Commercial Mortgage Trust 2012-C1, Commercial Mortgage Pass- Through Certificates, Series 2012-C1 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Apr 11, 2013 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Apr 11, 2013 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Apr 11, 2013 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Apr 11, 2013 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Apr 11, 2013 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Apr 11, 2013 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Apr 11, 2013 Affirmed A2 (sf) Cl. D, Affirmed Baa3 (sf); previously on Apr 11, 2013 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Apr 11, 2013 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Apr 11, 2013 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Apr 11, 2013 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Apr 11, 2013 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes, Classes X-A and X-B, were affirmed based on the credit performance (or the weighted average rating factor or WARF) of their referenced classes. Moody's rating action reflects a base expected loss of 2.5% of the current balance, compared to 2.3% at Moody's last review. Moody's base expected loss plus realized losses is now 2.5% of the original pooled balance, compared to 2.3% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. 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 can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses 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 Moody's uses to estimate Moody's value). Conduit model results at the B2 (sf) level are based on a paydown analysis using the individual loan- level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on 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, Moody's merges the credit enhancement for loans with investment-grade credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the credit assessment level) for loans with similar credit assessments in the same transaction. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 25 compared to 25 at Moody's last review. DEAL PERFORMANCE As of the March 12, 2014 payment date, the transaction's aggregate certificate balance has decreased by approximately 2% to $1.30 billion from $1.33 billion at securitization. The Certificates are collateralized by 73 mortgage loans ranging in size from less than 1% to 9% of the pool. The pool does not contain any investment grade credit assessments or defeased loans. Six loans, representing 10% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could impact performance. Currently, there are no loans in special servicing. The pool has not experienced any realized losses to date. Moody's received full year 2012 operating results for 99% of the pool and a partial or full year 2013 operating results for 93% of the pool. Moody's weighted average conduit LTV is 97% compared to 101% at Moody's last 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 9% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.22%. Moody's actual and stressed conduit DSCRs are 1.39X and 1.06X, respectively, compared to 1.33X and 1.0X at the 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% stress rate the agency applied to the loan balance. The top three conduit loans represent 23% of the pool. The largest conduit loan is the Dream Hotel Downtown Net Lease Loan ($120.0 million -- 9.2% of the pool), which is secured by the borrower's fee simple interest in a parcel located at 17th Street and 9th Avenue in Chelsea, Manhattan. The borrower leased its interest in the collateral to Northquay Properties, LLC (Hotel Tenant) and Northglen Properties LLC (Banquet/Conference Space Tenant) under two separate Net Leases. The only asset of each Net Lease Tenant is its respective Net Lease. The Net Leases are structured with step ups in lease payments. Moody's LTV and stressed DSCR are 100% and 0.64X, respectively, the same as at last review. The second largest conduit loan is the Civic Opera House Loan ($92.6 million -- 7.1% of the pool), which is secured by 44-story Class B office building located within CBD of Chicago, Illinois. The tenant base is diverse with none of the tenants occupying more than 7% of the net rentable area (NRA). The property was 76% leased as of September 2013 compared to 75% at last review. The loan is on the servicer's watchlist due to low DSCR. Moody's LTV and stressed DSCR are 115% and 0.87X, respectively, compared to 114% and 0.88X at last review. The third largest conduit loan is the Trinity Centre Loan ($87.4 million -- 6.7% of the pool), which represents a 55% pari-passu interest in a first mortgage loan. The loan is secured by two adjacent pre-war office buildings containing 90,744 square feet located in Downtown Manhattan, New York. The property is also encumbered with $25.0 million of mezzanine financing. The largest tenant is the Port Authority of NY & NJ (18% of the NRA) with lease expirations in July 2015 and December 2016. The property was 89% leased as of August 2013 compared to 84% at last review. Moody's LTV and stressed DSCR are 108% and 0.88X, respectively, compared to 109% and 0.87X at last review. VITESSE CLO: Moody's Hikes Rating on $17MM Class B-2L Notes to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Vitesse CLO Ltd. $41,000,000 Class A-3L Floating Rate Notes Due August 17, 2020, Upgraded to Aa1 (sf); previously on August 14, 2013 Upgraded to A1 (sf) $25,000,000 Class B-1L Floating Rate Notes Due August 17, 2020, Upgraded to A3 (sf); previously on August 14, 2013 Upgraded to Baa3 (sf) $17,000,000 Class B-2L Floating Rate Notes Due August 17, 2020 (current outstanding balance $16,517,456), Upgraded to Ba1 (sf); previously on August 14, 2013 Upgraded to Ba2 (sf) Moody's also affirmed the ratings of the following notes: $374,000,000 Class A-1L Floating Rate Notes Due August 17, 2020 (current outstanding balance $139,980,613, Affirmed Aaa (sf); previously on August 14, 2013 Affirmed Aaa (sf) $80,000,000 Class A-1LR Floating Rate Revolving Notes Due August 17, 2020 (current outstanding balance $29,942,377), Affirmed Aaa (sf); previously on August 14, 2013 Affirmed Aaa (sf) $28,000,000 Class A-2L Floating Rate Notes Due August 17, 2020, Affirmed Aaa (sf); previously on August 14, 2013 Affirmed Aaa (sf) Vitesse CLO Ltd., issued in May 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in February 2013. Ratings Rationale These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over- collateralization ratios since the last rating action in August 2013. The Class A-1 Notes have been paid down by approximately by 45% (or $139 million ) since the last rating action. Based on the trustee's March 2014 report, the over-collateralization (OC) ratios for the Senior Class A, Class A, Class B-1L, Class B-2L notes are reported at 155.2%, 128.6%, 116.4% and 109.5%, respectively versus 132.9%, 118.5%, 111.2% and 106.8%, respectively in the July 2013 trustee report. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the 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 could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. 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. Realization of higher than assumed recoveries would positively impact the CLO. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2108) Class A-1L: 0 Class A-1LR: 0 Class A-2L: 0 Class A-3L: +1 Class B-1L: +2 Class B-2L: +2 Moody's Adjusted WARF + 20% (3162) Class A-1L: 0 Class A-1LR: 0 Class A-2L: 0 Class A-3L: -1 Class B-1L: -2 Class B-2L: 0 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations," published in February 2014. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $362 million, defaulted par of $7million, a weighted average default probability of 16.58% (implying a WARF of 2635) a weighted average recovery rate upon default of 52.39%, a diversity score of 40 and a weighted average spread of 3.15%. Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. WACHOVIA BANK 2005-C16: S&P Lowers Rating on Class O Notes to D --------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on two classes of commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2005-C16, a U.S. commercial mortgage-backed securities (CMBS) transaction. Concurrently, S&P affirmed its ratings on 17 other classes from the same transaction, including the 'AAA (sf)' rating on the class XC interest-only (IO) certificates. "Our rating actions follow our analysis of the transaction primarily using our criteria for rating U.S. and Canadian CMBS transactions. 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. "Our rating actions also considered the monthly interest shortfalls that are affecting the trust. We lowered our rating on the class N certificates to 'CCC (sf)' to reflect reduced liquidity support available to this class because of interest shortfalls from the specially serviced assets. In addition, we lowered our rating on the class O certificates to 'D (sf)' to reflect our expectation that the accumulated interest shortfalls will remain outstanding for the foreseeable future. The class O certificates currently have accumulated interest shortfalls outstanding for 10 consecutive months," S&P noted. As of the March 17, 2014, trustee remittance report, the trust experienced monthly interest shortfalls totaling $287,191. According to the master servicer, the interest shortfalls were primarily related to a one-time $258,378 payment for real estate taxes on the Grenoble Square Shopping Center real estate owned (REO) asset ($1.8 million, 0.2%), as well as $7,286 of interest not advanced from that same REO asset's nonrecoverability determination, $14,043 in appraisal subordinate entitlement reduction amounts, $2,809 special servicing fees, and $3,346 workout fees. The current monthly interest shortfalls affected all classes subordinate to and including class H. The affirmed ratings on the principal- and interest-paying certificates reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings. The affirmations also reflect S&P's analysis of the credit characteristics and performance of the remaining assets, the transaction-level changes, as well as the liquidity support available to the classes. While available credit enhancement levels may suggest positive rating movements on classes C, D, E, F, G, H, J, K, L, and M, S&P's analysis reflects its view of the available liquidity support and the magnitude of remaining nonspecially serviced loans maturing by January 2015 (121 loans; $1.08 billion, 96.5%). S&P's analysis also considered that nine loans totaling $51.6 million (4.6%) are corrected mortgage loans maturing in October, November, or December of 2014. According to the transaction documents, the special servicer is entitled to a workout fee with respect to a corrected mortgage loan, which is generally equal to 1.00% of all interest and principal payments received on the mortgage loan for as long as it remains a corrected mortgage loan. S&P affirmed its 'AAA (sf)' rating on the class X-C IO certificates based on its criteria for rating IO securities. RATINGS LOWERED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C16 Rating Class To From Credit enhancement (%) N CCC (sf) B- (sf) 1.63 O D (sf) CCC+ (sf) 1.17 RATINGS AFFIRMED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C16 Class Rating Credit enhancement (%) A-3 AAA (sf) 35.10 A-PB AAA (sf) 35.10 A-4 AAA (sf) 35.10 A-1A AAA (sf) 35.10 A-J AAA (sf) 23.33 B AAA (sf) 18.25 C AA+ (sf) 15.94 D AA (sf) 12.94 E AA- (sf) 11.10 F A (sf) 8.79 G BBB+ (sf) 6.94 H BB+ (sf) 4.40 J BB (sf) 4.17 K BB- (sf) 3.48 L B+ (sf) 2.56 M B (sf) 2.10 X-C AAA (sf) N/A N/A-Not applicable. WACHOVIA 2006-WHALE 7: Fitch Puts 'Bsf' Rating on Class G Notes --------------------------------------------------------------- Fitch Ratings has placed the following classes in Wachovia Bank Commercial Mortgage Trust 2006-WHALE 7 on Rating Watch Positive: -- $43.2 million class G 'Bsf'; -- $64.9 million class H 'CCsf' RE 100%. In addition, Fitch has downgraded the $5.8 million class K and zero balance classes, WA and CM to 'Dsf' from 'Csf'; RE 0%, due to realized losses. Key Rating Drivers The rating actions are the result of the disposition of two properties at slightly lower losses than Fitch modeled at its last rating action in November 2013. The Westin Aruba REO asset was disposed for approximately $110 million which resulted in a loss severity of approximately 33%. While the gross proceeds of the sale exceeded the former loan amount, there were almost $46 million in fees and expenses that were repaid. The Colonial Mall Myrtle Beach, now known as the Myrtle Beach Mall, was paid off as part of a modification and forbearance agreement executed in December 2010. Net proceeds were approximately $15 million and with $160,890 in fees and expenses, the resulting loss severity was approximately 46%. Rating Sensitivities One loan remains in the transaction, The Jameson Hotel Portfolio. The loan is currently collateralized by approximately 6,600 rooms in 103 properties across 16 states. Fitch is currently reviewing the most recent operating reports and other details provided by the special servicer. Due to the relatively low leverage of the loan and better than expected recoveries on the disposed assets, classes G and H may be upgraded one to two categories. Fitch expects to review the transaction in detail in the next several weeks. WELLS FARGO 2014-TISH: S&P Assigns BB Rating on Class WTS-2 Notes ----------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Wells Fargo Commercial Mortgage Trust 2014-TISH's $381.0 million commercial mortgage pass-through certificates series 2014-TISH. The issuance is a commercial mortgage-backed securities transaction backed by two commercial mortgage loans totaling $381.0 million secured by first-mortgage liens on the borrowers' leased fee interests in the 873-room Westin New York at Times Square hotel (senior pooled component: $150.0 million; subordinate nonpooled component: $60.0 million) and the 1,214-room Sheraton Chicago Hotel & Towers (senior pooled component: $122.6 million; subordinate nonpooled component: $48.4 million). The two loans are neither cross-collateralized nor cross-defaulted. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. S&P determined that the loans have a 71.8% beginning and ending loan-to-value ratio, based on its valuation of the two properties backing the transaction. RATINGS ASSIGNED Wells Fargo Commercial Mortgage Trust 2014-TISH Class Rating(i) Amount ($) A AAA (sf) 168,100,000 X-1 A- (sf) 272,600,000(ii) X-2 A- (sf) 272,600,000(ii) B AA- (sf) 59,940,000 C A- (sf) 44,560,000 WTS-1 BBB- (sf) 32,807,000 WTS-2 BB (sf) 27,193,000 SCH-1 BBB- (sf) 26,124,000 SCH-2 BB (sf) 22,276,000 (i) The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii )Notional balance. The aggregate principal distributions and realized losses allocated to the pooled certificates will reduce the class X-1 and X-2 certificates' notional amount. WFRBS COMMERCIAL 2014-C19: Fitch Rates Class E Notes 'BB-' ---------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to WFRBS Commercial Mortgage Trust 2014-C19 pass-through certificates: -- $75,637,000 class A-1 'AAAsf'; Outlook Stable; -- $36,949,000 class A-2 'AAAsf'; Outlook Stable; -- $98,933,000 class A-3 'AAAsf'; Outlook Stable; -- $210,000,000 class A-4 'AAAsf'; Outlook Stable; -- $249,163,000 class A-5 'AAAsf'; Outlook Stable; -- $101,859,000 class A-SB 'AAAsf'; Outlook Stable; -- $73,116,000b class A-S 'AAAsf'; Outlook Stable; -- $845,657,000* class X-A 'AAAsf'; Outlook Stable; -- $75,875,000b class B 'AA-sf'; Outlook Stable; -- $40,006,000b class C 'A-sf'; Outlook Stable; -- $188,997,000b class PEX 'A-sf'; Outlook Stable; -- $175,202,000* class X-B 'BBB-sf'; Outlook Stable; -- $59,321,000a class D 'BBB-sf'; Outlook Stable; -- $27,590,000a class E 'BB-sf'; Outlook Stable; -- $11,037,000a class F 'B-sf'; Outlook Stable. * Notional amount and interest-only. a Privately placed pursuant to Rule 144A. b Class A-S, B and C certificates may be exchanged for class PEX certificates; and class PEX certificates may be exchanged for class A-S, B and C certificates. Fitch does not rate the $44,145,379 class G. The certificates represent the beneficial ownership in the trust, primary assets of which are 99 loans secured by 133 commercial properties having an aggregate principal balance of approximately $1.104 billion as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association; The Royal Bank of Scotland; Liberty Island Group I LLC; Basis Real Estate Capital II LLC; C-III Commercial Mortgage LLC.; and NCB, FSB. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 76.4% of the properties by balance, cash flow analysis of 82.7%, and asset summary reviews on 85.4% of the pool. KEY RATING DRIVERS Fitch Leverage: This transaction has leverage metrics that are slightly higher than recent Fitch-rated fixed-rate deals. The pool's Fitch debt service coverage ratio (DSCR) and loan to value (LTV) are 1.27x and 103.8%, respectively, compared with the 2013 averages of 1.29x and 101.6%, respectively. Excluding the eight loans collateralized by cooperative housing (co-op) properties, which comprise 3.3% of the pool, the Fitch DSCR and LTV are 1.17x and 106.4%, respectively. Lower Loan Concentration: The pool is less concentrated by loan size and sponsor, as compared to other recent Fitch-rated fixed- rate deals. The top 10 loans represent 38.9% of the pool, which is less than the 2013 average concentration of 54.5%. Comprising 99 loans and 133 properties, the pool is more diverse on an aggregate loan and property basis when compared to the 2013 averages of 70 loans and 106 properties. The pool has a loan concentration index (LCI) and sponsor concentration index (SCI) of 252 and 297, respectively, which represents one of the least concentrated transactions in 2013 and 2014 to date. More Amortization: Of the pool, four loans (3.8%) are full interest-only and 17 loans (28.2%) are partial interest-only. The remaining pool (78 loans, 68%) consists of amortizing balloon loans with loan terms of five to 10 years. As a result, the pool is scheduled to amortize by 16.8%. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 20.2% below the most recent net operating income (NOI) (for properties for which historical NOI was provided, excluding properties that were stabilizing during the most recent reporting period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severity on defaulted loans, and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to WFRBS 2014- C19 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on pages 79-80. The master servicers will be Wells Fargo Bank, National Association and NCB, FSB, rated 'CMS1-' and 'CMS2-', respectively, by Fitch. The special servicers will be LNR Partners, LLC, and NCB, FSB rated 'CSS1-' and 'CSS3+', respectively, by Fitch. WFRBS 2014-C19: Moody's Assigns Ba3 Rating to Cl. X-B Securities ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to twelve classes of CMBS securities, issued by WFRBS Commercial Mortgage Trust 2014-C19: Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-SB, Definitive Rating Assigned Aaa (sf) Cl. A-S**, Definitive Rating Assigned Aaa (sf) Cl. X-A*, Definitive Rating Assigned Aaa (sf) Cl. X-B*, Definitive Rating Assigned Ba3 (sf) Cl. B**, Definitive Rating Assigned Aa3 (sf) Cl. PEX**, Definitive Rating Assigned A1 (sf) Cl. C**, Definitive Rating Assigned A3 (sf) * Interest Only Class ** Reflects Exchangeable Certificates RATINGS RATIONALE The Certificates are collateralized by 99 fixed rate loans secured by 133 properties. The ratings are based on the collateral and the structure of the transaction. Moody's CMBS ratings methodology combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The Moody's Actual DSCR of 1.58X is greater than the 2007 conduit/fusion transaction average of 1.31X. The Moody's Stressed DSCR of 1.11X is greater than the 2007 conduit/fusion transaction average of 0.92X. Moody's Trust LTV ratio of 105.2% is lower than the 2007 conduit/fusion transaction average of 110.6%. Moody's Total LTV ratio (inclusive of subordinated, mezzanine and debt-like preferred equity financing) of 105.8% is also considered when analyzing various stress scenarios for the rated debt. Moody's also grades properties on a scale of 1 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.5, which is weaker than the indices calculated in most multi-borrower transactions since 2009. The weighted average grade is indicative of the average market composition of the pool and the stability of the cash flows underlying the assets. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level (includes cross collateralized and cross defaulted loans) Herfindahl Index is 39.7. The transaction's loan level diversity is greater than Herfindahl score calculated in most multi-borrower transactions issued since 2010. With respect to property level diversity, the pool's property level Herfindahl Index is 55.2. The transaction's property diversity profile is greater than the indices calculated in most multi-borrower transactions issued since 2010. This deal has a super-senior Aaa classes with 30% credit enhancement. Although the additional enhancement offered to the senior most certificate holders provides additional protection against pool loss, the super-senior structure is credit negative for the certificate that supports the super-senior class. If the support certificate were to take a loss, the loss would have the potential to be quite large on a percentage basis. Thin tranches need more subordination to reduce the probability of default in recognition that their loss-given default is higher. This adjustment helps keep expected loss in balance and consistent across deals. The transaction was structured with additional subordination at class A-S to mitigate the potential increased severity to class A-S. In terms of waterfall structure, the transaction contains a group of exchangeable certificates. Classes A-S (Aaa (sf)), B (Aa3 (sf)) and C (A3 (sf)) may be exchanged for Class PEX (A1 (sf)) certificates and Class PEX may be exchanged for the Classes A-S, B and C. The PEX certificates will be entitled to receive the sum of interest and principal distributable on the Classes A-S, B and C certificates that are exchanged for such PEX certificates. The initial certificate balance of the Class PEX certificates is equal to the aggregate of the initial certificate balances of the Class A-S, B and C and represent the maximum certificate balance of the PEX certificates that may be issued in an exchange. Moody's analysis employs the excel-based CMBS Conduit Model v2.64 which derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level DSCR and LTV ratios. Major adjustments to determining proceeds include loan structure, property type, sponsorship, and diversity. Moody's analysis also uses the CMBS IO calculator ver1.1, 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 Low/Medium, the same as the V score assigned to the U.S. Conduit and 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 Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 14%, and 23%, the model-indicated rating for the currently rated Aaa Super Senior class would be Aaa, Aaa, and Aa1, respectively; for the most junior Aaa rated class A-S would be Aa1, Aa2, and Aa3, 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. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. 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. ZAIS CLO 1: S&P Assigns 'BB' Rating on Class D Notes ---------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Zais CLO 1 Ltd./Zais CLO 1 LLC's $284.20 million floating-rate notes. The note issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash-flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash-flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBOR ranging from 0.24% to 12.84%. -- 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 Zais CLO 1 Ltd./Zais CLO 1 LLC Class Rating Amount (Mil. $) A-1 AAA (sf) 187.40 A-2 AA (sf) 39.10 B (deferrable) A (sf) 21.30 C (deferrable) BBB (sf) 15.10 D (deferrable) BB (sf) 12.70 E (deferrable) B (sf) 8.60 Combination notes AA (sf) 226.50 (i) (i) Combination notes consist of an aggregate amount of up to $226,500,000, with the components consisting of up to $187,400,000 of the class A-1 notes and $39,100,000 of the class A-2 notes. On the closing date, the issuer expects to have a total of $166,350,000 of combination notes outstanding, consisting of $137,633,510 of class A-1 notes and $28,716,490 of class A-2 notes. The individual components of the combination notes are included in the outstanding amount of the related components and will earn interest in the same manner as the related components. The component amounts outstanding can vary, subject to conditions as described in the indenture. * Fitch Lowers 86 Distressed Bonds in 51 RMBS Deals to 'Dsf' ------------------------------------------------------------ Fitch Ratings has downgraded 86 distressed bonds in 51 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', 85 classes were previously rated 'Csf' and one class was rated 'CCsf'. All ratings below 'CCCsf' indicate a default is expected. As part of this review, the Recovery Estimates (REs) of the defaulted bonds were not revised. In addition, the review focused only on the bonds which defaulted and did not include any other bonds in the affected transactions. Of the 86 classes affected by these downgrades, 50 are Prime, 25 are Alt-A, and 10 are Subprime. The remaining transaction types are other sectors. Approximately, 51% of the bonds have an RE of 50%-100%, which indicates that the bonds will recover 50%-100% of the current outstanding balance, while 21% have an RE of 0%. Key Rating Drivers All of the affected classes had incurred a principal write-down and are expected to endure additional losses in the future. Rating Sensitivities While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future there is a limited possibility this may happen. In this unlikely scenario, Fitch would further review the affected class. * Moody's Takes Action on $657MM Subprime RMBS by Various Trusts ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of eight tranches from four transactions and downgraded the ratings of two tranches from one transaction backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: Carrington Mortgage Loan Trust, Series 2005-NC1 Cl. M-1, Downgraded to Baa3 (sf); previously on Feb 26, 2013 Downgraded to A3 (sf) Cl. M-2, Downgraded to Ba2 (sf); previously on Feb 26, 2013 Affirmed Ba1 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2006-NC1 Cl. A-3, Upgraded to Ba2 (sf); previously on Jun 27, 2013 Upgraded to B1 (sf) Cl. A-4, Upgraded to B2 (sf); previously on Jun 27, 2013 Upgraded to Caa1 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Apr 29, 2010 Downgraded to C (sf) Issuer: Citigroup Mortgage Loan Trust 2006-WFHE3 Cl. A-4, Upgraded to Ba1 (sf); previously on Jun 27, 2013 Upgraded to Ba3 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Jun 27, 2013 Upgraded to Caa3 (sf) Issuer: CSFB Home Equity Asset Trust 2005-8 Cl. M-1, Upgraded to Ba2 (sf); previously on Jun 27, 2013 Upgraded to B1 (sf) Issuer: CSFB Home Equity Asset Trust 2006-2 Cl. 1-A-1, Upgraded to B3 (sf); previously on Jun 27, 2013 Upgraded to Caa1 (sf) Cl. 2-A-4, Upgraded to Caa1 (sf); previously on Jun 27, 2013 Upgraded to Caa3 (sf) Ratings Rationale The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds due to high prepayments/faster liquidations. The downgrade actions on classes M-1 and M-2 issued by Carrington 2005-NC-1 are driven by recent interest shortfalls reported on the bonds. The tranches missed their interest payments in Feb 2014 and structural limitations in the transaction prevent recoupment of the missed interest even if funds are available in subsequent periods. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the rating: The primary source of assumption uncertainty is the uncertainty in our central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 7.7% in February 2013 to 6.7% in February 2014. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Moody's expects house prices to continue to rise in 2014. Performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. * Moody's Takes Action on $407 Million of Prime Jumbo RMBS ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 14 tranches and downgraded the ratings of nine tranches issued by various issuers. The tranches are backed by Prime Jumbo RMBS loans issued between 2003 and 2006. Issuer: Citicorp Mortgage Securities Trust 2006-4 Cl. IA-11, Upgraded to B2 (sf); previously on Sep 21, 2012 Confirmed at Caa1 (sf) Cl. IA-IO, Downgraded to B2 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) Issuer: Citicorp Mortgage Securities, Inc. 2005-1 Cl. IIIA-2, Upgraded to Ba1 (sf); previously on Aug 27, 2013 Upgraded to Ba3 (sf) Cl. IIIA-3, Upgraded to Ba1 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf) Issuer: Citicorp Mortgage Securities, Inc. 2005-8 Cl. IA-6, Upgraded to B1 (sf); previously on May 19, 2010 Downgraded to B3 (sf) Cl. IIA-1, Downgraded to Baa2 (sf); previously on Sep 12, 2013 Confirmed at A3 (sf) Cl. IIA-2, Downgraded to Baa3 (sf); previously on Sep 12, 2013 Downgraded to Baa1 (sf) Cl. IIA-3, Downgraded to Baa2 (sf); previously on Sep 12, 2013 Downgraded to Baa1 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2005-6 Cl. A-1, Upgraded to Ba2 (sf); previously on May 19, 2010 Downgraded to B1 (sf) Cl. A-2, Upgraded to Ba2 (sf); previously on Sep 21, 2012 Upgraded to B1 (sf) Cl. A-3, Upgraded to Ba2 (sf); previously on May 19, 2010 Downgraded to Ba3 (sf) Cl. M, Upgraded to Caa3 (sf); previously on May 19, 2010 Downgraded to C (sf) Issuer: CWMBS Mortgage Pass-Through Trust 2004-HYB4 Cl. 1-A, Upgraded to Ba3 (sf); previously on Oct 16, 2012 Downgraded to B1 (sf) Cl. 2-A-1, Upgraded to Ba3 (sf); previously on Oct 16, 2012 Downgraded to B2 (sf) Cl. 2-A-2, Upgraded to B3 (sf); previously on Oct 16, 2012 Downgraded to Caa2 (sf) Cl. 3-A, Upgraded to Ba3 (sf); previously on Oct 16, 2012 Downgraded to B1 (sf) Issuer: GSR Mortgage Loan Trust 2005-AR3 Cl. 8A1, Downgraded to B3 (sf); previously on Apr 27, 2010 Downgraded to B1 (sf) Issuer: RFMSI Series 2005-S5 Trust Cl. A-1, Upgraded to B2 (sf); previously on Aug 30, 2012 Downgraded to Caa1 (sf) Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust Cl. II-A, Downgraded to Baa3 (sf); previously on Dec 3, 2012 Downgraded to Baa1 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2003-AR3 Cl. A-5, Upgraded to Baa3 (sf); previously on Apr 11, 2012 Downgraded to Ba2 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2004-6 Trust Cl. A-6, Downgraded to Baa3 (sf); previously on Feb 19, 2013 Downgraded to Baa1 (sf) Cl. A-7, Downgraded to Baa3 (sf); previously on Feb 19, 2013 Downgraded to Baa1 (sf) Cl. A-12, Downgraded to Ba1 (sf); previously on Feb 19, 2013 Downgraded to Baa3 (sf) RATINGS RATIONALE The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The rating upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds due to high prepayments/fast liquidations. The rating downgrades are a result of deteriorating performance and structural features resulting in higher expected losses for the bond than previously anticipated. The rating actions for Citigroup Mortgage Loan Trust, Series 2005-6 and GSR Mortgage Loan Trust 2005-AR3 also reflect updates and corrections to the cash-flow models used by Moody's in rating these transactions. For both deals, the changes pertain to the calculations of the senior percentage post subordination depletion and the loss allocation amounts. In addition, the cash-flow model for Citigroup Mortgage Loan Trust, Series 2005-6 has corrected calculations for interest payments to the Class X and subordinate bonds. The rating downgrade action for Class IA-IO in Citicorp Mortgage Securities Trust 2006-4 reflects the correction of an error in the prior rating action for this transaction. The previous rating for this bond should have been capped at the rating of the highest rated tranche outstanding from the group backing this bond. The error has now been corrected, and today's rating action reflects this change. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Please see the Credit Policy page on www.moodys.com for a copy of this methodology. 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 6.7% in February 2014 down from 7.7% in February 2013. Moody's forecasts an unemployment central range of 6.0% to 7.0% 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. * S&P Withdraws Ratings on 30 Classes From 18 CDO Transactions -------------------------------------------------------------- Standard & Poor's Ratings Services withdrew its ratings on 29 classes of notes from 17 cash flow (CF) collateralized loan obligation (CLO) transactions and one class from one CF collateral debt obligation (CDO) transaction backed primarily by trust- preferred securities (TRUPS). The withdrawals follow the complete paydown of the notes, as reflected in the most recent trustee-issued note payment reports: -- AMMC CLO V Ltd. (2006 CF CLO): last remaining rated tranche paid down -- Ares VR CLO Ltd. (2006 CF CLO): senior-most tranche paid down, other rated tranches still outstanding -- Ballyrock CLO 2006-1 Ltd. (2006 CF CLO): last remaining rated tranche paid down -- Ballyrock CLO III Ltd. (2005 CF CLO): optional redemption in March 2014 Dryden IX - Senior Loan Fund 2005 plc (2005 CF CLO): optional redemption in March 2014 -- Essex Park CDO Ltd. (2004 CF CLO): last remaining rated tranche paid down -- FM Leveraged Capital Fund II (2006 CF CLO): senior-most tranche paid down, other rated tranches still outstanding -- GSC Capital Corp Loan Funding 2005-1 (2006 CF CLO): optional redemption in February 2014 -- GSC Partners CDO Fund V Ltd. (2004 CF CLO): senior-most tranche paid down, other rated tranches still outstanding -- InCapS Funding I Ltd. (2003 TruPS CDO): senior-most tranche paid down, other rated tranches still outstanding -- Kingsland VI Ltd. (2013 CF CLO): class X notes* paid down, other rated tranches still outstanding -- Latitude CLO I Ltd. (2005 CF CLO): senior-most tranche paid down, other rated tranches still outstanding -- LCM III Ltd. (2005 CF CLO): senior-most tranche paid down, other rated tranches still outstanding -- LightPoint CLO III Ltd. (2005 CF CLO): optional redemption in March 2014 Mountain Capital CLO IV Ltd.(2005 CF CLO): senior most tranche paid down, other rated tranches still outstanding Sargas CLO I Ltd. (2006 CF CLO): senior-most tranches paid down, other rated tranches still outstanding -- Silver Creek Funding Ltd. (2004 CF CLO): senior-most tranches paid down, other rated tranches still outstanding -- Venture XIV CLO Ltd. (2013 CF CLO): class X notes* paid down, other rated tranches still outstanding * An "X note" within a CLO is generally a note with a principal balance intended to be repaid early in the CLO's life using interest proceeds from the senior portion of the CLO's waterfall. RATINGS WITHDRAWN AMMC CLO V Ltd. Rating Class To From C NR AA+ (sf)/Watch Pos D NR BB+ (sf)/Watch Pos Ares VR CLO Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) A-3 NR AAA (sf) Ballyrock CLO 2006-1 Ltd. Rating Class To From A NR AAA (sf) Ballyrock CLO III Ltd. Rating Class To From D Notes NR BBB+ (sf)/ Watch Pos Dryden IX - Senior Loan Fund 2005 plc Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B-1 NR A+ (sf)/Watch Pos B-2 NR A+ (sf)/Watch Pos B-3 NR A+ (sf)/Watch Pos Essex Park CDO Ltd. Rating Class To From D NR AAA (sf) FM Leveraged Capital Fund II Rating Class To From C NR AAA (sf) GSC Capital Corp Loan Funding 2005-1 Rating Class To From E NR BBB- (sf)/Watch Pos F NR BB- (sf)/Watch Pos GSC Partners CDO Fund V Ltd. Rating Class To From B Notes NR AAA (sf) InCapS Funding I Ltd. Rating Class To From A Notes NR A- (sf) Kingsland VI Rating Class To From X Notes NR AAA (sf) Latitude CLO I Ltd. Rating Class To From A-1 NR AAA (sf) LCM III Ltd. Rating Class To From A NR AAA (sf) LightPoint CLO III Ltd. Rating Class To From A-1A NR AA (sf) B NR AA (sf) C NR BBB+ (sf) Mountain Capital CLO IV Ltd. Rating Class To From A-1LA NR AAA (sf) Sargas CLO I Ltd. Rating Class To From A-2A NR AAA (sf) A-2B NR AAA (sf) Silver Creek Funding Ltd. Rating Class To From B-1 Notes NR BB+ (sf) B-2 Notes NR BB+ (sf) Venture XIV CLO Ltd. Rating Class To From X Notes NR AAA (sf) NR-not rated. * S&P Lowers 210 Ratings on 126 U.S. RMBS Deals to 'D' ------------------------------------------------------ Standard & Poor's Ratings Services lowered its ratings on 210 classes of mortgage pass-through certificates from 126 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1998 and 2008 to 'D (sf)'. At the same time, S&P placed six ratings on CreditWatch with negative implications. The downgrades reflect S&P's assessment of the impact of principal write-downs on the affected classes during recent remittance periods. Before the rating actions, S&P rated most of these classes either 'CCC (sf)' or 'CC (sf)'. Two additional classes from RFMSI Series 2004-S7 and Structured Asset Securities Corp.'s series 2002-25A defaulted from ratings of 'B- (sf)' or higher. Each of these two transactions is backed by RMBS prime jumbo collateral. Based on the two defaulted classes, S&P also placed its ratings on six classes from these two transactions on CreditWatch with negative implications. S&P expects to resolve the CreditWatch placements after it completes its review of the related transactions. The 210 defaulted classes consist of the following: -- 123 from prime jumbo transactions (58.57%). -- 39 from subprime transactions (18.57%). -- 31 from Alternative-A transactions (14.76%). -- 11 from RMBS negative amortization transactions (5.24%). -- Three from outside the guidelines transactions. -- Two from closed-end second-lien transactions. -- One from a resecuritized real estate mortgage investment conduit transaction. All of the transactions in this review receive credit enhancement from a combination of subordination, excess spread, and overcollateralization (where applicable). Standard & Poor's will continue to monitor its ratings on securities that experience principal write-downs, and it will adjust its ratings as it considers appropriate in accordance with its criteria. * U.S. Auto Loan ABS Losses Inch Higher in February, Fitch Says --------------------------------------------------------------- Prime and subprime annualized losses inched higher in February as asset performance has softened somewhat over the past six months, according to the latest index results from Fitch Ratings. However, loss rates are still at historically low levels and only marginally off the record low levels recorded in 2012-2013. Fitch expects losses to improve in March and April, as tax refunds provide a temporary uplift to consumer's cash-flow. In the prime sector, 60+ day delinquencies were flat in February at 0.39% versus January, and 5% below the level in February a year earlier. Prime ANL ticked up slightly in February month-over-month (MOM) to 0.49% from 0.48% the previous month. February's ANL rate of 0.49% was the highest level in two years, and 23% above February 2013. Despite this, the loss rate last month was within range of mid-2011 levels, and still below 2001- 2010 levels, which ranged from 0.52%-2.23%. Subprime delinquencies dropped 1% MOM through February, a good sign for asset performance in coming months. 60+ days delinquencies were 3.80% last month, down from 3.84% recorded in the prior months. Subprime ANL rose 7.5% MOM to 6.91% in February, and were 25% higher than a year earlier as performance softened over the past year. Consistent with the prime sector, loss rates are still well within loss rates recorded in the strong 2010-2013 period. Used vehicle values were relatively flat in February, and both demand and sales of used vehicles received support from bolstered income levels due to tax refunds. The Manheim Used Vehicle Value Index was stable last month at 123.3, a 1% increase over February 2013. The winter weather continues to stunt consumer shopping and auto sales slowed in recent months, but this may change in coming months particularly if manufacturers boost incentives to draw consumers into showrooms. On the ratings front, Fitch upgraded 18 classes of notes through early March 2014, up from 13 upgrades issued during the same time in 2013. Of these 18 upgrades, 12 were issued on prime auto loan ABS transactions and 6 on subprime transactions. The ratings outlook is positive for 2014, and the sector outlook on asset performance is stable. ********* 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 by e-mail. 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 the nation's bankruptcy courts. The list includes links to freely downloadable of these small-dollar petitions in Acrobat PDF documents. 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. ********* 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, 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 2014. 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 ***