/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/141214.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, December 14, 2014, Vol. 18, No. 347 Headlines ARCAP 2004-RR3: S&P Lowers Rating on Class D Notes to 'D' AVIS BUDGET: 2011-4 Notes Amendment No Impact on Moody's B1 Rating BANC OF AMERICA 2006-2: Fitch Cuts Rating on E & F Notes to 'Csf' BANC ONE/FCCC 2000-C1: Moody's Affirms C Rating on Class X Certs BEAR STEARNS 2005-PWR9: S&P Raises Rating on Class F Notes to B- BEAR STEARNS 2005-TOP18: Fitch Hikes Rating on Class E Notes to BB BLUEMOUNTAIN CLO 2014-4: S&P Assigns Prelim. B Rating on F Notes CARLYLE GLOBAL 2014-5: Moody's Assigns B3 Rating on Class E Notes CDGJ COMMERCIAL 2014-BXCH: S&P Assigns B- Rating on 2 Notes COMM 2012-CCRE5: Fitch Affirms 'Bsf' Rating on Class G Certs CPS AUTO 2014-D: Moody's Assigns '(P)B2' Rating on Cl. E Notes CREDIT SUISSE 2007-C4: Moody's Affirms 'C' Rating on 3 Certs DLJ COMMERCIAL 1999-CG2: Moody's Affirms Caa3 Rating on S Certs EAGLE I: S&P Assigns Prelim. 'BB' Rating on Class C Notes FIRST FRANKLIN: Moody's Takes Ration Action on $1.7MM RMBS GALLATIN VI 2013-2: Fitch Affirms BB Rating on Class E Notes GOLDMAN SACHS 2006-GG8: Moody's Cuts Rating on Cl. E Certs to 'C' HILDENE CLO III: Moody's Assigns B3 Rating on $5.5MM Cl. F Notes JP MORGAN 2005-LDP5: Moody's Affirms Caa2 Rating on Class J Debt JP MORGAN 2007-CIBC18: Moody's Affirms C Rating on 3 Certificates JP MORGAN 2008-C2: Moody's Lowers Class X Certs Rating to Caa1 LB-UBS 2006-C6: S&P Lowers Rating on Class H Notes to 'D' LEHMAN BROTHERS 2007-LLF: Moody's Cuts X-2 Secs. Rating to Caa3 LOCKWOOD GROVE: Moody's Assigns (P)Ba3 Rating on Class E Notes ML-CFC COMMERCIAL 2006-2: S&P Lowers Rating on Class D Notes to D ML-CFC COMMERCIAL 2006-4: Moody's Affirms C Rating on 4 Certs MORGAN STANLEY 2007-IQ15: Fitch Affirms CC Rating on A-J Notes MORGAN STANLEY 2014-C19: S&P Gives Prelim. B- Rating on LNC-5 Debt PRUDENTIAL SECURITIES: Moody's Affirms C Rating on Class M Secs. SDART 2014-5: Moody's Rates $58.8MM Class E Notes 'Ba2' SOUND POINT VII: Moody's Assigns B2 Rating on $6.25MM Cl. F Notes STRATS TRUST 2004-6: Moody's Cuts Rating on Cl. A-1 Certs to Ba1 TELOS CLO 2014-6: S&P Assigns 'BB' Rating on Class E Notes TERWIN MORTGAGE 2006-1: Moody's Ups II-A-1a Debt Rating to Caa1 UBS-BARCLAYS 2012-C4: Fitch Affirms 'Bsf' Rating on Cl. F Certs UBS COMMERCIAL 2007-FL1: Moody's Hikes Cl. K Certs Rating to B3 WACHOVIA BANK 2002-C1: Moody's Affirms Caa3 Rating on IO-I Secs. WACHOVIA BANK 2003-C5: Moody's Affirms Caa3 Rating on X-C Debt ZIGGURAT CLO: Moody's Assigns B2 Rating on $10MM Class F Notes * Fitch Lowers Rating on Distressed Classes in 16 Transactions * Moody's Takes Action on $177.5 Million of 2nd Lien RMBS * Moody's Raises Rating on $1.4 Billion of Subprime RMBS * S&P Lowers Rating on 21 Classes From 20 U.S. RMBS Transactions ********* ARCAP 2004-RR3: S&P Lowers Rating on Class D Notes to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on the class C and class D notes from ARCap 2004-RR3 Resecuritization Inc., a U.S. resecuritized real estate mortgage investment conduit (re-REMIC) transaction. S&P downgraded the class C notes to 'CC (sf)' from 'CCC-(sf)' because they have continued to experience interest adjustments and have little prospect of receiving their full interest and principal payments. In addition, S&P downgraded the class D notes to 'D (sf)' from 'CCC-(sf)' because the tranche has experienced principal losses. RATINGS LOWERED ARCap 2004-RR3 Resecuritization Inc. Rating Rating Class To From C CC (sf) CCC- (sf) D D (sf) CCC- (sf) AVIS BUDGET: 2011-4 Notes Amendment No Impact on Moody's B1 Rating ------------------------------------------------------------------ Moody's Investors Service announced that the amendment of the Series 2011-4 Supplement (the Amendment) would not, in and of itself and as of this time, result in the downgrade, the placement on review for possible downgrade or withdrawal of the ratings currently assigned to any outstanding series of notes issued by Avis Budget Rental Car Funding (AESOP) LLC (the Issuer), an affiliate of Avis Budget Car Rental LLC (B1). Moody's rates the following transactions of the Issuer: the Series 2010-3 Notes, the Series 2010-5 Notes, the Series 2011-3 Notes, the Series 2011-5 Notes, the Series 2012-1 Notes, the Series 2012- 2 Notes, the Series 2012-3 Notes, the Series 2013-1 Notes, the Series 2013-2 Notes, the Series 2014-1 Notes and the Series 2014-2 Notes, (collectively the Other Existing Notes). The Series 2011-4 Notes (the Notes) are not rated by Moody's. The Amendment, among other changes, amends certain representations and covenants and extends the scheduled expiration date of the Notes. In assessing the potential impact on the ratings of the Other Existing Notes, Moody's noted that the changes represented by the Amendment are series-specific and only apply to the Notes and do not affect amounts payable to, or the rights of Other Existing Notes holders. Moody's has determined that the Amendment, in and of itself and at this time, will not result in the downgrade, the placement on review for possible downgrade or withdrawal of the ratings currently assigned to the Other Existing Notes. However, Moody's opinion addresses only the credit impact associated with the Amendment, and Moody's is not expressing any opinion as to whether the Amendment has, or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties. BANC OF AMERICA 2006-2: Fitch Cuts Rating on E & F Notes to 'Csf' ----------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 16 classes of Banc of America Commercial Mortgage (BACM) Inc., commercial mortgage pass-through certificates series 2006-2. KEY RATING DRIVERS The downgrades are due to the increased certainty of losses to the already distressed classes. Fitch modeled losses of 6.2% of the remaining pool; expected losses on the original pool balance total 9%, including $109.2 million (4% of the original pool balance) in realized losses to date. Fitch has designated 36 loans (17.1%) as Fitch Loans of Concern, which includes 12 specially serviced assets (4.9%). As of the November 2014 distribution date, the pool's aggregate principal balance has been reduced by 20.9% to $2.14 billion from $2.7 billion at issuance. Per the servicer reporting, 10 loans (10.4% of the pool) are defeased. Interest shortfalls are currently affecting classes F through P. The largest contributor to expected losses is the 55 West & 215 West 125th Street loan (4.2% of the pool), which is secured by two office buildings totaling 376,933 square foot (SF) in Harlem, NY. The collateral has experienced cash flow declines since 2011 due to vacancies, as well as renewed leases at significantly lower rents. Performance has recently improved but remains below expectations. Occupancy reported at 93.3% per the September 2014 rent roll, an increase from 84% in December 2013, 81% in 2012, and 72% in 2011. The combined NOI DSCR improved to 1.0x for YTD September 2014 from 0.83x in December 2013, but remains significantly below issuance at 1.24x. The loan is current as of the November 2014 payment date. The next largest contributor to expected losses is secured by a 63,866 SF office building located in Fairfax, VA (0.6%). The loan had transferred to special servicing in June 2012 due to payment default. The property had experienced cash flow issues due to declining occupancy, and has been 100% vacant since July 2014. A foreclosure sale was held and the property became REO in October 2014. The servicer is working to lease up and stabilize the property, in preparation for eventual disposition. The third largest contributor to expected losses is secured by three Wichita, KS retail properties with an aggregate of 360,942 SF (1.2%). The properties have experienced cash flow issues due to occupancy declines, reporting at 65% as of March 2014 compared to 83% in December 2012. As a result, NOI DSCR declined to 0.90x, compared to 1.15x at YE 2013 and 1.24x at YE 2012. The loan transferred to special servicing in July 2014 due to monetary default. The borrower has requested a loan modification and the special servicer continues negotiations with the borrower while dual-tracking foreclosure until a resolution is achieved. RATING SENSITIVITY Rating Outlooks on classes A-3 through A-M remain Stable due to sufficient credit enhancement and continued paydown. Rating Outlooks on classes A-J, B and C are Negative as further collateral underperformance may lead to downgrades, in addition to concentration concerns of upcoming loan maturities over the next 24 months. Should cash flows deteriorate further on the performing loans, or if realized losses exceed current expectations on the specially serviced loans, downgrades to these classes are possible. Fitch downgrades these classes: -- $40.5 million class D to 'CCsf' from 'CCCsf'; RE 40%; -- $27 million class E to 'Csf' from 'CCsf'; RE 0%; -- $30.4 million class F to 'Csf' from 'CCsf'; RE 0%. Fitch affirms these classes and revises the Rating Outlook as indicated: -- $215.9 million class A-J at 'BBBsf'; Outlook to Negative from Stable. Fitch affirms these classes: -- $28.1 million class A-3 at 'AAAsf'; Outlook Stable; -- $20.3 million class A-AB at 'AAAsf'; Outlook Stable; -- $1.3 billion class A-4 at 'AAAsf'; Outlook Stable; -- $117.5 million class A-1A at 'AAAsf'; Outlook Stable; -- $269.9 million class A-M at 'AAAsf'; Outlook Stable; -- $50.6 million class B at 'BBsf'; Outlook Negative; -- $27 million class C at 'Bsf'; Outlook Negative; -- $27 million class G at 'Csf'; RE 0%; -- $12.3 million class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class XW certificates. BANC ONE/FCCC 2000-C1: Moody's Affirms C Rating on Class X Certs ---------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one interest- only class in Banc One/FCCC Commercial Mortgage Loan Trust, Commercial Mortgage Pass-Through Certificates, Series 2000-C1 as follows: Cl. X, Affirmed C (sf); previously on Jan 28, 2014 Affirmed C (sf) Ratings Rationale The rating on the IO class, X, was affirmed based on the credit performance of this class. The IO class is not receiving any excess interest generated from the spread between the net collateral weighted-average coupon (WAC) of the loans and the WAC pass-through rate of the remaining principal bond, which the IO references. Moody's anticipates that the IO class will not receive any interest in the future because no single loan in the pool has a coupon greater than the pass-through rate of the remaining principal bond. The IO class is the only outstanding Moody's-rated class in this transaction. 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. 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 8, compared to 10 at Moody's last review. Moody's review incorporated the excel-based Large Loan Model v 8.7. 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 November 18, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $1.1 million from $857.1 million at securitization. The certificates are collateralized by nine mortgage loans ranging in size from 5% to 19% of the pool. 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. Twelve loans have been liquidated from the pool, resulting in an aggregate realized loss of $1.76 million (for an average loss severity of 10.6%). One loan constituting 12% of the pool, is currently in special servicing. BEAR STEARNS 2005-PWR9: S&P Raises Rating on Class F Notes to B- ---------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on eight classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on two other classes from the same transaction. S&P's rating actions on the principal- and interest-paying certificates follow its transaction analysis, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. S&P raised its ratings on the class A-1A, A-4B, A-J, B, C, D, E, and F certificates to reflect S&P's expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also reflect S&P's views regarding the current and future performance of the transaction's collateral, available and projected liquidity support, the trust balance's significant reduction, as well as the better-than-expected recovery on the corrected Trilogy Apartments mortgage loan ($137.5 million original trust balance). S&P affirmed its 'AAA (sf)' rating on the class A-4A certificates to reflect S&P's expectation that the available credit enhancement for this class will be within its estimate of the necessary credit enhancement required for the current rating. The affirmation also reflect S&P's views regarding the current and future performance of the transaction's collateral, the transaction structure, and liquidity support available to the class. S&P affirmed its 'AAA (sf)' rating on the class X-1 interest-only (IO) certificates based on S&P's criteria for rating IO securities. TRANSACTION SUMMARY As of the Nov. 12, 2014, trustee remittance report, the collateral pool balance was $1.24 billion, which is 57.5% of the pool balance at issuance. The pool currently includes 148 loans (reflecting crossed loans), down from 199 loans at issuance. Three (reflecting crossed loans) of these loans ($38.4 million, 3.1%) are with the special servicer, 16 loans ($212.6 million, 17.2%) are defeased, and 44 loans ($271.2 million, 21.9%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N.A., reported financial information for 100% of the nondefeased loans in the pool, 17.9% of which was partial-year 2014 data, 79.2% was year-end 2013 data, and the remaining were partial-year 2013 or year-end 2012 data. S&P calculated a Standard & Poor's weighted average debt service coverage (DSC) of 1.39x and loan-to-value (LTV) ratio of 77.3% using a Standard & Poor's weighted average capitalization rate of 7.60%. The DSC, LTV, and capitalization rate calculations exclude the three specially serviced loans, 16 defeased loans, and one subordinate B hope note ($3.4 million, 0.3%). The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $351.5 million (28.4%). Using servicer-reported numbers, S&P calculated a Standard & Poor's weighted average DSC and LTV of 1.30x and 80.8%, respectively, for the top 10 nondefeased performing loans. The properties securing the underlying loans are concentrated within the Los Angeles-Long Beach-Anaheim and Washington- Arlington-Alexandria metropolitan statistical area (MSAs). Standard & Poor's U.S. Public Finance Group provides credit ratings on Los Angeles County and Fairfax County, which participate within these MSAs. -- Los Angeles County in the Los Angeles-Long Beach-Anaheim MSA: S&P considers Los Angeles County's ('AA+'/Stable, General Obligation) economy to be strong with projected per capita effective buying income at 99% of the U.S. The total market value of all real estate within the county reached $1.13 trillion for 2014, up 5% from the prior year. The county's per capita real estate market value was $113,346 for 2014. With a population of 10 million, the county participates in the Los Angeles-Long Beach-Anaheim MSA in California, which S&P considers to be strong. The county's unemployment rate for calendar year 2013 was 10%. Some of the loans secured by properties located in Los Angeles County include The Dome, Rowland Heights Shopping Center, and Marina View Building loans. -- Fairfax County in the Washington-Arlington-Alexandria MSA: S&P considers Fairfax County's ('AAA'/Stable, General Obligation) economy to be strong with projected per capita effective buying income at 191% of the U.S. The total market value of all real estate within the county reached $233 billion for 2015, up 5% from the prior year. The county's per capita real estate market value was $208,879 for 2015. With a population of 1.1 million, the county participates in the Washington-Arlington-Alexandria MSA in the District of Columbia, Virginia, and West Virginia, all of which S&P considers to be strong. The county's unemployment rate for calendar year 2013 was 4%. Some of the loans secured by properties located in Fairfax County include the Marriott Tysons Corner, Lakeside II, and 6832 and 6858 Old Dominion Drive loans. To date, the transaction has experienced $90.8 million in principal losses, or 4.2% of the original pool trust balance. S&P expects losses to reach approximately 4.8% of the original pool trust balance in the near term based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the three specially serviced loans. CREDIT CONSIDERATIONS As of the Nov. 12, 2014, trustee remittance report, three loans in the pool were with the special servicer, C-III Asset Management LLC (C-III). Details of the specially serviced loans are: The crossed loan totaling $19.1 million (1.5%) comprising the Holiday Inn--Norman, Holiday Inn--McAlester, Holiday Inn Express-- Durant, Hampton Inn--Sherman, Comfort Suites, and Best Western-- Atoka loans is the largest loan with the special servicer and has a total reported exposure of $19.2 million. The crossed loan is secured by five limited-service hotels and one full-service hotel with 481 rooms in Sherman, Texas, and various locations in Oklahoma. The loan was transferred to the special servicer on July 11, 2014. C-III indicated that the borrower has requested for a modification and is pursuing a discounted payoff. Currently, the special servicer filed for foreclosure in Oct. 2014. The reported weighted average DSC and occupancy for the crossed loan as of year-end 2013 were 0.80x and 56.8%, respectively. S&P expects a moderate loss upon the crossed loan's eventual resolution. The Lakeside II loan ($16.2 million, 1.3%), the second-largest loan with C-III, has $17.3 million of total reported exposure. The loan is secured by a 130,265-sq.-ft. office property in Chantilly, Va. The loan, which has a reported 90-day delinquent payment status, was transferred to the special servicer on Oct. 31, 2013, because of payment default. The reported occupancy for this loan as of Sept. 30, 2013, was 100%, and the reported DSC as of year-end 2012 is 2.86x. An appraisal reduction amount (ARA) of $3.5 million is in effect against this loan. S&P expects a moderate loss upon this loan's eventual resolution. The Legacy Plaza--Plano loan ($3.1 million, 0.3%), the smallest loan with C-III, has a reported exposure of $3.3 million. The loan is secured by a 22,124-sq.-ft. retail property in Plano, Texas. The loan was transferred to special servicing on May 29, 2014, because of payment default. C-III indicated that it is exploring various liquidation strategies. An ARA of $771,199 is in effect against the loan. S&P expects a moderate loss upon the loan's eventual resolution. S&P estimated losses for the three specially serviced loans and arrived at a weighted-average loss severity of 34.3%. Regarding the specially serviced assets noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATINGS RAISED Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-1A AAA (sf) AA (sf) 27.44 A-4B AAA (sf) AA (sf) 27.44 A-J AA- (sf) BBB+ (sf) 13.96 B A+ (sf) BBB (sf) 12.88 C A- (sf) BB+ (sf) 10.05 D BBB (sf) BB- (sf) 8.10 E BB (sf) B (sf) 5.70 F B- (sf) CCC- (sf) 3.97 RATINGS AFFIRMED Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-4A AAA (sf) 41.16 X-1 AAA (sf) N/A N/A -- Not applicable. BEAR STEARNS 2005-TOP18: Fitch Hikes Rating on Class E Notes to BB ------------------------------------------------------------------ Fitch Ratings has upgraded four classes and affirmed 12 classes of Bear Sterns Commercial Mortgage Securities Inc. commercial mortgage pass-through certificates series 2005-TOP18. Key Rating Drivers The upgrades and affirmations reflect continued paydown and increasing credit enhancement as well as the significant paydown expected from upcoming maturities in the first half of 2015. Fitch modeled losses of 4.9% of the remaining pool; expected losses on the original pool balance total 3.9%, including $24.1 million (2.2% of the original pool balance) in realized losses to date. Fitch has designated 15 loans (14.8%) as Fitch Loans of Concern, which includes two specially serviced assets (1%). As of the Nov. 2014 distribution date, the pool's aggregate principal balance has been reduced by 63.6% to $408.6 million from $1.12 billion at issuance. Per the servicer reporting, 13 loans (31.4% of the pool) are defeased. Interest shortfalls are currently affecting classes G through P. The largest contributor to expected losses (1.9% of the pool) is secured by 162,660 square foot (sf) industrial/warehouse building located in Chula Vista, CA, which is located approximately 10 miles south of San Diego. Occupancy has fluctuated in recent years due to a seasonal tenant that accounted for 25% of the leaseable area. The tenant did not renew their lease and vacated in December 2013. The other two tenants at the property have leases that expire in 2018 and 2020, respectively. There is no other leasing activity for the vacant space, per the borrower. For the first six months of 2014, the debt service coverage ratio (DSCR), on a NOI basis, was 1.00x compared to 1.07x at year end (YE) 2013. The next largest contributor to expected losses (1.5%) is secured by a 110,100 sf grocery anchored shopping center located in Phoenix, AZ. Property performance declined in 2013. The net operating income reported for 2013 dropped 40% from YE 2012 primarily due to a decrease in rental income. However, the borrower has signed two new tenants in 2014 and as of June 2014, the property was reported to be 90% occupied. The master servicer reports that the borrower plans to pay off the loan at maturity in January 2015. The third largest contributor to expected losses (1.1%) is secured by a 25,000 sf retail property in Davie, FL, which is 24 miles southwest of Fort Lauderdale. The subject is shadow anchored by a Cinemark Theater. Occupancy was reported to be 82% at YE 2012, but has increased to 100% as of June 2014. The DSCR has improved to 1.34x as of June 2014 compared to 0.82x at YE 2013. RATING SENSITIVITIES The ratings of senior classes A-4 and A-4FL remain Stable due to increasing credit enhancement and continued paydown. Rating Outlooks on classes A-J and B are revised to Stable from Negative and classes C, D and E remain Stable. The transaction continues to deleverage and 85% of the pool matures within the first six months of 2015. Maturity risk is minimal with the average YE 2013 DSCR of 1.77x for those loans maturing in the first half of 2015. Fitch modeled additional stress to the pool by making more conservative assumptions for cap rates and loss severities to account for loans that may not refinance at maturity. Fitch upgrades these classes and revises Rating Outlooks as indicated: -- $29.4 million class B to 'AAsf' from 'Asf', Outlook to Stable from Negative; -- $8.4 million class C to 'Asf' from 'BBBsf', Outlook Stable; -- $12.6 million class D to 'BBBsf' from 'BBsf', Outlook Stable; -- $11.2 million class E to 'BBsf' from 'Bsf', Outlook Stable. Fitch affirms these classes and revises Rating Outlooks and REs as indicated: -- $74.3 million class A-J at 'AAAsf', Outlook to Stable from Negative; -- $9.8 million class G at 'CCsf', RE 90%; -- $8.4 million class H at 'Csf', RE 0%. Fitch affirms these classes: -- $211.4 million class A-4 at 'AAAsf', Outlook Stable; -- $30.7 million class A-4FL at 'AAAsf', Outlook Stable; -- $9.8 million class F at 'CCCsf', RE 100%; -- $2.6 million class J at 'Dsf', RE 0%; -- $0 class K at 'Dsf', RE 0%; -- $0 class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%; -- $0 class O at 'Dsf', RE 0%. The class A-1, A-2, A-3 and A-AB certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class X certificates. BLUEMOUNTAIN CLO 2014-4: S&P Assigns Prelim. B Rating on F Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to BlueMountain CLO 2014-4 Ltd./BlueMountain CLO 2014-4 LLC's $374.90 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Dec. 2, 2014. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable to 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 make timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.2321%-13.8385%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment overcollateralization test, a failure of which during the reinvestment period will lead to the reclassification of principal proceeds of up to 50% of the excess interest proceeds that are available before paying uncapped administrative expenses and fees, hedge payments, incentive management fees, and subordinate note payments. PRELIMINARY RATINGS ASSIGNED BlueMountain CLO 2014-4 Ltd./BlueMountain CLO 2014-4 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 237.90 A-2 AAA (sf) 15.00 B-1 AA (sf) 39.40 B-2 AA (sf) 5.00 C (deferrable) A (sf) 32.90 D (deferrable) BBB- (sf) 21.50 E (deferrable) BB- (sf) 16.60 F (deferrable) B (sf) 6.60 Subordinated notes NR 33.70 NR--Not rated. CARLYLE GLOBAL 2014-5: Moody's Assigns B3 Rating on Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Carlyle Global Market Strategies CLO 2014-5, Ltd. Moody's rating action is as follows: $318,000,000 Class A-1 Senior Secured Floating Rate Notes due 2025 (the "Class A-1 Notes"), Assigned Aaa (sf) $59,000,000 Class A-2 Senior Secured Floating Rate Notes due 2025 (the "Class A-2 Notes"), Assigned Aa2 (sf) $22,000,000 Class B Senior Secured Deferrable Fixed/Floating Rate Notes due 2025 (the "Class B Notes"), Assigned A2 (sf) $29,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2025 (the "Class C Notes"), Assigned Baa3 (sf) $30,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2025 (the "Class D Notes"), Assigned Ba3 (sf) $4,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2025 (the "Class E Notes"), Assigned B3 (sf) The Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes and 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. Carlyle 2014-5 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 and eligible investments and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 80% ramped as of the closing date. Carlyle Investment Management, L.L.C. (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 issued subordinated notes, as well as reinvesting holder notes and delayed draw 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: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.5% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8 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. Factors That Would Lead to an Upgrade or Downgrade of the Rating: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was an important component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2800 to 3220) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -2 Class B Notes: -2 Class C Notes:-1 Class D Notes: 0 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2800 to 3640) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -3 Class C Notes: -2 Class D Notes: -1 Class E Notes: -2 The V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V Score assigned for the global cash flow CLO sector, as described in the special report titled "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector," dated July 6, 2009 and available on www.moodys.com. Moody's V Score provides a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. The V Score applies to the entire transaction, rather than individual tranches. CDGJ COMMERCIAL 2014-BXCH: S&P Assigns B- Rating on 2 Notes ----------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to CDGJ Commercial Mortgage Trust 2014-BXCH's $1.441 billion commercial mortgage pass-through certificates series 2014-BXCH. The note issuance is a commercial mortgage-backed securities transaction backed by two two-year, floating-rate commercial mortgage loans totaling $1.441 billion with three one-year extension options. The Portfolio A mortgage loan is secured by the fee and leasehold interests in 61 hotel properties (two full- service, 43 limited-service, and 16 extended-stay). The Portfolio B mortgage loan is secured by the fee and leasehold interests in 37 hotel properties (12 full-service, 20 limited-service, and five extended-stay). The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. Since S&P's preliminary ratings on Nov. 14, 2014, the spreads on the underlying loans were finalized, resulting in a reduction in the Standard & Poor's debt service charge from 3.00x to 2.75x. This does not affect S&P's final ratings on the transaction. RATINGS ASSIGNED CDGJ Commercial Mortgage Trust 2014-BXCH Class Rating(i) Amount ($) A AAA (sf) 489,100,000 X-CP A- (sf) 781,100,000(ii) X-EXT A- (sf) 781,000,000(ii) B AA- (sf) 167,500,000 C A- (sf) 124,500,000 D-PA(iii) BBB- (sf) 102,200,000 E-PA(iii) BB- (sf) 147,800,000 F-PA(iii) B- (sf) 122,200,000 D-PB(iii) BBB- (sf) 77,200,000 E-PB(iii) BB- (sf) 111,600,000 F-PB(iii) B- (sf) 98,900,000 (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 underlying referenced principal certificates. (iii) Loan-specific class. COMM 2012-CCRE5: Fitch Affirms 'Bsf' Rating on Class G Certs ------------------------------------------------------------ Fitch Ratings has affirmed 15 classes of Deutsche Bank Securities, Inc.'s (COMM) commercial mortgage pass-through certificates series 2012-CCRE5. Key Rating Drivers Fitch modeled losses of 2.5% of the remaining pool; expected losses on the original pool balance total 2.4%. The pool has experienced no realized losses to date. Fitch has designated five loans (5.5%) as Fitch Loans of Concern, which does not include any specially serviced loans. As of the November 2014 distribution date, the pool's aggregate principal balance has been reduced by 2.5% to $1.11 billion from $1.13 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting the non-rated class H. The largest contributor to expected losses is the Holiday Village Mall loan (2.5% of the pool), which is secured by a 576,897 square foot (sf) (494,928 sf of which is collateral) indoor regional mall located in Great Falls, MT. The mall is anchored by Scheel's Sports, Sears, JC Penney, and Herberger's (non-collateral). The master servicer has been notified that Sears, which represents 15% of the net rentable area (NRA) will be closing their store on Dec. 7, 2014. The mall's occupancy is expected to drop to 74% from 90% as of June 2014. Fifteen tenants (31.5% NRSF) have some form of a co-tenancy clause which is tied to the closing of one or more of the department stores and/or occupancy thresholds between 50%-65% of the in-line (including junior anchors) occupancy. Some of the tenant's occupancy thresholds are tied to overall occupancy, including anchors. Scheel's (99,279/20% NRSF) and Bed Bath & Beyond (20,405 sf/4.12% NRSF) make up the majority of the square footage having co-tenancy clauses. Scheel's can vacate after one year if more than two tenants, including JC Penney, Sears, Herbergers or Ross Dress for Less, close for 180 days and sales decrease 15%. Bed Bath & Beyond can vacate after a year if 50% of the total of all buildings cease to be open. There is approximately 6% upcoming rollover in 2015. The next largest contributor to expected losses is the Widener Building loan (5.2%), which is secured by a 455,746 sf, class B+ office building with ground level retail, which is leased to three restaurants, and below grade parking located in Philadelphia, PA; constructed in 1915. The largest tenants are the City of Philadelphia Municipal Authority with over 200,000 sf (44%) over five floors. The tenant has a separate private entrance and escalator, with a lease expiration in January 2026. The next largest tenant is Rawle and Henderson LLP (15%), expiration in November 2015; and the third largest tenant is First Judicial District of PA (11%), expiration in August 2032. The property is currently 87.7% occupied by ten tenants with an average rent of $22.65 sf. There is approximately 15% upcoming rollover in 2015. Per REIS as of 3rd quarter 2014, the Philadelphia metro office market vacancy is 14% with asking rent $25 sf. The third largest contributor to expected losses is the 777 South Broad loan (4.8%), which is secured by a Class-A, LEED Silver- certified residential property located in Philadelphia, PA. The subject consists of 146 residential units and 18,939 sf of ground floor commercial space. As of August 2014, the property is 91.78% occupied with average rent $2,837/month. The 146 residential units consist of one- and two-bedroom lofts between 832 sf and 1,404 sf. Unit amenities include 10-foot ceilings with floor to ceiling windows, high-end kitchen appliances and bathroom fixtures, in- unit full-sized washer/dryers, and either a balcony or bay window. Common area amenities include a 24-hour concierge service, gated parking, fitness center, skydeck with hot tub, outdoor theater, and dining, lounging, and sunbathing areas, conference room, private clubroom and pub, bike and car-sharing services, complimentary storage cages, communal laundry facilities, hospitality suite, and visitor parking lot. Rating Sensitivities Rating Outlooks on all classes remain Stable due to increasing credit enhancement and continued paydown. No rating actions are expected unless there are material changes to property occupancies or cash flows, delinquencies, or loans transferred to special servicing. Fitch will continue to monitor the performance of the Holiday Village Mall and the impact of the impending Sears store closing. Fitch affirms the following classes as indicated: -- $56.7 million class A-1 at 'AAAsf'; Outlook Stable; -- $159.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $90.9 million class A-SB at 'AAAsf'; Outlook Stable; -- $100 million class A-3 at 'AAAsf'; Outlook Stable; -- $357.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $888.2 million class X-A at 'AAAsf'; Outlook Stable; -- $52.4 million class X-B at 'AAsf'; Outlook Stable; -- $123.3 million class A-M at 'AAAsf'; Outlook Stable; -- $52.4 million class B at 'AAsf'; Outlook Stable; -- $211.1 million class PEZ at 'Asf'; Outlook Stable; -- $35.4 million class C at 'Asf'; Outlook Stable; -- $22.7 million class D at 'BBB+sf'; Outlook Stable; -- $32.6 million class E at 'BBB-sf'; Outlook Stable; -- $21.3 million class F at 'BBsf'; Outlook Stable; -- $18.4 million class G at 'Bsf'; Outlook Stable. Fitch does not rate the $34.0 million class H certificates. The class A-M, B, and C certificates may be exchanged for the class PEZ certificates, and the class PEZ certificates may be exchanged for the class A-M, B, and C certificates. Fitch rates the class PEZ equivalent to the first loss of the lowest rated class C exchangeable certificates. CPS AUTO 2014-D: Moody's Assigns '(P)B2' Rating on Cl. E Notes -------------------------------------------------------------- Moody's Investors Service, has assigned provisional ratings to the notes to be issued by CPS Auto Receivables Trust 2014-D. This will be the fourth senior/subordinated transaction of the year for Consumer Portfolio Services, Inc. (CPS). The complete rating actions are as follows: Issuer: CPS Auto Receivables Trust 2014-D Class A Notes, Assigned (P)Aa2 (sf) Class B Notes, Assigned (P)A1 (sf) Class C Notes, Assigned (P)Baa2 (sf) Class D Notes, Assigned (P)Ba3 (sf) Class E Notes, Assigned (P)B2 (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, the experience and expertise of CPS as servicer, and the backup servicing arrangement with Aa3-rated Wells Fargo Bank, N.A. Moody's median cumulative net loss expectation for the underlying pool is 14.50%. The loss expectation was based on an analysis of CPS' 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. CREDIT SUISSE 2007-C4: Moody's Affirms 'C' Rating on 3 Certs ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on two classes, affirmed the ratings on 14 classes, and downgraded the rating on one class of Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C4 as follows: Cl. A-AB, Affirmed Aaa (sf); previously on Jan 10, 2014 Affirmed Aaa (sf) Cl. A-1-A, Upgraded to Aa2 (sf); previously on Jan 10, 2014 Affirmed A1 (sf) Cl. A-4, Upgraded to Aa2 (sf); previously on Jan 10, 2014 Affirmed A1 (sf) Cl. A-M, Affirmed Ba1 (sf); previously on Jan 10, 2014 Affirmed Ba1 (sf) Cl. A-1-AM, Affirmed Ba1 (sf); previously on Jan 10, 2014 Affirmed Ba1 (sf) Cl. A-J, Affirmed B3 (sf); previously on Jan 10, 2014 Affirmed B3 (sf) Cl. A-1-AJ, Affirmed B3 (sf); previously on Jan 10, 2014 Affirmed B3 (sf) Cl. B, Affirmed Caa2 (sf); previously on Jan 10, 2014 Affirmed Caa2 (sf) Cl. C, Affirmed Caa3 (sf); previously on Jan 10, 2014 Affirmed Caa3 (sf) Cl. D, Affirmed Ca (sf); previously on Jan 10, 2014 Affirmed Ca (sf) Cl. E, Affirmed Ca (sf); previously on Jan 10, 2014 Affirmed Ca (sf) Cl. F, Affirmed Ca (sf); previously on Jan 10, 2014 Affirmed Ca (sf) Cl. G, Affirmed Ca (sf); previously on Jan 10, 2014 Affirmed Ca (sf) Cl. H, Affirmed C (sf); previously on Jan 10, 2014 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Jan 10, 2014 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Jan 10, 2014 Affirmed C (sf) Cl. A-X, Downgraded to Ca (sf); previously on Jan 10, 2014 Affirmed B1 (sf) Ratings Rationale The ratings on the classes A-4 and A-1-A were upgraded based on an increase in credit support resulting from loan paydowns and amortization and lower than expected realized losses from previously liquidated loans. The deal has paid down 36% since Moody's last review. The ratings on classes A-AB, A-1-AM 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 affirmations on the remianing 11 P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class A-X) was downgraded to Ca (sf) due to the uncertainty of future interest payments based on the fact that all of its references classes have an interest rate equal to the weighted average coupon of the pool. Moody's rating action reflects a base expected loss of 14.2% of the current balance compared to 14.7% at Moody's last review. Moody's base expected loss plus realized losses is now 13.2% of the original pooled balance compared to 15.6% 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. On October 9, 2014, Moody's issued a "Request for Comment" asking for market feedback on proposed changes to the methodology it uses to rate conduit and fusion CMBS transactions. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of CSMC 2007-C4. 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 44 compared to 20 at Moody's last review. Deal Performance As of the November 18, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 45% to $1.15 billion from $2.08 billion at securitization. The certificates are collateralized by 160 mortgage loans ranging in size from less than 1% to 6% of the pool, with the top ten loans constituting 36% of the pool. Three loans, constituting approximately 2% of the pool, have defeased and are secured by US government securities. Fifty-three loans, constituting 41% 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-eight loans have been liquidated from the pool, contributing to an aggregate realized loss of $111.5 million. Eighteen loans, constituting 13% of the pool, are currently in special servicing. The largest specially serviced loan is the Lakeview Plaza Loan ($31.2 million -- 2.7% of the pool), which is secured by a 185,000 square foot (SF) grocery anchored retail center in Brewster, New York. The subject is anchored by an A&P Supermarket through January 2019. As of September 2014 the property was 79% leased, however, several tenants have been delinquent on their lease payments. The special servicer indicated they are working with the receiver to evict delinquent tenants, do repairs and lease up the property. The remaining 17 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $75.6 million loss for the specially serviced loans (50% expected loss on average). Moody's has assumed a high default probability for 21 poorly performing loans, constituting 18% of the pool, and has estimated an aggregate loss of $55 million (a 27% expected loss on average) from these troubled loans. Moody's received full year 2013 operating results for 97% of the pool. Moody's weighted average conduit LTV is 110% compared to 116% 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 5% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.0%. Moody's actual and stressed conduit DSCRs are 1.20X and 0.93X, respectively, compared to 1.21X and 0.89X 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 loans represent 19.7% of the pool balance. The largest exposure is the 2600 Michelson Loan ($91.5 million -- 8.0% of the pool). The loan transferred to special servicing in September 2009 due to imminent default and the loan was assumed and modified in July 2011. The modification included a split into a $66.6 million A-Note and $24.85 million B-Note. Additional modification terms included a one year extension option, and an infusion of $12.3 million of new Borrower equity. As of September 2014 the property was 82% leased compared to 71% in June 2013. The loan is currently on the watchlist due to low DSCR and Moody's has identified this as a troubled loan. The second largest loan is the Meyberry House Loan ($90.0 million -- 7.8% of the pool), which is secured by a 180-unit apartment building located on the Upper East Side of Manhattan in New York City. In addition to the first mortgage loan, there is a $34 million mezzanine loan held outside the trust. The loan is currently on the watchlist due a low DSCR. As of October 2014, the property was 97% leased, the same as at last review. Moody's analysis of this loan is based on a floor value. Moody's LTV and stressed DSCR are 125% and 0.65X, respectively, compared to 125% and 0.82X at last review. The third largest loan is the Hamburg Trust Portfolio Loan ($69.9 million -- 6.1% of the pool), which is secured by five cross- collaterized and cross-default multifamily properties located in Florida (2 properties) and Texas (3 properties). As of June 2014 the portfolio was 95% leased, essentially the same as at last review. Performance has improved due to an increase in rental revenue. Moody's LTV and stressed DSCR are 115% and 0.80X, respectively, compared to 121% and 0.76X at the last review. DLJ COMMERCIAL 1999-CG2: Moody's Affirms Caa3 Rating on S Certs --------------------------------------------------------------- Moody's Investors Service has affirmed the rating of one class of DLJ Commercial Mortgage Corp., Commercial Mortgage Pass-Through Certificates, Series 1999-CG2 as follows: Cl. S, Affirmed Caa3 (sf); previously on Jan 24, 2014 Affirmed Caa3 (sf) Ratings Rationale The rating of the IO class, Class S, was affirmed due to the credit performance (or the weighted average rating factor or WARF) of its referenced classes. The IO class is the only outstanding Moody's rated class in this transaction. 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 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. On October 9, 2014, Moody's issued a "Request for Comment" asking for market feedback on proposed changes to the methodology it uses to rate conduit and fusion CMBS transactions. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of DLJ 1999-CG2. Description of Models Used Moody's review utilized the excel-based CMBS Conduit Model v 2.64 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level are driven by property type, Moody's actual and stressed DSCR and Moody's property quality grade (which reflects the capitalization rate used by Moody's to estimate Moody's value). Conduit model results at the B2 (sf) level are driven by a paydown analysis based on the individual loan level Moody's LTV ratio. Other concentrations and correlations may be considered in Moody's analysis. Based on the model pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit classes are either interpolated between these two data points or determined based on a multiple or ratio of either of these two data points. For fusion deals, the credit enhancement for loans with investment-grade structured credit assessments is melded with the conduit model credit enhancement into an overall model result. Negative pooling, or adding credit enhancement at the structured credit assessment level, is incorporated for loans with similar structured credit assessments in the same transaction. Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of seven compared to a Herf of nine at the prior review. In cases where 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. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Deal Performance As of the November 10, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $24 million from $1.55 billion at securitization. The Certificates are collateralized by 16 mortgage loans ranging in size from less than 1% to 28% of the pool, with the top ten loans representing 92% of the pool. One loan, representing 2% of the pool, has defeased and is secured by US Government securities. Three loans, representing 5% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Forty-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $62 million (26% loss severity on average). No loans are currently in special servicing. Moody's has assumed a high default probability for two poorly performing loans representing 4% of the pool and has estimated an aggregate $0.1 million loss (15% expected loss based on a 50% probability default) from these troubled loans. Moody's was provided with full year full year 2013 and partial year 2014 operating results for 94% and 66% of the pool, respectively. Moody's weighted average conduit LTV is 47% compared to 53% at Moody's prior 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 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9%. Moody's actual and stressed conduit DSCRs are 1.68X and 3.19X, respectively, compared to 1.51X and 2.59X at prior review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three conduit loans represent 54% of the pool balance. The largest loan is the Hazelcrest Place Loan ($7 million -- 28% of the pool), which is secured by a 241 unit multifamily property in Hazel Park, Michigan. As of September 2014, the property was 99% leased compared to 98% as of September 2013. Performance has been stable. Moody's LTV and stressed DSCR are 69% and 1.45X, respectively, compared to 66% and 1.53X at prior review. The second largest loan is the Garden City Tower Loan ($4 million -- 15% of the pool), which is secured by a 170-unit multifamily property in Garden City, Michigan. The property was 100% leased as of September 2014 compared to 98% as of September 2013. Moody's LTV and stressed DSCR are 51% and 1.97X, respectively, compared to 51% and 1.98X at prior review. The third largest loan is the Summit Square Shopping Center Loan ($2 million -- 10% of the pool), which is secured by an approximately 58,000 square foot retail center in Houston, Texas. Retailers include Party City and Sears. The property was 100% leased as of March 2014, the same as at the prior review. Moody's LTV and stressed DSCR are 23% and 4.71X, respectively, compared to 33% and 3.28X at prior review. EAGLE I: S&P Assigns Prelim. 'BB' Rating on Class C Notes --------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Eagle I Ltd.'s $380.50 million series 2014-1 A-1, A-2, B, and C aircraft-backed notes. The note issuance is an asset-backed securities transaction backed by a portfolio of 21 Embraer E-Jets and their related leases. The preliminary ratings are based on information as of Dec. 1, 2014. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The Embraer E-Jets' value, liquidity, and favorable rent- generating potential. -- The initial and future lessees' estimated credit quality. -- The 53.97% LTV for the series A-1 and A-2 notes, 67.49% for the series B notes, and 76.49% for the series C notes (S&P bases this figure on the lower of the mean and median of the aircraft half-life base values and half-life market values.) -- The faster note amortization schedules (four years straight- line amortization for the series A-1 notes; 13 years for the series A-2 notes [5% in years 1-4 and 9% annually thereafter, based on initial note balance]; 16 years straight-line amortization for the series B notes; and seven years straight-line amortization for the series C notes) than the typical 16-year amortization schedule in recently rated aircraft securitization transactions. -- Jetscape Commercial Jets Malta Ltd.'s ability in servicing E-Jets in a niche market. -- The senior liquidity facility covering more than 12 months' interest (excluding the step-up amount) on the series A-1, A-2, and B notes provided by DVB Bank SE. -- S&P's projections regarding the transaction's ability to make the timely interest (excluding the step-up amount) payments on the series A-1, A-2, and B notes (if such series is the senior-most series then outstanding); the ultimate interest payments on the series B notes (if such series is not the senior-most then outstanding) and C notes; and the ultimate principal payments on the series A-1, A-2, B, and C notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the preliminary ratings. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Eagle I Ltd. (Series 2014-1) Series Rating Amount (mil. $) A-1 A (sf) 136.50 A-2 A (sf) 132.00 B BBB (sf) 67.25 C BB (sf) 44.75 FIRST FRANKLIN: Moody's Takes Ration Action on $1.7MM RMBS ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 38 tranches and downgraded the ratings of three tranches from 18 First Franklin transactions, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: First Franklin Mortgage Loan Trust 2005-FF1 Cl. M-1, Upgraded to B1 (sf); previously on Apr 6, 2010 Downgraded to B2 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF11 Cl. A-1, Upgraded to A2 (sf); previously on Jul 15, 2011 Downgraded to Baa1 (sf) Cl. A-2D, Upgraded to A3 (sf); previously on Jul 15, 2011 Downgraded to Baa1 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Jan 3, 2014 Upgraded to Caa1 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF12 Cl. A-1, Upgraded to A3 (sf); previously on Jan 3, 2014 Upgraded to Baa2 (sf) Cl. A-2B, Upgraded to Baa2 (sf); previously on Jan 3, 2014 Upgraded to Ba1 (sf) Cl. A-2C, Upgraded to Ba1 (sf); previously on Jan 3, 2014 Upgraded to Ba3 (sf) Cl. M-1, Upgraded to B2 (sf); previously on Jan 3, 2014 Upgraded to Caa1 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF2 Cl. M-4, Upgraded to Ba2 (sf); previously on May 1, 2014 Upgraded to B1 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF3 Cl. M2, Upgraded to A1 (sf); previously on Sep 4, 2012 Upgraded to A3 (sf) Cl. M3, Upgraded to Baa1 (sf); previously on Aug 5, 2013 Upgraded to Baa2 (sf) Cl. M4, Upgraded to Baa3 (sf); previously on Apr 21, 2014 Upgraded to Ba3 (sf) Cl. M5, Upgraded to B1 (sf); previously on Apr 21, 2014 Upgraded to Caa1 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF4 Cl. M-2, Upgraded to Baa3 (sf); previously on Apr 21, 2014 Upgraded to Ba2 (sf) Cl. M-3, Upgraded to Ba3 (sf); previously on Apr 21, 2014 Upgraded to B3 (sf) Cl. M-4, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF7 Cl. M-2, Upgraded to Baa3 (sf); previously on May 1, 2014 Upgraded to Ba2 (sf) Cl. M-3, Upgraded to B1 (sf); previously on May 1, 2014 Upgraded to Caa1 (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF8 Cl. M-1, Upgraded to Baa3 (sf); previously on May 1, 2014 Upgraded to Ba3 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on May 1, 2014 Upgraded to Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FFH1 Cl. M-1, Upgraded to Ba1 (sf); previously on May 1, 2014 Upgraded to Ba3 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on May 1, 2014 Upgraded to Ca (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF1 Cl. I-A, Upgraded to A3 (sf); previously on May 23, 2014 Upgraded to Baa3 (sf) Cl. II-A-3, Upgraded to Baa1 (sf); previously on May 23, 2014 Upgraded to Ba1 (sf) Cl. II-A-4, Upgraded to Baa3 (sf); previously on May 23, 2014 Upgraded to Ba3 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on May 23, 2014 Upgraded to Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF10 Cl. A4, Upgraded to Ba1 (sf); previously on Apr 23, 2013 Upgraded to B1 (sf) Cl. A7, Upgraded to Ba1 (sf); previously on Apr 23, 2013 Upgraded to B1 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF12 Cl. A4, Upgraded to Ba2 (sf); previously on Jul 2, 2014 Upgraded to B1 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF16 Cl. I-A1, Downgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. II-A3, Downgraded to Ca (sf); previously on Apr 6, 2010 Confirmed at Caa3 (sf) Cl. II-A4, Downgraded to Ca (sf); previously on Apr 6, 2010 Confirmed at Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF3 Cl. A-1, Upgraded to Baa3 (sf); previously on May 1, 2014 Upgraded to Ba2 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF5 Cl. I-A, Upgraded to B3 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF8 Cl. I-A-1, Upgraded to Ba3 (sf); previously on Jun 10, 2014 Upgraded to B1 (sf) Cl. II-A-4, Upgraded to Caa1 (sf); previously on Jun 10, 2014 Upgraded to Caa2 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF9 Cl. I-A, Upgraded to Caa1 (sf); previously on Jul 15, 2011 Downgraded to Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FFH1 Cl. A-3, Upgraded to Baa1 (sf); previously on Aug 5, 2013 Upgraded to Baa2 (sf) Cl. A-4, Upgraded to Baa2 (sf); previously on May 1, 2014 Upgraded to Baa3 (sf) Ratings Rationale The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds due to high prepayments/faster liquidations. The downgrades are primarily the results of a structural nuance whereby losses are losses not allocated to the senior tranches upon subordination depletion, leading to increasing undercollateralization on the bonds over time. 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 5.8% in October 2014 from 7.2% in October 2013. Moody's forecasts an unemployment central range of 6% to 7% 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. GALLATIN VI 2013-2: Fitch Affirms BB Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings affirms these ratings of Gallatin CLO VI 2013-2, LLC as: -- $3,750,000 class X notes 'AAAsf'; Outlook Stable; -- $215,625,000 class A-1 notes 'AAAsf'; Outlook Stable; -- $0 class A-2 notes 'AAAsf'; Outlook Stable; -- $50,000,000 class A loans 'AAAsf'; Outlook Stable; -- $57,375,000 class B notes 'AAsf'; Outlook Stable; -- $19,650,000 class C notes 'Asf'; Outlook Stable; -- $21,250,000 class D notes 'BBBsf'; Outlook Stable; -- $21,250,000 class E notes 'BBsf'; Outlook Stable. Fitch does not rate the subordinated notes. KEY RATING DRIVERS The affirmations are based on the stable performance of the underlying portfolio since the transaction's inception in December 2013, the sufficient credit enhancement available to the notes, and the cushions available in the CLO's cash flow modeling results. As of the October 2014 trustee report, the transaction continues to pass all coverage tests and collateral quality tests, and there have been no defaults in the underlying portfolio to date. Fitch's cash flow analysis also indicates each class of notes is passing all 12 interest rate and default timing scenarios at or above their current rating levels. The loan portfolio par amount plus principal cash is approximately $425.3 million, compared to the effective date target balance of $425 million. The current weighted average spread (WAS) is 4.2% versus a minimum WAS trigger of 3.8%, as reported by the trustee. Additionally, the weighted average rating factor remains unchanged at 'B' since the closing date. Fitch currently considers 1.9% of the collateral assets to be rated in the 'CCC' category versus 5.7% in the indicative portfolio at closing, based on Fitch's Issuer Default Rating (IDR) Equivalency Map. The Stable Outlook on each class of notes of Gallatin VI reflects the expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolio. RATING SENSITIVITIES The ratings of the notes may be sensitive to the following: asset defaults, portfolio migration, including assets being downgraded to 'CCC', portions of the portfolio being placed on Rating Watch Negative, overcollateralization or interest coverage (IC) test breaches, or breach of concentration limitations or portfolio quality covenants. Fitch conducted rating sensitivity analysis on the closing date of Gallatin VI, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities. Gallatin VI is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by MP Senior Credit Partners L.P., with a four-year reinvestment period and two-year non-call period. During the reinvestment period, discretionary sales are permitted at any time and are limited to 25% of the portfolio balance, as measured at the beginning of the preceding 12-month period. The manager also has the ability to reinvest unscheduled principal proceeds and sales proceeds from the disposal of credit risk obligations after the reinvestment period, subject to certain conditions. The class A loans were issued at close and include a conversion option to be converted into class A-2 notes. Once the option is exercised, the aggregate outstanding amount of the class A-2 notes will be increased by the outstanding principal amount of the class A loans and the class A loans shall cease to be outstanding. The conversion option may be exercised only once and no class A-2 notes may be converted into class A loans. The class A-2 notes continue to have a zero balance. This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs' using Fitch's Portfolio Credit Model (PCM) to project future default and recovery levels for the underlying portfolio. These default and recovery levels were then utilized in Fitch's cash flow model under various combinations of default timing and interest rate stress scenarios, as described in the report. The cash flow model was customized to reflect the transaction's structural features. The current portfolio's 'AAAsf' Rating Default Rate (RDR) and Rating Recovery Rate (RRR) outputs from PCM (the stress used to achieve a 'AAAsf' rating on the class A debt) are 50.3% and 41.7%, respectively, versus an RDR of 52.6% and RRR of 43.3% for the indicative portfolio at closing. The RDR decreases to 31.4% and the RRR increases to 71.7% at the 'BBsf' stress (the stress used to achieve a 'BBsf' rating on the class E notes) versus an RDR of 33.1% and RRR of 73.4% for the indicative portfolio at closing. Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on Apr. 8, 2014. A comparison of the transaction's Representations, Warranties, and Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that asset class is also available by accessing the reports and links indicated. GOLDMAN SACHS 2006-GG8: Moody's Cuts Rating on Cl. E Certs to 'C' ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one class, downgraded the rating of one class and affirmed nine classes in Goldman Sachs Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2006-GG8 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Dec 19, 2013 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Dec 19, 2013 Affirmed Aaa (sf) Cl. A-M, Upgraded to A3 (sf); previously on Dec 19, 2013 Affirmed Baa2 (sf) Cl. A-J, Affirmed B3 (sf); previously on Dec 19, 2013 Affirmed B3 (sf) Cl. B, Affirmed Caa1 (sf); previously on Dec 19, 2013 Affirmed Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on Dec 19, 2013 Affirmed Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Dec 19, 2013 Affirmed Caa3 (sf) Cl. E, Downgraded to C (sf); previously on Dec 19, 2013 Affirmed Caa3 (sf) Cl. F, Affirmed C (sf); previously on Dec 19, 2013 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Dec 19, 2013 Downgraded to C (sf) Cl. X, Affirmed B1 (sf); previously on Dec 19, 2013 Downgraded to B1 (sf) Ratings Rationale The rating on one P&I class, Class A-M, was upgraded due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as Moody's expectation of additional increases in credit support resulting from the payoff of loans approaching maturity that are well positioned for refinance. The pool has paid down by 7% since Moody's last review. In addition, loans constituting 23% of the pool that have debt yields exceeding10.0% are scheduled to mature within the next 24 months. The rating on one P&I class, Class E, was downgraded due to realized and anticipated losses from specially serviced and troubled loans that were higher than Moody's had previously expected. The ratings on P&I classes A-1A and A-4 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 six below investment grade P&I classes 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 (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 10.1% of the current balance compared to 12.5% at Moody's prior review. Moody's base expected loss plus realized losses is now 13.7% of the original pooled balance compared to 11.8% at the prior review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. 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. On October 9, 2014, Moody's issued a "Request for Comment" asking for market feedback on proposed changes to the methodology it uses to rate conduit and fusion CMBS transactions. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of GSMS 2006-GG8. 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 34 compared to 38 at Moody's last review. Deal Performance As of the November 13, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 37% to $2.7 billion from $4.2 billion at securitization. The Certificates are collateralized by 118 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans (excluding defeasance) representing 46% of the pool. Two loans, representing 0.3% of the pool have defeased and are secured by US Government securities. Thirty-eight loans, representing 24% 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. Thirty-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $304 million (49% loss severity on average). Ten loans, representing 6% of the pool, are in special servicing. The largest specially serviced loan is the Ariel Preferred Retail Portfolio Loan ($60 million -- 2.3% of the pool), which was originally secured by portfolio of six outlet centers totaling 1.34 million square feet (SF) located in suburban markets in California, Nevada, Minnesota, Missouri, Georgia and Michigan. The loan was transferred to special servicing in June 2009 due to monetary default. Foreclosure was completed on all six properties and five properties have sold to date. The remaining six specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $91.6 million loss for the specially serviced loans (58% expected loss on average). Moody's has assumed a high default probability for 27 poorly- performing loans representing 14% of the pool and has estimated an aggregate $103.6 million loss (27% expected loss based on a 55% probability of default) from these troubled loans. Moody's received full-year 2013 operating results for 99% of the pool and full or partial year 2014 operating results for 98% of the pool. Moody's weighted average conduit LTV is 115% compared to 116% 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 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.23X and 0.93X, respectively, compared to 1.27X and 0.93X 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 20% of the pool balance. The largest loan is the 222 South Riverside Plaza Loan ($194 million -- 7% of the pool), which is secured by two Class A office buildings with a combined total of 1.2 million SF located in Chicago, Illinois. The largest tenants include Fifth Third Bank (19% of the NRA; lease expiration August 2024) and Deutsche Investment Management (11% of the NRA; lease expiration December 2016). As of June 2014, the property was 88% leased, approximately the same as at last review. The borrower is defeasing the loan, which is expected to close before the end of December. The second largest loan is the 1441 Broadway Loan ($183 million -- 7% of the pool), which is secured by a 470,000 SF 33-story multi- tenant office building located in the Garment District of New York, New York. The largest tenants include Jones Denim Management (18% of the NRA; lease expiration in August 2027) and Fifth and Pacific Companies (11% of the NRA; lease expiration in December 2022). As of June 2014, the property was 91% leased compared to 89% at last review. Moody's LTV and stressed DSCR are 123% and 0.79X, respectively, compared to 117% and 0.83X at the last review. The third largest loan is the CA Headquarters Loan ($166 million - - 6% of the pool), which is secured by a 778,000 SF office property located in Islandia, New York. The property formerly served as the headquarters for Computer Associates, an information technology management and solutions provider. The company remains the sole tenant occupying the entire space there through August 2021. Moody's performed a "Lit/Dark" analysis in valuing this property. Moody's LTV and stressed DSCR are 132% and 0.78X, respectively. HILDENE CLO III: Moody's Assigns B3 Rating on $5.5MM Cl. F Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of Notes issued by Hildene CLO III Ltd. Moody's rating actions are as follows: $220,500,000 Class A Senior Secured Floating Rate Notes due 2026 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) $43,000,000 Class B Senior Secured Floating Rate Notes due 2026 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) $18,750,000 Class C Deferrable Mezzanine Floating Rate Notes due 2026 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) $20,250,000 Class D Deferrable Mezzanine Floating Rate Notes due 2026 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) $18,750,000 Class E Deferrable Mezzanine Floating Rate Notes due 2026 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) $5,500,000 Class F Deferrable Mezzanine Floating Rate Notes due 2026 (the "Class F Notes"), Definitive Rating Assigned B3 (sf) 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." 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. Hildene CLO III 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 senior unsecured loans. The portfolio is approximately 85% ramped as of the closing date. Hildene Leveraged Credit, 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 issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in February 2014. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $350,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2890 Weighted Average Spread (WAS): 3.9% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 8 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. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was an important component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2890 to 3324) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Class F Notes: 0 Percentage Change in WARF -- increase of 30% (from 2890 to 3757) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -2 The V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V Score assigned for the global cash flow CLO sector, as described in the special report titled "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector," dated July 6, 2009 and available on www.moodys.com. The score for the "Experience of, Arrangements Among and Oversight of the Transaction Parties," a sub-category of the V Score, is Medium, which is higher than that of the benchmark CLO, which is Low/Medium. The score of Medium reflects the fact that the transaction is the third CLO managed by the Manager. This higher score for "Experience of, Arrangements Among and Oversight of the Transaction Parties" does not, however, cause this transaction's overall composite V Score of Medium/High to differ from that of the CLO sector benchmark. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction, rather than individual tranches. JP MORGAN 2005-LDP5: Moody's Affirms Caa2 Rating on Class J Debt ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of nine classes and affirmed 12 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. A-J, Upgraded to Aa1 (sf); previously on Dec 12, 2013 Affirmed Aa3 (sf) Cl. B, Upgraded to Aa2 (sf); previously on Dec 12, 2013 Affirmed A1 (sf) Cl. C, Upgraded to A1 (sf); previously on Dec 12, 2013 Affirmed A3 (sf) Cl. D, Upgraded to A3 (sf); previously on Dec 12, 2013 Affirmed Baa1 (sf) Cl. E, Affirmed Baa2 (sf); previously on Dec 12, 2013 Affirmed Baa2 (sf) Cl. F, Affirmed Ba1 (sf); previously on Dec 12, 2013 Affirmed Ba1 (sf) Cl. G, Affirmed Ba3 (sf); previously on Dec 12, 2013 Affirmed Ba3 (sf) Cl. H, Affirmed B2 (sf); previously on Dec 12, 2013 Affirmed B2 (sf) Cl. J, Affirmed Caa2 (sf); previously on Dec 12, 2013 Affirmed Caa2 (sf) Cl. K, Affirmed Caa3 (sf); previously on Dec 12, 2013 Affirmed Caa3 (sf) Cl. HG-1, Upgraded to Ba2 (sf); previously on Dec 12, 2013 Affirmed Ba3 (sf) Cl. HG-2, Upgraded to Ba3 (sf); previously on Dec 12, 2013 Affirmed B1 (sf) Cl. HG-3, Upgraded to B1 (sf); previously on Dec 12, 2013 Affirmed B2 (sf) Cl. HG-4, Upgraded to B2 (sf); previously on Dec 12, 2013 Affirmed B3 (sf) Cl. HG-X, Upgraded to B1 (sf); previously on Dec 12, 2013 Affirmed B2 (sf) Cl. X-1, Affirmed Ba3 (sf); previously on Dec 12, 2013 Affirmed Ba3 (sf) Ratings Rationale The ratings on P&I Classes A-J, B, C and D were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as Moody's expectation of additional increases in credit support resulting from the payoff of loans approaching maturity that are well positioned for refinance. The pool has paid down by 8% since Moody's last review. In addition, loans constituting 39% of the pool that have debt yields exceeding 10.0% are scheduled to mature within the next 12 months. Defesance has also increased to 8% of the current pool balance from 2% at the last review. The top loan, Brookdale Office Portfolio, 10.5% of the current pooled balance, defeased after November 17, 2014. The affirmations of P&I Classes A-3, A-4, A-SB, A-1A, A-M, E, F and G are due to 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 H, J and K were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class, Class X-1 was affirmed based on the credit performance of the referenced classes. The ratings of the non-pooled classes HG-1 through HG-4, which are supported by the B-note on the Houston Galleria, are upgraded based on the improved performance of the asset. The rating on the IO Class, Class HG-X was upgraded based on the weighted average rating factor or WARF of the referenced classes. Moody's rating action reflects a base expected loss of 7.3% of the current balance compared to 6.1% at Moody's last review. Moody's base expected loss plus realized losses is now 5.8% of the original pooled balance, compared to 5.3% 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 Fusion U.S. CMBS Transactions" published in April 2005. On October 9, 2014, Moody's issued a "Request for Comment" asking for market feedback on proposed changes to the methodology it uses to rate conduit and fusion CMBS transactions. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of JPMCC 2005-LDP5. 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 25 compared to 27 at Moody's last review. Deal Performance As of the November 17, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 29% to $2.98 billion from $4.20 billion at securitization. The certificates are collateralized by 154 mortgage loans ranging in size from less than 1% to 10.5% of the pool, with the top ten loans constituting 48% of the pool. One loan, constituting 9.7% of the pool, has an investment-grade structured credit assessment. Twenty loans, constituting 8.4% of the pool, have defeased and are secured by US government securities. Twenty-nine loans, constituting 19.7% 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. Nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $25.5 million (for an average loss severity of 22%). Six loans, constituting 7.0% of the pool, are currently in special servicing. The largest specially serviced loan is the NEC America Corporate Center ($92.7 million -- 3.1% of the pool), which is secured by two, multi-story, Class A office buildings and a 4-level parking structure in Irving, Texas. The building is 100% NNN leased to NEC America, Inc. through March 2016 although various spaces are subleased out. The loan transferred to special servicing in March 2012 due to covenant default and subsequently was modified in July 2014 into a $67.5 million A-Note and $25.7 million B-Note. The modification also included $6.5 million of new capital for future leasing costs, maturity date extension until December 2018 and the loan converting to interest-only payments for the remaining term. The second largest specially loan is the Hanover Mall ($79.2 million -- 2.7% of the pool), which is secured by a one-story, enclosed, regional mall in Hanover, Massachusetts. The loan transferred to special servicing in November 2009 and became REO in February 2010. The property is shadow anchored by Wal-Mart, Sears, Macy's and J.C. Penney. As of September 2014, the property was 98% leased compared to 96% in June 2013. As of TTM August 2014, inline tenant sales < 10,000 SF were $247 PSF. Per the servicer, the plan is to continue to stabilize the asset. The remaining four specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $106.7 million loss for the specially serviced loans (51% expected loss on average). Moody's has assumed a high default probability for 18 poorly performing loans, constituting 11% of the pool, and has estimated an aggregate loss of $78.9 million (an 25% expected loss based on a 54% probability default) from these troubled loans. Moody's received full year 2013 operating results for 92% of the pool and partial year 2014 operating results for 31% of the pool. Moody's weighted average conduit LTV is 89% compared to 95% 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 9.0%. Moody's actual and stressed conduit DSCRs are 1.49X and 1.13X, respectively, compared to 1.42X and 1.06X 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 loan with a structured credit assessment is the Houston Galleria Loan ($290.0 million -- 9.7% of the pool), which represents a 50% pari passu interest in a $580.0 million mortgage loan. The loan is secured by a portion of a 2.3 million square foot (SF) super-regional mall, anchored by Macy's, Neiman Marcus, Saks Fifth Avenue, and Nordstrom. As of July 2014, the property was 93% leased compared to 99% as of March 2013. Simon Property Group is the sponsor. The property is also encumbered by two B- Notes. The senior B-Note ($110.0 million) is held outside the trust. The junior B-Note ($130.0 million) is held within the trust and supports the non-pooled, or "rake" bonds HG-1, HG-2, HG-3, HG- 4, HG-5, and HG-X. Moody's does not rate HG-5. Moody's structured credit assessment and stressed DSCR of the A-Note is baa1 (sca.pd) and 1.42X, respectively, compared to baa1 (sca.pd) and 1.41X at last review. The top three performing conduit loans represent 23% of the pool. The largest loan is the Brookdale Office Portfolio Loan ($314.4 million -- 10.5% of the pool), which is secured by fee interests in 18 suburban office properties and leasehold interests in three suburban office buildings located across five southern U.S. states. Sixty five percent of the allocated loan balance is secured by properties in Florida. This loan defeased after November 17, 2014. The second largest loan is the Selig Office Portfolio Loan ($242.0 million -- 8.1% of the pool). The loan is secured by seven Class B office properties, totaling 1.5 million SF, in downtown Seattle, Washington. As of September 2014, the portfolio was 96% leased, the same at last review. Moody's current LTV and stressed DSCR are 88% and 1.13X, respectively, the same at last review. The third largest loan is the Grand Plaza Loan ($146 million -- 5% of the pool). The loan is secured by a luxury apartment complex in the River North section of Chicago, Illinois. Performance has steadily improved in recent years. As of July 2014, occupancy was 95%, the same as of September 2013. Moody's current LTV and stressed DSCR are 78% and 1.07X respectively, compared to 79% and 0.94X at last review. JP MORGAN 2007-CIBC18: Moody's Affirms C Rating on 3 Certificates ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on 12 classes in J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2007-CIBC18 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Feb 6, 2014 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Feb 6, 2014 Affirmed Aaa (sf) Cl. A-M, Affirmed A2 (sf); previously on Feb 6, 2014 Affirmed A2 (sf) Cl. A-MFL, Affirmed A2 (sf); previously on Feb 6, 2014 Affirmed A2 (sf) Cl. A-MFX, Affirmed A2 (sf); previously on Feb 6, 2014 Affirmed A2 (sf) Cl. A-J, Affirmed B2 (sf); previously on Feb 6, 2014 Affirmed B2 (sf) Cl. B, Affirmed Caa2 (sf); previously on Feb 6, 2014 Affirmed Caa2 (sf) Cl. C, Affirmed Caa3 (sf); previously on Feb 6, 2014 Affirmed Caa3 (sf) Cl. D, Affirmed C (sf); previously on Feb 6, 2014 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Feb 6, 2014 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Feb 6, 2014 Affirmed C (sf) Cl. X, Affirmed Ba3 (sf); previously on Feb 6, 2014 Affirmed Ba3 (sf) Ratings Rationale The ratings on P&I classes A-1A through A-J 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 B through F were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 8.3% of the current balance compared to 8.5% at Moody's last review. Moody's base expected loss plus realized losses is now 13.1% of the original pooled balance compared to 13.0% 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 U.S. CMBS Conduit Transactions" published in September 2000. On October 9, 2014, Moody's issued a "Request for Comment" asking for market feedback on proposed changes to the methodology it uses to rate conduit and fusion CMBS transactions. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of JPMCC 2007-CIBC18. 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 48 compared to a Herf of 50 at Moody's last review. Deal Performance As of the November 10, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 19% to $3.18 billion from $3.90 billion at securitization. The certificates are collateralized by 187 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans constituting 35% of the pool. Three loans, constituting less than 1% of the pool, have defeased and are secured by US government securities. Fifty-three loans, constituting 22% 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. Forty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $246 million (for an average loss severity of 40%). Nine loans, constituting 12% of the pool, are currently in special servicing. The largest specially serviced loan is the 131 South Dearborn Loan ($236 million -- 7% of the pool), which represents a 50% pari passu interest in a $472 million senior mortgage. The loan is secured by the 37-story "Citadel Center", a 1.5 million square foot (SF) office tower in the Central Loop submarket of Chicago, Illinois. The property is also encumbered by $25 million of mezzanine debt. The property transferred to special servicing in May 2014. The property was 94% occupied as of September 2014, compared to 98% occupied as of December 2013. The largest tenant (40% of NRA) has downsized and extended its lease expiration from 2017 to 2023, and the third largest tenant, which had occupies 18% of the net rentable area (NRA), is executing an early termination option to move out in 2017, ahead of its 2022 lease expiration. The remaining eight specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $59 million loss for poorly performing specially serviced loans (54% expected loss on average for those loans). Moody's has assumed a high default probability for 28 poorly performing loans, constituting 16% of the pool, and has estimated an aggregate loss of $94 million (an 18% expected loss based on a 52% probability of default) from these troubled loans. Moody's received full year 2013 operating results for 95% of the pool and partial year 2014 operating results for 53% of the pool. Moody's weighted average conduit LTV is 102% compared to 103% 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 9% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9%. Moody's actual and stressed conduit DSCRs are 1.43X and 1.03X, respectively, compared to 1.40X and 1.00X 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 14% of the pool balance. The largest loan is the Centro Heritage Portfolio IV ($226 million -- 7% of the pool), which is secured by a portfolio of 16 anchored retail centers across ten U.S. states. Anchor tenants include Lowe's, TJ Maxx, Burlington, Kmart, Marshalls, and ShopRite. Portfolio financial performance has improved slightly since 2012. Moody's LTV and stressed DSCR are 77% and 1.21X, respectively, compared to 82% and 1.13X at the last review. The second largest loan is the Quantico Portfolio ($131 million -- 4% of the pool), which is secured by a portfolio of 11 industrial and three office properties in Northern Virginia near Washington- Dulles International Airport. The properties were built between 1987 and 2000. The loan sponsor is Duke Realty Corporation. Moody's LTV and stressed DSCR are 133% and 0.73X, respectively, compared to 136% and 0.71X at the last review. The third largest loan is the Courtyard by Marriott -- Times Square South Loan ($74 million -- 2% of the pool), which is secured by a 244-room hotel located on 40th street between Broadway and Avenue of the Americas in New York, NY. The property has reported increasing NOI since 2011. Moody's LTV and stressed DSCR are 102% and 1.08X, respectively, compared to 108% and 1.02X at the last review. JP MORGAN 2008-C2: Moody's Lowers Class X Certs Rating to Caa1 -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on eight classes and downgraded the rating on one class of JP Morgan Chase Commercial Mortgage Securities Trust, Series 2008-C2 as follows: Cl. A-SB, Affirmed A2 (sf); previously on Jan 10, 2014 Affirmed A2 (sf) Cl. A-1A, Affirmed Ba3 (sf); previously on Jan 10, 2014 Downgraded to Ba3 (sf) Cl. A-4, Affirmed Ba3 (sf); previously on Jan 10, 2014 Downgraded to Ba3 (sf) Cl. A-4FL, Affirmed Ba3 (sf); previously on Jan 10, 2014 Downgraded to Ba3 (sf) Cl. A-M, Affirmed Caa3 (sf); previously on Jan 10, 2014 Downgraded to Caa3 (sf) Cl. A-J, Affirmed C (sf); previously on Jan 10, 2014 Downgraded to C (sf) Cl. B, Affirmed C (sf); previously on Jan 10, 2014 Affirmed C (sf) Cl. C, Affirmed C (sf); previously on Jan 10, 2014 Affirmed C (sf) Cl. X, Downgraded to Caa1 (sf); previously on Jan 10, 2014 Affirmed B3 (sf) Ratings Rationale The ratings on classes A-SB, A-1A, A-4 and A-4FL 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 classes on the remaining four 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 17.4% of the current balance compared to 18.4% at Moody's last review. Moody's base expected loss plus realized losses is now 24.3% of the original pooled balance, compared to 26.7% 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. On October 9, 2014, Moody's issued a "Request for Comment" asking for market feedback on proposed changes to the methodology it uses to rate conduit and fusion CMBS transactions. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of JPMCC 2008-C2. 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 20 compared to 21 at Moody's last review. Deal Performance As of the November 12, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 36% to $749.5 million from $1.2 billion at securitization. The certificates are collateralized by 63 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans constituting 55% of the pool. One loan, constituting 1% of the pool, has defeased and is secured by US government securities. One loan, constituting less than 1% of the pool, has an investment-grade structured credit assessment. The Two Democracy Plaza loan, constituting 4% of the pool, had an investment-grade structured credit assessment at last review but it has been removed at this review due to a decline in performance from both decreased revenue and increased expenses. Nineteen loans, constituting 26% 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. Eleven loans have been liquidated from the pool, resulting in an aggregate realized loss of $153 million (for an average loss severity of 84%). Cumulative realized losses represent 13.1% of the original pooled balance. Six loans, constituting 21% of the pool, are currently in special servicing. The largest specially serviced loan is the Westin Portfolio Loan ($115 million -- 15.3% of the pool), which is secured by a pari passu interest in two Westin hotels (487-room hotel in La Paloma - Tuscon, Arizona; 412- room hotel in Hilton Head, South Carolina). The loan was transferred to special servicing in October 2008 due to imminent default and the borrower filed for Chapter 11 Bankruptcy in November 2010. In May 2012, a bankruptcy court in Arizona modified the loan to include a term extension and the requirement of the Borrower to make $500,000 of monthly principal-only payments for 21 years (split pro rata between the two pari passu notes). Various fees, interest, and other expenses were capitalized into the loan balance as a part of the loan modification. The special servicer has appealed the modification and it remains subject to change. The loan was deemed non-recoverable by the master servicer in August 2012. The borrower continues to make its principal-only monthly payments on the whole loan as required by the modification. The second largest specially serviced loan is the Technology Park Loan ($24.8 million -- 3.3% of the pool), which is secured by three office / flex properties in Norcross, Georgia. The loan transferred to special servicing in June 2013 due to monetary default and became REO in January 2014. As of September 2014 the portfolio was 57% leased. The special servicing indicated they are working to lease up the properties. The remaining four specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $83.4 million loss for the specially serviced loans (52% expected loss on average). Moody's has assumed a high default probability for eight poorly performing loans, constituting 13% of the pool, and has estimated an aggregate loss of $28.2 million (a 29% expected loss on average) from these troubled loans. Moody's received full year 2013 operating results for 86% of the pool. Moody's weighted average conduit LTV is 101% compared to 100% 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 15% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.27X and 1.06X, respectively, compared to 1.20X and 1.03X 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 loan with a structured credit assessment is the Lofts at New Roc Loan ($4.5 million - 0.6%), which is secured by a 98-unit residential cooperative located in New Rochelle, New York. Moody's current structured credit assessment and stressed DSCR are aaa (sca.pd) and 3.17X, respectively, compared to aaa (sca.pd) and 3.35X at last review. The top three conduit loans represent 16% of the pool. The largest loan is the 333 Elliott Avenue West Loan ($42 million -- 5.6% of the pool), which is secured by a 137,000 square foot (SF) office property located in Seattle, Washington. The property was constructed as a built-to-suit for F5 Networks as its corporate headquarters in 2008. F5 Networks currently occupies the entire space with a lease expiration in May 2018. Due to the single tenant nature of this property, Moody's included a "lit/dark" analysis. Moody's LTV and stressed DSCR are 124% and 0.88X, respectively, compared 127% and 0.85X at prior review. The second largest loan is the Station Casinos Headquarters Loan ($41.4 million -- 5.5%), which is secured by a 139,000 SF office building located in Las Vegas, Nevada. The building is fully leased to Station Casinos under a 20-year lease through October 2027 and serves as its corporate headquarters. Upon emerging from bankruptcy in August 2010, the lease was renegotiated at a significant reduction in base rent. Due to the single tenant nature, Moody's analysis includes a "lit/dark" analysis. Moody's has classified this loan as a troubled loan due to the significant decline in rental revenue from the renegotiated lease. The third largest conduit loan is Court at Upper Providence Loan ($36.7 million -- 4.9%), which is secured by a 196,000 SF grocery anchored retail center in Royersford, Pennsylvania. As of September 2014 the property was 100% leased. The major tenants include Giant Food Store (37% of the net rentable area (NRA); lease expiration October 2026) and Ross Dress for Less (15% of the NRA; lease expiration January 2018) and the center is shadow anchored by Target (not included in the collateral). Moody's LTV and stressed DSCR are 99% and 0.96X, respectively, compared to 101% and 0.94X at prior review. LB-UBS 2006-C6: S&P Lowers Rating on Class H Notes to 'D' --------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on eight classes of commercial mortgage pass-through certificates from LB- UBS Commercial Mortgage Trust 2006-C6, a U.S. commercial mortgage- backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on 12 other classes from the same transaction. S&P's rating actions on the principal- and interest-paying certificates follow its analysis of the transaction, primarily using S&P's criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. S&P's rating actions on the class "JRP" rake certificates follow its analysis of the 11 split-mortgage loans that secure the rake certificates. These rake bonds derive 100% of their cash flow from the subordinate non-pooled components of these loans. S&P lowered its ratings on classes E and F to reflect its expectation of the available credit enhancement for these classes, which S&P believes is less than S&P's most recent estimate of necessary credit enhancement for the respective rating levels. These downgrades also reflect S&P's views of the collateral's current and future performance and available liquidity support. S&P lowered its rating on class H to 'D (sf)' to reflect its expectation that the class will experience ongoing interest shortfalls. According to the Nov. 2014 trustee remittance report, the trust experienced a net interest recovery of $210,078, reflecting one-time interest recoveries of $336,381 and interest shortfalls of $126,302. The interest shortfalls primarily reflected a $99,495 appraisal subordinate entitlement reduction amount associated with the largest specially serviced asset. S&P expects the interest shortfalls to continue to affect the class H and J certificates for the foreseeable future. The affirmations on the pooled principal- and interest-paying certificates reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings. The affirmations also reflect S&P's views regarding the collateral's current and future performance, the transaction structure, and liquidity support available to the classes. S&P affirmed its 'AAA (sf)' rating on the class X-CL interest-only (IO) certificates based on its criteria for rating IO securities. The downgrades on classes JRP-10 through JRP-14 and affirmations of the 'CCC- (sf)' ratings on classes JRP-15 and JRP-16 primarily reflect S&P's re-evaluation of the Park Square Building loan ($95.0 million whole loan, split into a $71.2 million senior pooled component and a $23.8 million subordinate non-pooled component). The $23.8 million subordinate non-pooled component of this loan represents 46.8% of the total rake collateral. The loan is secured by a 495,708-sq.-ft. office in Boston. The property, which was 94.0% occupied as of Jan,. 2012, experienced a significant decline in its reported occupancy rate when former tenant First Marblehead, which represented 27% of the property's net rentable area, vacated the property upon its April 2014 lease expiration. The property was reported as 71.2% occupied as of June 2014. TRANSACTION SUMMARY As of the Nov. 2014, trustee remittance report, the collateral pool balance was $2.33 billion, which is 76.3% of the pool balance at issuance. The pool currently includes 124 loans and one real estate-owned (REO) asset, down from 204 loans at issuance. Two of these assets ($88.2 million, 3.8%) are with the special servicer, six loans ($31.3 million, 1.3%) are defeased, and 35 loans ($675.3 million, 29.0%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N.A., reported financial information for 100.0% of the nondefeased loans in the pool, of which 97.2% was year-end 2013 data, and the remainder was year-end 2012 and partial-year 2014 data. S&P' calculated a 1.34x Standard & Poor's weighted average debt service coverage (DSC) and 81.7% loan-to-value (LTV) ratio using a 7.18% Standard & Poor's weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the two specially serviced assets and six defeased loans. The top 10 assets have an aggregate outstanding pool trust balance of $1.53 billion (65.9%). Using servicer-reported numbers, S&P calculated a Standard & Poor's weighted average DSC and LTV of 1.46x and 76.9%, respectively, for nine of the top 10 assets. The remaining asset is specially serviced and discussed. The properties securing the underlying loans are concentrated within the New York-Newark-Jersey City and San Diego-Carlsbad metropolitan statistical areas (MSAs). Standard & Poor's U.S. Public Finance Group provides credit ratings on two of the top three counties (New York City and San Diego County) that participate within these MSAs. -- New York-Newark-Jersey City: We consider New York City's (AA/Stable general obligation debt rating) economy to be strong, with projected per capita effective buying income at 106% of the U.S. The total market value of all real estate within the city reached $929 billion for 2015, up 11% from the prior year. The city's per capita real estate market value is $111,609 for fiscal 2015. With a population of 8.3 million, the city participates in the New York-Newark-Jersey City MSA in New York, New Jersey, and Pennsylvania, which S&P considers to be strong. The county's unemployment rate for calendar year 2013 was 9%. Some of the loans secured by properties located in New York City include 1211 Avenue of the Americas, Trump International Hotel and Tower -- Commercial, and 1155 Avenue of the Americas. -- San Diego-Carlsbad: We consider San Diego County's (AA+/Stable general obligation debt rating) economy to be very strong, with projected per capita effective buying income at 111% of the U.S. The total market value of all real estate within the county reached $406 billion for 2014, up 3% from the prior year. The county's per capita real estate market value was $127,164 for 2014. With a population of 3.2 million, the county participates in the San Diego-Carlsbad MSA in California, which S&P considers to be strong. The county's unemployment rate for calendar year 2013 was 8%. The largest loan secured by properties located in San Diego County is the The Shops at Las Americas. To date, the transaction has experienced $144.7 million in principal losses, or 4.7% of the original pool trust balance. S&P expects losses to reach approximately 5.5% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the two specially serviced assets. CREDIT CONSIDERATIONS Per the Nov. 2014 trustee remittance report, two assets in the pool were with the special servicer, C-III Asset Management LLC (C-III). Details of the specially serviced assets, one of which is a top 10 asset, are: -- The Chapel Hill Mall REO asset ($67.4 million, 2.9%) has $70.7 million in total reported exposure and is a 666,203- sq.-ft. retail property in Akron, Ohio. The loan was transferred to C-III in November 2013 for imminent payment default, because the borrower stated that the sponsor did not intend to pay the debt service out of pocket. The property's title was transferred via a deed-in-lieu in Sept. 2014. A $19.6 million appraisal reduction amount is in effect against the asset and S&P expects a moderate loss upon its eventual resolution. -- The Oakbrook Apartments loan ($20.9 million, 0.9%) has $22.4 million in total reported exposure and is secured by a 239- unit multifamily property in Baton Rouge, La. The loan was transferred to C-III in April 2014 because of imminent monetary default. Per the reported comments, the borrower is seeking either a discounted payoff or bifurcation of the existing debt. As of year-end 2013, the reported DSC and occupancy were 0.77x and 92.2%, respectively. S&P expects a moderate loss upon the loan's eventual resolution. S&P estimated losses for the two specially serviced assets, arriving at a weighted-average loss severity of 27.6%. With respect to the specially serviced assets noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATINGS LIST LB-UBS Commercial Mortgage Trust 2006-C6 Commercial mortgage pass-through certificates series 2006-C6 Rating Rating Class Identifier To From A-AB 50179MAD3 AAA (sf) AAA (sf) A-4 50179MAE1 AAA (sf) AAA (sf) A-1A 50179MAF8 AAA (sf) AAA (sf) A-M 50179MAG6 A (sf) A (sf) A-J 50179MAH4 BBB- (sf) BBB- (sf) B 50179MAJ0 BB+ (sf) BB+ (sf) C 50179MAK7 BB- (sf) BB- (sf) D 50179MAL5 B+ (sf) B+ (sf) E 50179MAM3 B (sf) B+ (sf) F 50179MAN1 B- (sf) B (sf) X-CL 50179MAQ4 AAA (sf) AAA (sf) G 50179MBY6 B- (sf) B- (sf) H 50179MAR2 D (sf) CCC (sf) JRP-10 50179MBL4 AA- (sf) AA (sf) JRP-11 50179MBM2 A- (sf) A (sf) JRP-12 50179MBN0 BBB- (sf) BBB (sf) JRP-13 50179MBP5 BB (sf) BB+ (sf) JRP-14 50179MBQ3 B+ (sf) BB- (sf) JRP-15 50179MBR1 CCC- (sf) CCC- (sf) JRP-16 50179MBS9 CCC- (sf) CCC- (sf) LEHMAN BROTHERS 2007-LLF: Moody's Cuts X-2 Secs. Rating to Caa3 --------------------------------------------------------------- Moody's Investors Service downgraded the rating on one IO class and affirmed the ratings on two pooled classes of Lehman Brothers Floating Rate Commercial Mortgage Trust 2007-LLF. Moody's rating action is as follows: Cl. H, Affirmed B3 (sf); previously on Feb 27, 2014 Affirmed B3 (sf) Cl. J, Affirmed Ca (sf); previously on Feb 27, 2014 Affirmed Ca (sf) Cl. X-2, Downgraded to Caa3 (sf); previously on Feb 27, 2014 Downgraded to Caa1 (sf) Ratings Rationale Moody's has affirmed the ratings on two principal classes due to transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), remaining within acceptable ranges. The downgrade of the interest only (IO) class is based on the WARF calculation of the referenced classes. One loan paid off since 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 defeasance in the pool 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, an increase in loan concentration, an increase in 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 review incorporated the use of the excel-based Large Loan Model v 8.7. 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 November 17, 2014 payment date, the transaction's pooled certificate balance decreased to $112 million from $2.47 billion at securitization and $186 million at last review. One loan (Interstate Office Portfolio Loan) paid off since the last review. The Certificates are collateralized by two floating-rate loans. The larger loan in the pool is secured by fee interests in The Normandy Office Portfolio Loan ($77.7 million or 76% of pooled balance; and $10 million of non-pooled, or rake bonds). There is additional mezzanine debt held outside the trust. The portfolio is comprised of eight class A/B office and industrial buildings totaling approximately 1.1 million square feet (SF) located in the greater Boston area and northern New Jersey. The pay down in A- note was due to release of two properties (Westford and 311 Boston Post) in the first half of 2014. The Chatham (26 Main Street) property's release will be reflected in the next payment date. A loan modification was completed in December 2012 which included a loan maturity extension (June 2015) and a $12 MM new cash equity infusion. As part of the modification, the borrower was required to sell and pay down the loan by $20 million over the next 12 month period. However, the borrower was unsuccessful in the required paydown, and the loan transferred to special servicing as of December 2013. The portfolio's year-to-date through September 2014 Net Operating Income (NOI) was $4.1 million. Moody's weighted average LTV for the pooled portion is significantly over 100%. Moody's current structured credit assessment for the pooled portion is caa3 (sca.pd), the same as last review. Moody's does not rate the three rake bonds associated with this loan (NOP-1, NOP-2, NPO-3). Sheraton Old San Juan Loan (24% of pooled balance) is secured by a 240-room full service hotel located in Old San Juan, Puerto Rico. The property offers 10,000 SF of meeting space as well as 10,000 SF of casino. A loan modification was completed in February 2013 extending the final maturity date to June 2015. The property's NOI for the first half of 2014 was approximately $1.3 million, down from $1.4 million achieved during the same period in 2013. The NCF for the trailing twelve month period ending June 2014 was -$75,584. Moody's weighted average LTV for the pooled portion is over 100%. Moody's current structured credit assessment for the pooled portion is caa3 (sca.pd), the same as last review. Moody's weighted average trust loan to value (LTV) ratio is 190%, up from 151% at the last review. Moody's weighted average trust stressed DSCR is at 0.53X, down from 0.75X at the last review. The cumulative bond loss totals $429,247 and interest shortfalls total $202,893 as of the current payment date. LOCKWOOD GROVE: Moody's Assigns (P)Ba3 Rating on Class E Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Lockwood Grove CLO, Ltd.: Moody's rating action is as follows: $255,000,000 Class A-1 Senior Secured Floating Rate Notes due 2024 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) $2,500,000 Class A-X Senior Secured Floating Rate Notes due 2024 (the "Class A-X Notes"), Assigned (P)Aaa (sf) $47,750,000 Class B Senior Secured Floating Rate Notes due 2024 (the "Class B Notes"), Assigned (P)Aa2 (sf) $23,750,000 Class C Senior Secured Deferrable Floating Rate Notes due 2024 (the "Class C Notes"), Assigned (P)A2 (sf) $21,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2024 (the "Class D Notes"), Assigned (P)Baa3 (sf) $20,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2024 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A-1 Notes, the Class A-X 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." 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 assets, the transaction's legal structure, and the characteristics of the underlying assets. Lockwood Grove is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 95.0% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 5.0% of the portfolio may consist of second lien loans and unsecured loans. Moody's expect the portfolio to be approximately 50% ramped as of the closing date. Tall Tree Investment 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 one year reinvestment period. Thereafter, the Manager is prohibited from any reinvestments. 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: $398,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2770 Weighted Average Spread (WAS): 3.90% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 7.0 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. Factors That Would Lead to an Upgrade or Downgrade of the Rating: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was an important component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2770 to 3186) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-X Notes: 0 Class B Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2770 to 3601) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-X Notes: 0 Class B Notes: -2 Class C Notes: -3 Class D Notes: -2 Class E Notes: -1 The V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V Score assigned for the global cash flow CLO sector, as described in the special report titled "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector," dated July 6, 2009 and available on www.moodys.com. Moody's V Score provides a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. The V Score applies to the entire transaction, rather than individual tranches. ML-CFC COMMERCIAL 2006-2: S&P Lowers Rating on Class D Notes to D ----------------------------------------------------------------- Standard & Poor's Ratings Services lowered its ratings on three classes of commercial mortgage pass-through certificates from ML- CFC Commercial Mortgage Trust 2006-2, a U.S. commercial mortgage- backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on five other classes from the same transaction. S&P's rating actions follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. S&P lowered its ratings on classes B, C, and D to reflect the credit support erosion that S&P anticipates will occur upon the eventual resolution of three ($28.3 million, 2.1%) of the four assets ($29.8 million, 2.2%) with the special servicer. In addition, S&P lowered rating on class D to 'D (sf)' to reflect accumulated interest shortfall that S&P expects to remain outstanding for the foreseeable future. Class D has had accumulative interest shortfalls outstanding for 10 consecutive months. The affirmations on the principal- and interest-paying certificates reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings. The affirmations also reflect S&P's views regarding the current and future performance of the transaction's collateral, the transaction structure, and liquidity support available to the classes. S&P affirmed its 'AAA (sf)' rating on the class X interest-only (IO) certificates based on our criteria for rating IO securities. TRANSACTION SUMMARY As of the Nov. 12, 2014, trustee remittance report, the collateral pool balance was $1.358 billion, which is 73.8% of the pool balance at issuance. The pool currently includes 137 loans secured by real estate, 13 defeased loans, and one real estate- owned (REO) asset, down from 191 loans at issuance. Four assets are with the special servicer, CWCapital Asset Management LLC (CWCapital), and 45 loans ($277.1 million, 20.4%) are on the combined master servicers' watchlist. The master servicers, KeyBank Real Estate Capital and Wells Fargo Commercial Mortgage Servicing, reported financial information for 100.0% of the non- defeased loans in the pool, of which 2.6% was full-year 2012 data and the remaining was partial- or full-year 2013 or partial-year 2014 data. S&P calculated a Standard & Poor's weighted average debt service coverage (DSC)of 1.54x and loan-to-value (LTV) ratio of 74.7% using a Standard & Poor's weighted average capitalization rate of 7.88%. The DSC, LTV, and capitalization rate calculations exclude the three specially serviced assets (for which S&P estimated losses) and the defeased loans. The top 10 non-defeased loans have an aggregate outstanding pool trust balance of $457.9 million (33.7%). S&P calculated a Standard & Poor's weighted average DSC and LTV ratio of 1.86x and 65.8%, respectively, for the top 10 loans. The properties are concentrated within the Suffolk County in the Boston-Cambridge-Newton metropolitan statistical area (MSA), Los Angeles County in the Los Angeles-Long Beach-Anaheim MSA, and San Francisco City & County in the San Francisco-Oakland-Hayward MSA. Standard & Poor's U.S. Public Finance Group provides credit ratings on Los Angeles County and San Francisco County, which participate within these MSAs: -- Los Angeles County in the Los Angeles-Long Beach-Anaheim MSA: S&P considers Los Angeles County's (AA+/Stable general obligation) economy to be strong, with projected per capita effective buying income at 99% of the U.S. The total market value of all real estate within the county reached $1130 billion for 2014, up 5% from the prior year. The county's per capita real estate market value was $113,346 for 2014. With a population of 10 million, the county participates in the Los Angeles-Long Beach-Anaheim MSA in California, which S&P considers to be strong. The county's unemployment rate for calendar year 2013 was 10%. Some of the loans secured by properties located in the Los Angeles County include the Pasadena Office Tower ($28.3 million, 2.1%), Shoomer Retail Building ($11.8 million, 0.9%), and Slauson Self Storage ($6.5 million, 0.5%) loans. -- San Francisco City & County in the San Francisco-Oakland- Hayward MSA: S&P considers San Francisco County's ('AA+'/Stable general obligation) economy to be very strong, with projected per capita effective buying income at 187% of the U.S. The total market value of all real estate within the county reached $182 billion for 2015, up 5% from the prior year. The county's per capita real estate market value is $216,670 for fiscal 2015. With a population of 0.8 million, the county participates in the San Francisco- Oakland-Hayward MSA in California, which S&P considers to be strong. The county's unemployment rate for calendar year 2013 was 6%. Some of the loans secured by properties located in the San Francisco County include the 200 Paul ($68.8 million, 5.1%) and Warwick Regis Hotel ($3.3 million, 0.3%) loans. To date, the transaction has experienced $135.2 million in principal losses, or 7.3% of the original pool trust balance. S&P expects losses to reach approximately 8.1% of the original pool trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of three of the four specially serviced assets. CREDIT CONSIDERATIONS As of the Nov. 12, 2014, trustee remittance report, four assets in the pool were with the special servicer, CWCapital. No loss was estimated for the Best Western-Ennis asset ($1.5 million, 0.1%) because the borrower has brought the loan current, and it is expected to be returned to the master servicer in the near term following a monitoring period. The largest specially serviced asset is the Marketplace of Matteson Shopping Center REO asset ($16.8 million, 1.2%), with a total reported exposure of $17.3 million. The REO asset is a 280,821 sq.-ft. retail property located in Matteson, Ill. The loan was transferred to the special servicer in Oct. 2013 due to imminent monetary default, and the property became REO in March 2014. According to CWCapital, the plan is to stabilize the asset before disposition. An appraisal reduction amount of $12.5 million is applied against the asset. S&P expects a significant loss upon this asset's eventual resolution. The second-largest specially serviced asset is the Ridgeview Office Building loan ($9.8 million, 0.7%), with a total reported exposure of $9.9 million. The loan is secured by a 89,405 sq.-ft. office property located in Pewaukee, Wis. The loan was transferred to the special servicer in July 2013 for maturity default. The property is 100% occupied, with a tenant whose lease expires in 2017. According to CWCapital, the tenant has not indicated whether they intent to stay at the property or vacate upon lease expiration. CWCapital anticipates taking title to the property in the near term. S&P expects a minimal loss upon this loan's ultimate resolution. The remaining specially serviced asset that S&P estimates losses in the near term is the Wachovia at MetroCorp Center loan ($1.7 million, 0.1%), with a total reported exposure of $1.8 million. The payment status of the loan is 60-plus days delinquent. The loan is secured by a 9,995sq.-ft. office property located in Gainesville, Fla. The loan was transferred to the special servicer in April 2014 for monetary default. Although the property was 100% occupied as of March 2014, all of the leases are expired. According to CWCapital, they are currently in the process of pursuing foreclosure on the property. S&P expects a moderate loss upon this loan's ultimate resolution. S&P estimated losses on three of the four specially serviced assets, arriving at a weighted-average loss severity of 50.7%. With respect to the specially serviced assets noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATINGS LIST ML-CFC Commercial Mortgage Trust 2006-2 Commercial mortgage pass-through certificates series 2006-2 Rating Rating Class Identifier To From A-4 60687UAE7 AAA (sf) AAA (sf) A-1A 60687UAF4 AAA (sf) AAA (sf) AM 60687UAG2 AA+ (sf) AA+ (sf) AJ 60687UAH0 BBB (sf) BBB (sf) B 60687UAJ6 BB- (sf) BB (sf) C 60687UAK3 B (sf) BB- (sf) D 60687UAL1 D (sf) CCC+ (sf) X 60687UAY3 AAA (sf) AAA (sf) ML-CFC COMMERCIAL 2006-4: Moody's Affirms C Rating on 4 Certs ------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 19 classes of ML-CFC Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-4 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. A-2FL, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. A-2FX, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. AM, Affirmed A1 (sf); previously on Dec 12, 2013 Affirmed A1 (sf) Cl. AJ, Affirmed B3 (sf); previously on Dec 12, 2013 Affirmed B3 (sf) Cl. AJ-FL, Affirmed B3 (sf); previously on Dec 12, 2013 Affirmed B3 (sf) Cl. AJ-FX, Affirmed B3 (sf); previously on Dec 12, 2013 Affirmed B3 (sf) Cl. B, Affirmed Caa1 (sf); previously on Dec 12, 2013 Affirmed Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on Dec 12, 2013 Affirmed Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Dec 12, 2013 Affirmed Caa3 (sf) Cl. E, Affirmed C (sf); previously on Dec 12, 2013 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Dec 12, 2013 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Dec 12, 2013 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Dec 12, 2013 Affirmed C (sf) Cl. XP, Affirmed Aaa (sf); previously on Dec 12, 2013 Affirmed Aaa (sf) Cl. XC, Affirmed Ba3 (sf); previously on Dec 12, 2013 Affirmed Ba3 (sf) Ratings Rationale The affirmations of the investment grade P&I classes are due to key parameters, including Moody's loan to value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. The ratings of the below-investment grade P&I classes are consistent with Moody's expected loss and thus are affirmed. The ratings of the IO Classes, Classes XP and XC, are consistent with the expected credit performance of their referenced classes and thus are affirmed. Moody's rating action reflects a base expected loss of 10.2% of the current balance compared to 11.0% at Moody's last review. Moody's base expected loss plus realized losses is now 12.1% of the original pooled balance compared to 12.6% 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. On October 9, 2014, Moody's issued a "Request for Comment" asking for market feedback on proposed changes to the methodology it uses to rate conduit and fusion CMBS transactions. If Moody's adopts the new methodology as proposed, the changes could affect the ratings ML-CFC 2006-4. 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 42, compared to 43 at Moody's last review. Deal Performance As of the November 12, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 29% to $3.2 billion from $4.5 billion at securitization. The certificates are collateralized by 220 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans constituting 31% of the pool. One loan, constituting 2% of the pool, has an investment-grade structured credit assessment. Six loans, constituting 2% of the pool, have defeased and are secured by US government securities. Sixty-three loans, constituting 26% 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. Forty-six loans have been liquidated from the pool, resulting in an aggregate realized loss of $221 million (for an average loss severity of 43%). Thirteen loans, constituting 9% of the pool, are currently in special servicing. Moody's estimates an aggregate $148.1 million loss for specially serviced loans (49% expected loss on average). Moody's has assumed a high default probability for 29 poorly performing loans, constituting 16% of the pool, and has estimated an aggregate loss of $77.5 million (16% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year full year 2013 operating results for 97% of the pool. Moody's weighted average conduit LTV is 104% compared to 105% 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 10% 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 1.39X and 1.03X, respectively, compared to 1.34X and 1.00X 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 loan with a structured credit assessment is the White Oaks Mall Loan ($50.0 million -- 1.5%), which is secured by a 834,000 square foot (SF) regional mall located in Springfield, Illinois. The loan is interest only for its entire 10-year term. The property was 91% leased as of December 2013, essentially the same at last review. The center is anchored by Sears, Macy's and Bergner's. Moody's current credit assessment and stressed DSCR are baa1 (sca.pd) and 1.66X, respectively, compared to baa1 (sca.pd) and 1.56X at last review. The top three conduit loans represent 20% of the pool balance. The largest loan is the Park La Brea Apartments Loan ($387.5 million - - 11.7%), which represents a pari passu interest in a $775 million first mortgage loan. The loan is secured by a 4,238-unit multifamily complex located in Hollywood, California. The property was 97% leased as of August 2014, essentially the same at last review. The loan is interest only for its entire 10 year term. Moody's LTV and stressed DSCR are 93% and 0.87X, respectively, compared to 106% and 0.76X at last review. The second largest loan is the Pinnacle Hills Promenade Loan ($140.0 million -- 4.3%), which is secured by a 661,071 SF (425,965 SF of which represents loan collateral) open air retail center located in Rogers, Arkansas. The mall is anchored by Dillard's and J.C. Penney and was 96% leased as of June 2014. The loan was modified to extend the maturity to December 12, 2014. The loan is interest only for its remaining term. Moody's LTV and stressed DSCR are 156% and 0.67X, respectively, compared to 187% and 0.56X at last review. The third largest loan is the Central Park Shopping Center Loan ($125.0 million -- 3.9%), which is secured by a retail property located in Fredericksburg, Virginia. The loan is currently on the watchlist due to a low DSCR caused by continued low occupancy. The property was 82% leased as of April 2014 compared to 84% at last review. Moody's LTV and stressed DSCR are 152% and 0.64X, respectively, compared to 156% and 0.62X at last review. Moody's considers this a troubled loan and has assumed a loss for this loan. MORGAN STANLEY 2007-IQ15: Fitch Affirms CC Rating on A-J Notes -------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Morgan Stanley Capital I Trust, series 2007-IQ15 (MSCI 2007-IQ15) commercial mortgage pass- through certificates. KEY RATING DRIVERS Fitch modeled losses of 11.4% of the remaining pool; expected losses on the original pool balance total 16.2%, including $166 million (8.1% of the original pool balance) in realized losses to date. Fitch has designated 31 loans (38.6%) as Fitch Loans of Concern, which includes four specially serviced assets (6%). As of the November 2014 distribution date, the pool's aggregate principal balance has been reduced by 29.4% to $1.45 billion from $2.05 billion at issuance. Per the servicer reporting, one loan (3.1% of the pool) is defeased. Interest shortfalls are currently affecting classes C through P. The largest contributor to expected losses is the performing First Stamford loan (16.7% of the pool), which is secured by a 790,000 square foot suburban office property located in Stamford, CT. Property performance improved in 2014 with a trailing 12 months (TTM) June 2014 servicer reported DSCR of 1.15x compared with 0.94 x for TTM June 2013. The June 2014 occupancy was 91.6% up from 84.8% as of May 2013. There is less than 3% tenant roll in 2015. The loan, however, remains substantially overleveraged. The next largest contributor to expected losses is the real estate owned (REO) Royal Centre property (5.3%), which consists of three suburban office buildings, located approximately 27 miles north of the Atlanta CBD in Alpharetta, GA. The loan transferred to special servicing in November 2012 due to imminent default; the trust obtained title to the property in November 2013. Property management is working on leasing up the property. As of the September 2014 rent roll, occupancy was 71.2%. The property is expected to soon be marketed for sale. RATING SENSITIVITIES The Rating Outlooks on classes A-1A and A-4 are Stable due to increasing credit enhancement and continued expected paydown to these classes. The Rating Outlook on class AM remains Negative due to potential for further negative credit migration of the underlying collateral. Six of the top 15 loans are Fitch Loans of Concern, many of which are overleveraged and located in secondary markets. Further, there is a significant concentration (18% of the pool) of self-storage properties in the pool, including 13% to the same related U-Haul affiliated sponsor. The distressed classes are subject to further downgrade should additional losses be realized. Fitch affirms these classes but assigns or revises Rating Outlooks and REs as indicated: -- $227.3 million class A-1A at 'AAAsf'; Outlook to Stable from Negative; -- $772 million class A-4 at 'AAAsf'; Outlook to Stable from Negative; -- $177.1 million class A-J at 'CCsf'; RE 50%. Fitch affirms these classes as indicated: -- $205.4 million class A-M at 'BBBsf', Outlook Negative; -- $33.4 million class B at 'Csf'; RE 0%; -- $15.4 million class C at 'Csf'; RE 0%; -- $19.2 million class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%. The class A-1, A-2 and A-3 certificates have paid in full. Fitch does not rate the class M, N, O and P certificates. Fitch previously withdrew the rating on the interest-only class X certificates. MORGAN STANLEY 2014-C19: S&P Gives Prelim. B- Rating on LNC-5 Debt ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19's $130.0 million class LNC commercial mortgage pass- through certificates series 2014-C19. The certificate issuance is a commercial mortgage-backed securities transaction backed by the $130.0 million subordinate nonpooled component (the class LNC certificates) of the $240.0 million commercial mortgage loan secured by the fee interest in the Linc LIC multifamily rental property in Long Island City, New York. The preliminary ratings are based on information as of Dec. 2, 2014. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 Class Rating(i) Amount ($) LNC-1(ii) AA- (sf) 30,651,000 LNC-2(ii) A- (sf) 20,530,000 LNC-3(ii) BBB- (sf) 21,018,000 LNC-4(ii) BB- (sf) 24,440,000 LNC-5(ii) B- (sf) 25,662,000 LNC-6(ii) NR 7,699,000 LNC-X(ii) NR 130,000,000(iii) (i) The bonds will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii) Loan-specific class. (iii)Notional balance. NR--Not rated. PRUDENTIAL SECURITIES: Moody's Affirms C Rating on Class M Secs. ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings of two classes of Prudential Securities Secured Financing Corporation, Series Key 2000-C1 as follows: Cl. M, Affirmed C (sf); previously on Jan 24, 2014 Affirmed C (sf) Cl. X, Affirmed Caa3 (sf); previously on Jan 24, 2014 Affirmed Caa3 (sf) Ratings Rationale The rating of the P&I class, Class M, is consistent with Moody's expected loss and thus is affirmed. The rating on the IO class, Class X, was affirmed based on the credit performance of its referenced classes. Moody's rating action reflects a base expected loss of 13.0% of the current balance compared to 8.6% at Moody's prior review. Moody's base expected loss plus realized losses is now 3.6% of the original pooled balance, the same at the prior review. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range 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 uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 3 compared to 4 at last review. When the Herf falls below 20, Moody's uses 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 November 18, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $6.3 million from $816.3 million at securitization. The Certificates are collateralized by four mortgage loans ranging in size from 11% to 45% of the pool. Two loans, representing 74% of the deal 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. There are currently no specially serviced loans in the pool. Twenty-four loans have been liquidated from the pool, resulting in an aggregate realized loss of $28.4 million (27% loss severity on average). Moody's has assumed a high default probability for one poorly performing loan, the Eagles Run Apartments, Phase II Loan, representing approximately 29% of the pool. Moody's has estimated a significant loss from this troubled loan. The top three loans represent 89% of the pool. The largest loan is the Random House Distribution Warehouse Loan ($2.9 million -- 45.4% of the pool), which is secured by a 300,000 square foot (SF) distribution center located in Jackson, Tennessee. The property is fully leased to Perseus Distribution through November 2014, with one lease renewal option. The loan passed its anticipated repayment date (ARD) of December 2009 and has amortized 36% since securitization. The loan is on the master servicer's watchlist due to the lease expiration of the sole tenant. Due to the single tenant nature of the property, Moody's value reflects a lit/dark analysis. Moody's LTV and stressed DSCR are 80% and 1.35X, respectively, compared to 68% and 1.59X, at last review. The second largest loan is the Eagles Run Apartments, Phase II Loan ($1.79 million -- 28.6% of the pool), which is secured by a 78-unit, garden-style multifamily property in Atlanta, Georgia built in 1972. The property was 63% leased as of September 2014 compared to 57% at last review. Property performance has declined year over year due to low occupancy, higher operating expenses and poor market conditions. This loan is on the master servicer's watchlist due to low DSCR. Moody's views this loan as a troubled loan. The third largest loan is the Cochituate Village Shopping Center Loan ($949,008 -- 15.1% of the pool), which is secured by an 87,000 SF retail property located in Wayland, Massachusetts. As of September 2014, the property was 95% leased. The loan is fully amortizing and matures in October 2018. Moody's LTV and stressed DSCR are 24% and >4.0X, respectively, compared to 28% and 3.85X, respectively at last review. SDART 2014-5: Moody's Rates $58.8MM Class E Notes 'Ba2' ------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Santander Drive Auto Receivables Trust 2014-5 (SDART 2014-5). This is the fifth SDART transaction of the year for Santander Consumer USA Inc. (SCUSA). The complete rating actions are as follows: Issuer: Santander Drive Auto Receivables Trust 2014-5 $176,300,000, 0.27000%, Class A-1 Notes, Definitive Rating Assigned P-1 (sf) $143,000,000, 0.72%, Class A-2-A Notes, Definitive Rating Assigned Aaa (sf) $190,000,000, LIBOR + 0.40%, Class A-2-B Notes, Definitive Rating Assigned Aaa (sf) $123,050,000, 1.15%, Class A-3 Notes, Definitive Rating Assigned Aaa (sf) $123,530,000, 1.76% ,Class B Notes, Definitive Rating Assigned Aa1 (sf) $152,940,000, 2.46%, Class C Notes, Definitive Rating Assigned Aa3 (sf) $91,180,000, 3.21%, Class D Notes, Definitive Rating Assigned Baa2 (sf) $58,820,000, 4.23%, Class E 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 2014-5 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. SOUND POINT VII: Moody's Assigns B2 Rating on $6.25MM Cl. F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Sound Point CLO VII, Ltd. Moody's rating action is as follows: $315,000,000 Class A Senior Secured Floating Rate Notes due 2027 (the "Class A Notes"), Assigned Aaa (sf) $62,500,000 Class B Senior Secured Floating Rate Notes due 2027 (the "Class B Notes"), Assigned Aa2 (sf) $32,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class C Notes"), Assigned A2 (sf) $28,750,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class D Notes"), Assigned Baa3 (sf) $21,250,000 Class E Junior Secured Deferrable Floating Rate Notes due 2027 (the "Class E Notes"), Assigned Ba3 (sf) $6,250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2027 (the "Class F Notes"), Assigned B2 (sf) The Class A Notes, Class B Notes, Class C Notes, Class D 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. Sound Point VII 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 and eligible investments representing principal proceeds and up to 10% of the portfolio may consist of second lien loans, unsecured loans and first-lien last- out loans. The portfolio will be approximately 75% ramped as of the closing date. Sound Point Capital Management, LP (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 issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in February 2014. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 2600 Weighted Average Spread (WAS): 4.00% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8 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. Factors That Would Lead to an Upgrade or Downgrade of the Rating: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was an important component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2600 to 2990) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -1 Class C Notes: -1 Class D Notes: -1 Class E Notes: 0 Class F Notes: 0 Percentage Change in WARF -- increase of 30% (from 2600 to 3380) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -3 Class D Notes: -2 Class E Notes: -1 Class F Notes: -1 The V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V Score assigned for the global cash flow CLO sector, as described in the special report titled "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector," dated July 6, 2009 and available on www.moodys.com. Moody's V Score provides a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. The V Score applies to the entire transaction, rather than individual tranches. STRATS TRUST 2004-6: Moody's Cuts Rating on Cl. A-1 Certs to Ba1 ---------------------------------------------------------------- Moody's Investors Service downgraded the rating of the following certificates issued by STRATS Trust for United States Cellular Corporation Securities, Series 2004-6: Class A-1 certificates, Downgraded to Ba1; previously on April 10, 2014 Downgraded to Baa3 Ratings Rationale The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. The rating action is a result of the change of the rating of the Underlying Securities which are the 6.70% Senior Notes due 2033 issued by United States Cellular Corporation , whose rating was downgraded to Ba1 by Moody's on November 24, 2014. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Factors that Would Lead to an Upgrade or Downgrade of the Rating: Moody's says that the underlying securities are subject to a high level of macroeconomic uncertainty, which is manifest in uncertain credit conditions across the general economy. Because these conditions could negatively affect the ratings on the underlying securities, they could also negatively impact the rating on the certificate. TELOS CLO 2014-6: S&P Assigns 'BB' Rating on Class E Notes ---------------------------------------------------------- Standard & Poor's Ratings Services assigned its ratings to TELOS CLO 2014-6 Ltd./TELOS CLO 2014-6 LLC's $322.50 million fixed- and floating-rate notes. The note issuance is a 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 criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which comprises primarily broadly syndicated speculative-grade senior secured term loans. -- The collateral servicer'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 0.2316%-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 will lead to the reclassification of a certain amount of excess interest proceeds that are available prior to paying subordinated management fees, uncapped administrative expenses and fees, subordinated hedge termination payments, collateral manager incentive fees, and subordinated note payments, to principal proceeds for the purchase of additional collateral assets during the reinvestment period. RATINGS LIST TELOS CLO 2014-6 Ltd./TELOS CLO 2014-6 LLC Amount Class Rating (mil. $) A-1 AAA (sf) 161.5 A-2 AAA (sf) 60.0 B-1 AA (sf) 8.0 B-2 AA (sf) 34.0 C A (sf) 22.0 D BBB (sf) 20.5 E BB (sf) 16.5 Subordinated notes NR 37.4 NR--Not rated. TERWIN MORTGAGE 2006-1: Moody's Ups II-A-1a Debt Rating to Caa1 --------------------------------------------------------------- Moody's Investors Service has upgraded the rating of the Class II- A-1a tranche from Terwin Mortgage Trust 2006-1, backed primarily by second lien mortgages. Complete rating actions are as follows: Issuer: Terwin Mortgage Trust 2006-1 Cl. II-A-1a, Upgraded to Caa1 (sf); previously on Oct 20, 2010 Confirmed at Caa3 (sf) Ratings Rationale The rating action is the result of the recent performance of the underlying HELOC and second lien loans pool and reflects Moody's updated loss expectations on this pool. The rating was upgraded primarily due to the build-up in credit enhancement due to sequential pay structure. Performance has remained generally stable from Moody's last review. 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 5.8% in October 2014 from 7.2% in October 2013. Moody's forecasts an unemployment central range of 6% to 7% 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. UBS-BARCLAYS 2012-C4: Fitch Affirms 'Bsf' Rating on Cl. F Certs --------------------------------------------------------------- Fitch Ratings has affirmed all classes of UBS-Barclays Commercial Mortgage Trust 2012-C4 commercial mortgage pass-through certificates, series 2012-C4. KEY RATINGS DRIVERS The affirmations are based on overall stable performance of the underlying collateral pool. As of the November 2013 remittance, the pool's aggregate principal balance has been paid down by 1.9% to $1.428 billion from $1.456 billion at issuance. Thirteen of the Top 15 loans (86.7% of the pool) reported full-year 2013 financials. The pool's overall net operating income has been stable with a 2.2% increase since issuance for reporting loans. There are no delinquent or specially serviced loans. Eight loans are currently on the servicer watchlist (6.4%); however, the majority of issues are related to minor deferred maintenance issues. As such, only one of the watchlist loans are a Fitch loan of concern related to unforeseen occupancy and performance issues. The Fitch loan of concern (1.06%) is secured by the Gaslamp Portfolio, five mixed-use buildings consisting of 74,573 square feet (sf) located in the University Heights neighborhood of San Diego, CA. The portfolio's occupancy has dropped to 80% as of June 2014 from a high at issuance of 89%. The property's performance has also been impeded by expenses that are significantly higher than issuance projections. The servicer continues to monitor the sponsor's progress in leasing up the remaining vacant space along with controlling expenses that are attributable to increased marketing and build-out costs of the unoccupied suites. The largest loan on the servicer watchlist is Bedford Green (2.1%), which is secured by a 121,199 sf shopping center in Bedford Hills, NY. The center is located in a high-income trade area that is a primary shopping destination for the broader county. The tenant base includes Panera Bread, Chase Bank, and ShopRite Supermarkets along with various local tenants. The property is currently on the watchlist due to the debt service coverage ratio hovering below 1x since issuance. This is due to the largest tenant paying a below-market rate that reset earlier this year. Reserves were established at loan closing to compensate for the shortfall and a performance rebound is expected when 2014 full-year financials are posted. The largest loan of the pool (9.79%) is secured by Marcourt Net Lease Hotel Portfolio, a portfolio of select-service hotels diversified across nine states. The individual properties have a net lease agreement with Marriott International which is responsible for the maintenance and operation for each asset until the lease expiration date of January 2023. The hotels are located near major national and international airports and several locations have radius restrictions limiting future Courtyard properties from opening in close proximity to the collateral. RATINGS SENSITIVITIES All classes maintain their Stable Outlooks. In light of 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 portfolio-level metrics. Fitch has affirmed these classes as indicated: UBS-Barclays Commercial Mortgage Pass-Through Certificates, Series 2012-C4 -- $56.8 million class A-1 at 'AAAsf'; Outlook Stable; -- $73.3 million class A-2 at 'AAAsf'; Outlook Stable; -- $132 million class A-3 at 'AAAsf'; Outlook Stable; -- $150 million class A-4 at 'AAAsf'; Outlook Stable; -- $476 million class A-5 at 'AAAsf'; Outlook Stable; -- $104 million class A-AB 'AAAsf'; Outlook Stable; -- $145.6 million class A-S at 'AAAsf'; Outlook Stable; -- $1.138 billion* class X-A at 'AAAsf'; Outlook Stable; -- $134.7 million* class X-B at 'A-sf'; Outlook Stable; -- $69.2 million class B at 'AA-sf'; Outlook Stable; -- $65.5 million class C at 'A-sf'; Outlook Stable; -- $61.9 million class D at 'BBB-sf'; Outlook Stable; -- $25.5 million class E at 'BBsf'; Outlook Stable; -- $18.2 million class F at 'Bsf'; Outlook Stable. *Notional amount and interest only Fitch does not rate the $51 million class G. UBS COMMERCIAL 2007-FL1: Moody's Hikes Cl. K Certs Rating to B3 ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of three classes and affirmed the ratings of two classes of UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007- FL1 as follows: Cl. H Certificate, Upgraded to A3 (sf); previously on May 15, 2014 Affirmed B1 (sf) Cl. J Certificate, Upgraded to Ba1 (sf); previously on May 15, 2014 Affirmed B3 (sf) Cl. K Certificate, Upgraded to B3 (sf); previously on May 15, 2014 Affirmed Caa3 (sf) Cl. O-MD Certificate, Affirmed B2 (sf); previously on May 15, 2014 Affirmed B2 (sf) Cl. X Certificate, Affirmed B3 (sf); previously on May 15, 2014 Downgraded to B3 (sf) Ratings Rationale The upgrades of principal and interest (P&I) classes H, J and K are due primarily to increased credit support resulting from the pay off of the Maui Prince Resort loan since last review. The affirmation of non-pooled, or rake, Class O-MD is based on key parameters for the Marriott Washington D.C. loan, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) remaining within acceptable ranges. The affirmation of the rating of interest-only (IO) Class X is based on the average rating factor or WARF of its referenced classes. Factors that would lead to an upgrade or downgrade of the rating: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range 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 pay downs 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 review incorporated the use of the excel-based Large Loan Model v 8.7. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Deal Performance As of the November 17, 2014 Payment Date, the transaction's certificate balance decreased by approximately 93% to $104.4 million from $1.6 billion at securitization. Since last review the certificate balance decreased by approximately 56% due to the pay off of the Maui Prince Resort loan. The Certificates are collateralized by two floating rate loans and one real estate owned (REO) property. The loans range in size from 38% to 49% of the pooled balance and the REO represents 13% of the pooled balance. Moody's weighted average pooled trust loan to value (LTV) ratio is 88% compared to 98% at last review. Moody's weighted average stressed debt service coverage (DSCR) is 1.17X, compared to 1.27X at last review. Cumulative bond losses for the pooled debt total $4.4 million affecting Class L. As of the November 17, 2014 Payment Date outstanding servicing advances total $2.7 million in connection with the RexCorp NJ/Long Island Land REO. There are currently two assets in special servicing, representing 51% of the pooled balance, including the Hilton Long Beach loan and the RexCorp NJ/Long Island land REO. The Hilton Long Beach loan is pending return to the master server. The largest loan in the pool is the Marriott Washington D.C. loan ($49.9 million -- 49%) which is secured by a 478-key full-service hotel located in Washington, D.C. The $107.1 million whole loan includes a $1.7 million rake bond (Class O-MD) and a $55.5 million non-trust subordinate debt component. The loan was modified in June 2012 with a $4.29 million principal pay down of the A-Note and a three year extension to May 2015. Revenue per Available Room (RevPAR) for full-year 2013 was $134 and $133 year-to-date ended August 31, 2014. Moody's loan to value (LTV) ratio for the pooled debt is 78%. The second largest loan is the Hilton Long Beach loan ($38.9 million -- 38%) secured by a 393-key full-service hotel located in Long Beach, California. The loan was transferred to special servicing in June 2012 due to maturity default. The loan was modified in October 2013 with the mezzanine lender acquiring ownership of the borrower through a consensual transfer of the pledged equity interests of the borrower. The new sponsor was required to contribute $2.0 million of new cash equity of which $1.5 million was deposited into the newly established PIP reserve. The loan term was extended to July 2016. All excess cash flow is applied first to fund the PIP and then to amortize the A-Note. The $52.6 million whole loan includes $13.7 million of non-trust subordinate debt. RevPAR year-to-date ended July 31,2014 was $115, compared to $110 during the same period in the prior year. Moody's loan to value (LTV) ratio for the pooled debt is 99%. The RexCorp NJ/Long Island Land ($13.9 million -- 13%) became REO in September 2012. The property consists of 206 acres of development land known as Giralda Farms located in Morris County, New Jersey. The asset is listed for sale. Moody's loan to value (LTV) ratio is 98%. WACHOVIA BANK 2002-C1: Moody's Affirms Caa3 Rating on IO-I Secs. ---------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one interest- only class in Wachovia Bank Commercial Mortgage Trust, Series 2002-C1 as follows: Cl. IO-I, Affirmed Caa3 (sf); previously on Dec 12, 2013 Affirmed Caa3 (sf) Ratings Rationale The rating of the IO class, Class IO-I, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. The IO class is the only outstanding Moody's-rated class in this transaction. 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. Description Of Models Used Moody's review incorporated the use of the excel-based Large Loan Model v 8.7. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Deal Performance As of the November 17, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $9.4 million from $950.0 million at securitization. The Certificates are collateralized by five mortgage loans ranging in size from 3% to 44% of the pool. One loan, representing 44% of the pool, has defeased and is secured by US Government securities. One loan, constituting 3% of the pool, is 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 loans have been liquidated from the pool, resulting in an aggregate realized loss of $14.8 million (for an average loss severity of 16%). Two loans, representing 45.8% of the pool, are currently in special servicing. The largest specially serviced loan is the Ahwatukee Hills Plaza Loan ($2.8 million -- 30.3% of the pool), which is secured by a 32,000 square foot (SF) retail center located in Phoenix, Arizona. The loan was transferred to special servicing on March 14, 2012 as the result of maturity default. The loan had matured on March 11, 2012. The borrower filed bankruptcy on February 27, 2013. The loan has been recently modified with a new interest rate of 5.25% on 25-year term and a new maturity date of June 11, 2017. The second specially serviced loan is the Eastern Marketplace Loan ($1.4 million -- 15.5% of the pool), which is secured by a 12,000 SF retail property located in Henderson, Nevada. The loan was transferred to special servicing in February 2012 for maturity default and became REO in March 2013. Moody's estimates an aggregate $1.4 million loss for the specially serviced loans (32% expected loss on average). Moody's received full year 2012 and 2013 operating results for 100% of the pool. Moody's weighted average conduit LTV is 24% compared to 35% 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 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 2.02X and 4.48X, respectively, compared to 1.55X and 3.71X 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 two performing conduit loans represent 10% of the pool balance. The largest loan is the Walgreens Arlington Texas Loan ($644,753 -- 6.9% of the pool), which is secured by a 14,500 SF single tenant retail property located in Arlington, Texas. The property is 100% leased to Walgreens Co. until February 2077. The loan is fully amortizing and matures in March 2022. The loan has amortized 46% since securitization. Moody's LTV and stressed DSCR are 27% and 3.85X, respectively, compared to 29% and 3.5X at last review. The second loan is the 2120 Jimmy Durante Boulevard Loan ($289,709 -- 3.1% of the pool), which is secured by a 17,099 SF industrial property located in Del Mar, California. As of December 2013, the property was 100% leased, the same as last review. The loan is fully amortizing and has amortized 59% since securitization. Moody's LTV and stressed DSCR are 19% and 5.9X, respectively, compared to 22% and 4.9X at last review. WACHOVIA BANK 2003-C5: Moody's Affirms Caa3 Rating on X-C Debt -------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the rating on one class in Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-through Certificates, Series 2003-C5 as follows: Cl. O, Upgraded to Baa3 (sf); previously on Jan 28, 2014 Upgraded to B1 (sf) Cl. X-C, Affirmed Caa3 (sf); previously on Jan 28, 2014 Downgraded to Caa3 (sf) Ratings Rationale The rating on the P&I class was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization as well as an increase in defeasance. The deal has paid down 6% since Moody's last review and defeasance has increased to 13% of the pool from 11% since Moody's last review. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 12.0% of the current balance, compared to 12.6% at Moody's last review. Moody's base expected loss plus realized losses is now 0.9% of the original pooled balance, the same as 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. On October 9, 2014, Moody's issued a "Request for Comment" asking for market feedback on proposed changes to the methodology it uses to rate conduit and fusion CMBS transactions. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of WBCMT 2003-C5. 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 seven, 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 November 17, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $20 million from $1.20 billion at securitization. The certificates are collateralized by ten mortgage loans ranging in size from 6% to 16% of the pool. Two loans, constituting 13% of the pool, have defeased and are secured by US government securities. One loan, constituting 13% of the pool, is 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. Six loans have been liquidated from the pool, resulting in an aggregate realized loss of $8.6 million (for an average loss severity of 44%). One loan, constituting 16% of the pool, are currently in special servicing. The specially serviced loan is the Randhurst Crossings Shopping Center Loan ($3.3 million -- 16% of the pool), which is secured by a 17,000 square foot (SF) retail center located in Mount Prospect, Illinois. The property was 86% leased as of November 2013 compared to 65% leased as of March 2012. The loan transferred into special servicing in November 2012 due to a maturity default. Moody's expects a significant loss for this loan. Moody's received full year 2013 operating results for 100% of the pool and partial year 2014 operating results for 78% of the pool. Moody's weighted average conduit LTV is 61% compared to 63% 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 14% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9%. Moody's actual and stressed conduit DSCRs are 1.06X and 1.60X, respectively, compared to 1.30X and 2.20X 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 top three conduit loans represent 42% of the pool balance. The largest loan is the Brandon Oaks Loan ($3.1 million -- 16% of the pool), which is secured by a 160-unit multifamily property located in Brandon, Florida. The property was 89% leased in June 2014 compared to 83% in September 2013. Moody's LTV and stressed DSCR are 56% and 1.74X, respectively, compared to 60% and 1.62X at the last review. The second largest loan is the Forest Hill Centre Loan ($2.6 million -- 13% of the pool), which is secured by a 53,000 SF grocery anchored retail center in Lexington, North Carolina. The property was 82% leased as of September 2013 as compared to 85% as of December 2012. Moody's LTV and stressed DSCR are 70% and 1.43X, respectively, compared to 67% and 1.48X at the last review. The third largest loan is the Rite Aid -- Las Vegas Loan ($2.6 million -- 13% of the pool), which is secured by a 7,000 SF single tenant retail property in Las Vegas, Nevada. The property is 100% leased to Rite Aid through July 2024. Moody's LTV and stressed DSCR are 70% and 1.35X, respectively, compared to 74% and 1.27X at the last review. ZIGGURAT CLO: Moody's Assigns B2 Rating on $10MM Class F Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of notes issued by Ziggurat CLO Ltd. Moody's rating action is as follows: $290,000,000 Class A-1 Senior Secured Floating Rate Notes due 2026 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) $25,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2026 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf) $39,000,000 Class B-1 Senior Secured Floating Rate Notes due 2026 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) $25,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2026 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf) $24,500,000 Class C Secured Deferrable Floating Rate Notes due 2026 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) $31,500,000 Class D Secured Deferrable Floating Rate Notes due 2026 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) $25,000,000 Class E Secured Deferrable Floating Rate Notes due 2026 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) $10,000,000 Class F Secured Deferrable Floating Rate Notes due 2026 (the "Class F Notes"), Definitive Rating Assigned B2 (sf) The Class A-1 Notes, the Class A-2 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 assets, the transaction's legal structure, and the characteristics of the underlying assets. Ziggurat 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 portfolio is required to be at least 80% ramped as of the closing date. Guggenheim Partners Investment 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 3.9 year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of and credit improved and credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in February 2014. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 2600 Weighted Average Spread (WAS): 4.00% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 43% Weighted Average Life (WAL): 8 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. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was an important component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2600 to 2990) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: 0 Class B-1 Notes: -2 Class B-2 Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Class F Notes: -1 Percentage Change in WARF -- increase of 30% (from 2600 to 3380) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -1 Class B-1 Notes: -4 Class B-2 Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -3 The V Score for this transaction is Medium/High. This V Score has been assigned in a manner similar to the Medium/High V Score assigned for the global cash flow CLO sector, as described in the special report titled "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector," dated July 6, 2009 and available on www.moodys.com. Moody's V Score provides a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. The V Score applies to the entire transaction, rather than individual tranches. * Fitch Lowers Rating on Distressed Classes in 16 Transactions -------------------------------------------------------------- Fitch Ratings, on Nov. 26, 2014, took various rating actions on already distressed U.S. commercial mortgage-backed securities (CMBS) bonds. Fitch downgraded 26 bonds in 12 transactions to 'D', as the bonds have incurred a principal write-down. The bonds were all previously rated 'CCC' or 'C', which indicates that losses were possible. Fitch has also withdrawn the ratings on 29 bonds in four transactions where the remaining classes have been reduced to zero or have experienced non-recoverable realized losses. All 29 bonds were rated 'Dsf'. KEY RATING DRIVERS Today's downgrades are limited to just the bonds with write-downs. Any remaining bonds in these transactions have not been analyzed as part of this review. In cases where the last rated tranches of a transaction are in default and rated 'D', the defaulted ratings will be automatically withdrawn within 11 months of the date of the previous rating action. * Moody's Takes Action on $177.5 Million of 2nd Lien RMBS --------------------------------------------------------- Moody's Investors Service, on Nov. 26, 2014, upgraded the rating of 16 tranches from nine transactions, and downgraded the rating of one tranche in Irwin 2006-P1. These transactions are backed primarily by HELOCs and closed end second lien loans issued between 2004 and 2006. Complete rating actions are as follows: Issuer: CSFB Home Equity Mortgage Trust 2005-5 Cl. A-1A, Upgraded to B3 (sf); previously on Jun 30, 2010 Confirmed at Caa1 (sf) Cl. A-1F2, Upgraded to B3 (sf); previously on Jun 30, 2010 Confirmed at Caa1 (sf) Issuer: GMACM Home Equity Loan Trust 2006-HE5 Cl. II-A-2, Upgraded to B3 (sf); previously on May 21, 2010 Downgraded to Caa1 (sf) Underlying Rating: Upgraded to B3 (sf); previously on May 21, 2010 Downgraded to Caa1 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Home Equity Mortgage Trust 2004-4 Cl. M-3, Upgraded to Ba3 (sf); previously on Jun 30, 2010 Downgraded to B2 (sf) Cl. M-4, Upgraded to B1 (sf); previously on Jun 30, 2010 Downgraded to B3 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Jun 30, 2010 Downgraded to Caa3 (sf) Issuer: Home Equity Mortgage Trust 2005-2 Cl. M-6, Upgraded to Baa2 (sf); previously on Feb 11, 2014 Upgraded to Ba1 (sf) Cl. M-7, Upgraded to B3 (sf); previously on Feb 11, 2014 Upgraded to Caa2 (sf) Issuer: Irwin Home Equity Loan Trust 2006-P1 Cl. II-A-4, Downgraded to Ca (sf); previously on Jul 22, 2011 Downgraded to Caa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: SACO I Trust 2005-2 Cl. M-1, Upgraded to B3 (sf); previously on Sep 2, 2010 Downgraded to Caa2 (sf) Issuer: Soundview Home Loan Trust 2005-A Cl. M-4, Upgraded to B1 (sf); previously on Feb 12, 2014 Upgraded to Caa1 (sf) Cl. M-5, Upgraded to Caa3 (sf); previously on Oct 28, 2008 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2005-S3 Cl. M3, Upgraded to Ba2 (sf); previously on Feb 12, 2014 Upgraded to B2 (sf) Cl. M4, Upgraded to Caa2 (sf); previously on Feb 12, 2014 Upgraded to Ca (sf) Issuer: Terwin Mortgage Trust 2005-1SL Cl. M-2, Upgraded to B2 (sf); previously on Feb 12, 2014 Upgraded to Caa2 (sf) Issuer: Terwin Mortgage Trust 2005-5SL Cl. M-2, Upgraded to Baa3 (sf); previously on Oct 20, 2010 Downgraded to Ba2 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Oct 20, 2010 Downgraded to Ca (sf) Ratings Rationale The rating actions are a result of the recent performance of the HELOC and second lien loans backed pools and reflect Moody's updated loss expectations on these pools. The ratings upgraded are primarily due to the build-up in credit enhancement due to sequential pay structure, non-amortizing subordinate bonds, overcollateralization, and availability of excess spread. The rating downgraded was primarily due to the deterioration in credit enhancement. Performance has remained generally stable from Moody's last review. 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 5.8% in October 2014 from 7.2% in October 2013. Moody's forecasts an unemployment central range of 6% to 7% 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 Raises Rating on $1.4 Billion of Subprime RMBS -------------------------------------------------------- Moody's Investors Service, on Dec. 1, 2014, upgraded the ratings of 37 tranches and downgraded the rating of one tranche from 21 transactions issued by various issuers, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE2 Cl. A1, Upgraded to B1 (sf); previously on May 20, 2011 Downgraded to Caa1 (sf) Issuer: CSFB Home Equity Asset Trust 2005-6 Cl. M-1, Upgraded to A1 (sf); previously on May 5, 2010 Confirmed at A3 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Feb 21, 2014 Upgraded to Ba2 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Feb 21, 2014 Upgraded to B3 (sf) Issuer: CSFB Home Equity Asset Trust 2005-9 Cl. 2-A-4, Upgraded to Baa1 (sf); previously on Feb 21, 2014 Upgraded to Baa3 (sf) Cl. M-1, Upgraded to B2 (sf); previously on Feb 21, 2014 Upgraded to Caa1 (sf) Issuer: CSFB Home Equity Asset Trust 2006-2 Cl. 1-A-1, Upgraded to B1 (sf); previously on Mar 31, 2014 Upgraded to B3 (sf) Cl. 2-A-4, Upgraded to B2 (sf); previously on Mar 31, 2014 Upgraded to Caa1 (sf) Issuer: CSFB Home Equity Asset Trust 2006-4 Cl. 1-A-1, Upgraded to B3 (sf); previously on May 5, 2010 Downgraded to Caa2 (sf) Cl. 2-A-4, Upgraded to Caa3 (sf); previously on Jun 27, 2013 Upgraded to Ca (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-5 Cl. M-2, Upgraded to Baa3 (sf); previously on Feb 21, 2014 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to B3 (sf); previously on Feb 21, 2014 Upgraded to Caa2 (sf) Issuer: Fremont Home Loan Trust 2005-A Cl. M2, Upgraded to A3 (sf); previously on Apr 19, 2013 Upgraded to Baa2 (sf) Cl. M3, Upgraded to B3 (sf); previously on Feb 21, 2014 Upgraded to Caa2 (sf) Issuer: Fremont Home Loan Trust 2006-A Cl. 2-A-3, Downgraded to C (sf); previously on Apr 29, 2010 Downgraded to Ca (sf) Issuer: GSAMP Trust 2005-AHL2 Cl. A-1A, Upgraded to Baa2 (sf); previously on Jul 15, 2011 Downgraded to Ba1 (sf) Cl. A-1B, Upgraded to Caa2 (sf); previously on Jul 15, 2011 Downgraded to Ca (sf) Cl. A-2C, Upgraded to B3 (sf); previously on Jul 15, 2011 Downgraded to Caa1 (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Jul 15, 2011 Downgraded to Caa3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2 Cl. M-3, Upgraded to Ba1 (sf); previously on Apr 14, 2014 Upgraded to Ba3 (sf) Issuer: Morgan Stanley Structured Trust I 2007-1 Cl. A-2, Upgraded to Baa3 (sf); previously on Sep 12, 2012 Upgraded to Ba1 (sf) Issuer: Nomura Home Equity Loan Trust 2006-HE1 Cl. M-1, Upgraded to Ba1 (sf); previously on Feb 20, 2014 Upgraded to B1 (sf) Issuer: Nomura Home Equity Loan Trust 2006-WF1 Cl. A-4, Upgraded to A3 (sf); previously on Feb 21, 2014 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to Ba1 (sf); previously on Feb 21, 2014 Upgraded to B1 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on Feb 21, 2014 Upgraded to Ca (sf) Issuer: Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Aug 13, 2010 Downgraded to Caa2 (sf) Issuer: Peoples Choice Home Loan Securities Trust 2005-4 Cl. 1A2, Upgraded to Caa1 (sf); previously on Mar 4, 2013 Affirmed Caa2 (sf) Cl. 1A3, Upgraded to Caa2 (sf); previously on Mar 4, 2013 Affirmed Ca (sf) Issuer: Soundview Home Loan Trust 2006-1 Cl. A-3, Upgraded to Baa2 (sf); previously on Jan 27, 2014 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to Ba1 (sf); previously on Jan 27, 2014 Upgraded to Ba3 (sf) Issuer: Structured Asset Investment Loan Trust 2005-HE3 Cl. M1, Upgraded to B1 (sf); previously on Feb 11, 2014 Upgraded to B2 (sf) Issuer: Structured Asset Investment Loan Trust 2006-1 Cl. A3, Upgraded to Baa3 (sf); previously on Apr 12, 2010 Downgraded to Ba3 (sf) Issuer: Terwin Mortgage Trust 2006-1 Cl. I-A-3, Upgraded to Baa2 (sf); previously on Oct 1, 2010 Downgraded to Ba1 (sf) Cl. I-M-1, Upgraded to B3 (sf); previously on Feb 21, 2014 Upgraded to Caa2 (sf) Issuer: Terwin Mortgage Trust 2006-3 Cl. I-A-2, Upgraded to Ba1 (sf); previously on Oct 1, 2010 Downgraded to Ba3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMABS Series 2006-HE1 Trust Cl. I-A, Upgraded to B1 (sf); previously on Mar 7, 2014 Upgraded to Caa1 (sf) Cl. II-A-3, Upgraded to Ba3 (sf); previously on Mar 7, 2014 Upgraded to B3 (sf) Cl. II-A-4, Upgraded to Caa1 (sf); previously on Jul 16, 2010 Downgraded to Ca (sf) Ratings Rationale The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds due to high prepayments/faster liquidations. The downgrade of Class 2-A-3 from Fremont 2006-A is a result of depletion of subordination on the transaction, subsequent to which losses are being allocated pro- rata to the senior 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 5.8% in October 2014 from 7.2% in October 2013 . Moody's forecasts an unemployment central range of 6% to 7% 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 Rating on 21 Classes From 20 U.S. RMBS Transactions ---------------------------------------------------------------- Standard & Poor's Ratings Services lowered 21 ratings from 11 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1998 and 2006. In addition, S&P raised 16 ratings from nine transactions and affirmed 46 ratings from 19 transactions. All of the transactions in this review were issued between 1998 and 2006 and are supported by a mix of fixed- and adjustable-rate re-performing, scratch and dent, and subprime mortgage loans. ANALYTICAL CONSIDERATIONS S&P routinely incorporate other considerations into its decisions to raise, lower, and/or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on specific performance and/or structural characteristics and their potential effects on certain classes. For ratings above the indicative ratings suggested by S&P's cash flow projections, the positive characteristics include: -- Improving credit performance trends; and/or -- Payment allocation mechanics. For ratings below the indicative ratings suggested by S&P's cash flow projections, the negative characteristics include: -- Deteriorating credit performance trends; -- Constraint due to sensitivity multiples; and/or -- Payment allocation mechanics. DOWNGRADES The lowered ratings reflect S&P's belief that its projected credit enhancement for the affected classes will be insufficient to cover S&P's projected losses for the related transactions at higher rating levels. S&P's view is primarily due to: -- Deteriorated collateral performance; -- Decreased credit enhancement available to the classes; -- A substantial change in constant prepayment rates; and/or -- Application of our operational risk criteria. S&P lowered its ratings to 'AA- (sf)' on four classes from three transactions based on the application of S&P's operational risk criteria which capped the ratings at this level. S&P's criteria "Global Framework For Assessing Operational Risk In Structured Finance Transactions," became effective Nov. 3, 2014. These criteria present S&P's methodology and assumptions for assessing operational risk associated with transaction parties that provide an essential service to a structured finance issuer. Where S&P believes operational risk could lead to credit instability and a ratings impact, these criteria call for rating caps that limit the securitization's maximum potential rating. S&P lowered its ratings on 17 classes from nine transactions due to a deterioration in collateral performance. It is S&P's opinion that its projected credit enhancement is insufficient to cover its projected losses at the previous rating levels. Of the lowered ratings, four moved from investment-grade ('BBB-' or higher) to non-investment-grade ('BB+' or lower), and eight other lowered ratings remain at investment-grade. The remaining nine lowered ratings were already non-investment-grade before the rating actions. UPGRADES S&P raised its ratings on 11 classes from six transactions to 'CCC (sf)' from 'CC (sf)' because it believes these classes are no longer virtually certain to default, as set forth in "Standard & Poor's Ratings Definitions," published on Nov. 20, 2014. However, the 'CCC (sf)' ratings indicate S&P's belief that the projected credit support will remain insufficient to cover these classes' projected losses and that the classes are still vulnerable to defaulting. The raised ratings from five classes rated above 'CCC (sf)' reflect S&P's opinion that its projected credit enhancement is more than sufficient to cover its projected losses at those rating levels. AFFIRMATIONS For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions, which in turn could add volatility to the rating suggested by S&P's cash flow projections. In these circumstances, S&P affirmed rather than raised its ratings on those classes to promote ratings stability. In general, the bonds that were affected reflect these: -- Historical interest shortfalls; -- Low priority of principal payments; -- Significant growth in the delinquency pipeline; -- A high proportion of re-performing loans in the pool; -- Significant increase in observed loss severities; and/or -- Low subordination or overcollateralization, or both. S&P affirmed one rating in the 'A' category. In addition, S&P affirmed ratings in the 'BBB' through 'B' categories on 20 classes from 12 transactions. S&P's projected credit support on these classes remained consistent with its prior projections. S&P affirmed 25 additional 'CCC (sf)' or 'CC (sf)' ratings. S&P believes that its projected credit support for these classes will remain insufficient to cover its projected losses to these classes. According to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations indicate that S&P believes these classes are still vulnerable to default, and the 'CC (sf)' affirmations reflect S&P's belief that these classes remain virtually certain to default. 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 its view of how the loans will behave under various economic conditions. Standard & Poor's baseline macroeconomic outlook assumptions for variables that we believe could affect residential mortgage performance are: -- A 6.2% unemployment rate for 2014, decreasing to 5.8% 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 2.2% in 2014 and 3.0% in 2015; -- The 30-year mortgage rate will average 4.2% for 2014 and increase to 4.5% in 2015; and -- The inflation rate will be 1.7% in 2014, rising to 1.9% 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, S&P believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these key assumptions: -- Total unemployment rises to 6.2% in 2014 and then to 6.4% in 2015; -- Downward pressure causes a 2.0% GDP growth in 2014, falling to 1.2% in 2015; -- Home price momentum slows as potential buyers are not able to purchase property; and -- The 30-year fixed mortgage rate remains at 4.2% in 2014, and rises slightly to 4.3% in 2015, but limited access to credit and pressure on home prices largely prevents consumers from capitalizing on these rates. ********* 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, Psyche A. Castillon, 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 202-362-8552. *** End of Transmission ***