/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/140622.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, June 22, 2014, Vol. 18, No. 172 Headlines ACA CLO 2006-1: Moody's Affirms 'Ba1' Rating on Class D Notes AMAC CDO FUNDING I: S&P Raises Rating on Class A-2 Notes to BB+ AMERICREDIT AUTOMOBILE 2014-2: Fitch Rates Class E Notes 'BBsf' APIDOS CDO III: Moody's Hikes Rating on $6MM Class D Notes to Ba1 ATLAS SENIOR V: S&P Assigns 'BB-' Rating on Class E Notes BEAR STEARNS 2004-PWR3: Fitch Affirms 'Csf' Ratings on 2 Certs BEAR STEARNS 2006-PWR12: Moody's Affirms C Rating on 3 Securities CENT CLO 21: S&P Assigns 'BB' Rating on Class D Notes CITIGROUP 2014-388G: S&P Assigns 'BB-' Rating on Class E Notes CITIGROUP 2014-J1: DBRS Assigns BB Rating on Class B-4 Certs CITIGROUP 2014-J1: Fitch Expects to Rate Class B-4 Certs 'BBsf' COMM 2006-FL12: Fitch Affirms 'BBsf' Rating on Class H Notes COMMERCIAL MORTGAGE 2013-CCRE8: DBRS Confirms B Rating on E Certs COMMERCIAL MORTGAGE 2014-1: DBRS Finalizes BB Rating on Cl E Certs CONCORD REAL 2006-1: Fitch Affirms CCC Ratings on 3 Note Classes CPS AUTO 2014-B: S&P Assigns 'BB' Rating on Class D Notes CREDIT SUISSE 2002-CKP1: Moody's Hikes Rating on K-Z Certs to B3 CREDIT SUISSE 2005-11: Fitch Affirms BB Rating on Cl. 8-A-1 Secs. CSMC 2010-UD1: Moody's Affirms 'Ba1' Rating on Class B-B Certs DENALI CAPITAL VI: S&P Affirms 'B+' Rating on Class B-2L Notes DLJ COMMERCIAL 1998-CF2: Fitch Cuts 'BB+' Rating on Cl. B-5 Certs DLJ COMMERCIAL 2000-CKP1: Fitch Affirms D Rating on Cl. B-5 Certs EQTY 2014-INNS: S&P Assigns 'BB-' Rating on Class E Notes FLATIRON CLO 2014-1: Moody's Rates '(P)Ba3' Rating on Cl. D Notes FREMF 2011-K703: Moody's Affirms 'Ba3' Rating on Class X-2 Certs GMAC COMMERCIAL 1998-C1: Moody's Cuts Rating on Cl. X Certs to C GRACE MORTGAGE 2014-GRCE: Fitch Rates Class G Certificates 'Bsf' GRAMERCY REAL 2005-1: Fitch Lowers Rating on Cl. F Notes to 'CCC' GS MORTGAGE 2011-GC5: Moody's Affirms B2 Rating on Cl. F Certs GS MORTGAGE 2013-GC13: Fitch Affirms 'BB' Rating on Class E Notes GSR MORTGAGE 2007-3F: Moody's Lowers Rating on 2 Tranches to Caa3 IMPAC SECURED 2002-2: Moody's Cuts Rating on Class M-3 Notes to C JAMESTOWN CLO III: S&P Affirms 'BB-' Rating on Class D Notes JP MORGAN 2002-CIBC5: Fitch Affirms D Rating on Cl. M Certificates JP MORGAN 2003-PM1: S&P Lowers Rating on Class F Notes to 'D' JP MORGAN 2004-C2: Fitch Affirms CCC Rating on Class K Certs KINGSLAND VII: Fitch Assigns 'BBsf' Rating on Class E Notes KVK CLO 2014-1: S&P Affirms 'BB' Rating on Class E Notes LATITUDE CLO I: Moody's Affirms B3 Rating on Class D Notes LB COMMERCIAL 1999-C1: Moody's Cuts Rating on Cl. X Certs to Caa3 LB-UBS COMMERCIAL 2000-C5: Moody's Affirms C Rating on Cl. G Certs LB-UBS COMMERCIAL 2003-C5: Fitch Affirms CCC Rating on Cl. N Certs LB-UBS COMMERCIAL 2007-C6: Fitch Cuts Cl. K Certs Rating to 'Dsf' LB COMMERCIAL 96-C2: Moody's Hikes Rating on Class F Certs to Ba2 LCM XVI L.P.: S&P Assigns 'BB-' Rating on Class E Notes LEGG MASON: Moody's Raises Rating on Class D Notes to 'Ba3' LONE STAR 2011-1: Fitch Affirms 'Bsf' Rating on Class F Notes LOOMIS SAYLES: Moody's Raises Rating on $15MM Cl. E Notes to Ba2 MADISON PARK XII: Moody's Assigns 'Ba3' Rating on Cl. E Notes MCF CLO III: S&P Affirms 'BB' Rating on Class E Notes MORGAN STANLEY 1999-CAM1: Fitch Affirms D Rating on Cl. N Certs MORGAN STANLEY 2012-C5: Fitch Affirms B Rating on Cl. H Certs MORGAN STANLEY 2014-C16: Fitch Assigns BB- Rating on Class E Notes NAVIGATOR CDO 2006: Moody's Affirms 'Ba3' Rating on Class D Notes OHA CREDIT X: Moody's Rates $6.25MM Class F Notes '(P)B3' PREFERREDPLUS TRUST: S&P Raises Rating on $33.5MM Certs to BB+ SCHOONER TRUST 2006-5: DBRS Confirms B(low) Rating on Cl. L Certs SDART 2014-3: Moody's Rates $73.5MM Class E Notes 'Ba2' SDART 2014-3: S&P Assigns 'BB' Rating on Class E Notes SEAWALL 2007-3: Moody's Affirms 'Ba1' Rating on Class C Notes SHACKLETON 2013-IV: S&P Affirms 'BB' Rating on Class E Notes SILVERMORE CLO: Moody's Assigns 'Ba3' Rating on Class D Notes SYMPHONY CLO XIV: Moody's Assigns B3 Rating on $16MM Class F Notes TRIMARAN CLO VII: S&P Affirms B+ Rating on Class B-2L Notes WAMU COMMERCIAL 2007-SL2: Fitch Affirms BB Rating on Cl. B Certs WFRBS COMMERCIAL 201-C4: Moody's Affirms B2 Rating on Cl. G Notes * Moody's Takes Action on $1.1 Billion of Subprime RMBS * Moody's Raises Rating on $597MM RMBS Issued From 2005-2007 * Moody's Takes Action on $175MM RMBS Issued From 2005 to 2006 * S&P Lowers 27 Ratings from 17 U.S. RMBS Transactions * S&P Affirms Ratings on 18 Natural-Catastrophe Bonds * S&P Puts 146 Tranches From 42 US CLO Deals on Watch Positive ********* ACA CLO 2006-1: Moody's Affirms 'Ba1' Rating on Class D Notes ------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by ACA CLO 2006-1, Limited: $11,375,000 Class C Deferrable Floating Rate Notes Due 2018, Upgraded to Aa3 (sf); previously on October 22, 2013 Upgraded to A2 (sf) Moody's also affirmed the ratings on the following notes: $255,500,000 Class A-1 Senior Secured Floating Rate Notes Due 2018 (current outstanding balance of $43,781,229.99), Affirmed Aaa (sf); previously on October 22, 2013 Affirmed Aaa (sf) $21,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2018, Affirmed Aaa (sf); previously on October 22, 2013 Affirmed Aaa (sf) $22,750,000 Class B Deferrable Floating Rate Notes Due 2018, Affirmed Aaa (sf); previously on October 22, 2013 Upgraded to Aaa (sf) $11,375,000 Class D Deferrable Floating Rate Notes Due 2018, Affirmed Ba1 (sf); previously on October 22, 2013 Upgraded to Ba1 (sf) ACA CLO 2006-1, Limited, issued in July 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans with exposure to structured finance assets. The transaction's reinvestment period ended in October 2012. 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 October 2013. The Class A-1 notes have been paid down by approximately 24.4% or $62.4 million since October 2013. Based on the trustee's May 2014 report, the over-collateralization (OC) ratios for the Class A, Class B, Class C and Class D notes are reported at 195.89%, 144.98%, 128.30% and 115.07%, respectively, versus October 2013 levels of 148.28%, 125.79%, 116.92% and 109.22%, respectively. The deal has benefited from an improvement in the credit quality of the portfolio since October 2013. Based on the trustee's May 2014 report, the weighted average rating factor is currently 2375 compared to 2456 in October 2013. The portfolio includes a number of investments in securities that mature after the notes do. Based on the trustee's May 2014 report, securities that mature after the notes do currently make up approximately 6.49% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Despite the increase in the OC ratio of the Class D notes, Moody's affirmed the rating on the Class D notes owing to market risk stemming from the exposure to these long- dated assets. The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. AMAC CDO FUNDING I: S&P Raises Rating on Class A-2 Notes to BB+ --------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1 and A-2 notes from AMAC CDO Funding I, a U.S. commercial real estate collateralized debt obligation (CRE-CDO) transaction. Concurrently, S&P lowered its rating on class F to 'D (sf)' and affirmed its ratings on five other classes from the same transaction. The rating actions reflect the credit enhancement available to support these classes and S&P's analysis of the transaction's liability structure and the collateral's underlying credit characteristics, in which it used its criteria for global CDOs of pooled structured finance assets criteria, S&P's rating methodology and assumptions for U.S. and Canadian commercial mortgage-backed securities (CMBS), and our CMBS global property evaluation methodology criteria. The upgrades on classes A-1 and A-2 also reflect the transaction's amortization. S&P lowered its rating on class F to 'D (sf)' because it expects that class is unlikely to be repaid in full. According to the May 20, 2014 trustee report, the transaction had no defaulted loans and its collateral totaled $263.6 million, while the transaction's liabilities including capitalized interest totaled $291.8 million, down from $400.0 million in liabilities at issuance. The transaction's current asset pool includes the following: -- 24 senior notes ($248.4 million, 94.3%); -- Two subordinate or junior participation notes ($10.1 million, 3.8%); and -- Two mezzanine loans ($5.1 million, 1.9%). Using loan performance information provided by the collateral manager, S&P applied asset-specific recovery rates in our analysis of the performing loans ($263.6 million, 100%) using its criteria for U.S. and Canadian CMBS and its CMBS global property evaluation methodology. S&P also considered qualitative factors such as the loans' near-term maturities, refinancing prospects, and modifications. According to the May 20, 2014 trustee report, the deal failed the class D/E overcollateralization coverage test, passed the class A/B and class C overcollateralization coverage tests, and passed all three interest coverage tests. Because of the class D/E overcollateralization test failure, any future interest proceeds that will be paid after class E will be diverted to pay down the class A-1 outstanding principal balance until it satisfies all of the overcollateralization tests. RATINGS LIST AMAC CDO Funding I Rating Rating Class Identifier To From A-1 02261EAA7 BBB+ (sf) BB+ (sf) A-2 02261EAW9 BB+ (sf) B+ (sf) B 02261EAG4 B (sf) B (sf) C 02261EAL3 CCC+ (sf) CCC+ (sf) D-1 02261EAQ2 CCC- (sf) CCC- (sf) D-2 02261EAN9 CCC- (sf) CCC- (sf) E 02261EAU3 CCC- (sf) CCC- (sf) F D (sf) CCC- (sf) AMERICREDIT AUTOMOBILE 2014-2: Fitch Rates Class E Notes 'BBsf' --------------------------------------------------------------- Fitch Ratings assigns the following ratings and Rating Outlooks to the notes issued by AmeriCredit Automobile Receivables Trust (AMCAR) 2014-2: -- $227,000,000 class A-1 notes 'F1+sf'; -- $245,000,000 class A-2-A notes 'AAAsf'; Outlook Stable; -- $208,950,000 class A-2-B notes 'AAAsf'; Outlook Stable; -- $313,460,000 class A-3 notes 'AAAsf'; Outlook Stable; -- $107,120,000 class B notes 'AAsf'; Outlook Stable; -- $132,980,000 class C notes 'Asf'; Outlook Stable; -- $130,770,000 class D notes 'BBBsf'; Outlook Stable; -- $34,720,000 class E notes 'BBsf'; Outlook Stable. Key Rating Drivers Stable Credit Quality: The 2014-2 pool displays relatively consistent credit quality versus 2013 pools, with a 566 weighted average (WA) Fair Isaac Corp. (FICO) score, and a 241 WA internal credit score. Extended term contracts continue to account for the majority of the pool at 89.46%. New vehicles total 47.82% of the pool, consistent with prior AMCAR transactions. Consistent Credit Enhancement: The cash flow distribution is a sequential-pay structure. Initial hard credit enhancement (CE) is consistent with the prior nine transactions. The reserve is 2.00% (nondeclining), and initial overcollateralization (OC) is 5.25%, growing to a target of 14.25% of the outstanding pool balance (less the required reserve amount for the distributing period). Of note, excess spread has decreased to one of the lowest levels seen to date, at 8.88% per annum. Stable Portfolio/Securitization Performance: Losses on GM Financial's managed portfolio and securitizations declined to some of its lowest levels, given the gradual economic recovery and stronger used vehicle values. Stable Corporate Health: Fitch rates GM and GM Financial Company Inc. 'BB+' with a Positive Rating Outlook. The company has recorded positive corporate financial results since 2010. Fitch assessed the potential impact of GM/GM-affiliated brand vehicle recalls in relation to this transaction; Fitch expects this to have limited to no impact on the 2014-2 pool. Consistent Origination/Underwriting/Servicing: AFSI demonstrates adequate abilities as originator, underwriter, and servicer, as evidenced by historical portfolio delinquency and loss experience and securitization performance. Fitch deems AFSI capable of adequately servicing this series. Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of GM Financial would not impair the timeliness of payments on the securities. Rating Sensitivity Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case and could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to each class of AmeriCredit Automobile Receivables Trust 2014-2 to increased losses over the life of the transaction. Fitch's analysis found that each class of notes displays some sensitivity to increased defaults and losses, with some classes showing potential downgrades of up to two rating categories under Fitch's moderate (1.5x base case loss) scenario. Some classes of notes could experience downgrades of more than three rating categories under Fitch's severe (2.5x base case loss) scenario. APIDOS CDO III: Moody's Hikes Rating on $6MM Class D Notes to Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by APIDOS CDO III: $15,000,000 Class B Mezzanine Notes Due 2020, Upgraded to Aaa(sf); previously on August 21, 2013 Upgraded to Aa3(sf) $10,500,000 Class C Mezzanine Notes Due 2020, Upgraded to A2(sf); previously on August 21, 2013 Upgraded to Baa2 (sf) $6,000,000 Class D Mezzanine Notes Due 2020, Upgraded to Ba1(sf); previously on August 21, 2013 Upgraded to Ba2 (sf) Moody's also affirmed the ratings on the following notes: $212,000,000 Class A-1 Senior Notes Due 2020 (current outstanding balance of $46,958,352.60), Affirmed Aaa (sf); previously on August 21, 2013 Affirmed Aaa (sf) $19,000,000 Class A-2 Senior Notes Due 2020, Affirmed Aaa (sf); previously on August 21, 2013 Affirmed Aaa (sf) APIDOS CDO III, issued in May 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in June 2012. 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 56.3% or $61.3 million since September 2013. Based on the trustee's June 2014 report, the over- collateralization (OC) ratios for the Class A, Class B, Class C and Class D notes are reported at 153.7%, 129.7%, 116.9% and 110.7%, respectively, versus September 2013 levels of 134.9%, 120.7%, 112.4% and 108.2%, respectively. Moody's notes the reported June overcollateralization ratios do not reflect the June 12, 2014 payment of $15.1 million to the Class A-1 notes. ATLAS SENIOR V: S&P Assigns 'BB-' Rating on Class E Notes --------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Atlas Senior Loan Fund V Ltd./Atlas Senior Loan Fund V LLC's $459.50 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 ratings S&P's assessment 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. -- The transaction's ability to pay timely interest and ultimate principal 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 0.2281%-12.7531%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which, during the reinvestment period, will lead to the reclassification of up to 50% of excess interest proceeds that are available before curing an effective date rating agency confirmation failure or paying subordinated, deferred, and incentive management fees; uncapped administrative expenses; hedge payments; and subordinated note payments as principal proceeds to purchase additional collateral assets or to pay down the notes according to the note payment sequence, at the collateral manager's option. RATINGS ASSIGNED Atlas Senior Loan Fund V Ltd./Atlas Senior Loan Fund V LLC Class Rating Amount (mil. $) A AAA (sf) 310.50 B AA (sf) 52.50 C (deferrable) A (sf) 42.50 D (deferrable) BBB (sf) 27.30 E (deferrable) BB- (sf) 26.70 Subordinated notes NR 51.50 NR-Not rated. BEAR STEARNS 2004-PWR3: Fitch Affirms 'Csf' Ratings on 2 Certs -------------------------------------------------------------- Fitch Ratings has affirmed all classes of Bear Stearns Commercial Mortgage Securities Trust's commercial mortgage pass-through certificates, series 2004-PWR3 (BS 2004-PWR3). KEY RATING DRIVERS The affirmations are a result of stable performance since Fitch's last rating action. Fitch modeled losses of 19.7% of the remaining pool; expected losses on the original pool balance total 2.9%, including $11.5 million (1% of the original pool balance) in realized losses to date. As of the June 2014 distribution date, the pool's aggregate principal balance has been reduced by 90.5% to $105 million from $1.11 billion at issuance. There are sixteen loans remaining in the pool, one of which (4.5% of the pool) is defeased. Fitch has designated eight loans (74% of the pool) as Fitch Loans of Concern, which includes six specially serviced assets (69.9%). Interest shortfalls are currently affecting classes M through Q. The largest contributor to expected losses is a specially-serviced asset (33.4% of the pool) secured by a 504,746 square foot (sf) portion of a shopping center located in Clay, NY. The collateral is shadowed anchored by Macy's, Sears, and BJ's Wholesale Club, which are not part of the collateral. The loan transferred to special servicing in November 2013 due to potential maturity default. A loan modification in March 2014 extended the maturity date to January 2015. The loan is expected to be returned to the master servicer shortly. The servicer- reported debt service coverage ratio (DSCR) was 1.55x as of nine months ended 9/30/13. Occupancy per the November rent roll increased to 87% from 75% at September 2013. The next largest contributor to expected losses is a real estate owned (REO) 104,693 sf grocery anchored shopping center located in Albertville, MN (9.5% of the pool). The special servicer is expected to begin marketing the property for sale in the next two months. The third largest contributor to expected losses is a specially- serviced asset (8.4% of the pool) secured by a 116,046 sf multi- tenant office building located in Mineola, NY. The loan, which was previously modified by the special servicer in 2012, was returned to special servicing in March 2014 due to imminent default. The Servicer reported DSCR and occupancy were 0.81x and 80%, respectively, as of year-end 2013. Approximately 16% of its leases roll in 2015. RATING SENSITIVITY Classes C through F have Stable Outlooks as no rating changes are expected. Although credit enhancement has increased due to amortization, loan pay-offs and defeasance, further upgrades to these classes are limited due the pool's high concentration with 16 loans remaining. The Negative Outlooks for Classes G through J reflect the uncertain resolution surrounding the specially serviced loans and the possibility of increased losses. Fitch affirms the following classes and assigns REs as indicated: -- $11.2 million class C at 'AAAsf'; Outlook Stable; -- $16.6 million class D at 'AAsf'; Outlook Stable; -- $9.7 million class E at 'A+sf'; Outlook Stable; -- $15.2 million class F at 'A-sf'; Outlook Stable; -- $11.1 million class G at 'BBB-sf'; Outlook Negative; -- $13.9 million class H at 'Bsf'; Outlook Negative; -- $2.8 million class J at 'Bsf'; Outlook Negative; -- $5.5 million class K at 'CCCsf'; RE 90%; -- $6.9 million class L at 'CCCsf'; RE 0%; -- $5.5 million class M at 'CCsf'; RE 0%; -- $2.8 million class N at 'Csf'; RE 0%; -- $2.8 million class P at 'Csf'; RE 0%. Fitch does not rate class Q and classes A-1 through B have paid in full. Fitch has previously withdrawn the rating on the interest-only class X-1 and X-2. BEAR STEARNS 2006-PWR12: Moody's Affirms C Rating on 3 Securities ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of 12 classes of Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Jun 27, 2013 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jun 27, 2013 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Jun 27, 2013 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Jun 27, 2013 Affirmed Aaa (sf) Cl. A-J, Affirmed Ba1 (sf); previously on Jun 27, 2013 Downgraded to Ba1 (sf) Cl. B, Affirmed B2 (sf); previously on Jun 27, 2013 Downgraded to B2 (sf) Cl. C, Affirmed Caa1 (sf); previously on Jun 27, 2013 Downgraded to Caa1 (sf) Cl. D, Affirmed Caa3 (sf); previously on Jun 27, 2013 Downgraded to Caa3 (sf) Cl. E, Affirmed C (sf); previously on Jun 27, 2013 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Jun 27, 2013 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Jun 27, 2013 Affirmed C (sf) Cl. X, Affirmed Ba3 (sf); previously on Jun 27, 2013 Affirmed Ba3 (sf) Ratings Rationale The ratings on P&I Classes A-AB, A-4, A-1A and A-M 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 P&I Classes A-J through G were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class, Class X, was affirmed based on the credit performance of the referenced classes. Moody's rating action reflects a base expected loss of 6.8% of the current balance, compared to 7.8% at Moody's last review. Moody's base expected loss plus realized losses is now 10.2% of the original pooled balance, compared to 9.3% at the last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range 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. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. 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 structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured 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 36, compared to 38 at Moody's last review. Deal Performance As of the May 12, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 24% to $1.57 billion from $2.08 billion at securitization. The certificates are collateralized by 177 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans constituting 38% of the pool. Four loans, constituting 2% of the pool, have defeased and are secured by US government securities. There are no loans that have investment-grade structured credit assessments. Fifty-four loans, constituting 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $104.8 million (for an average loss severity of 57%). Eight loans, constituting 6% of the pool, are currently in special servicing. The largest specially serviced loan is the Stone Mountain Square Loan ($28.7 million -- 1.8% of the pool), which is secured by a 336,600 square foot (SF) power center located in Stone Mountain, Georgia. The loan transferred to special servicing for the second time since securitization in January of 2013 and the trust took title in August 2013. T.J. Maxx (9.5% of the NRA) vacated its space in January 2014, although the space had been dark for a year prior, with the tenant paying rent until its lease expiration. The special servicer indicated that the strategy is to re-lease the vacate T.J. Maxx space and other vacant space. Moody's estimates an aggregate $59.2 million loss for specially serviced loans (60 % expected loss on average). Moody's has assumed a high default probability for 14 poorly performing loans, constituting 7.0% of the pool, and has estimated an aggregate loss of $16.4 million (a 15% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2012 operating results for 96% of the pool, and full or partial year 2013 operating results for 84%. Moody's weighted average conduit LTV is 92%, compared to 94% 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 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.39X and 1.14X, respectively, compared to 1.38X and 1.11X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 24% of the pool. The largest loan is the 1675 Broadway Loan ($149.1 million -- 9.5% of the pool), which is secured by a leasehold interest in a 761,092 SF office building located in the Times Square/West Side submarket of New York City. The property is also encumbered by a $25.0 million B-Note. The building is 100% leased to three tenants -- The MacManus Group (56% of the NRA; lease expiration January 2021), Mayer Brown LLP (33% of the NRA; lease expiration August 2015) and ARENT Fox, PPLC (11% of the NRA; lease expiration June 2018). After the conclusion of a five year interest-only period, the loan began amortizing in July 2011. Moody's LTV and stressed DSCR are 59% and 1.66X, respectively, compared to 57% and 1.70X at last review. The second largest loan is the Woodland Mall Loan ($145.3 million -- 9.3% of the pool), which is secured by a 1.2 million SF mall located in Grand Rapids, Michigan. The collateral consists of 397,897 SF of in-line tenant space. Excluded from the collateral are shadow anchors, including Sears, JC Penney, Macy's and Kohl's. As of March 2014, the property was 98% leased compared to 97% at last review. The loan is sponsored by PREIT. For the trailing twelve months ending in June 2013, in-line sales and occupancy costs were $425 PSF and 11.8% respectively. Average in-line sales excluding sales from the Apple Store (<1% of the NRA; lease expires June 2015) decreased to $342 PSF. Moody's LTV and stressed DSCR are 113% and 0.81X, respectively, compared to 117% and 0.81X at last review. The third largest loan is the Orange Plaza Loan ($82.5 million -- 5.3% of the pool), which is secured by a 765,400 SF power center in Middletown, New York. Major tenants include Wal-Mart (30% of the NRA; lease expiration April 2022), Home Depot (15% of the NRA; lease expiration January 2020) and Kohl's (12% of the NRA; lease expiration January 2023). The property cashflow decreased slightly in 2012 due to a decrease in percentage rents and expense reimbursements but has returned to normalized levels in 2013. Moody's LTV and stressed DSCR are 101% and 0.91X, respectively, compared to 105% and 0.88X at last review. CENT CLO 21: S&P Assigns 'BB' Rating on Class D Notes ----------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Cent CLO 21 Ltd./Cent CLO 21 Corp.'s $567.00 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's assessment of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which primarily comprises broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- The transaction's ability to make 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 0.2200%-13.8391%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest reinvestment overcollateralization test, a failure of which will lead to the reclassification of up to 50% of the excess interest proceeds that are available before paying uncapped administrative expenses and fees, subordinated hedge termination payments, collateral manager subordinated and incentive fees, and subordinated note payments during the reinvestment period only and at the collateral manager's option, as principal proceeds to purchase additional collateral assets or to pay principal on the notes according to the note payment sequence. RATINGS LIST Cent CLO 21 Ltd./Cent CLO 21 Corp. Class Rating Amount (mil. $) A-1A AAA (sf) 137.000 A-1B AAA (sf) 250.000 A-2A AA (sf) 62.000 A-2B AA (sf) 10.000 B A (sf) 39.000 C BBB (sf) 33.000 D BB (sf) 24.000 E B (sf) 12.000 Subordinated notes NR 54.475 NR-Not rated. CITIGROUP 2014-388G: S&P Assigns 'BB-' Rating on Class E Notes -------------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to Citigroup Commercial Mortgage Trust 2014-388G's $1.450 billion commercial mortgage pass-through certificates series 2014-388G. The certificate issuance is a commercial mortgage-backed securities transaction backed by a $1.45 billion commercial mortgage loan secured by the fee interest in 388 and 390 Greenwich Street, two adjoined class A office buildings comprising 2.6 million sq. ft. in the TriBeCa neighborhood of lower Manhattan, which are 100% leased by Citigroup Technology Inc. and guaranteed by its parent, Citigroup Inc. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. S&P determined that the loan has a beginning and ending loan-to-value ratio of 96.2%, based on Standard & Poor's value. RATINGS ASSIGNED Citigroup Commercial Mortgage Trust 2014-388G Class Rating(i) Amount ($) A AAA (sf) 595,156,000 X-CP AA- (sf) 595,156,000(ii) B AA- (sf) 218,475,000 C A- (sf) 128,072,000 D BBB- (sf) 138,618,000 E BB- (sf) 323,946,000 F B+ (sf) 45,733,000 X-NCP(iii) AA- (sf) 595,156,000(ii) (i) The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii) Notional balance. The notional amount of the class X-CP and X-NCP certificates will be equal to the class A and B certificates' balance periodically. (iii) Non-offered certificates. CITIGROUP 2014-J1: DBRS Assigns BB Rating on Class B-4 Certs ------------------------------------------------------------ DBRS Inc. has assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2014-1 issued by Citigroup Mortgage Loan Trust 2014-J1: -- $197.2 million Class A-1 at AAA (sf) -- $197.2 million Class A-1-IO at AAA (sf) -- $197.2 million Class A-1W at AAA (sf) -- $6.9 million Class A-2 at AAA (sf) -- $6.9 million Class A-2-IO at AAA (sf) -- $6.9 million Class A-2W at AAA (sf) -- $204.1 million Class A at AAA (sf) -- $204.1 million Class A-IO at AAA (sf) -- $204.1 million Class AW at AAA (sf) -- $2.9 million Class B-1 at AA (sf) -- $2.7 million Class B-2 at A (sf) -- $3.1 million Class B-3 at BBB (sf) -- $2.3 million Class B-4 at BB (sf) Class A-1-IO, Class A-2-IO and Class A-IO are interest-only certificates. The class balances represent notional amounts. Class A-1W, Class A-2W, Class A, Class A-IO and Class AW are exchangeable certificates. These classes can be exchanged for combinations of base certificates as specified in the offering documents. Class A-1 and Class A-1-IO are super senior certificates. These classes benefit from additional protection from senior support certificates (Class A-2 and Class A-2-IO) with respect to loss allocation. The AAA (sf) ratings in this transaction reflect the 6.35% of credit enhancement provided by subordination. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect 5.00%, 3.75%, 2.35% and 1.30% of credit enhancement, respectively. Other than the specified classes, DBRS does not rate any other classes in this transaction. The certificates are backed by 285 loans with a total principal balance of $217,985,825 as of the Cut-Off Date (June 1, 2014). The mortgage loans were acquired by Citigroup Global Markets Realty Corp. (Citi). The originators for the mortgage pool are Stearns Lending, Inc. (33.5%), Nationstar Mortgage LLC (Nationstar 30.3%), Freedom Mortgage Corporation ( 11.3%), and various other originators each comprising less than 5% of the mortgage loans. The loans will be serviced by Nationstar (71.1%), Fay Servicing, LLC (23.0%), Fifth Third Mortgage Company (Fifth Third, 3.2%) and PennyMac Corp. (2.8%). Deutsche Bank National Trust Company will act as the Trust Administrator and Custodian. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include high- quality underlying assets, well-qualified borrowers and satisfactory third-party due diligence review. Compared with other recently issued prime jumbo transactions, this portfolio contains a very strong FICO score, and combined loan-to-value and debt-to-income ratios with much less barbelled distributions. In addition, the pool contains 5.1% 15-year mortgages, and no interest only loans. The originators provide traditional life-time representations and warranties to the Trust. The enforcement mechanism for breaches of representations includes automatic breach reviews by a third- party reviewer for any seriously delinquent loans or any loans that incur loss upon liquidation, and the resolution of disputes is ultimately subject to determination in an arbitration proceeding. The loans (except for Fifth Third-originated loans) also benefit from representations and warranties back-stopped by the sponsor, Citi, a wholly owned subsidiary of Citigroup Inc. (DBRS rates Citigroup Inc. at A (low) Stable), in the event of an originator's bankruptcy or insolvency proceeding and if the originator fails to complete an effective remedy. However, such backstop is subject to certain sunset provisions that give consideration to prior loan performance. DBRS views the representations and warranties features for this transaction to be consistent with recent DBRS-rated prime jumbo transactions. Although the transaction employs a strong standard which includes automatic review of seriously delinquent loans, mandatory arbitration and a sponsor backstop for representations and warranties, the limited operating history and the weak financial strength of certain originators and the sunset provisions of the sponsor backstop still demand additional penalties and credit enhancement protections. To capture the perceived weaknesses, DBRS adjusted downward the origination score of the loans to account for the potential inability to fulfill repurchase obligations. Such adjustment resulted in increases in default and loss assumptions for the transaction. CITIGROUP 2014-J1: Fitch Expects to Rate Class B-4 Certs 'BBsf' --------------------------------------------------------------- Fitch Ratings expects to rate Citigroup Mortgage Loan Trust 2014- J1 (CMLTI 2014-J1) as follows: -- $197,222,000 class A-1 certificate 'AAAsf'; Outlook Stable; -- $197,222,000 class A-1-IO notional certificate 'AAAsf'; Outlook Stable; -- $6,921,000 class A-2 certificate 'AAAsf'; Outlook Stable; -- $6,921,000 class A-2-IO notional certificate 'AAAsf'; Outlook Stable; -- $197,222,000 class A-1W exchangeable certificate 'AAAsf'; Outlook Stable; -- $6,921,000 class A-2W exchangeable certificate 'AAAsf'; Outlook Stable; -- $204,143,000 class A exchangeable certificate 'AAAsf'; Outlook Stable; -- $204,143,000 class A-IO notional exchangeable certificate 'AAAsf'; Outlook Stable; -- $204,143,000 class AW exchangeable certificate 'AAAsf'; Outlook Stable; -- $2,943,000 class B-1 certificate 'AAsf'; Outlook Stable; -- $2,725,000 class B-2 certificate 'Asf'; Outlook Stable; -- $3,052,000 class B-3 certificate 'BBBsf'; Outlook Stable; -- $2,289,000 class B-4 certificate 'BBsf'; Outlook Stable. The $2,833,825 class B-5 certificate will not be rated by Fitch. KEY RATING DRIVERS High-Quality Mortgage Pool: The collateral pool consists of very high quality 15- and 30-year fixed-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 100% of the pool with no material findings, indicating strong underwriting controls. Small Loan Count: The total loan count in this pool is 285 loans. RMBS pools with a small number of loans carry the risk that portfolio performance may be adversely impacted by a few assets that may underperform relative to the statistically derived assumptions underlying their ratings. To reduce potential ratings volatility arising from this risk later in the transaction's life, Fitch applied a penalty of approximately 1.09x to the pool's lifetime default expectations. The subordination floor also mitigates this risk. Extraordinary Trust Expense Adjustment: For this transaction, the extraordinary trust expenses will be deducted from available funds as opposed to the pool's net weighted average coupon (WAC). Because collections and credit loss protection otherwise distributable as interest and principal to the certificateholders may be used to pay for such expenses, Fitch adjusted the credit enhancement (CE) upwards by 25 basis points (bps) for the class A bonds, 20bps for class B-1, 15bps for class B2, and 10bps for classes B-3 and B-4. Market Value Decline Sensitivity: Fitch considered further market value decline (MVD) sensitivities, in addition to those generated by its sustainable home price (SHP) model. These scenarios aligned Fitch's 'Asf' sustainable MVD (sMVD) 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 applying an sMVD of 18% down from 22%. RATING SENSITIVITIES In its analysis, Fitch considered additional sMVD stress assumptions to those generated by the SHP model. These supplementary scenarios reflected base case sMVDs that aligned Fitch's 'Asf' sMVD stress assumptions with peak-to-trough MVDs experienced during the housing crisis through 2009. This is consistent with Fitch's view as described in its U.S. RMBS Loan Loss Model Criteria, which associates the recent national housing recession and related performance observations with an 'Asf' stress. The result of this sensitivity analysis was included in the consideration of the loss expectations for this transaction. The sensitivity analysis resulted in decrease in the base sMVD from 22.1% to 17.8%. Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper 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 22.1% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non- investment grade, and to 'CCCsf'. COMM 2006-FL12: Fitch Affirms 'BBsf' Rating on Class H Notes ------------------------------------------------------------ Fitch maintains five classes on Rating Watch Negative and affirms seven classes of COMM Mortgage Trust, Series 2006-FL12 (COMM 2006- FL12). KEY RATING DRIVERS The final remaining loan in the trust is the Atlantis (formerly referred to as Kerzner International), which is primarily comprised of a 3,000+ key resort and casino located in the Bahamas. At issuance the Atlantis (Kerzner) loan represented 23.7% of the transaction. Given the increased concentration in the Bahamas, the transaction's rating linkage to this sovereign is significant. Fitch's Criteria for Rating Securitizations in Emerging Markets limit securitization ratings to a maximum of three to four notches above a country's Issuer Default Rating (IDR) and country ceiling depending upon the mitigants available to address potential transfer and convertibility risk arising from capital controls being imposed. The transactions have certain mechanisms available, including servicer advancing, which would allow for continuation of transaction cash flows in the event of an interruption of revenues from the Bahamas collateral owing to the imposition of capital controls. In addition, given the large draw of American tourists that vacation at the Atlantis resort, a considerable portion of revenues for the collateral is collected outside of the Bahamas in U.S. dollars through credit card sales. These factors support a rating level of up to four notches above an investment-grade country ceiling; however, this would fall short of a level of 'AAsf' or 'AAAsf', resulting in the Negative Watch. The Atlantis property is a diverse portfolio of real estate. The main collateral consists of: the 3,023-key Atlantis Resort and casino, Paradise Island; 600-room all-suite hotel tower; 495-unit condominium hotel; 40 acres of water attractions; 106-key One & Only Ocean Club and 18-hole Ocean Club Golf Course; water treatment and desalinization facility; 63-slip Marina at Atlantis and associated retail at Marina Village. As of year-end 2013 the portfolio reported a net cash flow debt service coverage ratio of 5.76x, compared with 6.02x in 2012. A recent value estimate indicates the collective value of the collateral would result in full repayment of the rated debt. The loan, after an earlier modification, was extended and the final maturity is in September 2014. RATING SENSITIVITIES Recent press indicates the Atlantis loan has been circled by a consortium of issuers for the purpose of refinancing the existing debt. Fitch anticipates the refinance will be executed prior to its maturity in September 2014; however, should the loan not make significant progress towards take-out financing over the next few months, downgrades between one to two rating categories are expected. Fitch maintains the following classes on Rating Watch Negative: -- $115.8 million class A-J 'AAAsf'; -- $71.9 million class B 'AA+sf'; -- $50.5 million class C 'AA+sf'; -- $55.7 million class D 'AAsf'; -- $41.4 million class E 'AA-sf'. Fitch affirms the following classes and revises the Outlook as indicated: -- $41.4 million class F at 'Asf'; Outlook Stable; -- $39.5 million class G at 'BBBsf'; Outlook to Stable from Negative; -- $24.6 million class H at 'BBsf'; Outlook to Stable from Negative; -- $19.3 million class J at 'Dsf'; RE 90%; -- $63.3 million class KR1 at 'BBB-sf'; Outlook Stable; -- $19.7 million class KR2 at 'BBsf' ; Outlook Stable; -- $55.8 million class KR3 at 'CCCsf'; RE 100%. COMMERCIAL MORTGAGE 2013-CCRE8: DBRS Confirms B Rating on E Certs ----------------------------------------------------------------- DBRS Inc. has confirmed the ratings of Commercial Mortgage Pass- Through Certificates, Series 2013-CCRE8, as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-SBFL at AAA (sf) -- Class A-SBFX at AAA (sf) -- Class X-B at AAA (sf) -- Class X-C at AAA (sf) -- Class A-M at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at B (high) (sf) DBRS does not rate the first loss piece, Class G. All trends are Stable. The Class A-SBFX certificates are exchangeable with the Class A-SBFL certificates (and vice versa). The rating confirmations reflect the overall stability of the pool's performance since issuance in June 2013. The collateral consists of 59 fixed-rate loans secured by 94 commercial properties. As of the May 2014 Remittance Report, the transaction has a balance of $1.37 billion, representative of collateral reduction of 0.74% since issuance. The transaction benefits from loans secured by properties located within urban markets representing 38.7% of the current pool balance, and loans secured by properties located within tertiary and rural markets representing only 16.9% of the current pool balance. The pool is concentrated in multiple respects, however, as the largest ten loans represent 57.7% of the transaction and 60.0% of the pool is secured by properties in New York, California and Florida. As of the May 2014 reporting period, eight of the ten largest loans are reporting YE2013 financials, which is considered strong for the first year of a transaction. These eight loans reported a stable weighted-average debt service coverage ratio (DSCR) of 1.41 times (x). There is one loan in special servicing and two loans on the servicer's watchlist, representing 0.77% and 1.20% of the current pool balance, respectively. According to the master servicer, the loans on the servicer's watchlist will be removed in the next month as the performance of both loans has improved. The Georgetown MHC Portfolio loan is secured by three adjacent manufactured housing communities (MHCs) in Georgetown, Kentucky, located ten miles north of Lexington. The loan transferred to special servicing due to payment default, with the March 2014 and subsequent payments currently outstanding. According to the servicer, the property performance suffers from late-paying tenants and a slight decrease in the occupancy rate to 94% as of May 2014. Additionally, the effects of the harsh winter, including the freezing of several tenants' pipes, resulted in several items of deferred maintenance. The servicer is pursuing foreclosure and CF Lane was installed as the receiver in late May. Based in Atlanta, CF Lane specializes in operating multifamily properties, including MHCs. Its portfolio contains 3,000 MHC pads in eastern Kentucky. The property was reappraised in May 2014 at $12.9 million ($25,700/pad), down from $16.2 million at issuance ($32,270/pad). While this represents a value decrease from issuance, the current appraised value remains greater than the outstanding $10.5 million ($21,000/pad) loan balance. At issuance, DBRS shadow-rated two loans, representing 19.2% of the current pool balance, as investment grade. DBRS has confirmed that the performance of the loans remains consistent with investment-grade loan characteristics. The 375 Park Avenue loan is the largest loan in the transaction (15.2% of the current pool balance) and is secured by a 38-story, Class A, trophy office tower in Midtown Manhattan. The subject is designated as a New York City landmark and has an open plaza with reflecting pools, landscaping and public art. The tower interior includes the original lobby with travertine floors and walls, a mosaic tile ceiling and two bronze clad pillars, as well as the Four Seasons Restaurant on the first floor. Individual tenant spaces include Class A finishes such as glass-paneled offices and conference rooms and modern kitchens and reception areas. Total financing on the property totals $1.0 billion, including two pari passu A-notes, a B-note and mezzanine debt. The property is currently 90% occupied by 57 tenants. The largest tenant is Wells Fargo Bank N.A. (Wells), which occupies 29% of the net rentable area through February 2021. Wells has the option to terminate its lease in November 2015 with 16 months' notice; however, DBRS views this is as unlikely, given that their current rental rate of $100 psf is well below the current market rental rate of $130 psf. The property as a whole reports a weighted-average rental rate between $15 psf and $30 psf below current prevailing market rates, estimated between $130 psf to $145 psf. This presence of below- market rents provides potential rental revenue gains for the property in future years. As of YE2013 reporting, the loan reported a stable DSCR of 1.64x. COMMERCIAL MORTGAGE 2014-1: DBRS Finalizes BB Rating on Cl E Certs ------------------------------------------------------------------ DBRS Inc. has finalized the provisional ratings on the following Commercial Mortgage Pass-Through Certificates, Series 2014-1 issued by A10 Term Asset Financing 2014-1, LLC. The trends are Stable. -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at A (sf) -- Class C at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (sf) Class E and Class F are non-offered classes. The collateral consists of 18 loans secured by commercial real estate, all originated by A10 Capital, LLC (A10 Capital). A10 Capital specializes in mini-perm loans, which typically have two- to five-year terms and are used to finance properties until they are fully stabilized. The borrowers are often new equity sponsors of fairly well-positioned assets within their respective markets. A10 Capital's initial advance is the senior debt component typically for the purchase of a real estate-owned acquisition or discounted payoff. Most loans are structured with three-year terms and include built-in extensions at the lender's sole discretion. The pool was analyzed to determine the indicative ratings, reflecting the probability of loan default within the term, including the lender extension options, and its liquidity at maturity. The ratings assigned by DBRS contemplate timely payments of distributable interest and, in the case of senior subordinate notes other than the Class A-1 and A-2 Notes, ultimate recovery of Deferred Collateralized Note Interest Amounts (inclusive of interest payable thereon at the applicable rate, to the extent permitted by law). Accordingly, DBRS will assign its Interest in Arrears designation to any class of Offered Notes (other than the Class A Notes) during any Interest Accrual Period when such class accrues Deferred Collateralized Note Interest Amounts. CONCORD REAL 2006-1: Fitch Affirms CCC Ratings on 3 Note Classes ---------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed six classes of Concord Real Estate CDO 2006-1, Ltd/LLC, reflecting Fitch's base case loss expectation of 43.6%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. KEY RATING DRIVERS Since last rating action, class A-1 has received pay down totaling approximately $113 million primarily from the full and partial payoff of eight assets as well as scheduled amortization. Realized losses since last review were $4.2 million. The CDO is overcollateralized by approximately $48 million, as of the May 2014 trustee report. Per the asset manager, a $20 million loan was recently paid off in full. The principal proceeds are expected to be applied to pay down class A-1 at the next payment date. As of the May 2014 trustee report, and per Fitch categorization, the CDO is substantially invested as follows: whole loans/A-notes (15%), B-notes (43%), mezzanine debt (15%), CMBS (14%), CDOs (5%), and cash (8%). There are interests in approximately 19 different assets contributed to the CDO. The current percentage of defaulted assets and assets of concern is 14.9% and 41.7%, respectively. The CDO is currently passing all of its par value and interest coverage tests. Under Fitch's methodology, approximately 60.3% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. Modeled recoveries are below average at 27.7% reflecting the significant subordinate debt in the transaction. The largest contributor to Fitch's base case loss expectation is a B-note (13% of the total collateral) secured by two office towers located in Farmers Branch, TX. While the property is currently 100% leased to an investment grade tenant, the property is considered overleveraged, and Fitch modeled a substantial loss on this loan in its base case scenario. The next largest contributor to Fitch's base case loss expectation is a defaulted B-note (11.7% of the total collateral) secured by a 575-room full-service resort located in Tucson, AZ. Since August 2010, the loan has been in maturity default and the special servicer is pursuing foreclosure. Fitch modeled a substantial loss on this loan in its base case scenario. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The breakeven rates for classes A through C pass the cash flow model at the ratings listed below. The Positive and Stable Outlooks on classes A through C generally reflect the senior positions in the capital structure and/or cushion in the modeling. The 'CCC' ratings for classes D through F are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Assets of Concern, factoring in anticipated recoveries relative to each class' credit enhancement. RATING SENSITIVITIES If the collateral continues to repay at or near par, classes may be upgraded. The junior classes are subject to further downgrade should realized losses begin to increase. WRP Management, LLC is the collateral asset manager for the transaction. The CDO's reinvestment period ended in December 2011. Fitch upgrades the following: -- $20.3 million class A-1 to 'A' from 'BBBsf'; Outlook Stable; Fitch affirms the following classes and revises Outlooks as indicated: -- $23.3 million class A-2 at 'BBsf'; Outlook to Positive from Stable; -- $46.5 million class B at 'BBsf'; Outlook Stable; -- $10 million class C at 'Bsf'; Outlook Stable; -- $6 million class D at 'CCCsf' RE 100%; -- $8.1 million class E at 'CCCsf'; RE 100%; -- $22.4 million class F at 'CCCsf'; RE 70%. CPS AUTO 2014-B: S&P Assigns 'BB' Rating on Class D Notes --------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to CPS Auto Receivables Trust 2014-B's $202.5 million asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 44.8%, 36.4%, 30.2%, 26.7%, and 24.9% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of 2.80x, 2.30x, 1.75x, 1.50x, and 1.17x its 14.8%-15.2% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. -- The expectation that, under a moderate stress scenario of 1.75x S&P's expected net loss level, the rating on the class A notes will not decline by more than one rating category during the first year, and the ratings on class B through E notes will not decline by more than two rating categories during the first year, all else being equal, which is consistent with S&P's credit stability criteria. -- The rated notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, D, and E notes. -- The timely interest and principal payments made to the rated notes under S&P's stressed cash flow modeling scenarios, which S&P believes is appropriate for the assigned ratings. -- The transaction's payment and credit enhancement structure, which includes a noncurable performance trigger. RATINGS ASSIGNED CPS Auto Receivables Trust 2014-B Class Rating Type Interest Amount Final scheduled rate (mil. $) payment date A AA- (sf) Senior Fixed 141.24 Nov. 15, 2018 B A (sf) Subordinate Fixed 26.83 May 15, 2020 C BBB (sf) Subordinate Fixed 18.73 May 15, 2020 D BB (sf) Subordinate Fixed 10.13 May 15, 2020 E B+ (sf) Subordinate Fixed 5.57 Aug. 16, 2021 CREDIT SUISSE 2002-CKP1: Moody's Hikes Rating on K-Z Certs to B3 ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of one class and affirmed the ratings of two classes of Credit Suisse First Boston Commercial Mortgage Corp., Commercial Mortgage Pass-Through Certificates, Series 2002-CKP1 as follows: Cl. A-X, Affirmed Caa3 (sf); previously on Dec 5, 2013 Affirmed Caa3 (sf) Cl. K-Z, Upgraded to B3 (sf); previously on Dec 5, 2013 Affirmed Caa2 (sf) Cl. L, Affirmed C (sf); previously on Dec 5, 2013 Affirmed C (sf) Ratings Rationale The rating on the IO class was affirmed because the credit performance (or the weighted average rating factor or WARF) of the referenced classes are consistent with Moody's expectations. The rating on P&I Class K-Z was upgraded due to increased credit support from paydowns and amortization. The rating on the P&I Class L was affirmed because the rating is consistent with Moody's expected loss. Moody's rating action reflects a base expected loss of 18.6% of the current balance, compared to 12.9% at Moody's last review. Moody's base expected loss plus realized losses is now 6.3% of the original pooled balance, same as at Moody's last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range 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. Methodology Underlying The Rating Action The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. 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 structured credit assessment level) for loans with similar structured 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 6, the same as 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 May 16, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $18.3 million from $1.0 billion at securitization. The certificates are collateralized by nine mortgage loans ranging in size from 1% to 23% of the pool. No loans have investment-grade structured credit assessments, and there are no defeased loans. Two loans, constituting 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty-seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $59.3 million (for an average loss severity of 40%). Three loans, constituting 38% of the pool, are currently in special servicing. The largest specially serviced loan is the North Port Shopping Center Loan ($3.7 million -- 20.5% of the pool), which is secured by a 67,000 square foot (SF) retail property located in Port Washington, Wisconsin. The loan matured in August 2011 and became real estate owned (REO) in August 2012. The two largest tenants include Sanfilippo Bros. (70% of the NRA) and Lakeshore Vet (7% of the NRA). The remaining specially serviced loans are mix of multi-family and mixed-use properties. Moody's estimates an aggregate $3.0 million loss for the specially serviced loans (44% expected loss on average). Moody's received full or partial year 2013 operating results for 100% of the pool. Moody's weighted average conduit LTV is 78.3%, compared to 78.5% 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 9.3% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.12X and 1.34X, respectively, compared to 1.15X and 1.46X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest conduit loan is Chapel Ridge of Emporia Apartments Loan ($4.2 million -- 23.1% of the pool), which is secured by a 128-unit multifamily building located in Emporia, Kansas. As of March 2013, the property was approximately 90% leased, same as at last review. Despite the stable occupancy, net operating income for 2013 has declined slightly due to a decline in apartment rents and higher operating expenses. Moody's LTV and stressed DSCR are 95% and 1.03X, respectively, compared to 96% and 1.01X at last review. The second largest loan is the Chapel Ridge Apartments at Haysville Loan ($3.7 million -- 20.3% of the pool), which is secured by a 128-unit multifamily property located in Haysville, Kansas. As of March 2014, the property was 96% leased compared to 98% at last review. The property's performance is stable and the loan is benefiting from amortization. Moody's LTV and stressed DSCR are 70% and 1.40X, respectively, compared to 71% and 1.38X at last review. The third largest loan is the Barry Town Shopping Center Loan ($1.3 million -- 6.9% of the pool), which is secured by a 17,600 SF retail property in Kansas City, Missouri. The property has been fully leased since 2010 by three tenants. The largest tenant is Famous Footwear, which leases 57% of the NRA through October 2016. Net operating income has been trending down since 2010 due to a decline in base revenues and recoveries. However, this has been offset by an increase in amortization. Moody's LTV and stressed DSCR are 47% and 2.29X, respectively, compared to 48% and 2.24X at last review. CREDIT SUISSE 2005-11: Fitch Affirms BB Rating on Cl. 8-A-1 Secs. ----------------------------------------------------------------- Fitch Ratings has resolved the Rating Watch Negative on one class from Credit Suisse First Boston Mortgage Securities Corp. 2005-11: -- Class 8-A-1 (Cusip: 2254W0PE9) affirmed at 'BBsf'; assigned Outlook Stable. Key Rating Drivers This class was placed on Rating Watch Negative in January 2014 due to the risk of a writedown before it fully paid off. Over the past few months the performance has improved and a writedown is much less likely. Rating Sensitivities Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications. The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario. Classes with a rating below 'CCCsf' are likely to default at some point in the future. As default becomes more imminent, those classes are expected to migrate towards 'Csf' and eventually 'Dsf'. The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices to decline in some areas before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch. CSMC 2010-UD1: Moody's Affirms 'Ba1' Rating on Class B-B Certs -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following certificates issued by CSMC 2010-UD1 Trust: Cl. A, Affirmed Aaa (sf); previously on Jun 26, 2013 Affirmed Aaa (sf) Cl. A-A, Affirmed Aaa (sf); previously on Jun 26, 2013 Affirmed Aaa (sf) Cl. A-B, Affirmed Aa1 (sf); previously on Jun 26, 2013 Affirmed Aa1 (sf) Cl. B, Affirmed Baa3 (sf); previously on Jun 26, 2013 Affirmed Baa3 (sf) Cl. B-A, Affirmed A2 (sf); previously on Jun 26, 2013 Affirmed A2 (sf) Cl. B-B, Affirmed Ba1 (sf); previously on Jun 26, 2013 Affirmed Ba1 (sf) Ratings Rationale Moody's has affirmed the ratings of six classes of certificates because the key transaction metrics are commensurate with the existing ratings. The rating actions are the result of Moody's on- going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-REMIC) transactions. CSMC 2010-UD1 is a static cash pooled Re-REMIC transaction backed by a portfolio of eight senior-pay commercial mortgage backed securities (CMBS) certificates from seven separate transactions (100.0% of the pool balance). The CMBS collateral are from pools securitized in 2007 (84.4%) and 2008 (15.6%). The five largest CMBS exposures are CWCI 2007-C3 (31.2%), CSMC 2007-C3 (23.0%), CMLT 2008-LS1 (11.3%), CSMC 2007-C4 (10.6%) and MSC 2007-IQ14 (10.6%). As of the May 19, 2014 trustee report, the aggregate certificate balance of the transaction has decreased to $257.5 million from $275.9 million at issuance, with the paydown directed to the most senior class of certificates as a result of regular amortization of the collateral pool. Class A-A and Class A-B are exchangeable certificates that can be exchanged for Class A exchangeable certificates and vice-versa. Class B-A and Class B-B are exchangeable certificates that can be exchanged for Class B exchangeable certificates and vice-versa. 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 53, compared to 45 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 and 65.4% compared to 71.0% at last review; and A1-A3 and 34.6% compared to 29.0% at last review). Moody's modeled a WAL of 2.8 years, compared to 3.8 years at last review. Moody's modeled a fixed WARR of 64.8%, compared to 64.1% at last review. Moody's modeled a MAC of 65.9%, compared to 68.9% at last review. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in March 2014. DENALI CAPITAL VI: S&P Affirms 'B+' Rating on Class B-2L Notes -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on two classes of notes and affirmed its ratings on four classes of notes from Denali Capital CLO VI Ltd., a U.S. collateralized loan obligation transaction managed by Denali Capital LLC. S&P also removed its ratings on three classes of notes from CreditWatch, where it placed them with positive implications on April 9, 2014. The upgrades reflect post-reinvestment period principal amortization paydowns to the class A-1 notes. Since S&P raised its ratings on five classes in August 2013, the class A-1L and A- 1LR notes paid down $72.5 million, which reduced the notes to 3.3% of their original balances and increased credit support for the subordinate notes. According to the May 2014 trustee report, the transaction had $3.08 million (2.9%) of assets from obligors in the 'CCC' rating category, down from $10.78 million (4.6%) in July 2013. S&P also observed that defaulted assets have increased to 3.1%, up from 2.7% in July 2013. The transaction's class A, B-1L, and B-2L overcollateralization ratios have increased by approximately 43.1%, 16.4%, and 5.0%, respectively. Although S&P's cash flow analysis indicated that it could raise its ratings on the class B-2L notes to 'BB+ (sf)', its rating on these notes is constrained at 'B+ (sf)' by S&P's application of the top obligor test which measures concentration risk. S&P affirmed 'AAA (sf)' ratings on the class A-1L, A-1LR, and A-2L notes to reflect the availability of adequate credit support at the current rating levels. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the May 2014 trustee report, to estimate future performance. Our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and on recoveries upon default under various interest rate and macroeconomic scenarios. In addition, we considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action," S&P said. S&P will continue to review its ratings on the notes and assess whether they remain consistent with the credit enhancement available to support them and will take rating actions as S&P deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Denali Capital CLO VI Ltd. Cash flow Previous implied Cash flow Final Class rating rating cushion(i) rating A-1L AAA (sf) AAA (sf) 32.00% AAA (sf) A-1LR AAA (sf) AAA (sf) 32.00% AAA (sf) A-2L AAA (sf) AAA (sf) 32.00% AAA (sf) A-3L AA+ (sf)/Watch Pos AAA (sf) 14.08% AAA (sf) B-1L BBB+ (sf)/Watch Pos A+ (sf) 8.76% A+ (sf) B-2L B+ (sf)/Watch Pos BB+ (sf) 1.04% B+ (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 rate 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-1L AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-1LR AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2L AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-3L AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B-1L A+ (sf) A+ (sf) AA (sf) AA (sf) A+ (sf) B-2L BB+ (sf) B+ (sf) BB (sf) BB+ (sf) B+ (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-1L AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-1LR AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2L AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-3L AAA (sf) AAA (sf) AAA (sf) AAA (sf) B-1L A+ (sf) A+ (sf) A- (sf) A+ (sf) B-2L BB+ (sf) BB (sf) B+ (sf) B+ (sf) RATING AND CREDITWATCH ACTIONS Denali Capital CLO VI Ltd. Rating Class To From A-3L AAA (sf) AA+ (sf)/Watch Pos B-1L A+ (sf) BBB+ (sf)/Watch Pos B-2L B+ (sf) B+ (sf)/Watch Pos RATING AFFIRMATIONS Denali Capital CLO VI Ltd. Class Rating A-1L AAA (sf) A-1LR AAA (sf) A-2L AAA (sf) DLJ COMMERCIAL 1998-CF2: Fitch Cuts 'BB+' Rating on Cl. B-5 Certs ----------------------------------------------------------------- Fitch Ratings has downgraded one distressed class and affirmed one class of DLJ Commercial Mortgage Corporation's commercial mortgage pass-through certificates, series 1998-CF2. KEY RATING DRIVERS The downgrade is due to a realized loss to class B-6 following the liquidation of two specially serviced loans following Fitch's previous rating action. The affirmation is due to the relatively stable performance of the remaining pool. As of the June 2014 distribution date, the pool's aggregate principal balance has been reduced by 98.3% to $19 million from $1.11 billion at issuance. There are 16 loans remaining in the pool, three of which are defeased (29.8% of the pool), no loans are in special servicing. Fitch has designated one a Fitch Loan of Concern (19.4%). The largest loan in the pool and Fitch loan of Concern (19.4%), is collateralized by a 224 unit multifamily property located in Savannah, GA. Per the March 2014 rent roll, the property was 87% occupied, down from 90% at year-end 2013. Additionally, the expenses for repairs and maintenance and payroll and benefit expenses have increased. RATING SENSITIVITY The Rating Outlook for class B-5 remains negative as the deal is highly concentrated. There are seven loans backed by single tenant retail properties. Fitch affirms the following class as indicated: -- $16.6 million class B-5 at 'BB+sf', Outlook Negative. Fitch downgrades the following class as indicated: -- $2.1 million class B-6 to 'Dsf' from 'Csf'; RE 0%. Classes A-1A through B-4 have been paid in full. Fitch did not rate class C. Fitch previously withdrew the rating on class S. DLJ COMMERCIAL 2000-CKP1: Fitch Affirms D Rating on Cl. B-5 Certs ----------------------------------------------------------------- Fitch Ratings has affirmed four distressed classes of DLJ Commercial Mortgage Corp (DLJ) commercial mortgage pass-through certificates series 2000-CKP1. KEY RATING DRIVERS The affirmations reflect Fitch's high expected losses and the concentrated nature of the pool with only five loans remaining. Two of the three non-specially serviced loans (50.8%) have balloon maturity dates in 2014 and 2015. The remaining non-specially serviced loan is a fully amortizing loan with projected maturity date of October 2020. Of the two specially serviced assets (41.5%), one is in foreclosure and the other is real estate owned (REO). Fitch modeled losses of 30.9% of the remaining pool; expected losses on the original pool balance total 5.9%, including $71.2 million (5.5% of the original pool balance) in realized losses to date. As of the May 2014 distribution date, the pool's aggregate principal balance has been reduced by 98.7% to $16.7 million from $1.29 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting classes B-5 through C. The largest contributor to expected losses is secured by a 117,340 square foot (sf) industrial property in Wayne Township, NJ (17.4% of the pool). The loan was transferred to the special servicer in July 2010 due to its pending maturity date of in August 2010. The special servicer has begun the foreclosure process and continues to pursue its legal rights through litigation. The property is 100% occupied at this time and the next court date is scheduled for late June. The next largest contributor to expected losses is a REO 106 unit retirement community in Great Falls, MT (8%). The loan transferred to the special servicer in January 2008 due to the borrower's failure to pay off the loan at maturity. Motion for summary judgment for foreclosure was granted in December 2012. Occupancy was 51% as of April 2013. The property is currently being marketed for sale with a projected disposition scheduled for July. RATING SENSITIVITY Class B-4 is expected to remain at 'Csf' due to high expected losses, high concentration risk, and poor historical asset performance. Fitch affirms the following classes as indicated: -- $12.2 million class B-4 at 'Csf', RE 95%; -- $4.5 million class B-5 at 'Dsf', RE 0%; -- $0 million class B-6 at 'Dsf', RE 0%; -- $0 million class B-7 at 'Dsf', RE0%. The class A-1A, A-1B, A-2, A-3, A-4, B-1, B-2, and B-3 certificates have paid in full. Fitch does not rate the class C certificates. Fitch previously withdrew the rating on the classes B-8, B-9 and the interest-only class S certificates. EQTY 2014-INNS: S&P Assigns 'BB-' Rating on Class E Notes --------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to EQTY 2014-INNS Mortgage Trust's $865 million commercial mortgage pass- through certificates series 2014-INNS. The certificate issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate commercial mortgage loan totaling $865.0 million, with three one- year extension options, secured by the fee and leasehold interests in 104 limited-service and extended-stay hotels and two full- service hotels. The ratings reflect S&P's view of the collateral's historic and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. S&P determined that the loan has a beginning and ending loan-to-value ratio of 95.4%, based on Standard & Poor's value. RATINGS ASSIGNED EQTY 2014-INNS Mortgage Trust Class Rating(i) Amount ($) A AAA (sf) 271,878,000 X-CP B- (sf) 425,701,000(ii) X-EXT B- (sf) 425,701,000(ii) B AA- (sf) 101,421,000 C A- (sf) 66,000,000 D BBB- (sf) 120,769,000 E BB- (sf) 167,658,000 F B- (sf) 137,274,000 (i) The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii) Notional balance. The notional amount of the class X-CP and X-EXT certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class D, E, and F certificates. FLATIRON CLO 2014-1: Moody's Rates '(P)Ba3' Rating on Cl. D Notes ----------------------------------------------------------------- Moody's Investors Service announced that it has assigned the following provisional ratings to notes to be issued by Flatiron CLO 2014-1 Ltd. $256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2026 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) $45,500,000 Class A-2 Senior Secured Floating Rate Notes due 2026 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) $21,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class B Notes"), Assigned (P)A2 (sf) $25,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class C Notes"), Assigned (P)Baa3 (sf) $18,500,000 Class D Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class D Notes"), Assigned (P)Ba3 (sf) Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating (if any) may differ from a provisional rating. Ratings Rationale Moody's provisional ratings of the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, and the Class D Notes (collectively, the "Rated Notes") address the expected losses posed to the holders of the Rated Notes. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. Flatiron CLO is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90.0% of the portfolio must be invested in senior secured loans, cash and eligible investments and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. The underlying collateral pool is expected to be approximately 70% ramped as of the closing date. NYL Investors LLC (the "Manager") will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. 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: Par amount of $400,000,000 Diversity of 55 WARF of 2850 Weighted Average Spread of 3.55% Weighted Average Coupon of 7.0% Weighted Average Recovery Rate of 48.0% Weighted Average Life of 8.25 years Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. FREMF 2011-K703: Moody's Affirms 'Ba3' Rating on Class X-2 Certs ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of five classes in FREMF 2011-K703 Mortgage Trust, Multifamily Mortgage Pass- Through Certificates, Series 2011-K703 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed Aaa (sf) Cl. B, Affirmed A3 (sf); previously on Sep 12, 2013 Affirmed A3 (sf) Cl. X-1, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed Aaa (sf) Cl. X-2, Affirmed Ba3 (sf); previously on Sep 12, 2013 Affirmed Ba3 (sf) Ratings Rationale The ratings on the three 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 two IO classes were affirmed based on the credit quality of their referenced classes. Moody's rating action reflects a base expected loss of 2.0% of the current balance compared to 1.8% at Moody's prior review. Moody's base expected loss plus realized losses is now 1.9% of the original pooled balance compared to 1.7% at the prior review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000. 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 43 compared to 45 at Moody's last review. Deal Performance As of the May 12, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 1.8% to $1.20 billion from $1.23 billion at securitization. The Certificates are collateralized by 71 mortgage loans ranging in size from less than 1% to 6.9% of the pool, with the top ten loans (excluding defeasance) representing 35% of the pool. Two loans, representing 1.6% of the pool have defeased and are secured by US Government securities. Six loans, representing 3% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. No loans have been liquidated from the pool and no loans are in special servicing. Moody's has assumed a high default probability for three poorly performing loans representing 1% of the pool and has estimated an aggregate $2.1 million loss (15% expected loss based on a 50% probability of default) from these troubled loans. Moody's received full-year 2012 operating results for 100% of the pool and full or partial year 2013 operating results for 90% of the pool. Moody's weighted average conduit LTV is 92% compared to 91% 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 9.4% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 8.8%. Moody's actual and stressed conduit DSCRs are 1.51X and 1.06X, respectively, compared to 1.52X and 1.06X 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% stressed rate applied to the loan balance. The top three performing conduit loans represent 15% of the pool balance. The largest loan is The Pavilions Loan ($82.9 million -- 6.9% of the pool), which is secured by a 932-unit multifamily property located in Manchester, Connecticut. Improvements consist of 34 garden-style apartment buildings, two leasing office/clubhouse buildings, a recreation center building, four maintenance buildings and 13 carport buildings. As of March 2014, the property was 97% leased compared to 91% as of March 2013. Moody's LTV and stressed DSCR are 102% and 0.93X, respectively, compared to 107% and 0.89X at the last review. The second largest loan is The Park at Arlington Ridge II Loan ($51.9 million -- 4.3% of the pool, which is secured by a 395-unit multifamily property located in Arlington, Virginia, approximately three miles south of the Washington, D.C. central business district. The property was 92% leased as of December 2013 compared to 97% as of March 2013. Moody's LTV and stressed DSCR are 89% and 1.00X, respectively, compared to 91% and 0.98X at the last review. The third largest loan is the Casoleil Apartments Loan ($48.2 million -- 4% of the pool), which is secured by a 346-unit multifamily property located in San Diego, California. The property was approximately 95% leased as of year-end 2013 compared to 96% as of June 2013. Moody's LTV and stressed DSCR are 100% and 0.92X, respectively, compared to 104% and 0.89X at the last review. GMAC COMMERCIAL 1998-C1: Moody's Cuts Rating on Cl. X Certs to C ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating of one interest-only class of GMAC Commercial Mortgage Securities, Inc., Mortgage Pass-Through Certificates, Series 1998-C1 as follows: Cl. X, Downgraded to C (sf); previously on Aug 15, 2013 Affirmed Caa3 (sf) Ratings Rationale The rating on the IO Class, Class X, was downgraded due the bond not receiving any scheduled interest payments. The IO class is the only outstanding Moody's rated class in this transaction. Moody's base expected loss plus realized losses is now 10.0% of the original pooled balance, compared to 8.6% at the last review. Factors that would lead to an upgrade or downgrade of the rating: The rating of an IO class is based on the credit performance of its referenced classes. An IO class may be upgraded based on a lower weighted average rating factor or WARF due to an overall improvement in the credit quality of its reference classes. An IO class may be downgraded based on a higher WARF due to a decline in the credit quality of its reference classes, paydowns of higher quality reference classes or non-payment of interest. Classes that have paid off through loan paydowns or amortization are not included in the WARF calculation. Classes that have experienced losses are grossed up for losses and included in the WARF calculation, even if Moody's has withdrawn the rating. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Loss and Cash Flow Analysis: Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 93% of the pool is in special servicing and performing conduit loans only represent 7% of the pool. 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 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 structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured 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 one, the same as 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 May 15, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $120.8 million from $1.44 billion at securitization. The certificates are collateralized by two mortgage loans. There are no defeased loans or loans that have investment-grade structured credit assessments. There are no loans on the master servicer's watchlist. Fourteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $12.0 million (for an average loss severity of 14%). One loan, constituting 93% of the pool, is currently in special servicing. The Senior Living Properties (SLP) Portfolio Loan ($112.0 million -- 92.8% of the pool), which is secured by a portfolio of 42 skilled nursing facilities located throughout Texas. The loan was transferred to the special servicing in October 2001 due to a decline in performance resulting from changes in Medicare and Medicaid reimbursement rates. Although the portfolio's net cash flow has been insufficient to cover operating expenses and debt service payments for years, the deficit was covered during the original loan term by an insurance surety bond issued by ZC Specialty Insurance Company (ZC). The loan matured on February 1, 2008 and the remaining balance of the surety bond, approximately $70.0 million, was applied to reduce the outstanding balance of the loan. The portfolio originally consisted of 74 properties, but 31 were liquidated in 2005 and 2006 and one additional property was released in 2012. The special servicer entered into a modification with the borrower which converted the loan to interest only payments and extended the maturity date to August 2013. The servicer has deemed this loan non-recoverable. Moody's expects a significant loss from this loan. The sole performing loan is the Nickelodeon Studio Center Loan ($8.7 million -- 7.2% of the pool), which is secured by a 72,000 square foot office building located in the Burbank submarket of Los Angeles, California. The property is 100% leased to Viacom Inc. through January 2018. Moody's valuation of this loan is based on a dark/lit analysis. Moody's LTV and stressed DSCR are 64% and 1.69X, respectively, compared to 70% and 1.54X at last review. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. GRACE MORTGAGE 2014-GRCE: Fitch Rates Class G Certificates 'Bsf' ---------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to the GRACE 2014-GRCE Mortgage Trust commercial mortgage pass-through certificates: -- $520,598,000 class A 'AAAsf'; Outlook Stable; -- $594,676,000* class X-A 'AA-sf'; Outlook Stable; -- $74,078,000 class B 'AA-sf'; Outlook Stable; -- $51,324,000 class C 'A-sf'; Outlook Stable; -- $18,000,000 class D 'A-sf'; Outlook Stable; -- $96,000,000 class E 'BBB-sf'; Outlook Stable; -- $115,000,000 class F 'BB-sf'; Outlook Stable; -- $25,000,000 class G 'Bsf'; Outlook Stable. * Interest-only class X-A is equal to the notional balance of class A and class B. The certificates represent the beneficial ownership in the issuing entity, the primary asset of which is one loan having an aggregate principal balance of approximately $900 million as of the cutoff date and secured by the fee interest in the Grace Building, a 1.5 million sf office building located in the Grand Central submarket of Manhattan. As of March 2014 the property was 91.2% leased by 41 tenants, with major tenants including HBO (20.7% of NRA), Cooley LP (6.8%), Bain & Company (6.1%), Interpublic Group (6.1%) and Tahari ASL (3.9%). The loan was originated by German American Capital Corporation, Bank of America, National Association, and JPMorgan Chase Bank, National Association. Prior to closing, the special servicer was changed from Situs, LLC to Talmage, LLC (rated CLLSS3+ by Fitch). KEY RATING DRIVERS Trophy Office Collateral in Prime Manhattan Location: The Grace Building is a well-known class A office tower with iconic design located on Bryant Park, an excellent Manhattan location. Credit Tenancy: As of March 2014, the property was 91.2% leased by 41 tenants, with six investment-grade rated tenants accounting for approximately 30.8% of the NRA, including Home Box Office (HBO; guaranteed by Time Warner Inc., rated 'BBB+' by Fitch) and Interpublic Group of Companies (rated 'BBB' by Fitch). Increased Probability that HBO Will Vacate in 2018: Based on information provided at issuance, Fitch considers there an increased probability that HBO (20.7% of the NRA) will vacate their space when their lease expires in December 2018 as part of Time Warner moving to Hudson Yards. Tenant Concentration and Rollover Risk: During the seven-year loan term 63.4% of the leased NRA rolls. Leasing Momentum: Over the past year, the property manager has leased approximately 176,000 sf of new, expansion and renewal space with an average lease term of 10 years at an average gross rent of over $91 psf. Institutional Sponsorship: The Grace Building is 49.9% owned by an affiliate of Trizec Properties, Inc. (controlled by a partnership of Brookfield Office Properties Inc.) and 50% owned by an affiliate of The Swig Company, LLC, who originally developed the property in 1971. The sponsors recently completed $34.5 million in renovations over the past four years including plaza renovations and modernization of the lobby and entrances. The sponsor expects to be able to continue to drive rents upward upon lease expirations. Rating Sensitivities Fitch found that the property could withstand a 71.1% decline in value and an approximate 50% decrease in the issuer's net cash flow prior to experiencing $1 of loss to any 'AAAsf' rated class. Fitch performed several stress scenarios in which the Fitch NCF was stressed. Fitch determined that a 53.9% reduction in Fitch's NCF would cause the notes to break even at a 1.0x DSCR, based on the actual debt service. Fitch evaluated the sensitivity of the ratings for class A (rated 'AAAsf') and found that a 8% decline in Fitch NCF would result in a one category downgrade, while a 32% decline would result in a downgrade to below investment grade. GRAMERCY REAL 2005-1: Fitch Lowers Rating on Cl. F Notes to 'CCC' ----------------------------------------------------------------- Fitch Ratings has upgraded two classes, downgraded one and affirmed eight classes of Gramercy Real Estate CDO 2005-1, Ltd./LLC, reflecting Fitch's base case loss expectation of 42.7%. Fitch's performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. KEY RATING DRIVERS Since the last rating action, five assets are no longer in the pool; four positions paid in full while one took a large loss totaling approximately $30 million. Total pay down to class A-1 from loan payoffs, scheduled amortization, diverted interest, and asset sales since last review was $90.1 million. Principal proceeds of $25 million are currently held by the CDO and are expected to be applied to pay down the senior class at the next payment date. The CDO is currently undercollateralized by approximately $60 million. As of the May 2014 trustee report, the CDO is failing two over-collateralization tests resulting in the diversion of interest payments from classes F and below. The portfolio has become increasingly concentrated. Commercial real estate loans (CREL) comprise the majority of the collateral. Approximately 18% of the total collateral consists of whole loans or A-notes, while 21% are real estate owned (REO) assets, 12% are B-notes or rake bonds, and 7% mezzanine debt. CMBS represent 36% of the collateral. Since last review, the average Fitch derived rating for the underlying CMBS collateral declined to 'B/B-' from 'B+/B'. The combined percentage of defaulted loans and assets of concern is in line with last review at 49%. Under Fitch's methodology, approximately 68.8% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. Modeled Recoveries are 38%. The largest component of Fitch's base case loss expectation is REO land for development (13.8% of the portfolio) located within the Coyote Valley of southern San Jose, CA. The original business plan was to market the 279 developable acres for lot sales; however, to date, no sales have occurred. The loan matured in July 2012 and the lender took title via a deed in lieu of foreclosure. Fitch modeled a substantial loss on this property in its base case scenario. The next largest component of Fitch's base case loss expectation is the modeled losses on the CMBS bond collateral (36.1% of the pool). The third largest component of Fitch's base case loss expectation is a defaulted junior mezzanine loan (6.9%) secured by ownership interests in a multifamily property located in New York, NY. The property contains over 11,000 residential units and approximately 120,000 square feet of office and retail space. Fitch modeled no recovery on this highly leveraged mezzanine position. The transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying CREL portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The rated securities (CUSIP) portion of the collateral was analyzed according to the 'Global Rating Criteria for Structured Finance CDOs', whereby the default and recovery rates are derived from Fitch's Structured Finance Portfolio Credit Model. Rating default rates and rating recovery rates from both the CREL and CUSIP portions of the collateral are then blended on a weighted average basis. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report 'Global Rating Criteria for Structured Finance CDOs'. The breakeven rates for classes A-1 through E pass the cash flow model at the ratings listed below. The Stable Outlooks on classes A-1 through D generally reflect the classes' senior position in the capital structure and/or cushion in the modeling. The 'CCC' ratings for classes F through K are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and Fitch assets of concern factoring in anticipated recoveries relative to each classes credit enhancement. RATING SENSITIVITIES If the collateral continues to repay at or near par, classes may be upgraded. The junior classes are subject to further downgrade should realized losses begin to increase. Gramercy 2005-1 is a commercial real estate (CRE) CDO managed by CWCapital Investments LLC, which became the successor collateral manager in March 2013. In December 2011, $6.1 million of notes were surrendered to the trustee for cancellation, including partial amounts of classes E, F, G and H. Fitch upgrades the following classes as indicated: -- $77.6 million class A-1 to 'A' from 'BBBsf'; Outlook Stable; -- $57 million class A-2 to 'BBB' from 'BBsf'; Outlook Stable. Fitch affirms the following classes as indicated: -- $102.5 million class B at 'BBsf'; Outlook Stable; -- $47 million class C at 'Bsf'; Outlook Stable; -- $12.5 million class D at 'Bsf'; Outlook Stable; -- $14.9 million class E at 'Bsf'; Outlook Negative; -- $16.1 million class G at 'CCCsf'; RE 0%; -- $28.3 million class H at 'CCsf'; RE 0%; -- $53.5 million class J at 'Csf'; RE 0%; -- $40.1 million class K at 'Csf'; RE 0%. Fitch downgrades the following classes as indicated: -- $ 15.6 million class F to 'CCCsf from 'Bsf'; RE 25%. GS MORTGAGE 2011-GC5: Moody's Affirms B2 Rating on Cl. F Certs -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of 12 classes of GS Mortgage Securities Trust 2011-GC5, Commercial Mortgage Pass-Through Certificates, Series 2011-GC5 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Aug 15, 2013 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Aug 15, 2013 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Aug 15, 2013 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Aug 15, 2013 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Aug 15, 2013 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Aug 15, 2013 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Aug 15, 2013 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Aug 15, 2013 Affirmed Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Aug 15, 2013 Affirmed Ba3 (sf) Cl. F, Affirmed B2 (sf); previously on Aug 15, 2013 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Aug 15, 2013 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Aug 15, 2013 Affirmed Ba3 (sf) Ratings Rationale The ratings on the ten 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 of their referenced classes. Moody's rating action reflects a base expected loss of 2.7% of the current balance, compared to 2.8% at Moody's last review. Moody's base expected loss plus realized losses is now 2.7% of the original pooled balance, compared to 2.7% at the last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range 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. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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 structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured 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 22, compared to 23 at Moody's last review. Deal Performance As of the May 12, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 3% to $1.69 billion from $1.75 billion at securitization. The certificates are collateralized by 74 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans constituting 54% of the pool. Three loans, constituting 5% of the pool, have investment-grade structured credit assessments. Two loans, constituting 2% of the pool, have defeased and are secured by US government securities. Six loans, constituting 3% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There are no loans that have been liquidated from the pool. Currently one loan, The Hills Loan ($14.9 million -- 0.9% of the pool), is in special servicing. The loan is secured by a complex of office/flex buildings located in North Richland Hills, Texas, transferring to special servicing on April 2013 due to imminent default. The subjects largest tenant, ATI Enterprises (44% of the GLA), defaulted and vacated the site without notice in February of 2013 and the borrower has filed a lawsuit against ATI. Effective July 2, 2013, the Trust SPE took title to the property through a non-judicial foreclosure. The Trust SPE was the successful bidder with a credit bid of $7.5 million. Moody's has assumed a high default probability for one poorly performing loan, constituting less than 1% of the pool, and has estimated an aggregate loss of $1.3 million (a 15% expected loss) from this troubled loan. Moody's received full year 2012 operating results for 100% of the pool, and full or partial year 2013 operating results for 78%. Moody's weighted average conduit LTV is 83%, compared to 88% 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 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.3%. Moody's actual and stressed conduit DSCRs are 1.69X and 1.23X, respectively, compared to 1.62X and 1.16X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan with a structured credit assessment is the Museum Square Loan ($58.4 million -- 3.4% of the pool), which is secured by a 553,000 square foot (SF) class B+ office located in the Miracle Mile submarket of Los Angeles, California. The property was 89% leased as of March 2014, the same at last review. The property's average occupancy over the past five years is 89%. Moody's structured credit assessment and stressed DSCR are baa1(sca.pd) and 1.75X, respectively, compared to baa1(sca.pd) and 1.70X at last review. The other two loans with structured credit assessments, the ARCT Wal-Mart & Sam's Portfolio Loan and the Alhambra Renaissance Center Loan, each represent less than 1% of the pool. ARCT Wal- Mart & Sam's Portfolio Loan has a structured credit assessment of baa3(sca.pd), the same as at last review. Alhambra Renaissance Center Loan has a structured credit assessment of baa2(sca.pd) compared to baa3(sca.pd) at last review. The top three conduit loans represent 29% of the pool balance. The largest conduit loan is the Park Place Mall Loan ($191.5 million - - 11.3% of the pool), which is secured by the borrower's interest in a 1.06 million SF dominant super-regional mall in Tucson, Arizona. Sears, Dillard's and Macy's anchor the mall and own their own spaces. The largest collateral tenant is an 18-screen movie theatre. As of December 2013, total mall and in-line occupancy were 98% and 96%, respectively, compared to 97% and 96% in March 2013. In-line sales for the trailing twelve months (TTM) ending December 2013 were $448 PSF compared to $457 PSF for TTM December 2012. Moody's LTV and stressed DSCR are 88% and 1.05X, respectively, compared to 93% and 0.99X at last review. The second largest conduit loan is the 1551 Broadway Loan ($180.0 million -- 10.6% of the pool), which is secured by a 26,000 SF single tenant retail property and a 15,000 SF LED sign located in the Bow Tie area of Manhattan's Times Square district. The property and LED sign are leased to AE Outfitters, Inc. a fully owned subsidiary of American Eagle Outfitters, Inc. through February 2024. Year-end NOI increased due to an increase in base rents, increasing 3% annually in March. Moody's LTV and stressed DSCR are 87% and 0.96X compared to 88% and 0.96X at last review. The third largest conduit loan is the Copper Beech Portfolio Loan ($115.3 million -- 6.8% of the pool), which is secured by four cross-defaulted and cross-collateralized student housing complexes in Virginia, West Virginia, Texas and Pennsylvania. The collateral consists of 3,052 beds in 1,063 units (2.87 beds per unit on average). The average monthly rent is $1,362 per unit or $475 per bed. Moody's LTV and stressed DSCR are 85% and 1.11X compared to 86% and 1.10X at last review. GS MORTGAGE 2013-GC13: Fitch Affirms 'BB' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of GS Mortgage Securities Trust 2013-GC13 commercial mortgage pass-through certificates, series 2013-GC13. KEY RATING DRIVERS The affirmations are based on stable performance of the underlying collateral pool since issuance. As of the June 2014 distribution date, the pool's aggregate principal balance has been reduced by 0.7% to $1.324 billion from $1.334 billion at issuance. There have been no delinquent or specially serviced loans since issuance, and there are no loans on the master servcier's watchlist. The largest loan in the pool (11.3%) is the 11 West 42nd Street loan; a 943,701 square foot (sf), 32-story office tower located in midtown New York, NY. The property was originally built in 1927 and renovated in 1978. Major tenants include CIT Group, Inc. (16% net rentable area [NRA], expires October 2021), NYU (11.9% NRA, expires September 2021), Estee Lauder Companies Inc. (11.9% NRA, expires March 2025) and WellPoint Holding Corp (11.2%, expires December 2015). Occupancy has improved to 100% with net operating income (NOI) debt service coverage ratio (DSCR) at 2.36x as of December 2013. The second largest loan in the pool (11.1%) is the Mall St. Matthews loan; a 1,020,376 sf regional mall located in Louisville, KY. Anchors Dillard's (expires December 2045) and Dillard's Men's & Home (expires December 2045) are not part of the collateral while JCPenney (expires August 2017) and Forever 21 (expires February 2026) are. Total collateral is 670,376 sf. The property was originally built in 1962 but most recently renovated in 2013. Occupancy was 95.9% as of December 2013, which is in-line with performance at issuance. NOI DSCR was 2.10x as of December 2013. The third largest loan in the pool (7.9%) is the Crossroads Center loan; an 895,488 sf regional mall located in St. Cloud, Minnesota. The property is anchored by Target (not part of the collateral), JCPenney, Sears, Macy's and Scheels. The property was originally built in 1964 and most recently renovated in 2004. Occupancy was 96.3% as of December 2013, which is in-line with performance at issuance. NOI DSCR was 2.10x as of December 2013. RATING SENSITIVITY Rating Outlooks remain Stable. Due to the recent issuance of the transaction and stable performance, Fitch does not foresee positive or negative ratings migration until a material economic or asset level event changes the transaction's overall portfolio- level metrics. Fitch affirms the following classes: -- $57.3 million class A-1 at 'AAAsf', Outlook Stable; -- $72.7 million class A-2 at 'AAAsf', Outlook Stable; -- $149.7 million class A-3 at 'AAAsf', Outlook Stable; -- $135 million class A-4 at 'AAAsf', Outlook Stable; -- $420.3 million class A-5 at 'AAAsf', Outlook Stable; -- $89.2 million class A-AB at 'AAAsf', Outlook Stable; -- $98.4 million** class A-S at 'AAAsf', Outlook Stable; -- $88.4 million** class B at 'AA-sf', Outlook Stable; -- $50 million** class C at 'Asf', Outlook Stable; -- $236.8 million** class PEZ at 'Asf', Outlook Stable; -- $76.7 million class D at 'BBB-sf', Outlook Stable; -- $30 million class E at 'BBsf', Outlook Stable; -- $13.3 million class F at 'Bsf', Outlook Stable; -- $1.023 billion* class X-A 'AAAsf'; Outlook Stable; -- $30.01 million* class X-B 'BBsf'; Outlook Stable. * Notional amount and interest only. ** Class A-S, class B, and class C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for up to the full certificate principal amount of the class A-S, class B and class C certificates. Fitch does not rate the interest-only class X-C or class G certificates. GSR MORTGAGE 2007-3F: Moody's Lowers Rating on 2 Tranches to Caa3 ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches issued by GSR Mortgage Loan Trust 2007-3F. The tranches are backed by Prime Jumbo RMBS loans issued in 2007. Complete rating actions are as follows: Issuer: GSR Mortgage Loan Trust 2007-3F Cl. 3A-1, Downgraded to Caa3 (sf); previously on Apr 27, 2010 Downgraded to Caa1 (sf) Cl. 3A-2, Downgraded to Caa3 (sf); previously on Aug 3, 2012 Downgraded to Caa2 (sf) Ratings Rationale The rating actions on classes 3A-1 and 3A-2 are to align the ratings of the exchangeable bonds with the related certificates. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in November 2013. 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 6.3% in May 2014 down from 7.5% in May 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. IMPAC SECURED 2002-2: Moody's Cuts Rating on Class M-3 Notes to C ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of five tranches from one RMBS transaction, backed by Alt-A RMBS loans issued by Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2002-2. Complete rating actions are as follows: Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2002-2 Cl. A-3, Downgraded to Baa1 (sf); previously on Jun 26, 2013 Downgraded to A3 (sf) Cl. A-PO, Downgraded to Baa1 (sf); previously on Jun 26, 2013 Downgraded to A3 (sf) Cl. M-1, Downgraded to B1 (sf); previously on Jun 26, 2013 Downgraded to Ba1 (sf) Cl. M-2, Downgraded to Caa2 (sf); previously on Jun 26, 2013 Downgraded to B3 (sf) Cl. M-3, Downgraded to C (sf); previously on Nov 15, 2012 Downgraded to Ca (sf) Ratings Rationale The ratings downgraded are a result of deteriorating performance and higher than expected losses on bonds where the credit support has been depleted. The trustee has corrected the tranche balance in the March 2014 remittance report and this resulted in the transaction becoming under-collateralized since the bond balance exceed the collateral balance. This will reduce the amount of principal payments because an increasing portion of principal collection will be used to pay interests to outstanding bonds. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in November 2013. 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 6.3% in April 2014 from 7.5% in April 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2014. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. JAMESTOWN CLO III: S&P Affirms 'BB-' Rating on Class D Notes ------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on Jamestown CLO III Ltd./Jamestown CLO III Corp. $461.10 million fixed- and floating-rate notes following the transaction's effective date as of April 16, 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. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P said. In S&P's published effective date report, it discusses its analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, S&P intends to publish an effective date report each time it issues an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as S&P deems necessary. RATINGS AFFIRMED Jamestown CLO III Ltd./Jamestown CLO III Corp. Class Rating Amount (mil. $) A-1A AAA (sf) 287.70 A-1B AAA (sf) 20.00 A-2A AA (sf) 43.90 A-2B AA (sf) 10.00 B (deferrable) A (sf) 45.10 C (deferrable) BBB- (sf) 33.00 D (deferrable) BB- (sf) 21.40 JP MORGAN 2002-CIBC5: Fitch Affirms D Rating on Cl. M Certificates ------------------------------------------------------------------ Fitch Ratings has upgraded three classes of JP Morgan Chase Commercial Mortgage Securities Corporation's (JPMC) commercial mortgage pass-through certificates, series 2002-CIBC5. Key Rating Drivers The upgrades are the result of increased credit enhancement due to scheduled amortization and defeasance. The upgrade of class G to 'AAAsf' reflects the high amount of defeased collateral and the expected payoff of the class from scheduled principal. While class H also benefits from defeasance, ratings were capped at 'Asf' due to the possibility of interest shortfalls to the class should loans transfer to the special servicer as the deal becomes more concentrated. Fitch modeled losses of 3.7% of the remaining pool; expected losses on the original pool balance total 2.5%, including losses already incurred (2.3% of the original pool balance). As of the May 2014 distribution date, the pool's aggregate principal balance has been reduced by 94.8% to $51.7 million from $1 billion at issuance. There are 12 loans remaining, three of which are defeased (38.8%), and two (14.9%) have been identified as Fitch loans of concern. There are no loans in special servicing. Interest shortfalls are currently affecting classes L and NR. Rating Sensitivities Ratings on classes G, H, and J are expected to remain stable, given their senior position in the capital structure. The upgrades of classes H and J were limited due to increased concentration of the remaining loans in the pool and the associated greater risk of adverse selection. If the collateral performance deteriorates, future downgrades to classes K and L are possible. The largest remaining loan is secured by a 384,763 square foot (sf) industrial property in Las Vegas, NV (27.1%). The distribution facility is 100% leased to a single tenant - Southern Wine & Spirits of America, on a triple-net (NNN) lease until year- end 2020. The loan is fully amortizing. As of third quarter 2013, the servicer reported DSCR was 1.47x, which is in line with performance from issuance. The second largest remaining non-defeased loan is secured by a 118,298 sf retail property in Bedford, TX (13.8%). The center's anchor, Tom Thumb Grocery, occupies 41% of the net rentable area (NRA) until August 2017. All tenants are under NNN leases. The performance of the property remains below expectation with a debt service coverage ratio (DSCR) below 1.0x since 2011. As of year- end 2013, the servicer-reported DSCR was 0.88x, compared to 0.88x at YE2012, 0.8x at YE2011 and 1.00x at YE2010. The poor performance is due to the weak market and rent concessions to maintain tenancy. As of first quarter 2014 rent roll, the property was 91.6% occupied, improved from 87.9% a year ago. Fitch upgrades the following classes as indicated: -- $5 million class G to 'AAAsf' from 'AA-sf'; Outlook Stable; -- $18.8 million class H to 'Asf' from 'BBB+sf'; Outlook Stable; -- $12.6 million class J to 'BBBsf' from 'BBB-sf'; Outlook Stable. Fitch affirms the following classes as indicated: -- $5 million class K at 'BBsf'; Outlook Negative; -- $5 million class L at 'Bsf'; Outlook Negative; -- $5.4 million class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%. The classes A-1, A-2, B, C, D, E, F and the interest only 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 2003-PM1: S&P Lowers Rating on Class F Notes to 'D' ------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class E and F commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2003- PM1, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its rating on the class D certificates. Lastly, the ratings on the class D, E, and F certificates were removed from CreditWatch, where they were placed with negative implications on April 17, 2014. On April 17, 2014, S&P lowered its ratings on classes D, F, and G and placed its ratings on classes D, E, and F on CreditWatch with negative implications. S&P's rating actions were primarily because the trust did not receive any principal and interest payments per the April 14, 2014, trustee remittance report. According to the master servicer, Midland Loan Services, the additional trust-related expenses were primarily related to an ongoing litigation on the Palm Beach Mall asset. "We lowered and removed from CreditWatch our ratings on classes E and F to reflect our analysis of the trust's ability to generate sufficient cash flow to reimburse the servicer's outstanding advances and fees. We lowered our rating on the class E certificates because of continued interest shortfalls to the class, as reflected in the June 12, 2014, trustee remittance report, and the class' susceptibility to experiencing interest shortfalls. Since 2013, class E had accumulated interest shortfalls outstanding for nine months. If the class continues to have accumulated interest shortfalls outstanding in the near term, we may further lower our rating. We lowered our rating on class F to 'D (sf)' because we believe that the accumulated interest shortfalls will remain outstanding in the near term. The accumulated interest shortfalls on class F have been outstanding for 10 consecutive months," S&P said. "Lastly, we affirmed and removed from CreditWatch our 'A- (sf)' rating on the class D certificates because, based on information we received from the paying agent and special servicer, we do not anticipate this class to experience continued interest shortfalls in the near term. However, if interest shortfalls increase and affect this class, we may lower our rating on this class," S&P added. The trust incurs monthly interest shortfalls that are mainly attributable to the Palm Beach Mall asset ($43.6 million, 41.5%). According to the June 12, 2014, trustee remittance report, the trust incurred $454,536 in monthly interest shortfalls that mainly consist of $227,407 in interest not advanced on the Palm Beach Mall asset, $207,343 in principal payments from interest distribution, $11,068 in special servicing fees, and $3,619 in appraisal subordinate entitlement reduction amounts on two ($7.8 million, 7.4%) of the specially serviced assets. According to ORIX Capital Markets LLC, the special servicer, the litigation is ongoing on the Palm Beach Mall asset and the trust will continue to incur legal fees associated with it. As of the June 12, 2014, trustee remittance report, the collateral pool had an aggregate trust balance of $105.0 million, down from $1.2 billion at issuance. The pool currently has 20 assets, down from 148 loans at issuance. To date, the transaction has experienced losses totaling $35.1 million. Credit Enhancement Levels Class Credit enhancement (%) D 87.36 E 75.00 F 59.89 RATINGS LIST JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2003-PM1 Rating Class Identifier To From D 46625MYX1 A- (sf) A- (sf)/Watch Neg E 46625MYY9 B+ (sf) BB- (sf)/Watch Neg F 46625MZE2 D (sf) CCC- (sf)/Watch Neg JP MORGAN 2004-C2: Fitch Affirms CCC Rating on Class K Certs ------------------------------------------------------------ Fitch Ratings has upgraded six classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., commercial mortgage pass- through certificates, series 2004-C2. KEY RATING DRIVERS The upgrades reflect an increase in credit enhancement from loan paydown primarily from loan payoffs, as the transaction has paid down $690.3 million since Fitch's last rating action. Despite high credit enhancement the upgrades were limited given interest shortfalls that had previously reached class D before they were subsequently recovered, as well as the high percentage of the pool in special servicing. Fitch modeled losses of 13.1% of the remaining pool; expected losses of the original pool total 2.3%, including $12 million (1.1% of the original pool balance) in realized losses to date. Of the original 134 loans, 19 remain; Fitch has designated 12 loans (45.1%) as Fitch Loans of Concern, which includes eight specially serviced loans (42.3%). Remaining loan maturities are concentrated in 2014 and 2019 comprising of 46.7% and 34.9% of the pool balance, respectively. As of the May 2014 distribution date, the pool's aggregate principal balance has been reduced by 90.2% to $101.2 million from $1.03 billion at issuance. Per the servicer reporting, one loan (1.9%) in the trust is currently defeased. As of the May 2014 distribution date, interest shortfalls were affecting classes H through NR. The largest contributor to expected losses is the real estate owned 135,004 square foot retail center, Tower Plaza Retail Center (11.6% of the pool balance), located in Temacula, CA. The property experienced cash flow issues due to occupancy declines in 2009 when the grocery anchor vacated the property. The asset was transferred to the special servicer in February 2012 for payment default and the special servicer completed the foreclosure process in March 2014. The property's occupancy is currently 74% which is an improvement from the 2010 low of 57%. The special servicer is evaluating options before determining the disposition strategy. The second largest contributor to expected losses is collateralized by a 139,534 sf retail property located in Slidell, LA. The property is shadowed anchored by Target and has experienced cash flow and occupancy issues when the local economy struggled during the last recession. Economic activity has subsequently stabilized and the property's occupancy was 80% with a debt service coverage ratio (DSCR) of 1.5x at year end 2013. The property transferred to the special servicer in March 2014 when it was apparent that the loan would not pay off at its April 2014 maturity date. The special servicer notes indicate that a full pay-off is expected. The third largest contributor to expected losses is the specially serviced loan, Woodforest Square, a 44,399 sf retail center located in Houston, TX. The property reported year end 2013 occupancy of 68% and DSCR of 1.22x. The loan was transferred to the special servicer in 2012 after one of the loan guarantors filed for bankruptcy protection. The sponsor issues are expected to prevent the loan from refinancing by the July 2014 maturity date and the special servicer continues to evaluate workout options. RATING SENSITIVITIES The ratings of classes C through E have Stable Outlooks due to high credit enhancement. Classes D and E will remain at 'A' due to previously incurred interest shortfalls in accordance to the May 28, 2014 Fitch report 'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions'. Classes F through J also have Stable Outlooks; despite the increasing credit enhancement, upgrades are not warranted due to the high amount of specially serviced loans and increasing overall concentrations. Fitch upgrades the following classes: -- $3.1 million class C to 'AAAsf' from 'AAsf'; Outlook Stable; -- $9.1 million class E to 'Asf' from 'BBBsf'; Outlook Stable; -- $11.6 million class F to 'BBBsf' from 'BBB-sf'; Outlook Stable from Negative; -- $7.8 million class G to 'BBBsf' from 'BBsf'; Outlook Stable from Negative; -- $11.6 million class H to 'BBsf' from 'Bsf'; Outlook Stable from Negative; -- $6.5 million class J to 'Bsf' from 'CCCsf'; assigned Outlook Stable. Fitch also affirms the following classes: --$24.6 million class D at 'Asf'; Outlook Stable; --$5.2 million class K at 'CCCsf'; RE 100%; --$2.6 million class L at 'CCsf'; RE 75%; --$3.9 million class M at 'Csf'; RE 0%; --$2.6 million class N at 'Csf'; RE 0%; --$2.6 million class P at 'Csf'; RE: 0%; The class A-1, A-2, A-3, A-1A, B, RP-1, RP-2, RP-3, RP-4, and the RP-5 certificates have paid in full. Fitch does not rate the class NR certificate. Fitch previously withdrew the rating on the interest-only class X certificate. KINGSLAND VII: Fitch Assigns 'BBsf' Rating on Class E Notes ----------------------------------------------------------- Fitch Ratings assigns the following ratings to Kingsland VII: -- $297,000,000 class A notes 'AAAsf'; Outlook Stable; -- $48,500,000 class B notes 'AAsf'; Outlook Stable; -- $21,500,000 class C notes 'Asf'; Outlook Stable; -- $17,750,000 class D notes 'BBBsf'; Outlook Stable; -- $21,500,000 class E notes 'BBsf'; Outlook Stable. Fitch does not rate the subordinated notes. TRANSACTION SUMMARY Kingsland VII (the issuer) and Kingsland VII LLC (the co-issuer) together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Kingsland Capital Management LLC. Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately $472 million of primarily senior secured leveraged loans. The CLO will have a four-year reinvestment period and a two-year noncall period. KEY RATING DRIVERS Sufficient Credit Enhancement: Credit enhancement (CE) available to the notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the respective rating stress scenarios. The degree of CE available to the class A notes is slightly below the average CE of notes with the same priority in recent CLO issuances. The degree of CE for the class B, C, D, and E notes are all above the average CE of notes in the same respective rating categories in recent CLO issuances. 'B' Asset Quality: The average credit quality of the indicative portfolio is approximately 'B', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, in Fitch's opinion, each class of rated notes is projected to be sufficiently robust against default rates commensurate with its applicable rating stress. Strong Recovery Expectations: The indicative portfolio consists of 97% first lien senior secured loans. Approximately 91.5% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher. Consistent Portfolio Parameters: The concentration limitations and collateral quality test levels are within the range of limits set in the majority of recent CLOs. Fitch addressed the impact of the most prominent risk-presenting concentration allowances in the Fitch stressed portfolio analysis. RATING SENSITIVITIES Fitch evaluated the structure's sensitivity to the potential variability of key model assumptions including decreases in weighted average spread or recovery rates and increases in default rates or correlation. The class A notes are expected to remain investment grade, while classes B, C, D, and E are generally expected to remain within two rating categories of their assigned ratings, even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'A+sf' and 'AAAsf' for the class A notes, between 'BB+sf' and 'AAAsf' for the class B notes, between 'BBsf' and 'AA+sf' for the class C notes, between 'Bsf' and 'AA+sf' for the class D notes, and between a level below 'CCCsf' and 'A+sf' for the class E notes. Fitch views the results of these scenarios as consistent with the assigned ratings. KVK CLO 2014-1: S&P Affirms 'BB' Rating on Class E Notes -------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on KVK CLO 2014-1 Ltd./KVK CLO 2014-1 LLC's $526.015 million fixed- and floating-rate notes following the transaction's effective date as of May 1, 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. S&P believes the transaction may see some benefit from allowing a window of time after the closing date for the collateral manager to acquire the remaining assets for a CLO transaction. This window of time is typically referred to as a "ramp-up period." Because some CLO transactions may acquire most of their assets from the new issue leveraged loan market, the ramp-up period may give collateral managers the flexibility to acquire a more diverse portfolio of assets. For a CLO that has not purchased its full target level of portfolio collateral by the closing date, S&P's ratings on the closing date and prior to its effective date review are generally based on the application of its criteria to a combination of purchased collateral, collateral committed to be purchased, and the indicative portfolio of assets provided to S&P by the collateral manager, and may also reflect its assumptions about the transaction's investment guidelines. This is because not all assets in the portfolio have been purchased. "When we receive a request to issue an effective date rating affirmation, we perform quantitative and qualitative analysis of the transaction in accordance with our criteria to assess whether the initial ratings remain consistent with the credit enhancement based on the effective date collateral portfolio. Our analysis relies on the use of CDO Evaluator to estimate a scenario default rate at each rating level based on the effective date portfolio, full cash flow modeling to determine the appropriate percentile break-even default rate at each rating level, the application of our supplemental tests, and the analytical judgment of a rating committee," S&P 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 LIST KVK CLO 2014-1 Ltd. Rating Class Identifier To From A-1 48274LAA9 AAA (sf) AAA (sf) A-2 48274LAB7 AAA (sf) AAA (sf) B 48274LAC5 AA (sf) AA (sf) C 48274LAD3 A (sf) A (sf) D 48274LAE1 BBB (sf) BBB (sf) E 48274KAA1 BB (sf) BB (sf) LATITUDE CLO I: Moody's Affirms B3 Rating on Class D Notes ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Latitude CLO I, Ltd.: $23,000,000 Class B-1 Notes Due 2017, Upgraded to Aaa (sf); previously on October 17, 2013 Upgraded to Aa2 (sf); $2,000,000 Class B-2 Notes Due 2017, Upgraded to Aaa (sf); previously on October 17, 2013 Upgraded to Aa2 (sf); $13,300,000 Class C Notes Due 2017, Upgraded to Baa2 (sf); previously on October 17, 2013 Upgraded to Ba1 (sf). Moody's also affirmed the ratings on the following notes: $45,000,000 Class A-2 Notes Due 2017 (current outstanding balance $41,467,362.05), Affirmed Aaa (sf); previously on October 17, 2013 Affirmed Aaa (sf); $9,500,000 Class D Notes Due 2017, Affirmed B3 (sf); previously on October 17, 2013 Affirmed B3 (sf). Latitude CLO I, Ltd., issued in December 2005, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in December 2012. 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 October 2013. The Class A-1 notes have been paid down completely or $29.3 million and the Class A-2 notes have been paid down by approximately 8% or $3.5 million since October 2013. Based on the trustee's April 18, 2014 report, the over-collateralization (OC) ratios for the Class A, Class B, Class C, and Class D notes are reported at 226.45%, 141.28%, 117.72% and 105.19%, respectively, versus October 2013 levels of 171.08%, 128.01%, 112.90% and 104.11%, respectively. Additionally, although the principal balance of investments in assets that mature after the CLO's legal maturity date (long-dated assets) has decreased from $24.05 million in October 2013 to $22.79 million in April 2014, the percentage of the collateral pool that it represents has increased owning to deleveraging of loans in the portfolio that are not long-dated assets. Based on Moody's calculations the long-dated assets in the portfolio are currently 28.99% of performing par compared to 19.88% of performing par in October 2013. 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. LB COMMERCIAL 1999-C1: Moody's Cuts Rating on Cl. X Certs to Caa3 ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings of one class, downgraded one class and affirmed two classes of LB Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 1999-C1 as follows: Cl. G, Upgraded to A2 (sf); previously on Jul 25, 2013 Upgraded to Baa1 (sf) Cl. H, Affirmed Caa3 (sf); previously on Jul 25, 2013 Affirmed Caa3 (sf) Cl. J, Affirmed C (sf); previously on Jul 25, 2013 Affirmed C (sf) Cl. X, Downgraded to Caa3 (sf); previously on Jul 25, 2013 Affirmed Caa2 (sf) Ratings Rationale The rating on the P&I class, Class G, was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 52% since Moody's last review. The ratings on the P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class, Class X, was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 12.3% of the current balance, compared to 16.5% at Moody's last review. Moody's base expected loss plus realized losses is now 2.9% of the original pooled balance, compared to 3.0% at the last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range 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. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Moody's analysis incorporated a Credit Tenant Lease (CTL) financing approach in assessing the credit quality of the pool's CTL component. In this approach, the rating of the CTL component is based primarily on the senior unsecured debt rating (or the corporate family rating) of the tenants, usually investment-grade- rated companies, leasing the real estate collateral supporting the bonds. The tenants' credit rating is the key factor in determining the probability of default on the underlying lease. The lease generally is "bondable," which means it is an absolute net lease, yielding a fixed rent paid to the trust through a lock box, sufficient under all circumstances to pay in full all interest and principal of the loan. The leased property should be owned by a bankruptcy-remote special purpose borrower, which grants a first- lien mortgage and assignment of rents to the securitization trust. Moody's determines a dark value of the collateral, (which assumes the property is vacant or dark), which the agency uses to determine a recovery rate upon a loan's default. Moody's currently uses a Gaussian copula model, incorporated in its public CDO rating model CDOROMv2.12-2, to generate a portfolio loss distribution to assess the ratings. 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 2, compared to 3 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 May 15, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $26.7 million from $1.6 billion at securitization. The certificates are collateralized by 18 mortgage loans ranging in size from 2% to 18% of the pool, with the top ten loans constituting 75% of the pool. Four loans, constituting 25% of the pool, have defeased and are secured by US government securities. Three loans, constituting 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $42.4 million (for an average loss severity of 34%). No loans are currently in special servicing. Moody's received full year 2012 operating results for 100% of the pool, and full or partial year 2013 operating results for 100%. Moody's weighted average conduit LTV is 64%, compared to 71% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 1% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.26X and 1.70X, respectively, compared to 1.22X and 1.64X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. Only two conduit loans remain which represent 24% of the pool balance. The largest conduit loan is the Kohl's Shopping Center Loan ($4.7 million -- 18% of the pool balance), which is secured by a 102,000 square foot (SF) retail center located in suburban Knoxville, Tennessee. The property was 100% leased as of April 2014, the same as at the prior review. Kohl's Department Store leases 86% of the net rentable area (NRA) through February 2019. The Moody's LTV and stressed DSCR are 69% and 1.48X, respectively, compared to 68% and 1.5X at last review. The other remaining conduit loan is the Spalding Shopping Center ($1.7 million -- 6% of the pool balance), which is secured by a 59,000 SF retail center located 25 miles from Atlanta's CBD. The property was 89% leased as of year-end 2013, compared to 86% at last review. This loan is currently on the watchlist due to a decline in occupancy from Best Thrift (22% of the NRA) vacating in June 2011; however, a new tenant leased the space in February 2013. The property also benefits from rent steps and the loan fully amortizes over its term. The Moody's LTV and stressed DSCR are 49% and 2.3X, respectively, compared to 72% and 1.58X at last review. The CTL component consists of 12 loans, constituting 52% of the pool, secured by properties leased to four tenants. The largest exposures are Rite-Aid Corp. ($6.4 million -- 24% of the pool balance; senior unsecured rating: Caa1) and CVS ($3.2 million -- 12% of the pool; backed senior unsecured rating: Baa1). Moody's has completed updated credit assessments for the non-Moody's rated tenants. The bottom-dollar weighted average rating factor (WARF) for this pool is 3155, compared to 3830 at the last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of default probability. LB-UBS COMMERCIAL 2000-C5: Moody's Affirms C Rating on Cl. G Certs ------------------------------------------------------------------ Moody's Investors Service affirmed five classes of LB-UBS Commercial Mortgage Trust 2000-C5, Commercial Mortgage Pass- Through Certificates, Series 2000-C5 as follows: Cl. D, Affirmed Aa2 (sf); previously on Jun 27, 2013 Upgraded to Aa2 (sf) Cl. E, Affirmed Baa1 (sf); previously on Jun 27, 2013 Upgraded to Baa1 (sf) Cl. F, Affirmed Caa1 (sf); previously on Jun 27, 2013 Affirmed Caa1 (sf) Cl. G, Affirmed C (sf); previously on Jun 27, 2013 Downgraded to C (sf) Cl. X, Affirmed Caa3 (sf); previously on Jun 27, 2013 Affirmed Caa3 (sf) Ratings Rationale The ratings on the P&I Classes D and E 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 P&I Classes F and G were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class X was affirmed because the credit performance (or the weighted average rating factor or WARF) of the referenced classes are consistent with Moody's expectations. Moody's rating action reflects a base expected loss of 30.7% of the current balance, compared to 30.8% at Moody's last review. Moody's base expected loss plus realized losses is now 8.3% of the original pooled balance, compared to 8.4% at the last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range 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. Methodology Underlying The Rating Action The methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. 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 structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured 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 2, the same as 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 May 16, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $32.9 million from $1.0 billion at securitization. The certificates are collateralized by six mortgage loans ranging in size from 1% to 78% of the pool. There are no loans with investment-grade structured credit assessments. One loan, constituting 2% of the pool, has defeased and is secured by US government securities. Four loans, constituting 96% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty-two loans have been liquidated from the pool, resulting in an aggregate realized loss of $72.9 million (for an average loss severity of 47%). No loans are currently in special servicing. There are no loans in special servicing. Moody's has assumed a high default probability for two poorly performing loans, constituting 17% of the pool, and has estimated an aggregate loss of $2.8 million (a 52% expected loss based on a 75% probability default) from these troubled loans. Moody's received full year 2013 operating results for 80% of the pool. Moody's weighted average conduit LTV is 112%, compared to 128% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 24% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 0.74X and 0.98X, respectively, compared to 0.66X and 0.86X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top two conduit loans represent 94% of the pool balance. The largest loan is the Utica Park Place Shopping Center Loan ($25.7 million -- 78.1% of the pool balance), which is secured by a 456,000 square foot (SF) power center located in Utica, Michigan. The center was 89% leased as of January 2014, the same as at last review. The three largest tenants are Sam's Club, Garden Ridge and Value City Furniture. The lease for Sam's Club, representing 36% of the NRA, was recently renewed for ten years. Additionally, Best Buy, representing 10% of the NRA, exercised a five year lease extension at a reduced rent. The loan has been on the servicer's watchlist since May 2009 for low DSCR and missing its anticipated repayment date (ARD) of August 11, 2010. As a result of the reduced rents and lease rollover risk. Moody's LTV and stressed DSCR are 116% and 0.87X, respectively, compared to 133% and 0.75X at last review. The second largest loan is the Express Scripts Building Loan ($5.1 million -- 15.6% of the pool balance). The loan is secured by a mixed used (office / flex warehouse) property located in Albuquerque, New Mexico. The loan transferred to special servicing in September 2010 due to imminent default. The loan passed its anticipated repayment date (ARD) on October 1, 2010 after Express Scripts reduced its space to 37% of the NRA from previously fully leasing the property. The loan returned to the master servicer in October 2012 and the Borrower remains current on its payments. The property remains only 37% leased and is on the watchlist due to low occupancy and DSCR. The servicer indicated that the Borrower is currently evaluating its options in regards to this loan. Due to the low occupancy and DSCR, Moody's views this as a troubled loan. LB-UBS COMMERCIAL 2003-C5: Fitch Affirms CCC Rating on Cl. N Certs ------------------------------------------------------------------ Fitch Ratings has affirmed all classes of LB-UBS commercial mortgage trust pass-through certificates, series 2003-C5. Key Rating Drivers The pool is highly concentrated. The affirmations reflect the high credit enhancement of the classes. There are three remaining loans in the pool, one of which is defeased (15.4% of the pool) with an anticipated repayment date (ARD) of April 2018. As of the May 2014 distribution date, the pool's aggregate principal balance has been reduced by 95.8% to $59.5 million from $1.41 billion at issuance. The pool has experienced $5.5 million (0.4% of the original pool balance) in realized losses to date. Interest shortfalls are currently affecting classes L through T. The largest loan (62.4% of the pool) and leading contributor to modeled losses is secured by a 568,657 square foot (sf) mall located in Scranton, PA. The loan was transferred to the special servicer in March 2010 and matured without repayment in July 2013. The servicer reported debt service coverage ratio (DSCR) as of June 2013 was 0.65x. The special servicer is now pursuing foreclosure. The second largest loan (22.2% of the pool) is secured by a 256,384 sf single-tenant, office property located in Buffalo Grove, IL. The loan had an ARD of June 2013 with a final maturity of June 2033. The sole tenant's lease expires in 2016. Servicer reported DSCR was 1.59x as of year-end 2013. Rating Sensitivity The Rating Outlook of class J remains Stable as no rating change is expected. Although credit enhancement has increased the class previously experienced an interest shortfall, and is susceptible to another given the uncertain resolution surrounding the specially serviced loan and high concentration of the pool. The Outlook remains Negative for classes K and L. The distressed classes are subject to further downgrade should additional losses be realized. Fitch affirms the following classes, Rating Outlooks, and Rating Estimates (REs) as indicated: -- $2 million class J at 'Asf; Outlook Stable; -- $14 million class K at 'BBB-sf; Outlook Negative; -- $12.3 million class L at 'Bsf'; Outlook Negative; -- $5.3 million class M at 'CCCsf'; RE 0%; -- $3.5 million class N at 'CCCsf'; RE 0%. Fitch does not rate classes P, Q, S, and T and classes A-1, A-2, A-3, A-4, B, C, D, E, F, G, H and X-CP have paid in full. Fitch previously withdrew the rating on the interest-only class X-CL certificates. LB-UBS COMMERCIAL 2007-C6: Fitch Cuts Cl. K Certs Rating to 'Dsf' ----------------------------------------------------------------- Fitch Ratings has downgraded one distressed class and affirmed 19 classes of LB-UBS Commercial Mortgage Trust (LBUBS) commercial mortgage pass-through certificates series 2007-C6. KEY RATING DRIVERS The downgrade to class K reflects losses incurred on the class. Fitch modeled losses of 16.3% of the remaining pool; expected losses on the original pool balance total 15.6%, including $159.8 million (5.4% of the original pool balance) in realized losses to date. Fitch has designated 67 loans (52.8%) as Fitch Loans of Concern, which includes 48 specially serviced assets (23.3%). As of the June 2014 distribution date, the pool's aggregate principal balance has been reduced by 37.2% to $1.87 billion from $2.98 billion at issuance. Per the servicer reporting, one loan (1.7% of the pool) is defeased. Interest shortfalls are currently affecting classes J through T. RATING SENSITIVITIES The Negative Outlook on classes A-M and A-MFL reflects the potential risk for greater than expected losses on the specially serviced loans, primarily the PEC0 Portfolio. In addition, the Negative Outlook reflects performance concerns and declining cash flows for several underperforming properties in the top 15 loans. The classes could be subjected to future downgrades should expected losses increase. The largest contributor to expected losses is the specially- serviced PECO Portfolio loan (17% of the pool), which consists of 39 cross-collateralized loans totaling $317.3 million secured by 39 retail properties totaling 4.25 million square feet (SF) located across 13 states. Primarily grocery-anchored, the portfolio's major tenants include Tops Markets, Bi-Lo Grocery, Big Lots, and Publix. The portfolio had experienced cash flow issues due to turnover and vacancy costs at several of the properties. Occupancy for the portfolio reported at 81.6%, per the December 2013 rent rolls. The loan had transferred to special servicing in August 2012 due to the borrower's request for a loan modification; the loan has been in payment default since September 2012. A court-ordered cash management agreement was enforced by the servicer in December 2012, and the borrower had subsequently executed a deed-in-lieu (DIL) of foreclosure agreement. Per the DIL agreement, all 39 properties are expected to become real estate owned (REO) by year end (YE) 2014. The special servicer reports it is currently evaluating the appropriate resolution and disposition strategy. The next largest contributor to expected losses is the McCandless Towers loan (6.1%). The property, which is also referred to as the Santa Clara Towers, is collateralized by two 11-story, Silicone Valley office buildings totaling 426,326 SF, located in Santa Clara, CA. The property has experienced cash flow issues due to occupancy declines, as well as softening market conditions. McAfee Associates Inc. (McAfee) (previously 46% of the total net rentable area [NRA]), which occupied 100% of Tower II (214,080 SF), had vacated the property at its lease expiration in March 2013. The borrower has been successful in re-leasing approximately 85,000 SF (20% of total NRA) of the vacated McAfee space to CA Technologies on a long-term lease from July 2013 through January 2024. As a result occupancy improved to 67% per the December 2013 rent roll, from 42% in December 2012. The net operating income (NOI) debt service coverage ratio (DSCR) for YE 2013 reported at 0.51x, compared to 0.92x at YE 2012. Property cash flow is expected to significantly improve for 2014 due to the burn off of CA Technologies rent concessions, which have gradually expired between January 2014 and May 2014. The loan is current as of the June 2014 payment date. The third largest contributor to Fitch expected losses is the Islandia Shopping Center loan (3.9%) which is collateralized by a 376,774 SF retail center located in Islandia, NY (Long Island). The property's anchors are a Wal-Mart and a Stop & Shop. Additional major tenants include Dave & Busters and TJ Maxx. Although the property is currently 96% occupied, the borrower cited previous cash flow constraints from vacancies, reduced rental rates and chronically delinquent payments. The property transferred to special servicing in March 2013 due to imminent default and loan modification request, and subsequently went into payment default in October 2013. The loan was recently modified in April 2014 while in special servicing, which included an extension of the loans maturity date, a reduction of the interest-only period with amortization scheduled to begin in year two, a reduced initial interest rate with scheduled rate increases, and a bifurcation of the loan into a senior ($63.5 million) and junior ($10.1 million) component. Although losses are not imminent , any recovery to the B-note is contingent upon full recovery to the A-note proceeds at the loan's maturity in July 2021. Unless collateral performance improves, recovery to the B- note component is unlikely. The loan is current under the modified terms and is expected to be returned to the master servicer after the monitoring period. Fitch downgrades the following class: -- $4 million class K to 'Dsf' from 'Csf'; RE 0%. Fitch affirms the following classes: -- $859.1 million class A-4 at 'AAAsf'; Outlook Stable; -- $276.9 million class A-1A at 'AAAsf'; Outlook Stable; -- $227.9 million class A-M at 'Asf'; Outlook Negative; -- $70 million class A-MFL at 'Asf'; Outlook Negative; -- $156.4 million class A-J at 'CCCsf'; RE 80%; -- $33.5 million class B at 'CCCsf'; RE 0%; -- $37.2 million class C at 'CCCsf'; RE 0%; -- $33.5 million class D at 'CCsf'; RE 0%; -- $29.8 million class E at 'CCsf'; RE 0%; -- $29.8 million class F at 'Csf'; RE 0%; -- $33.5 million class G at 'Csf'; RE 0%; -- $37.2 million class H at 'Csf'; RE 0%; -- $41 million class J at 'Csf'; 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%. The class A-1, A-2, A-2FL, A-3 and A-AB certificates have paid in full. Fitch does not rate the class T certificates. Fitch previously withdrew the rating on the interest-only class X certificates. LB COMMERCIAL 96-C2: Moody's Hikes Rating on Class F Certs to Ba2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one class, affirmed the rating of one class and reinstated the rating of one class issued in LB Commercial Conduit Mortgage Trust II, Multiclass Pass-Through Certificates, Series 96-C2 as follows: Cl. F, Upgraded to Ba2 (sf); previously on Dec 5, 2013 Affirmed B1 (sf) Cl. G, Reinstated to C (sf); previously on Dec 27, 2011 Withdrawn (sf) Cl. IO, Affirmed Caa3 (sf); previously on Dec 5, 2013 Affirmed Caa3 (sf) Ratings Rationale The rating on the P&I Class, Class F, was upgraded due to the recoupment of proceeds which cured the previous loss outstanding on the bond. Moody's reinstated the rating on Class G following the trustee's reinstatement of the principal balance of this tranche. The trustee's report for LBCMT 1996-C2 showed that Class G was reopened due to the trust recouping advances and curing the losses on Class F. In reports issued since June 2010, Class G had realized losses causing the principal balance to be written down to zero. As a result, Moody's withdrew the rating on Class G in accordance with Moody's withdrawal policy. The rating on the interest-only class, Class IO, 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. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Description of Models Used Moody's used the excel-based Large Loan Model v 8.7 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 May 27, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 99.9% to $125,650 from $397.2 million at securitization. The remaining certificates are collateralized by one mortgage loan representing 100% of the pool. The loan is fully amortizing, with a remaining term of 27 months. Sixteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $29.7 million (68% loss severity on average), which represents 7.5% of the original pool balance. Due to the realized losses, Classes H and J were completely eliminated and Class G has realized over a 99% loss to its original principal balance. Moody's was provided with full year 2013 operating results for the remaining loan. The single remaining loan is the 32nd Street Shops / Denny's Loan ($125,650 -- 100% of the pool), which is secured by a 9,618 square foot neighborhood retail center located in Boca Raton, Florida. The property was 100% leased as of March 2014, the same at last review. The largest tenant is Denny's, Inc. (41% of NRA, lease expiration February 28, 2017). Performance has been stable. Moody's LTV and stressed DSCR are 9% and 11.79X, respectively, compared to 14% and 7.77X at last review. LCM XVI L.P.: S&P Assigns 'BB-' Rating on Class E Notes ------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to LCM XVI L.P./LCM XVI LLC's $654.10 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 ratings reflect: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- The timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.2281%-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 LCM XVI L.P./LCM XVI LLC Class Rating Amount (mil. $) X AAA (sf) 4.50 A AAA (sf) 441.00 B AA (sf) 84.70 C (deferrable) A (sf) 56.00 D (deferrable) BBB (sf) 34.30 E (deferrable) BB- (sf) 33.60 Subordinated notes NR 71.50 NR-Not rated. LEGG MASON: Moody's Raises Rating on Class D Notes to 'Ba3' ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Legg Mason Real Estate CDO I, Ltd.: Cl. A2, Upgraded to Aa2 (sf); previously on Aug 8, 2013 Affirmed A1 (sf) Cl. B, Upgraded to Baa1 (sf); previously on Aug 8, 2013 Affirmed Baa3 (sf) Cl. C, Upgraded to Baa3 (sf); previously on Aug 8, 2013 Affirmed Ba2 (sf) Cl. D, Upgraded to Ba3 (sf); previously on Aug 8, 2013 Affirmed B1 (sf) Moody's Investors Service has also affirmed the ratings on the following notes issued by Legg Mason Real Estate CDO I, Ltd.: Cl. E, Affirmed B2 (sf); previously on Aug 8, 2013 Affirmed B2 (sf) Cl. F-1, Affirmed Caa1 (sf); previously on Aug 8, 2013 Affirmed Caa1 (sf) Cl. G, Affirmed Caa3 (sf); previously on Aug 8, 2013 Affirmed Caa3 (sf) Ratings Rationale Moody's has upgraded the ratings on the transaction because of rapid redemption of the underlying collateral resulting in material amortization of senior classes of notes while other key credit parameters of underlying pool of assets either are improved or remain stable. Moody's has affirmed the ratings of on the transaction because key transaction metrics are commensurate with the existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation and collateralized loan obligation (CRE CDO CLO) transactions. Legg Mason Real Estate CDO I is a cash CRE CDO transaction whose reinvestment period ended in April 2011. The transaction is backed by a portfolio of 100% commercial real estate whole loans and senior participations. As of the May 12, 2014 note valuation report, the aggregate note balance of the transaction, including income notes, has decreased to $240.6 million from $532.0 million at issuance, with the paydown directed to the senior most outstanding classes of notes. This was the result of the combination of regular amortization and resolution and sales of defaulted collateral. 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 reference obligations it does not rate. The rating agency modeled a bottom-dollar WARF of 7619, compared to 8106 at last review. The current ratings on the Moody's-rated reference obligations and the assessments of the non-Moody's rated reference obligation follow: Aaa-Aa3 and 0.0% compared to 2.1% at last review; A1-A3 and 0.0% compare to 0.1% at last review; Baa1-Baa3 and 0.7% compared to 0.3% at last review; Ba1-Ba3 and 13.7% compared to 0.0% at last review; B1-B3 and 0.0% compared to 10.3% at last review; and Caa1-Ca/C and 85.6% compared to 87.2% at last review. Moody's modeled a WAL of 2.2 years, compared to 2.9 years at last review. The WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 54.1%, compared to 52.8% at last review. Moody's modeled a MAC of 100.0%, the same as at last review. 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: 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 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 rate of the underlying collateral and credit assessments. Holding all other key parameters static, reducing the recovery rate by 10% would result in modeled rating movement on the rated notes of zero to eight notches downward (e.g. one notch down implies a rating movement from Baa3 to Ba1). Increasing the recovery rate by 10% would result in modeled rating movement on the rated notes of zero to fourteen notches upward (e.g. one notch up implies a rating movement from Ba1 to Baa3). 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. LONE STAR 2011-1: Fitch Affirms 'Bsf' Rating on Class F Notes ------------------------------------------------------------- Fitch Ratings has affirmed six classes of Lone Star Funds (LSTAR) commercial mortgage pass-through certificates series 2011-1. KEY RATING DRIVERS The rating affirmations reflect the performance of the underlying collateral pool being in line with expectations at issuance. The attributes of this transaction are materially different from recent Fitch-rated conduit transactions. The collateral at issuance featured high initial loan to values (LTV's), low debt service coverage ratios (DSCR) and several loans in the transaction had a history of delinquency at issuance. The loans were seasoned at issuance and are scheduled to amortize more rapidly than newly originated loans. As of the May 2014 distribution date, the pool's aggregate principal balance has been reduced by 58.4% to $149.4 million from $359.5 million at issuance. No loans are defeased. Interest shortfalls are currently affecting class G. Fitch modeled losses of 28.8% of the remaining pool; expected losses on the original pool balance total 12%, which includes the minimal realized losses to date. Fitch has designated 37 loans (55.4%) as Fitch Loans of Concern, which includes nine specially serviced assets (16%). The largest contributor to expected losses is a multifamily property consisting of 148 units located in Carmichael, CA (3.5% of the pool). The property was assumed in March 2013 and has undergone approximately $1.4 million in renovations. As of January 2014, occupancy has improved to 63% with average rent of $631 per unit. Rental rates at the property have remained below market in order to improve occupancy. Per REIS as of 1st quarter (1Q) 2014, the Sacramento, Carmichael multifamily submarket vacancy rate is 2.4% with average asking rent $830 per unit. The next largest contributor to expected losses is a 30,551 square foot (sf) office property located in Tigard, OR (2%). The decline in performance is mainly attributed to loss of the top two tenants who vacated at their lease expirations in 2012. The property is currently 40% occupied. Per REIS as of 1Q 2014, the Beaverton/Sylvan submarket of Portland vacancy rate is 18.2% with average asking rent $20 sf. The third largest contributor to expected losses is an 85,106 sf shopping center anchored by Harvest Fare, a free standing retail building, and a bank pad located in Fallston, MD (2.7%). The loan is specially serviced and currently real estate owned (REO). The property is 64% occupied as of December 2013. The commercial portion of the property was foreclosed on 02/08/2013 and the residential portion was foreclosed on 9/17/2013. The environmental reports contain no issues and a property manager has been retained. The property is currently listed for sale with Marcus Millichap. RATING SENSITIVITY Rating Outlooks on classes A and B through F are expected to remain Stable due to increasing credit enhancement and continued amortization and paydown. The rating outlook on class C is revised to positive reflecting the potential for a future upgrade with continued paydown, stable overall performance and loss expectations. Fitch affirms the following classes and assigns or revises Rating Outlooks as indicated: -- $28.3 million class C at 'Asf'; Outlook to Positive from Stable. Fitch affirms the following classes: -- $9.3 million class A at 'AAAsf'; Outlook Stable; -- $18 million class B at 'AAAsf'; Outlook Stable; -- $27.4 million class D at 'BBB-sf'; Outlook Stable; -- $7.6 million class E at 'BBsf'; Outlook Stable; -- $6.7 million class F at 'Bsf'; Outlook Stable. Fitch does not rate the class G, residual class R or the interest only class X certificates. LOOMIS SAYLES: Moody's Raises Rating on $15MM Cl. E Notes to Ba2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Loomis Sayles CLO I, Ltd.: $20,000,000 Class C Deferrable Floating Rate Notes, Due 2020, Upgraded to Aaa (sf); previously on January 14, 2014 Upgraded to Aa1 (sf) $21,000,000 Class D Deferrable Floating Rate Notes, Due 2020, Upgraded to A3 (sf); previously on January 14, 2014 Upgraded to Baa3 (sf) $15,000,000 Class E Deferrable Floating Rate Notes, Due 2020 (current outstanding balance of $9,968,977), Upgraded to Ba2(sf); previously on January 14, 2014 Upgraded to Ba3 (sf) Moody's also affirmed the ratings on the following notes: $296,000,000 Class A Floating Rate Notes, Due 2020 (current outstanding balance of $42,995,735), Affirmed Aaa (sf); previously on January 14, 2014 Affirmed Aaa (sf) $20,000,000 Class B Floating Rate Notes, Due 2020, Affirmed Aaa (sf); previously on January 14, 2014 Upgraded to Aaa (sf) Loomis Sayles CLO I, Ltd., issued in October 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in October 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 January 2014. The Class A notes have been paid down by approximately 65.1% or $80.2 million since January 2014. Based on the trustee's May 2014 report, the over- collateralization (OC) ratios for the Class A/B, C, D, and E notes are reported at 195.5%, 148.4%, 118.4% and 108.1%, respectively, versus December 2014 levels of 142.5%, 125.1%, 110.8% and 105.1%, respectively. The deal has benefited from an improvement in the credit quality of the portfolio since January 2014. Based on the Moody's calculation, the weighted average rating factor is currently 2451 compared to 2551 in January 2014. 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. MADISON PARK XII: Moody's Assigns 'Ba3' Rating on Cl. E Notes ------------------------------------------------------------- Moody's Investors Service announced that it has assigned the following ratings to seven classes of notes issued by Madison Park Funding XII, Ltd.: $495,000,000 Class A Floating Rate Notes due 2026 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) $87,000,000 Class B-1 Floating Rate Notes due 2026 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) $10,000,000 Class B-2 Fixed Rate Notes due 2026 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf) $52,000,000 Class C Deferrable Floating Rate Notes due 2026 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) $49,600,000 Class D Deferrable Floating Rate Notes due 2026 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) $48,400,000 Class E Deferrable Floating Rate Notes due 2026 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) $10,000,000 Class F Deferrable Floating Rate Notes due 2026 (the "Class F Notes"), Definitive Rating Assigned B3 (sf) 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 are referred to herein, collectively, as the "Rated Notes." Ratings Rationale Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. Madison Park XII is a managed cash flow CLO. The notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must be invested in senior secured loans, and up to 7.5% of the portfolio may consist of second lien loans, senior unsecured loans and senior secured notes. The underlying collateral pool is approximately 70% ramped as of the closing date. Credit Suisse Asset Management, LLC (the "Manager") will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, 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: Par amount: $800,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2925 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 49.0% Weighted Average Life (WAL): 8.0 years. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. MCF CLO III: S&P Affirms 'BB' Rating on Class E Notes ----------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on MCF CLO III LLC's $263.0 million floating-rate notes following the transaction's effective date as of May 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. "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 committeem," 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 said. 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 MCF CLO III LLC Class Rating Amount (mil. $) A AAA (sf) 173.25 B AA (sf) 25.00 C A (sf) 22.25 D BBB (sf) 17.00 E BB (sf) 25.50 MORGAN STANLEY 1999-CAM1: Fitch Affirms D Rating on Cl. N Certs --------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed three classes of Morgan Stanley Capital I Trust 1999-CAM1 (MSC 1999-CAM1). Key Rating Drivers The downgrade of class M reflects a greater certainty of losses, primarily from the one specially serviced loan (10% of pool). The affirmations of the other remaining classes reflect stable overall pool performance and continued amortization since Fitch's last rating action. As of the May 2014 distribution date, the pool balance has been reduced by 97.9% to $16.7 million from $806.5 million at issuance. Eighteen of the original 152 loans remain. There are no defeased loans and 32.3% of the pool is fully amortizing. There are 12 loans (53.4%) which are credit-tenant lease loans on single-tenanted properties. The pool's largest listed credit tenants include: CVS Caremark Corporation (18.2% of pool), Best Buy (16.9%), and Walgreen Co. (5.8%). Interest shortfalls are currently affecting classes M through O. The specially serviced loan (10% of pool) is secured by a 48,678 square foot (sf) office property located in Columbia, SC. The loan was transferred to special servicing after Fitch's last rating action in August 2013 for maturity default; the loan matured in June 2013. According to the latest January 2013 rent roll provided by the special servicer, the property was 56% occupied by six tenants, compared to 93% at issuance. Near-term lease expiration includes 8.4% of the property square footage in 2014 and 32% in 2015. The servicer indicated the borrower is in the process of addressing and remediating mold issues at the property. The servicer expects a deed-in-lieu of foreclosure and a real-estate owned sale. The largest loan (20.2%) is secured by a 79,038 sf medical office property located in Fairfax, VA. Occupancy has continually declined since issuance. According to the December 2013 rent roll, occupancy was 76%, compared to 87% in 2012 and 95% at issuance. The property is occupied mostly by doctors and medically-related tenants as it is located by the Inova Fair Oaks Hospital. Although occupancy has declined, the loan's debt service coverage ratio was 2.37x for 2013. Ratings Sensitivities The Rating Outlook on classes K and L remains Stable as upgrades are not anticipated due to the significant concentration of the remaining pool and the risks associated with single-tenanted properties. Fitch has downgraded the following class: -- $6 million class M to 'Csf' from 'CCsf'; RE 90%. In addition, Fitch has affirmed the following classes: -- $3.8 million class K at 'BBBsf'; Outlook Stable; -- $6 million class L at 'BB-sf'; Outlook Stable; -- $0.8 million class N at 'Dsf'; RE 0%. Classes A-1 through J have paid in full. Fitch does not rate class O. Fitch previously withdrew its rating on the interest-only class X. MORGAN STANLEY 2012-C5: Fitch Affirms B Rating on Cl. H Certs ------------------------------------------------------------- Fitch Ratings has affirmed all classes of Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 commercial mortgage pass- through certificates (MSBAM 2012-C5). Key Rating Drivers The affirmations of MSBAM 2012-C5 are based on the stable performance of the underlying collateral pool. As of the May 2014 remittance, the pool had no delinquent, watch list or specially serviced loans. The pool's aggregate principal balance has been paid down by 1.8% to $1.33 billion from $1.35 billion at issuance. The year-end (YE) 2013 reported net operating income (NOI) for the pool was approximately 4% higher than the reported NOI at issuance. Ratings Sensitivity The Rating Outlook for all classes remains Stable. No rating actions are expected unless there are material changes to property occupancies or cash flows, increased delinquencies, or additional loans transferred to special servicing. The pool has maintained performance consistent with issuance. Additional information on rating sensitivity is available in the report 'MSBAM 2012-C5' (Sept. 24, 2012), available at www.fitchratings.com. The largest loan of the pool (13.4%) is collateralized by the Legg Mason Tower, a 24-story office building located in Baltimore, MD. The subject was developed in 2009 by H&S Properties Development Corporation, Inc. as part of a 70-acre mixed-use development known as Harbor East. The subject shares a five-story underground parking garage with the adjacent, newly built Four Seasons Hotel. Proceeds from the loan were used to refinance the $146 million construction loan. The tower serves as the headquarters for Legg Mason. The property was 86% occupied as of YE 2013, consistent with issuance. The second largest loan (7.5%) is secured by Silver Sands Factory Stores, a 442,126 square foot (sf) retail outlet center located in Destin, FL. The subject was 97% leased as of YE 2013 to a diverse rent roll of nationally recognized retailers. No single tenant represents more than 4% of the rent. Proceeds from the loan were used by Simon Property Group to acquire a 50% interest in the property for $100 million, refinance an existing loan of $60 million and return cash of $20 million to the other 50% sponsor. The third largest loan (6.6%) is secured by U.S. Bank Tower a 26- story, 520,227-sf office property located in downtown Denver, CO. The property offers two levels of subterranean private parking for tenants as well as public parking in an adjacent six-story parking structure, both of which are part of the loan collateral. U.S. Bank Tower has a diverse rent roll, including tenants in the financial services, government, legal, and oil and gas sectors, as well as major retailers, which occupy street-level space. This property was 88% leased as of YE 2013. Fitch has affirmed the following classes as indicated: -- $61.2 million class A-1 at 'AAAsf'; Outlook Stable; -- $221.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $149.6 million class A-3 at 'AAAsf'; Outlook Stable; -- $489.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $59.2 million class A-S at 'AAAsf'; Outlook Stable; -- $33 million class B at 'AAsf'; Outlook Stable; -- $24.5 million class C at 'Asf'; Outlook Stable; -- $116.7 million class PST at 'Asf'; Outlook Stable; -- $1.053 billion interest-only class X-A at 'AAAsf'; Outlook Stable; -- $66 million interest only class X-B at 'AAsf'; Outlook Stable; -- $27.1 million class D at 'BBB+sf'; Outlook Stable; -- $49.1 million class E at 'BBB-sf'; Outlook Stable; -- $8.5 million class F at 'BBB-sf'; Outlook Stable; -- $18.6 million class G at 'BB+sf'; Outlook Stable; -- $23.7 million class H at 'Bsf'; Outlook Stable. The class A-S, class B, and class C certificates will, at all times, each represent 50% of the outstanding principal balance of the class A-S, class B, and class C trust components, respectively. The class PST certificates will, at all times, represent beneficial ownership of 50% of the outstanding principal balance of the class A-S trust component, 50% of the outstanding principal balance of the class B trust component, and 50% of the outstanding principal balance of the class C trust component. Fitch does not rate the interest-only class X-C or class J. MORGAN STANLEY 2014-C16: Fitch Assigns BB- Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings assigns the following ratings and Rating Outlooks to Morgan Stanley Bank of America Merrill Lynch Trust, series 2014- C16 commercial mortgage trust pass-through certificates: -- $52,700,000 class A-1 'AAAsf'; Outlook Stable; -- $132,100,000 class A-2 'AAAsf'; Outlook Stable; -- $72,300,000 class A-SB 'AAAsf'; Outlook Stable; -- $43,900,000 class A-3 'AAAsf'; Outlook Stable; -- $250,000,000 class A-4 'AAAsf'; Outlook Stable; -- $335,852,000 class A-5 'AAAsf'; Outlook Stable; -- $956,533,000a class X-A 'AAAsf'; Outlook Stable; -- $69,681,000b class A-S 'AAAsf'; Outlook Stable; -- $91,853,000b class B 'AA-sf'; Outlook Stable; -- $209,044,000b class PST 'A-sf'; Outlook Stable; -- $47,510,000b class C 'A-sf'; Outlook Stable; -- $91,853,000ac class X-B 'AA-sf'; Outlook Stable; -- $72,848,000c class D 'BBB-sf'; Outlook Stable; -- $28,506,000c class E 'BB-sf'; Outlook Stable. (a) Notional amount and interest only. (b) Class A-S, class B and class C certificates may be exchanged for class PST Certificates, and class PST Certificates may be exchanged for class A-S, class B and class C certificates. (c) Privately placed pursuant to Rule 144A. Fitch does not rate the $12,669,000 class F, the $14,253,000 class G, the $42,759,846 class H or the $98,187,846 interest-only class X-C. Since Fitch issued its expected ratings on May 30, 2014, one class balance (X-B) has been updated by the issuer and has decreased from $139,363,000 to $91,853,000. The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership in the trust, primary assets of which are 76 loans secured by 110 commercial properties having an aggregate principal balance of approximately $1.267 billion as of the cutoff date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association, and CIBC Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 72.2% of the properties by balance, cash flow analysis of 73.0%, and asset summary reviews on 83.5% of the pool. KEY RATINGS DRIVERS High Leverage: The pool's Fitch DSCR and LTV of 1.25x and 105.4%, respectively, are higher than the first-quarter 2014 averages of 1.18x and 104.7%, respectively. Large Hotel Concentration: At 24.0%, the transaction has among the highest hotel concentrations for Fitch-rated transactions in 2013 and 2014. Four of the top 10 loans (14.3% of the pool) are secured by hotel properties. High Concentration of Full and Partial Interest-Only Loans: Nine loans (24.7%) are subject to full-term interest-only payments, and 31 loans (40.6%) are subject to partial interest-only payments. These figures are higher than those for Fitch-rated transactions in first quarter 2014, which had average full-term and partial- interest-only loans of 15.8% and 37.6%, respectively. Collateral Quality: When including five of the largest 10 loans, 42.2% of the pool received property quality grades of 'B+' or better. Higher property quality grades result in a lower probability of loss in Fitch's multiborrower conduit model. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 16.1% below the most recent full-year net operating income (NOI) (for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severity on defaulted loans and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to MSBAM 2014- C16 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 10% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'AA-sf' could result. 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 'BBB-sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities. The master servicer will be Wells Fargo Bank, National Association, rated 'CMS1-' by Fitch. The special servicer will be LNR Partners, LLC, rated 'CSS1-' by Fitch. NAVIGATOR CDO 2006: Moody's Affirms 'Ba3' Rating on Class D Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Navigator CDO 2006, Ltd.: $26,000,000 Class B-1 Floating Rate Secured Deferrable Term Notes Due 2020, Upgraded to Aa3 (sf); previously on August 7, 2013 Upgraded to A3 (sf) $7,000,000 Class B-2 Fixed Rate Secured Deferrable Term Notes Due 2020, Upgraded to Aa3 (sf); previously on August 7, 2013 Upgraded to A3 (sf) $15,500,000 Class C Floating Rate Secured Deferrable Term Notes Due 2020, Upgraded to Baa2 (sf); previously on August 7, 2013 Upgraded to Baa3 (sf) $10,000,000 Class 1 Combination Notes Due 2020 (current rated balance of $4,105,175.33), Upgraded to Aaa (sf); previously on August 7, 2013 Upgraded to Aa1 (sf) Moody's also affirmed the ratings on the following notes: $40,000,000 Class A Floating Rate Senior Secured Revolving Notes Due 2020 (current outstanding balance of $19,275,088.24), Affirmed Aaa (sf); previously on August 7, 2013 Affirmed Aaa (sf) $265,000,000 Class A Floating Rate Senior Secured Term Notes Due 2020 (current outstanding balance of $127,697,459.28), Affirmed Aaa (sf); previously on August 7, 2013 Affirmed Aaa (sf) $12,500,000 Class D Floating Rate Secured Deferrable Term Notes Due 2020 (current outstanding balance of $10,437,972),Affirmed Ba3 (sf); previously on August 7, 2013 Upgraded to Ba3 (sf) Navigator CDO 2006, Ltd., issued in September 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in September 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 August 2013. The Class A notes have been paid down by approximately 41% or $102.1 million since August 2013. Based on the trustee's April 2014 report, the over- collateralization (OC) ratios for the Class A, Class B, Class C and Class D notes are reported at 147.72%, 120.63%, 111.07% and 105.44%, respectively, versus August 2013 levels of 128.16%, 113.17%, 107.27% and 103.64%, respectively. 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. OHA CREDIT X: Moody's Rates $6.25MM Class F Notes '(P)B3' --------------------------------------------------------- Moody's Investors Service assigned the following provisional ratings to seven classes of notes to be issued by OHA Credit Partners X, Ltd. $4,000,000 Class X Senior Secured Floating Rate Notes due 2026 (the "Class X Notes"), Assigned (P)Aaa (sf) $463,500,000 Class A Senior Secured Floating Rate Notes due 2026 (the "Class A Notes"), Assigned (P)Aaa (sf) $93,750,000 Class B Senior Secured Floating Rate Notes due 2026 (the "Class B Notes"), Assigned (P)Aa2 (sf) $37,750,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class C Notes"), Assigned (P)A2 (sf) $49,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class D Notes"), Assigned (P)Baa3 (sf) $49,750,000 Class E Junior Secured Deferrable Floating Rate Notes due 2026 (the "Class E Notes"), Assigned (P)Ba3 (sf) $6,250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2026 (the "Class F Notes"), Assigned (P)B3 (sf) The Class X Notes, the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. Ratings Rationale Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of loans, the transaction's legal structure, and the characteristics of the underlying assets. OHA X is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must be invested in senior secured loans, up to 10% of the portfolio may consist of (a) debt securities in a form other than senior secured loans or participation interests and (b) second lien loans. The underlying collateral pool is expected to be approximately 51% ramped as of the closing date. Oak Hill Advisors, L.P. (the "Manager") will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit improved assets and credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue one tranche of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, 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: Par amount: $750,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.0 years. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in February 2014. PREFERREDPLUS TRUST: S&P Raises Rating on $33.5MM Certs to BB+ -------------------------------------------------------------- Standard & Poor's Ratings Services raised its rating on PreferredPLUS Trust Series BLC-2's $33.530 million certificates to 'BB+' from 'BB'. S&P's rating on the certificates is dependent on its rating on the underlying security, Belo Corp.'s 7.25% debentures due Sept. 15, 2027 ('BB+'). The upgrade follows S&P's June 6, 2014, upgrade of the underlying security to 'BB+' from 'BB'. S&P may take subsequent rating actions on the certificates if its rating on the underlying security changes. SCHOONER TRUST 2006-5: DBRS Confirms B(low) Rating on Cl. L Certs ----------------------------------------------------------------- DBRS Inc. has upgraded seven classes of Commercial Mortgage Pass- Through Certificates, Series 2006-5 issued by Schooner Trust, Series 2006-5 as follows: -- Class C to AA (high) (sf) from AA (sf) -- Class D to A (high) (sf) from A (low) -- Class E to A (sf) from BBB (high) (sf) -- Class F to BBB (high) (sf) from BBB (low) (sf) -- Class G to BBB (sf) from BB (high) (sf) -- Class H to BB (high) (sf) from BB (sf) -- Class J to BB (sf) from BB (low) (sf) In addition, DBRS has confirmed the remaining classes: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AAA (sf) -- Class X-C at AAA (sf) -- Class K at B (high) (sf) -- Class L at B (low) (sf) The trends on all classes are Stable. The pool has experienced a 29.85% collateral reduction since issuance, with 71 of the original 91 loans still outstanding as of the May 2014 remittance. Loans in the top 15 have experienced a weighted-average net cash flow growth of 7.2% since issuance and the weighted-average debt yield for these loans is 12.2%. Since the last surveillance review, four loans were repaid from the trust and one loan was defeased, bringing the total defeasance in the pool to 10.5% of the current pool balance. One loan, representing 4.4% of the current pool balance, is scheduled to mature in 2014, with the rest of the outstanding loans scheduled to mature in 2015 and 2016. The weighted-average debt-service- coverage-ratio for the pool is 1.6 times (x), compared with 1.5x at issuance, and the weighted-average debt yield is 14.5%, compared with 10.6% at issuance. There are no delinquent or specially serviced loans; however, seven loans are currently flagged for the servicer's watchlist as of the May 2014 remittance. DBRS does not consider any of these loans to be at immediate risk of default and continues to monitor the watchlist on a monthly basis. DBRS maintains investment-grade shadow ratings on three loans in the transaction, which collectively represent 5.65% of the current pool balance. DBRS has confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. SDART 2014-3: Moody's Rates $73.5MM Class E Notes 'Ba2' ------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Santander Drive Auto Receivables Trust 2014-3 (SDART 2014-3). This is the third SDART transaction of the year for Santander Consumer USA Inc. (SCUSA). The complete rating actions are as follows: Issuer: Santander Drive Auto Receivables Trust 2014-3 $256,250,000, 0.25000%, Class A-1 Asset Backed Notes, Definitive Rating Assigned P-1 (sf) $225,750,000, 0.54%, Class A-2-A Asset Backed Notes, Definitive Rating Assigned Aaa (sf) $168,000,000, LIBOR + 0.28%, Class A-2-B Asset Backed Notes, Definitive Rating Assigned Aaa (sf) $140,400,000, 0.81%, Class A-3 Asset Backed Notes, Definitive Rating Assigned Aaa (sf) $154,400,000, 1.45%, Class B Asset Backed Notes, Definitive Rating Assigned Aa1 (sf) $191,175,000, 2.13%, Class C Asset Backed Notes, Definitive Rating Assigned Aa3 (sf) $114,025,000, 2.65%, Class D Asset Backed Notes, Definitive Rating Assigned Baa2 (sf) $73,525,000, 3.49%, Class E Asset Backed Notes, Definitive Rating Assigned Ba2 (sf) Ratings Rationale Moody's said the ratings are based on the quality of the underlying auto loans and their expected performance, the strength of the structure, the availability of excess spread over the life of the transaction, and the experience and expertise of SCUSA as servicer. Moody's median cumulative net loss expectation for the 2014-3 pool is 17.0% and the Aaa level is 49.0%. The loss expectation was based on an analysis of SCUSA's portfolio vintage performance as well as performance of past securitizations, and current expectations for future economic conditions. The principal methodology used in this rating was "Moody's Approach to Rating Auto Loan-Backed ABS" published in May 2013. 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 from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Transaction performance also depends greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. 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 original expectations as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Transaction performance also depends greatly on the US job market and the market for used vehicles. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. SDART 2014-3: S&P Assigns 'BB' Rating on Class E Notes ------------------------------------------------------ Standard & Poor's Ratings Services assigned its ratings to Santander Drive Auto Receivables Trust 2014-3's $1,323.53 million automobile receivables-backed notes series 2014-3. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of 52.27%, 45.81%, 36.93%, 31.32%, and 28.01% of credit support for the class A-1, A-2-A, A-2-B, A- 3 (collectively, the class A), B, C, D, and E notes, respectively, based on stress cash flow scenarios (including excess spread), which provide coverage of more than 3.30x, 2.85x, 2.25x, 1.90x, and 1.40x our 15.00%-16.00% expected cumulative net loss. -- The timely interest and principal payments made under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario, all else being equal, S&P's ratings on the class A, B, and C notes will remain within one rating category of the assigned ratings during the first year, and its ratings on the class D and E notes will remain within two rating categories of the assigned ratings, which is within the outer bounds of S&P's credit stability criteria. -- The originator/servicer's history in the subprime/specialty auto finance business. -- S&P's analysis of eight years of static pool data on Santander Consumer USA Inc.'s lending programs. -- The transaction's payment/credit enhancement and legal structures. RATINGS ASSIGNED Santander Drive Auto Receivables Trust 2014-3 Class Rating Type Interest Amount Rate (mil. $) A-1 A-1+ (sf) Senior Fixed 256.250 A-2-A AAA (sf) Senior Fixed 225.750 A-2-B AAA (sf) Senior Floating 168.000 A-3 AAA (sf) Senior Fixed 140.400 B AA (sf) Subordinate Fixed 154.400 C A (sf) Subordinate Fixed 191.175 D BBB+ (sf) Subordinate Fixed 114.025 E BB (sf) Subordinate Fixed 73.525 SEAWALL 2007-3: Moody's Affirms 'Ba1' Rating on Class C Notes ------------------------------------------------------------- Moody's Investors Service has placed the ratings of the following notes issued by Seawall 2007-3, Ltd., on watch for downgrade. Cl. A, A2 (sf) Placed Under Review for Possible Downgrade; previously on Aug 1, 2013 Affirmed A2 (sf) Super Senior, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 1, 2013 Affirmed Aa1 (sf) Cl. X, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Aug 1, 2013 Affirmed Aa2 (sf) Moody's has also affirmed the ratings on the following notes: Cl. B, Affirmed Baa3 (sf); previously on Aug 1, 2013 Affirmed Baa3 (sf) Cl. C, Affirmed Ba1 (sf); previously on Aug 1, 2013 Affirmed Ba1 (sf) Ratings Rationale Moody's has placed the ratings of the notes on watch for downgrade due to potential counterparty risk. Moody's has affirmed the ratings on the transaction 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 Synthetic) transactions. Seawall 2007-3 is a static synthetic transaction backed by a portfolio of credit default swaps referencing 100% commercial mortgage backed securities (CMBS). The CMBS reference obligations were securitized in 2006 (75.8%) and 2007 (24.2%). As of this review, 74.1% of the reference obligations are publicly rated by Moody's. 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 reference obligations it does not rate. The rating agency modeled a bottom-dollar WARF of 11, compared to 13 at last review. The current ratings on the Moody's-rated reference obligations and the assessments of the non-Moody's rated reference obligations follow: Aaa-Aa3 (96.2% compared to 96.0% at last review); A1-A3 (2.1% compared to 2.0% at last review); and Baa1-Baa3 (1.7% compared to 2.0% at last review). Moody's modeled a WAL of 2.1 years, compared to 3.1 at last review. The WAL is based on assumptions about extensions on the underlying reference obligations. Moody's modeled a variable WARR of 73.4%, compared to 73.2% at last review. Moody's modeled a MAC of 50.9%, compared to 46.4% at last review. 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: 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 ratings of the reference obligations and credit assessments. Notching the reference obligations down by -1 notches would result in an an average modeled rating movement on the rated notes of one to two notch downward (e.g. one notch downward implies Ba1 to Ba2). Notching the reference obligations upward by +1 notch would result in an average modeled rating movement of one to two notches upward (e.g. one notch upward implies Ba1 to Baa3). 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. SHACKLETON 2013-IV: S&P Affirms 'BB' Rating on Class E Notes ------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on Shackleton 2013-IV CLO Ltd./Shackleton 2013-IV CLO LLC's $400.70 million fixed- and floating-rate notes following the transaction's effective date as of April 3, 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 added. In S&P's published effective date report, it discusses its analysis of the information provided by the transaction's trustee and collateral manager in support of their request for effective date rating affirmation. In most instances, S&P intends to publish an effective date report each time it issues an effective date rating affirmation on a publicly rated U.S. cash flow CLO. On an ongoing basis after S&P issues an effective date rating affirmation, it will periodically review whether, in its view, the current ratings on the notes remain consistent with the credit quality of the assets, the credit enhancement available to support the notes, and other factors, and take rating actions as S&P deems necessary. RATINGS AFFIRMED Shackleton 2013-IV CLO Ltd./Shackleton 2013-IV CLO LLC Class Rating Amount (mil. $) A AAA (sf) 265.10 B-1 AA (sf) 39.20 B-2 AA (sf) 10.00 C (deferrable) A (sf) 35.40 D (deferrable) BBB (sf) 21.53 E (deferrable) BB (sf) 18.13 F (deferrable) B (sf) 11.35 SILVERMORE CLO: Moody's Assigns 'Ba3' Rating on Class D Notes ------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to six classes of notes issued by Silvermore CLO Ltd. Moody's rating action is as follows: $322,500,000 Class A-1 Senior Secured Floating Rate Notes due May 2026 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) $57,800,000 Class A-2 Senior Secured Floating Rate Notes due May 2026 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) $29,700,000 Class B Senior Secured Deferrable Floating Rate Notes due May 2026 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) $26,000,000 Class C Senior Secured Deferrable Floating Rate Notes due May 2026 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) $26,200,000 Class D Senior Secured Deferrable Floating Rate Notes due May 2026 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) $5,000,000 Class E Senior Secured Deferrable Floating Rate Notes due May 2026 (the "Class E Notes"), Definitive Rating Assigned B2 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Ratings Rationale Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Silvermore CLO is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The Issuer's documents require the portfolio to be at least 80% ramped as of the closing date. Silvermine Capital Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. SYMPHONY CLO XIV: Moody's Assigns B3 Rating on $16MM Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to 12 classes of notes issued by Symphony CLO XIV, Ltd. Moody's rating action is as follows: $5,000,000 Class X Senior Floating Rate Notes due 2017 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) $250,000,000 Class A-1 Senior Floating Rate Notes due 2026 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) $236,000,000 Class A-2 Senior Floating Rate Notes due 2026 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf) $10,000,000 Class A-3 Senior Fixed Rate Notes due 2026 (the "Class A-3 Notes"), Definitive Rating Assigned Aaa (sf) $73,000,000 Class B-1 Senior Floating Rate Notes due 2026 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) $35,000,000 Class B-2 Senior Fixed Rate Notes due 2026 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf) $25,000,000 Class C-1 Deferrable Mezzanine Floating Rate Notes due 2026 (the "Class C-1 Notes"), Definitive Rating Assigned A2 (sf) $15,000,000 Class C-2 Deferrable Mezzanine Fixed Rate Notes due 2026 (the "Class C-2 Notes"), Definitive Rating Assigned A2 (sf) $26,000,000 Class D-1 Deferrable Mezzanine Floating Rate Notes due 2026 (the "Class D-1 Notes"), Definitive Rating Assigned Baa3 (sf) $26,000,000 Class D-2 Deferrable Mezzanine Floating Rate Notes due 2026 (the "Class D-2 Notes"), Definitive Rating Assigned Baa3 (sf) $48,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2026 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) $16,000,000 Class F Deferrable Mezzanine Floating Rate Notes due 2026 (the "Class F Notes"), Definitive Rating Assigned B3 (sf) The Class X Notes, Class A-1 Notes, Class A-2 Notes, Class A-3 Notes, Class B-1 Notes, Class B-2 Notes, Class C-1 Notes, Class C- 2 Notes, Class D-1 Notes, Class D-2 Notes, Class E Notes and Class F Notes are referred to herein, collectively, as the "Rated Notes." Ratings Rationale Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Symphony XIV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans (including participations with respect to senior secured loans) and eligible investments and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio will be approximately 60% ramped as of the closing date. Symphony Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. TRIMARAN CLO VII: S&P Affirms B+ Rating on Class B-2L Notes ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class A-1L, A-1LR, A-2L, and A-3L notes from Trimaran CLO VII Ltd., a U.S. cash flow collateralized loan obligation (CLO) transaction managed by Trimaran Advisors LLC. S&P also removed the ratings from CreditWatch, where it had placed them with positive implications on April 9, 2014. At the same time, S&P affirmed its ratings on the class B-1L, and B-2L notes. The upgrades reflect post-reinvestment period principal amortization paydowns to the class A-1 and A-1LR notes (which are pari passu). Since June 2012, when we upgraded the ratings on four classes and affirmed the ratings on two classes, the transaction's reinvestment period ended (in June 2013), and the transaction has commenced paying down the class A-1L and A-1LR notes. As per the May 2014 monthly trustee report, the class A-1L and A-1LR balances were at 80.2% of their original balances, down from 100% in June 2012. The lower balances increased the credit support available to the notes. In addition, the transaction's credit quality has improved since S&P's June 2012 rating actions, and the defaults have declined. As per the May 2014 monthly trustee report, there were no defaults in the portfolio (versus $4.4 million par of defaults in June 2012). The upgrades primarily reflect increased credit support. The affirmations reflect the availability of adequate credit support at the current rating levels. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the May 2014 trustee report, to estimate future performance. Our cash flow scenarios applied forward-looking assumptions on the expected default timing, pattern, and recoveries under various interest- rate and macroeconomic scenarios. In addition, we considered the transaction's ability to pay timely interest and ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action," S&P said. S&P will continue to review its ratings on the notes to assess whether they remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Trimaran CLO VII Ltd. Class Previous Cash flow Cash flow Final rating implied cushion(i) rating A-1L AA+(sf)/Watch Pos AAA (sf) 6.87% AAA (sf) A-1LR AA+ (sf)/Watch Pos AAA (sf) 6.87% AAA (sf) A-2L AA (sf)/Watch Pos AA+ (sf) 8.39% AA+ (sf) A-3L A (sf)/Watch Pos A+ (sf) 3.99% A+ (sf) B-1L BBB (sf) BBB (sf) 0.69% BBB (sf) B-2L B+ (sf) B+ (sf) 9.51% B+ (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-1L AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-1LR AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2L AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) A-3L A+ (sf) A+ (sf) A+ (sf) A+ (sf) A+ (sf) B-1L BBB (sf) BB+ (sf) BBB- (sf) BBB (sf) BBB (sf) B-2L B+ (sf) B+ (sf) B+ (sf) B+ (sf) B+ (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-1L AAA (sf) AAA (sf) AA+ (sf) AAA (sf) A-1LR AAA (sf) AAA (sf) AA+ (sf) AAA (sf) A-2L AA+ (sf) AA+ (sf) AA (sf) AA+ (sf) A-3L A+ (sf) A+ (sf) BBB+ (sf) A+ (sf) B-1L BBB (sf) BBB- (sf) BB+ (sf) BBB (sf) B-2L B+ (sf) B+ (sf) B- (sf) B+ (sf) RATINGS RAISED AND REMOVED FROM CREDITWATCH Trimaran CLO VII Ltd. Rating Class To From A-1L AAA (sf) AA+ (sf)/Watch Pos A-1LR AAA (sf) AA+ (sf)/Watch Pos A-2L AA+ (sf) AA (sf)/Watch Pos A-3L A+ (sf) A (sf)/Watch Pos RATINGS AFFIRMED Trimaran CLO VII Ltd. Class Rating B-1L BBB (sf) B-2L B+ (sf) WAMU COMMERCIAL 2007-SL2: Fitch Affirms BB Rating on Cl. B Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of WAMU Commercial Mortgage Securities Trust 2007-SL2 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations are the result of sufficient credit enhancement due to scheduled amortization and paydown. Although credit enhancement is high compared to other mulitborrower transactions, upgrades are not warranted at this time due to the small balance nature of the loans, which have higher loss severities than traditional loans, the lack of operating performance on many of the loans, increasing concentrations, as well as the small size of the junior classes. To date, $23.4 million (2.8% of the original pool balance) in losses has been realized to date. Fitch has designated 81 loans (27.4%) as Fitch Loans of Concern, which includes 16 specially serviced assets (5.2%). As of the May 2014 distribution date, the pool's aggregate principal balance has been reduced by 62.2% to $318.1 million from $842.1 million at issuance and 303 of the original 664 loans remain. No loans are defeased. Interest shortfalls are currently affecting classes G through N. The largest contributor to expected losses is a specially-serviced loan (1% of the pool), which is secured by 26,872 square foot (sf) mixed use property located in Lynbrook, NY. The loan was transferred to the special servicer in June 2010 due to payment default. The borrower then defaulted on a plan approved in bankruptcy court. The special servicer has motioned for a bankruptcy sale, which is expected to take place in summer 2014. The next largest contributor to expected losses is a specially- serviced loan (1.2%), which is secured by a 45,421 sf industrial/warehouse property located in Elk Grove, CA. The loan was transferred to special servicing in May 2012 due to imminent default. The special servicer and the borrower have agreed to a discounted pay off and is expected to close in July 2014. The third largest contributor to expected losses is secured by a 49 unit multi-family property located in Deer Park, NY. Occupancy was reported at 84% as of April 2013 and the debt service coverage ratio was reported at 0.77x as of December 2012. The borrower hopes to improve cash flow at the property by increasing rents. RATING SENSITIVITY The Rating Outlook on class A1A remains Stable due to the class seniority and expected continued paydown. The Rating Outlook on class B is revised to Stable from Negative due to increasing credit enhancement. Fitch affirms the following classes and revises Rating Outlooks and REs as indicated: -- $17.9 million class B at 'BBsf', Outlook to Stable from Negative; -- $16.8 million class D at 'CCsf', RE 90%; -- $6.3 million class E at 'Csf', RE 0%. Fitch affirms the following classes: -- $222.6 million class A1A at 'BBB-sf', Outlook Stable; -- $25.3 million class C at 'CCCsf', RE 100%; -- $7.4 million class F at 'Csf', RE 0%; -- $13.7 million class G at 'Csf', RE 0%; -- $4.2 million class H at 'Csf', RE 0%; -- $4 million class J at 'Dsf', RE 0%; -- $0 class K at 'Dsf', RE 0%; -- $0 class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%. The class 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. WFRBS COMMERCIAL 201-C4: Moody's Affirms B2 Rating on Cl. G Notes ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of 14 classes of WF-RBS Commercial Mortgage Trust 2011-C4, Commercial Mortgage Pass-Through Certificates, Series 2011-C4 as follows: Cl. A-1, Affirmed Aaa (sf); previously on May 30, 2013 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on May 30, 2013 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on May 30, 2013 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 30, 2013 Affirmed Aaa (sf) Cl. A-FL, Affirmed Aaa (sf); previously on May 30, 2013 Affirmed Aaa (sf) Cl. A-FX, Affirmed Aaa (sf); previously on May 30, 2013 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on May 30, 2013 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on May 30, 2013 Affirmed A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on May 30, 2013 Affirmed Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on May 30, 2013 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on May 30, 2013 Affirmed Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on May 30, 2013 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on May 30, 2013 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on May 30, 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 were affirmed because the credit performance (or the weighted average rating factor or WARF) of the referenced classes are consistent with Moody's expectations. Moody's rating action reflects a base expected loss of 2.2% of the current balance compared to 1.8% at Moody's last review. Moody's base expected loss plus realized losses is now 2.1% of the original pooled balance, compared to 1.8% at the last review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range 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. Methodology Underlying The Rating Action The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. 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 structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured 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 27, compared to 28 at Moody's last review. Deal Performance As of the May 16, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 4% to $1.42 billion from $1.48 billion at securitization. The certificates are collateralized by 77 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans (excluding defeasance) constituting 49% of the pool. Two loans, constituting 11% of the pool, have investment-grade structured credit assessments. One loan, constituting 1% of the pool, has defeased and is secured by US government securities. Five loans, constituting 5% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There are no loans in special servicing. Moody's has assumed an elevated default and loss probability for the Wausau Center Loan ($19 million -- 1% of the pool). The Wausau Center Loan is secured by a regional mall in downtown Wausau, Wisconsin. The mall was constructed in 1983. JC Penney, the property's largest tenant and major anchor, closed its store at this location in May 2014. The mall owner and loan sponsor is CBL and Associates. Moody's received full year 2012 operating results for 96% of the pool, and full or partial year 2013 operating results for 88% of the pool. Moody's weighted average conduit LTV is 82%, compared to 88% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 13.0% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.68X and 1.29X, respectively, compared to 1.59X and 1.20X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan with a structured credit assessment is the E Walk Loan ($82.0 million -- 6% of the pool), which is secured by a 182,000 square foot (SF) retail property located in Mahattan's Times Square. The property is anchored by Regal Cinemas. Occupancy as of year-end 2013 was 100%, the same as at last review and securitization. Moody's structured structured credit assessment and stressed DSCR are a1 (sca.pd) and 1.45X, respectively, compared to a1 (sca.pd) and 1.47X at the last review. The second largest loan with a structured credit assessment is the Windsor Hotel Portfolio ($75.0 million -- 5% of the pool), which is secured by five Embassy Suite hotels (1,054 rooms) located throughout California. There is an additional $95 million of unsecured financing associated with the loan. Portfolio occupancy was 83% in 2013, up from 79% in 2012. Moody's structured structured credit assessment and stressed DSCR are baa3 (sca.pd) and 1.95X, respectively, compared to baa3 (sca.pd) and 1.89X at last review. The top three performing conduit loans represent 23% of the pool balance. The largest loan is the Fox River Mall Loan ($155.6 million -- 11% of the pool), which is secured by the borrower's interest in a 1.2 million square foot super-regional mall in Appleton, Wisconsin. The mall's anchors include Macy's, Target, Younkers and Scheel's. Scheel's is the only anchor that is part of the collateral. The collateral was 96% leased as of December 2013, compared to 97% leased as of December 2012 and 92% at securitization. Moody's LTV and stressed DSCR are 75% and 1.30X, respectively, compared to 83% and 1.17X at last review. The second largest loan is the Preferred Freezer Portfolio Loan ($115.1 million -- 8% of the pool), which is secured by seven industrial cold storage facilities across the US. The portfolio is subject to a 25-year triple net lease through 2033 to Preferred Freezer Operating, LLC. The lease provides for rent steps every five years. Moody's LTV and stressed DSCR are 68% and 1.59X, respectively, compared to 74% and 1.47X at the last review. The third largest loan is known as the Cole Retail Portfolio ($60.5 million -- 4% of the pool), which is secured by 13 single- tenant properties, one unanchored multi-tenanted property and one anchored multi-tenanted property located across 11 states. Tenants include CVS, Carmax, On the Border, and Bed Bath and Beyond. As of year-end 2013 the portfolio was 99% leased, compared to 98% leased at last review. Cole Real Estate Investments was acquired by American Realty Capital Properties in February 2014. Moody's LTV and stressed DSCR are 87% and 1.15X, similar to last review. * Moody's Takes Action on $1.1 Billion of Subprime RMBS ------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 36 tranches from 16 transactions backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005- HE4 Cl. M-4, Upgraded to B3 (sf); previously on Oct 29, 2013 Upgraded to Caa2 (sf) Cl. M-5, Upgraded to Ca (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: Carrington Mortgage Loan Trust Series 2006-FRE1 Cl. A-2, Upgraded to Ba3 (sf); previously on Jul 15, 2011 Downgraded to B2 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2007-HE1 Cl. A-1, Upgraded to Ba1 (sf); previously on Apr 29, 2010 Downgraded to Ba3 (sf) Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 29, 2010 Downgraded to Caa2 (sf) Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to Caa3 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to Caa3 (sf) Issuer: Citicorp Residential Mortgage Trust Series 2006-1 Cl. A-4, Upgraded to Ba2 (sf); previously on Jun 1, 2010 Downgraded to B1 (sf) Cl. A-5, Upgraded to B2 (sf); previously on Jun 1, 2010 Downgraded to Caa1 (sf) Cl. A-6, Upgraded to Ba3 (sf); previously on Jun 1, 2010 Downgraded to B2 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: Citicorp Residential Mortgage Trust Series 2007-2 Cl. A-3, Upgraded to Ba3 (sf); previously on Aug 20, 2012 Downgraded to B2 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Aug 20, 2012 Confirmed at Caa2 (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Aug 20, 2012 Confirmed at Ca (sf) Cl. A-6, Upgraded to Caa1 (sf); previously on Aug 20, 2012 Confirmed at Caa2 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT4 Cl. M-4, Upgraded to B1 (sf); previously on Feb 26, 2013 Affirmed Caa1 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Feb 26, 2013 Affirmed Ca (sf) Issuer: EquiFirst Loan Securitization Trust 2007-1 Cl. A-2A, Upgraded to B2 (sf); previously on Dec 13, 2011 Downgraded to Caa1 (sf) Issuer: Fremont Home Loan Trust 2005-1 Cl. M-5, Upgraded to B3 (sf); previously on Oct 29, 2013 Upgraded to Caa2 (sf) Issuer: HSI Asset Securitization Corporation Trust 2006-OPT1 Cl. II-A-3, Upgraded to Baa3 (sf); previously on Jul 18, 2011 Downgraded to Ba2 (sf) Cl. II-A-4, Upgraded to Ba1 (sf); previously on Sep 14, 2012 Confirmed at Ba3 (sf) Cl. M-1, Upgraded to B3 (sf); previously on Jul 18, 2011 Downgraded to Caa2 (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2005-A Cl. M-5, Upgraded to B1 (sf); previously on Dec 19, 2013 Upgraded to Caa1 (sf) Cl. M-6, Upgraded to Ca (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: IXIS Real Estate Capital Trust 2005-HE2 Cl. M-4, Upgraded to B3 (sf); previously on Feb 28, 2013 Confirmed at Caa1 (sf) Issuer: Nomura Home Equity Loan Trust 2005-FM1 Cl. M-2, Upgraded to B1 (sf); previously on Aug 13, 2010 Downgraded to B2 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Aug 13, 2010 Downgraded to C (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WHQ3 Cl. M-3, Upgraded to Ba1 (sf); previously on Feb 28, 2013 Upgraded to Ba3 (sf) Cl. M-4, Upgraded to B2 (sf); previously on Feb 28, 2013 Affirmed Caa2 (sf) Cl. M-5, Upgraded to Ca (sf); previously on Feb 28, 2013 Affirmed C (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WLL1 Cl. M-4, Upgraded to B3 (sf); previously on Oct 29, 2013 Upgraded to Caa2 (sf) Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 6, 2013 Affirmed C (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2005-2 Cl. AV-2, Upgraded to Baa1 (sf); previously on Oct 12, 2012 Confirmed at Baa2 (sf) Cl. AV-1B, Upgraded to Baa3 (sf); previously on Oct 12, 2012 Confirmed at Ba2 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Sep 26, 2013 Upgraded to B3 (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2005-C Cl. M-2, Upgraded to B3 (sf); previously on Dec 28, 2010 Upgraded to Caa2 (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. * Moody's Raises Rating on $597MM RMBS Issued From 2005-2007 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of sixteen tranches from seven subprime RMBS transactions, which are all backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-OPT2 Cl. M-3, Upgraded to B2 (sf); previously on Aug 21, 2013 Upgraded to Caa1 (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-HE2 Cl. A-1, Upgraded to B3 (sf); previously on Dec 28, 2010 Upgraded to Caa2 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-WMC1 Cl. A-1, Upgraded to Ba1 (sf); previously on Jan 9, 2013 Upgraded to Ba2 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH3, Asset- Backed Pass-Through Certificates, Series 2007-CH3 Cl. A-1A, Upgraded to B1 (sf); previously on Dec 28, 2010 Upgraded to B3 (sf) Cl. A-1B, Upgraded to Caa2 (sf); previously on Dec 28, 2010 Upgraded to Ca (sf) Cl. A-3, Upgraded to B2 (sf); previously on Dec 28, 2010 Upgraded to Caa1 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH5 Cl. A-3, Upgraded to Ba3 (sf); previously on Dec 28, 2010 Upgraded to B2 (sf) Cl. A-4, Upgraded to B3 (sf); previously on Dec 28, 2010 Upgraded to Caa1 (sf) Cl. A-5, Upgraded to B3 (sf); previously on Dec 28, 2010 Upgraded to Caa1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-NC1 Cl. M-2, Upgraded to B1 (sf); previously on Sep 12, 2012 Confirmed at B3 (sf) Cl. M-3, Upgraded to B2 (sf); previously on Dec 28, 2010 Upgraded to Caa1 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Cl. M-5, Upgraded to Ca (sf); previously on Jul 15, 2010 Downgraded to C (sf) Issuer: Soundview Home Loan Trust 2005-CTX1 Cl. M-3, Upgraded to Ba3 (sf); previously on Aug 21, 2013 Upgraded to B1 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Aug 21, 2013 Upgraded to Caa3 (sf) Ratings Rationale The ratings upgraded 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 actions reflect Moody's updated loss expectations on those pools. 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: 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 6.3% in May 2014 from 7.5% in May 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2014. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. * Moody's Takes Action on $175MM RMBS Issued From 2005 to 2006 -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches and upgraded the ratings of eight tranches from five RMBS transactions backed by Alt-A RMBS loans. Complete rating actions are as follows: Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-HY12 Cl. A-4, Upgraded to Baa3 (sf); previously on Jul 26, 2013 Upgraded to Ba2 (sf) Cl. A-4X, Upgraded to Baa3 (sf); previously on Jul 26, 2013 Upgraded to Ba2 (sf) Issuer: Lehman XS Trust Series 2005-1 Cl. 2-A2, Upgraded to Baa3 (sf); previously on Jul 24, 2013 Upgraded to Ba1 (sf) Issuer: Lehman XS Trust Series 2005-3 Cl. 1-A4, Upgraded to Baa3 (sf); previously on Jul 24, 2013 Upgraded to Ba1 (sf) Cl. 3-A2A, Downgraded to Caa1 (sf); previously on Sep 3, 2010 Downgraded to B2 (sf) Cl. 3-A2B, Downgraded to B3 (sf); previously on Sep 3, 2010 Downgraded to B1 (sf) Issuer: Lehman XS Trust Series 2006-1 Cl. 1-A1, Upgraded to Baa3 (sf); previously on Jul 30, 2013 Upgraded to Ba2 (sf) Cl. 1-A2, Upgraded to Baa3 (sf); previously on Jul 30, 2013 Upgraded to Ba2 (sf) Cl. 1-M1, Upgraded to Caa2 (sf); previously on Jul 30, 2013 Upgraded to Caa3 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR1 Cl. M-1, Upgraded to Caa2 (sf); previously on Aug 16, 2012 Upgraded to Ca (sf) Ratings Rationale The ratings downgraded are a result of deteriorating performance and higher than expected losses on bonds where the credit support has been depleted. The ratings upgraded are due to an increase in the credit enhancement available to the bonds. 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: 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 6.3% in May 2014 from 7.5% in May 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2014. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. * S&P Lowers 27 Ratings from 17 U.S. RMBS Transactions ------------------------------------------------------ Standard & Poor's Ratings Services lowered 27 ratings (including three to 'D (sf)') from 15 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1997 and 2006 and removed 18 of them from CreditWatch with negative implications. In addition, S&P affirmed 72 ratings from 14 transactions and removed three of them from CreditWatch with negative implications. Lastly, S&P withdrew one rating. The complete list of rating actions is available in "U.S. RMBS Classes Affected By The June 19, 2014, Rating Actions," available at the Standard & Poor's public Web site. The rating actions resolve a portion of the ratings that S&P placed on CreditWatch from January 2014 through May 2014 because of apparent interest shortfalls that the trustee reported. All of the transactions in this review were issued between 1997 and 2006 and are supported by a mix of fixed- and adjustable-rate Alternative-A (Alt-A), prime jumbo, reperforming, and subprime mortgage loans secured primarily by first liens on one- to four- family residential properties. S&P lowered 22 ratings--including three to 'D (sf)'--from 13 transactions and removed 17 from CreditWatch negative based on its assessment of interest shortfalls on the affected classes during recent remittance periods. The lowered ratings were derived by applying S&P's interest shortfall criteria. S&P also lowered its ratings on five classes from four transactions, and removed one from CreditWatch negative, because of increased projected losses from a changing delinquency pipeline. Of the lowered ratings, S&P lowered six out of the investment- grade range to 'BB+ (sf)' or lower; 13 other lowered ratings remain investment-grade. The remaining eight lowered ratings were already non-investment grade before the downgrades. For certain transactions, S&P considered specific performance characteristics that, in its view, could add a layer of volatility to our loss assumptions when they are stressed at the rating, as suggested by S&P's cash flow models. In these circumstances, S&P affirmed its ratings on those classes to promote ratings stability. In general, the bonds that were affected reflect the following: -- Historical interest shortfalls. -- Low priority in principal payments. -- Significant growth in the delinquency pipeline. -- A high proportion of reperforming loans in the pool. -- Significant growth in observed loss severities. -- Low subordination and/or overcollateralization. S&P affirmed the 'AAA (sf)' ratings on Asset Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE7's classes A-1, A-2, and A-4 due to their sufficient credit support to absorb the projected remaining losses associated with this rating stress. The affirmations on 19 ratings in the 'AA (sf)' or 'A (sf)' categories from five transactions affect classes that are currently first, second, or third in their payment priorities. S&P removed one of these ratings from CreditWatch with negative implications. In addition, S&P affirmed 14 ratings in the 'BBB (sf)' through 'B (sf)' rating categories from six transactions and removed two of them from CreditWatch with negative implications. The projected credit support on these classes remained relatively consistent with prior projections. S&P affirmed 36 additional ratings in the 'CCC (sf)' or 'CC (sf)' rating categories. S&P believes that the projected credit support for these classes will remain insufficient to cover the revised projected losses to these classes. Lastly, S&P withdrew its rating on class 2AX from GSR Mortgage Loan Trust 2004-14 based on the application of its criteria regarding the treatment of interest-only (IO) classes. According to S&P's counterparty criteria, it considered any applicable hedges related to these securities when performing these rating actions. The reviewed transactions generally receive credit support from subordination, overcollateralization (when available), and excess interest. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from our view of how the loans will behave under various economic conditions. Standard & Poor's baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are as follows: -- A 6.4% unemployment rate for 2014, decreasing to 5.9% for 2015. -- Home prices will increase 6% in 2014, using the 20-city Standard & Poor's/Case-Shiller Home Price Index. -- Real GDP growth will be 2.5% in 2014 and 3.2% in 2015. -- The 30-year mortgage rate will average 4.5% for 2014 and then slightly increase in 2015. -- The inflation rate will be 1.9% in 2014 and 1.5% in 2015. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with Standard & Poor's downside forecast, it believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects the following key assumptions: -- Total unemployment rises to 7.0% in 2014 and then 7.1% in 2015. -- Downward pressure causes just over 1.0% GDP growth in 2014, with slightly higher gains in 2015. -- Home price momentum slows as potential buyers are not able to purchase property. -- The 30-year fixed mortgage rate falls slightly to 4.4% in 2014, but limited access to credit and pressure on home prices largely prevents consumers from capitalizing on such lower rates. * S&P Affirms Ratings on 18 Natural-Catastrophe Bonds ----------------------------------------------------- Standard & Poor's Ratings Services said that it affirmed its ratings on 18 natural-peril catastrophe bonds issued by seven different issuers, which had annual resets of the probability of attachment. In each case the probability of attachment was reset to a percentage consistent with the transaction documents and the current rating. In addition, S&P reviewed the creditworthiness of each ceding company and the ratings on the collateral that, barring the occurrence of a covered event, will be used to redeem the principal on the redemption date. RATINGS LIST Ratings Affirmed Embarcadero Re Ltd. Series 2012-I Class A BB-(sf) Ibis Re II Ltd. Series 2012-I Class A BB-(sf) Series 2012-I Class B B-(sf) Series 2013-I Class A BB+(sf) Series 2013-I Class B BB-(sf) Series 2013-I Class C B(sf) Long Point Re III Ltd. Series 2012-I Class A BB+(sf) Mystic Re III Ltd. Series 2012-I Class A BB(sf) Series 2012-I Class B B(sf) Residential Reinsurance 2011 Ltd. Series 2011-I Class 1 BB-(sf) Series 2011-I Class 2 B-(sf) Series 2011-I Class 5 B+(sf) Residential Reinsurance 2012 Ltd. Series 2012-I Class 3 BB-(sf) Series 2012-I Class 5 BB(sf) Series 2012-II Class 1 BB+(sf) Series 2012-II Class 2 BB(sf) Residential Reinsurance 2013 Ltd. Series 2013-I Class 3 B-(sf) Series 2013-II Class 4 BB-(sf) * S&P Puts 146 Tranches From 42 US CLO Deals on Watch Positive -------------------------------------------------------------- Standard & Poor's Ratings Services placed its ratings on 146 tranches from 42 U.S. collateralized loan obligation (CLO) transactions on CreditWatch with positive implications. The tranches had an original issuance of $8.07 billion. S&P made the CreditWatch positive placements because of the enhanced overcollateralization resulting from the continued pay down to the tranches among these CLO transactions. All 42 transactions have exited their reinvestment period. S&P expects to resolve the CreditWatch placements within 90 days after it completes a comprehensive cash flow analysis and committee review for each of the affected transactions. S&P will continue to monitor the collateralized debt obligation (CDO) transactions it rates and take rating actions, including CreditWatch placements, as it deems appropriate. RATINGS PLACED ON CREDITWATCH POSITIVE AMMC VII Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D BBB+ (sf)/Watch Pos BBB+ (sf) E BB+ (sf)/Watch Pos BB+ (sf) Apidos Cinco CDO Rating Class To From B A (sf)/Watch Pos A (sf) Ares Enhanced Loan Investment Strategy II Ltd. Rating Class To From B-1 AA (sf)/Watch Pos AA (sf) B-2 AA (sf)/Watch Pos AA (sf) C-1 A- (sf)/Watch Pos A- (sf) C-2 A- (sf)/Watch Pos A- (sf) Ares XXI CLO Ltd. Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2 AA (sf)/Watch Pos AA (sf) B A (sf)/Watch Pos A (sf) C BBB (sf)/Watch Pos BBB (sf) Atrium IV Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C BBB+ (sf)/Watch Pos BBB+ (sf) Babson CLO Ltd. 2005-II Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C-1 BBB+ (sf)/Watch Pos BBB+ (sf) C-2 BBB+ (sf)/Watch Pos BBB+ (sf) Babson CLO Ltd. 2006-II Rating Class To From A-1B AA+ (sf)/Watch Pos AA+ (sf) A-2 AA+ (sf)/Watch Pos AA+ (sf) Babson CLO Ltd. 2007-I Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2b AA+ (sf)/Watch Pos AA+ (sf) A-3 AA+ (sf)/Watch Pos AA+ (sf) B-1 A+ (sf)/Watch Pos A+ (sf) B-2 A+ (sf)/Watch Pos A+ (sf) C BBB+ (sf)/Watch Pos BBB+ (sf) D-1 BB+ (sf)/Watch Pos BB+ (sf) D-2 BB+ (sf)/Watch Pos BB+ (sf) Baker Street CLO II Ltd. Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2 AA+ (sf)/Watch Pos AA+ (sf) B AA- (sf)/Watch Pos AA- (sf) C A- (sf)/Watch Pos A- (sf) D BBB- (sf)/Watch Pos BBB- (sf) E B+ (sf)/Watch Pos B+ (sf) Baker Street Funding CLO 2005-1 Ltd. Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2 AA+ (sf)/Watch Pos AA+ (sf) Carlyle High Yield Partners VIII Ltd. Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2-b AA+ (sf)/Watch Pos AA+ (sf) B AA (sf)/Watch Pos AA (sf) C A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) CIT CLO I Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D A+ (sf)/Watch Pos A+ (sf) E BB+ (sf)/Watch Pos BB+ (sf) Copper River CLO Ltd. Rating Class To From A-1A A+ (sf)/Watch Pos A+ (sf) A-1B A+ (sf)/Watch Pos A+ (sf) A-2A AA (sf)/Watch Pos AA (sf) A-2B A+ (sf)/Watch Pos A+ (sf) B BBB (sf)/Watch Pos BBB (sf) C BB+ (sf)/Watch Pos BB+ (sf) D B+ (sf)/Watch Pos B+ (sf) E B (sf)/Watch Pos B (sf) Del Mar CLO I Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D BBB+ (sf)/Watch Pos BBB+ (sf) Diamond Lake CLO Ltd. Rating Class To From A-2L AA+ (sf)/Watch Pos AA+ (sf) A-3L AA- (sf)/Watch Pos AA- (sf) B-1L BBB+ (sf)/Watch Pos BBB+ (sf) Duane Street CLO IV Ltd. Rating Class To From A-1R AA+ (sf)/Watch Pos AA+ (sf) A-1T AA+ (sf)/Watch Pos AA+ (sf) B AA- (sf)/Watch Pos AA- (sf) C A- (sf)/Watch Pos A- (sf) D BBB- (sf)/Watch Pos BBB- (sf) E BB- (sf)/Watch Pos BB- (sf) Eaton Vance CDO VIII Ltd. Rating Class To From A AA+ (sf)/Watch Pos AA+ (sf) B A+ (sf)/Watch Pos A+ (sf) C BBB+ (sf)/Watch Pos BBB+ (sf) D BB+ (sf)/Watch Pos BB+ (sf) Fairway Loan Funding Company Rating Class To From A-3L AA+ (sf)/Watch Pos AA+ (sf) B-1L BBB+ (sf)/Watch Pos BBB+ (sf) B-2L CCC+ (sf)/Watch Pos CCC+ (sf) FM Leveraged Capital Fund II Rating Class To From E BBB+ (sf)/Watch Pos BBB+ (sf) Fraser Sullivan CLO I Ltd. Rating Class To From C AA- (sf)/Watch Pos AA- (sf) D-1 BB- (sf)/Watch Pos BB- (sf) D-2 BB- (sf)/Watch Pos BB- (sf) E-1 CCC+ (sf)/Watch Pos CCC+ (sf) E-2 CCC+ (sf)/Watch Pos CCC+ (sf) Gallatin CLO III 2007-1 Ltd. Rating Class To From A-2L AA+ (sf)/Watch Pos AA+ (sf) A-3L A+ (sf)/Watch Pos A+ (sf) B-1L BBB+ (sf)/Watch Pos BBB+ (sf) B-2L B+ (sf)/Watch Pos B+ (sf) Gannett Peak CLO I Ltd. Rating Class To From B-1 AA (sf)/Watch Pos AA (sf) B-2 AA (sf)/Watch Pos AA (sf) C BBB+ (sf)/Watch Pos BBB+ (sf) D-1 B+ (sf)/Watch Pos B+ (sf) D-2 B+ (sf)/Watch Pos B+ (sf) Greyrock CDO Ltd. Rating Class To From B-1F AA (sf)/Watch Pos AA (sf) B-1L AA (sf)/Watch Pos AA (sf) B-2F BB+ (sf)/Watch Pos BB+ (sf) B-2L BB+ (sf)/Watch Pos BB+ (sf) GSC Group CDO Fund VIII Ltd. Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2 AA- (sf)/Watch Pos AA- (sf) B A- (sf)/Watch Pos A- (sf) C BB+ (sf)/Watch Pos BB+ (sf) D B+ (sf)/Watch Pos B+ (sf) Hewett's Island CLO I-R Ltd. Rating Class To From A AA+ (sf)/Watch Pos AA+ (sf) B AA- (sf)/Watch Pos AA- (sf) C A- (sf)/Watch Pos A- (sf) Hewett's Island CLO VI Ltd. Rating Class To From C AA (sf)/Watch Pos AA (sf) D BBB+ (sf)/Watch Pos BBB+ (sf) Katonah IX CLO Ltd. Rating Class To From A-2L AA+ (sf)/Watch Pos AA+ (sf) A-3L A+ (sf)/Watch Pos A+ (sf) B-1L BBB- (sf)/Watch Pos BBB- (sf) Kingsland III Ltd. Rating Class To From A-2 AA+ (sf)/Watch Pos AA+ (sf) A-3 AA (sf)/Watch Pos AA (sf) B A (sf)/Watch Pos A (sf) Lafayette CLO I Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) LCM VI Ltd. Rating Class To From A AA+ (sf)/Watch Pos AA+ (sf) LightPoint CLO V Ltd. Rating Class To From A-2 AA+ (sf)/Watch Pos AA+ (sf) B A+ (sf)/Watch Pos A+ (sf) Madison Park Funding III Ltd. Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2b AA+ (sf)/Watch Pos AA+ (sf) A-3 AA (sf)/Watch Pos AA (sf) B A (sf)/Watch Pos A (sf) C BBB (sf)/Watch Pos BBB (sf) D BB (sf)/Watch Pos BB (sf) Q BBB- (sf)/Watch Pos BBB- (sf) Octagon Investment Partners IX Ltd. Rating Class To From A-2 AA+ (sf)/Watch Pos AA+ (sf) B A+ (sf)/Watch Pos A+ (sf) Octagon Investment Partners V Ltd. Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C-1 A (sf)/Watch Pos A (sf) C-2 A (sf)/Watch Pos A (sf) Pacifica CDO VI Ltd. Rating Class To From A-1a AA+ (sf)/Watch Pos AA+ (sf) A-1c AA+ (sf)/Watch Pos AA+ (sf) Race Point IV CLO Ltd. Rating Class To From B AA /Watch Pos AA C A+ /Watch Pos A+ D BBB+ /Watch Pos BBB+ Saratoga CLO I Ltd. Rating Class To From A-2 AA+ (sf)/Watch Pos AA+ (sf) B A+ (sf)/Watch Pos A+ (sf) C BB+ (sf)/Watch Pos BB+ (sf) D BB (sf)/Watch Pos BB (sf) Symphony CLO III Ltd. Rating Class To From A-1a AA+ (sf)/Watch Pos AA+ (sf) A-1b AA+ (sf)/Watch Pos AA+ (sf) A-2a AA+ (sf)/Watch Pos AA+ (sf) A-2b AA+ (sf)/Watch Pos AA+ (sf) B AA- (sf)/Watch Pos AA- (sf) C A- (sf)/Watch Pos A- (sf) T2 Income Fund CLO I Ltd. Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C AA- (sf)/Watch Pos AA- (sf) Tralee CDO I Ltd. Rating Class To From A-1 AA+ (sf)/Watch Pos AA+ (sf) A-2a AA (sf)/Watch Pos AA (sf) A-2b AA (sf)/Watch Pos AA (sf) B A (sf)/Watch Pos A (sf) C BBB (sf)/Watch Pos BBB (sf) Vitesse CLO Ltd. Rating Rating Class To From A3L AA- (sf)/Watch Pos AA- (sf) B1L BBB+ (sf)/Watch Pos BBB+ (sf) B2L B+ (sf)/Watch Pos B+ (sf) Wasatch CLO Ltd. Rating Rating Class To From D BB (sf)/Watch Pos BB (sf) ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers' public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. A list of Meetings, Conferences and Seminars appears in each Wednesday's edition of the TCR. Submissions about insolvency- related conferences are encouraged. Send announcements to conferences@bankrupt.com 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 ***