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T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, August 23, 2009, Vol. 13, No. 233
Headlines
ALTIUS I: Moody's Does Not Take Rating Action on Eight Notes
ALTIUS II: Moody's Does Not Take Rating Action on Six Notes
ARMY HAWAII: Moody's Downgrades Ratings on 2005-C Certificates
AVENUE CLO: Moody's Downgrades Ratings on Various Classes of Notes
AVERY POINT: Moody's Downgrades Ratings on Various Classes
BAKER STREET: Moody's Downgrades Ratings on Various Classes
BALLYROCK CLO: Moody's Downgrades Ratings on Various Notes
BANK OF AMERICA: Moody's Reviews 'B3' Ratings on Securities
BANC OF AMERICA: Fitch Cuts Ratings on 2006-R2 Resecuritizations
BANC OF AMERICA: Fitch Puts Ratings on 14 Certs. on Negative Watch
BANC OF AMERICA: Fitch Takes Rating Actions on 16 2007-5 Notes
BANC OF AMERICA: S&P Downgrades Ratings on 10 2006-3 Securities
BDC MORTGAGE: Moody's Downgrades Ratings on Three 1998-A Certs.
BEAR STEARNS: Fitch Downgrades Ratings on 16 2007-PWR17 Certs.
BEAR STEARNS: Fitch Takes Various Rating Actions on 23 Certs.
BEAR STEARNS: S&P Downgrades Ratings on Two 1999-CLF1 Securities
BOSTON HARBOR: Moody's Downgrades Ratings on Two 2004-1 Notes
BTC SPV: S&P Downgrades Ratings on Various Notes to 'BB-'
CDO LTD: Moody's Downgrades Ratings on Various Classes of Notes
CDO REPACK: S&P Junks Rating on Class D-2 Notes From 'B'
CENT 10: Moody's Downgrades Ratings on Various Classes of Notes
CITIGROUP MORTGAGE: Fitch Downgrades Ratings on 2005-12 Certs.
COAST INVESTMENT: Moody's Downgrades Ratings on Five 2000-1 Notes
CRAFT NO 1: Moody's Downgrades Ratings on Two 1998-A Notes
CRAFT CLO: Moody's Junks Ratings on Class C 2004-2 Notes
CRAFT EURO: Moody's Downgrades Ratings on 2004-1 Notes to 'Ba3'
CREDIT SUISSE: Fitch Takes Various Rating Actions on 2006-C1 Notes
CREDIT SUISSE: Fitch Downgrades Ratings on 16 2006-C4 Certs.
CREDIT SUISSE: S&P Downgrades Ratings on 2004-TFL2 Certificates
CTX CDO: Moody's Reviews Ratings on All Classes of Notes
CWABS INC: Moody's Downgrades Ratings on Six 2001-BC3 Securities
CWCAPITAL COBALT: Moody's Reviews Ratings on All Seven Classes
DEUTSCHE BANK: Moody's Downgrades Ratings on 11 Debt Securities
DILLON READ: Moody's Reviews Ratings on All Classes of Notes
DRYDEN XVI-LEVERAGED: Moody's Downgrades Ratings on Various Notes
EATON VANCE: Moody's Downgrades Ratings on Various Classes
FORTIUS I: Moody's Does Not Take Rating Actions on Notes
FRASER SULLIVAN: Moody's Downgrades Ratings on Various Classes
GSAA HOME: Moody's Downgrades Ratings on 12 Securities
GSR MORTGAGE: S&P Corrects Rating on Class 2B5 Cert. to 'CC'
HEDGED MUTUAL: Moody's Takes Rating Actions on 12 Series of Notes
JP MORGAN: Fitch Takes Rating Actions on 2006-CIBC17 Certificates
JP MORGAN: Fitch Takes Rating Actions on 13 2007-CIBC20 Certs.
JP MORGAN: Fitch Takes Rating Actions on 17 2008-C2 Securities
JP MORGAN: Moody's Confirms Ratings on Five 2005-R1 Certs.
JUPITER HIGH-GRADE: Moody's Does Not Take Rating Action on 5 Notes
JUPITER HIGH-GRADE: Moody's Does Not Take Rating Action on 8 Notes
KIMBERLITE CDO: Moody's Reviews Ratings on All Classes of Notes
KKR FINANCIAL: Moody's Downgrades Ratings on 2005-2 Notes
KKR FINANCIAL: Moody's Upgrades Ratings on Two 2005-1 Notes
KKR FINANCIAL: Moody's Upgrades Ratings on Various 2006-1 Notes
LANDMARK VII: Moody's Downgrades Ratings on Three Classes of Notes
LB-UBS COMMERCIAL: S&P Downgrades Ratings on 19 2007-C1 Securities
LENOX STREET: Moody's Reviews Ratings on All 2007-1 Notes
LEXINGTON CAPITAL: Moody's Does Not Take Rating Action on Notes
LIGHTPOINT CLO: Moody's Downgrades Ratings on Various Classes
MERRILL LYNCH: Fitch Takes Rating Actions on 24 2006-C1 Certs.
MKP CBO: Paydown Cues S&P to Withdraw Rating on Class A-1 Notes
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 13 2007-9 Certs.
MM COMMUNITY: Moody's Downgrades Ratings on Two Classes
MMCAPS FUNDING: Moody's Downgrades Ratings on Two Classes of Notes
MMCAPS FUNDING: Moody's Downgrades Ratings on Various Classes
MORGAN STANLEY: Fitch Downgrades Ratings on 2007-HQ13 Certs.
NORTHSTAR CBO: Fitch Downgrades Ratings on 1997-2 Notes
OCTAGON INVESTMENT: Moody's Does Not Take Rating Action on Notes
PREFERRED TERM: Moody's Downgrades Ratings on Five Classes
PREFERRED TERM: Moody's Downgrades Ratings on Ten Classes
PROSPECT FUNDING: Moody's Upgrades Ratings on Various Classes
PORTER SQUARE: Moody's Downgrades Ratings on Three Classes
REVE SPC: Moody's Downgrades Ratings on Various Classes
RFMSI SERIES: S&P Corrects Rating on Class A-1 Certificate to 'B-'
SANDELMAN FINANCE: Moody's Confirms Ratings on 2006-2 Notes
SARATOGA CLO: Moody's Downgrades Ratings on Various Classes
SENIOR ABS: Moody's Downgrades Ratings on 2002-1 Certificates
SORIN REAL: S&P Downgrades Ratings on Eight Classes of Notes
STARTS LTD: S&P Withdraws 'CCC-' Rating on Series 2007-6 CDO
STRUCTURED ASSET: Fitch Cuts Ratings on 2007-5R Resecuritizarion
TBW MORTGAGE-BACKED: Moody's Takes Rating Actions on Two Tranches
TIERS LANDGROVE: Moody's Downgrades Ratings on 2007-2 Notes
TIERS WOLCOTT: Moody's Downgrades Ratings on Various Notes
WELLS FARGO: Moody's Takes Rating Actions on Two 2007-10 Tranches
WHITEHORSE III: Moody's Downgrades Ratings on Various Classes
* Moody's Downgrades Ratings on GS CDS of Corporate Entities
* S&P Downgrades Ratings on 48 Tranches From 27 Hybrid CDO Deals
* S&P Downgrades Ratings on 89 Classes From 23 RMBS Transactions
* S&P Downgrades Ratings on 835 Classes of Mortgage Certs. to 'D'
*********
ALTIUS I: Moody's Does Not Take Rating Action on Eight Notes
------------------------------------------------------------
Moody's Investors Service announced that it has not withdrawn,
reduced or taken any other adverse action with respect to its
current ratings on these notes issued by Altius I Funding, Ltd.,
as the "Issuer" as a result of the entry into and execution of a
novation agreement among Issuer, AIG Financial Products Corp. as
the "Transferor" and Barclays Bank PLCas the "Transferee" on
August 12, 2009 as the "Novation Transaction", evidencing
Transferor's wish to transfer by novation its rights and
responsibilities under two swap transactions to Transferee:
-- US$354,000,000 Class A-1LT-a Floating Rate Notes Due 2040,
Currently Rated B2; previously on 2/2/09 Downgraded to B2
-- US$0 Class A-1LT-b Floating Rate Notes Due 2040, Currently
Rated B2; previously on 2/2/09 Downgraded to B2
-- US$75,000,000 Class A-2 Floating Rate Notes Due 2040,
Currently Rated Ca; previously on 2/2/09 Downgraded to Ca
-- US$85,000,000 Class B Floating Rate Notes Due 2040, Currently
Rated C; previously on 2/2/09 Downgraded to C
-- US$30,000,000 Class C Floating Rate Notes Due 2040, Currently
Rated C; previously on 2/2/09 Downgraded to C
-- US$4,000,000 Class D Floating Rate Notes Due 2040, Currently
Rated C; previously on 2/2/09 Downgraded to C
-- US$10,000,000 Preferred Shares, Currently Rated C; previously
on 10/31/08 Downgraded to C
-- Up to US$6,000,000 Class E Floating Rate Notes Due 2040,
Currently Rated C; previously on 10/31/08 Downgraded to C
Moody's analysis relied on review of the related swap and novation
documentation as well as an examination of the cash flows in the
transaction.
Many CDO documents (to which Moody's is never a party) specify
that, in order to amend the documents, the issuer must obtain an
opinion from the rating agencies that the proposed amendment would
not in and of itself result in the related ratings being
downgraded or withdrawn at the time of the amendment. This type
of provision is typically referred to in the CDO indenture as a
"rating agency confirmation" or "RAC". Moody's is never obligated
to provide a RAC, and the decision whether or not to issue a RAC
lies entirely within Moody's sole discretion.
Before providing a RAC for an amendment, the proposal will be
reviewed by a Moody's credit committee which will consider, among
other things, the performance of the specific CDO and collateral
manager and the specifics of the proposed amendment and the
particular structure of the CDO. A RAC is purely an opinion, as
of the point in time at which the RAC is provided, that the
proposed amendment in isolation does not introduce sufficient
additional credit risk so as to negatively impact the related
ratings. In other words, it does not consider the impact of other
factors on the ratings, such as collateral deterioration. Also,
the RAC does not address any other, non-credit related impact that
the amendment might have. Moody's further emphasizes that a RAC
is not a substitute for noteholder consent or for independent
analyses by noteholders of the impact on them of any proposed
amendment.
ALTIUS II: Moody's Does Not Take Rating Action on Six Notes
-----------------------------------------------------------
Moody's Investors Service announced that it has not withdrawn,
reduced or taken any other adverse action with respect to its
current ratings on these notes issued by Altius II Funding, Ltd.
(the Issuer) as a result of the entry into and execution of a
novation agreement among Issuer, AIG Financial Products Corp.
(Transferor) and Barclays Bank PLC (Transferee) on August 13, 2009
(the Novation Transaction), evidencing Transferor's wish to
transfer by novation its rights and responsibilities under eight
swap transactions to Transferee:
-- US$1,313,000,000 Class A-1 Floating Rate Notes Due 2040,
Currently Rated B1; previously on 1/30/09 Downgraded to B1
-- US$84,000,000 Class A-2 Floating Rate Notes Due 2040,
Currently Rated Ca; previously on 1/30/09 Downgraded to Ca
-- US$58,000,000 Class B Floating Rate Notes Due 2040, Currently
Rated C; previously on 1/30/09 Downgraded to C
-- US$18,750,000 Class C Deferrable Floating Rate Notes Due
2040, Currently Rated C; previously on 11/10/08 Downgraded to
C
-- US$11,250,000 Class D Deferrable Floating Rate Notes Due
2040, Currently Rated C; previously on 11/10/08 Downgraded to
C
-- US$15,000,000 Initial Stated Amount (in the aggregate) of the
Preferred Shares, Currently Rated C; previously on 11/10/08
Downgraded to C
Moody's analysis relied on review of the related swap and novation
documentation as well as an examination of the cash flows in the
transaction.
Many CDO documents (to which Moody's is never a party) specify
that, in order to amend the documents, the issuer must obtain an
opinion from the rating agencies that the proposed amendment would
not in and of itself result in the related ratings being
downgraded or withdrawn at the time of the amendment. This type
of provision is typically referred to in the CDO indenture as a
"rating agency confirmation" or "RAC". Moody's is never obligated
to provide a RAC, and the decision whether or not to issue a RAC
lies entirely within Moody's sole discretion.
Before providing a RAC for an amendment, the proposal will be
reviewed by a Moody's credit committee which will consider, among
other things, the performance of the specific CDO and collateral
manager and the specifics of the proposed amendment and the
particular structure of the CDO. A RAC is purely an opinion, as
of the point in time at which the RAC is provided, that the
proposed amendment in isolation does not introduce sufficient
additional credit risk so as to negatively impact the related
ratings. In other words, it does not consider the impact of other
factors on the ratings, such as collateral deterioration. Also,
the RAC does not address any other, non-credit related impact that
the amendment might have. Moody's further emphasizes that a RAC
is not a substitute for noteholder consent or for independent
analyses by noteholders of the impact on them of any proposed
amendment.
ARMY HAWAII: Moody's Downgrades Ratings on 2005-C Certificates
--------------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
ratings of the Credit-Linked Trust Certificates Series 2005-C
through 2005-J issued by Army Hawaii, collateralized debt
obligation transactions referencing the Dow Jones CDX.IG.4
portfolio of corporate obligations.
Moody's explained that the rating actions taken are the result of
the deterioration in the credit quality of the transactions static
reference portfolio of which the 10 year Weighted Average Rating
Factor, net of the forward looking measures, has deteriorated from
1134 to 1374 since the review on March 11,2009, equivalent to an
average rating of the current portfolio of Ba2. The reference
portfolio includes an exposure to CIT Group, Inc. which has
experienced substantial credit migration in the past few months.
The subordination of the portfolio has been reduced due to a new
credit event on Lear Corporation which has resulted in a 0.5%
decrease in subordination of the rated tranches from Moody's last
rating action. The reference portfolio has the highest industry
concentration in retail (8.8%), insurance (8.0%), and
telecommunications (6.4%).
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for corporate
synthetic CDOs as described in Moody's Special Report below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (December 2008)
The rating actions are:
Class Description: CLC Trust 2005-I-C $35,700,000 Class C
Certificates due May 1, 2010
-- Current Rating: Ba2
-- Prior Rating Date: March 11, 2009
-- Prior Rating: Downgraded to Ba1 from Baa2
Class Description: CLC Trust 2005-I-D $33,700,000 Class D
Certificates due November 1, 2010
-- Current Rating: Ba3
-- Prior Rating Date: March 11, 2009
-- Prior Rating: Downgraded to Ba1 from Baa2
Class Description: CLC Trust 2005-I-E $41,700,000 Class E
Certificates due May 1, 2011
-- Current Rating: B1
-- Prior Rating Date: March 11, 2009
-- Prior Rating: Downgraded to Ba2 from Baa2
Class Description: CLC Trust 2005-I-F $33,500,000 Class F
Certificates due November 1, 2011
-- Current Rating: B1
-- Prior Rating Date: March 11, 2009
-- Prior Rating: Downgraded to Ba2 from Baa2
Class Description: CLC Trust 2005-I-G $21,300,000 Class G
Certificates due May 1, 2012
-- Current Rating: B1
-- Prior Rating Date: March 11, 2009
-- Prior Rating: Downgraded to Ba2 from Baa2
Class Description: CLC Trust 2005-I-H $14,800,000 Class H
Certificates due November 1, 2012
-- Current Rating: B1
-- Prior Rating Date: March 11, 2009
-- Prior Rating: Downgraded to Ba2 from Baa2
Class Description: CLC Trust 2005-I-I $30,700,000 Class I
Certificates due May 1, 2013
-- Current Rating: B1
-- Prior Rating Date: March 11, 2009
-- Prior Rating: Downgraded to Ba2 from Baa2
Class Description: CLC Trust 2005-I-J $37,200,000 Class J
Certificates due November 1, 2013
-- Current Rating: B1
-- Prior Rating Date: March 11, 2009
-- Prior Rating: Downgraded to Ba2 from Baa2
AVENUE CLO: Moody's Downgrades Ratings on Various Classes of Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Avenue CLO V, Ltd.:
-- US$499,600,000 Class A Senior Secured Floating Rate Notes Due
2019 (current balance of $492,415,649), Downgraded to Aa2;
previously on March 6, 2007, Assigned Aaa;
-- US$24,100,000 Class D-1 Fourth Priority Deferrable Floating
Rate Notes Due 2019 (current balance of $24,655,003),
Downgraded to Ca; previously on March 13, 2009 Downgraded to
Caa2 and Placed Under Review for Possible Downgrade;
-- US$1,500,000 Class D-2 Fourth Priority Deferrable Fixed Rate
Notes Due 2019 (current balance of $1,565,175), Downgraded to
Ca; previously on March 13, 2009 Downgraded to Caa2 and
Placed Under Review for Possible Downgrade;
-- US$10,000,000 Class 1 Combination Notes due 2019, Downgraded
to B1; previously on March 4, 2009 Baa2 Placed Under Review
for Possible Downgrade;
-- US$9,000,000 Class 2 Combination Notes due 2019, Downgraded
to Ba3; previously on March 4, 2009 Baa2 Placed Under Review
for Possible Downgrade;
-- US$1,700,000 Class 3 Combination Notes due 2019, Downgraded
To Baa3; previously on March 4, 2009 Baa1 Placed Under Review
for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$65,300,000 Class B Second Priority Deferrable Floating
Rate Notes Due 2019, Confirmed at Ba1; previously on March
13, 2009 Downgraded to Ba1 and Placed Under Review for
Possible Downgrade;
-- US$16,000,000 Class C-1 Third Priority Deferrable Floating
Rate Notes Due 2019, Confirmed at B1; previously on March 13,
2009 Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$5,500,000 Class C-2 Third Priority Deferrable Fixed Rate
Notes Due 2019, Confirmed at B1; previously on March 13, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," the application
of certain stresses with respect to the default probabilities
associated with certain Moody's credit estimates, and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
second lien loans will be below their historical averages,
consistent with Moody's research.
Credit deterioration of the collateral pool is observed through
the average credit rating (as measured by the weighted average
rating factor), an increase in the dollar amount of defaulted
securities, an increase in the proportion of securities from
issuers rated Caa1 and below, and failure of the Class B, Class C
and Class D overcollateraliztion tests. The weighted average
rating factor is currently 2667 versus a test level of 2535 as of
the last trustee report, dated July 16, 2009. Based on the same
report, defaulted securities total about $69.5 million, accounting
for roughly 11% of the collateral balance, and securities rated
Caa1 or lower make up approximately 11% of the underlying
portfolio. Additionally, interest payments on the Class D Notes
are presently being deferred as a result of the failure of the
Class C overcollateralization tests.
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates. Moody's analysis
reflects the application of certain stresses with respect to the
default probabilities associated with CEs. These additional
stresses reflect the rapid pace of recent changes in credit market
conditions and the default rate expectations in the current
economic cycle that are higher than the historical averages.
Specifically, the default probability stresses include (1) a 1.5
notch-equivalent assumed downgrade for CEs updated between 12-15
months ago; and (2) assuming an equivalent of Caa3 for CEs that
were not updated within the last 15 months. Additionally, as CEs
do not carry credit indicators such as ratings reviews and
outlooks, a stress of a 0.5 notch-equivalent assumed downgrade for
CEs is also applied to CEs provided between 6-12 months ago.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Avenue CLO V, Ltd., issued in March 2007, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
AVERY POINT: Moody's Downgrades Ratings on Various Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Avery Point CLO, Limited:
-- US$127,250,000 Class A-1 Senior Secured Floating Rate Notes
due 2015 (current balance of $125,778,831), Downgraded to
Aa3; previously on December 17, 2003 Assigned Aaa;
-- US$25,000,000 Class A-3 Senior Secured Floating Rate Notes
due 2015, Downgraded to A1; previously on March 4, 2009 Aa1
Placed Under Review for Possible Downgrade;
-- US$20,250,000 Class B Senior Secured Floating Rate Notes due
2015, Downgraded to A3; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- US$20,000,000 Class D-1 Senior Secured Deferrable Floating
Rate Notes due 2015, Downgraded to B2; previously on March
20, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade;
-- US$3,000,000 Class D-2 Senior Secured Deferrable Fixed Rate
Notes due 2015, Downgraded to B2; previously on March 20,
2009 Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$9,000,000 Class E Senior Secured Deferrable Fixed Rate
Notes due 2015, Downgraded to Caa3; previously on March 20,
2009 Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$22,000,000 Class C-1 Senior Secured Deferrable Floating
Rate Notes due 2015, Confirmed at Ba1; previously on March
20, 2009 Downgraded to Ba1 and Placed Under Review for
Possible Downgrade;
-- US$10,000,000 Class C-2 Senior Secured Deferrable Fixed Rate
Notes due 2015, Confirmed at Ba1; previously on March 20,
2009 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
The rating actions reflect the adverse impact of the
aforementioned stresses, as well as credit deterioration in the
underlying portfolio. Such credit deterioration is observed
through a decline in the average credit rating (as measured by the
weighted average rating factor), an increase in the dollar amount
of defaulted securities and an increase in the proportion of
securities from issuers rated Caa1 and below. In particular, the
weighted average rating factor has increased over the last year
and is currently 2954 versus a test level of 2600 as of the last
trustee report, dated July 6, 2009. Based on the same report,
defaulted securities total about $44.6 million, accounting for
roughly 8% of the collateral balance, and securities rated Caa1 or
lower make up approximately 12.9% of the underlying portfolio.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Avery Point CLO, Limited, issued in December 2003, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
BAKER STREET: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Baker Street CLO II, Ltd.:
-- US$270,000,000 Class A-1 Floating Rate Notes Due October 2019
(current balance of $265,085,978), Downgraded to Aa2;
previously on September 15, 2006 Assigned Aaa;
-- US$30,000,000 Class A-2 Variable Funding Floating Rate Notes
Due October 2019 (current balance of $29,453,998), Downgraded
to Aa2; previously on September 15, 2006 Assigned Aaa;
-- US$20,100,000 Class B Floating Rate Notes Due October 2019,
Downgraded to A3; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$21,000,000 Class C Floating Rate Deferrable Notes Due
October 2019, Downgraded to Ba1; previously on March 17, 2009
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$15,900,000 Class D Floating Rate Deferrable Notes Due
October 2019, Downgraded to B1; previously on March 17, 2009
Downgraded to Ba3 and Placed Under Review for Possible
Downgrade;
-- US$12,000,000 Class E Floating Rate Deferrable Notes Due
October 2019 (current balance of $12,307,406), Downgraded to
Ca; previously on March 17, 2009 Downgraded to B3 and Placed
Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," the application
of certain stresses with respect to the default probabilities
associated with certain Moody's credit estimates, and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
The rating actions reflect the adverse impact of the
aforementioned stresses, as well as credit deterioration in the
underlying portfolio. Such credit deterioration is observed
through a decline in the average credit rating (as measured by the
weighted average rating factor), an increase in the dollar amount
of defaulted securities, an increase in the proportion of
securities from issuers rated Caa1 and below, and failure of the
Class D and E Par Value Tests. In particular, the weighted
average rating factor has increased over the last year and is
currently 2607 as of the last trustee report, dated July 8, 2009.
Based on the same report, defaulted securities total about
$34 million, accounting for roughly 9% of the collateral balance,
and securities rated Caa1 or lower make up approximately 10% of
the underlying portfolio. Additionally, interest payments on the
Class E Notes are presently being deferred as a result of the
failure of the Class D Par Value Test.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Moody's also assessed the collateral pool's elevated concentration
risk in debt obligations of companies in the banking, finance,
real estate, and insurance industries, which Moody's views to be
more strongly correlated in the current market environment.
Baker Street CLO II Ltd., issued in September 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
BALLYROCK CLO: Moody's Downgrades Ratings on Various Notes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Ballyrock CLO III, Ltd.:
-- US$100,000,000 Class A-1 Revolving Floating Rate Notes Due
2017, Downgraded to Aa3; previously on June 21, 2005 Assigned
Aaa;
-- US$350,000,000 Class A-2 Floating Rate Notes Due 2017,
Downgraded to Aa3; previously on June 21, 2005 Assigned Aaa;
-- US$24,000,000 Class B Floating Rate Notes Due 2017,
Downgraded to A3; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$45,000,000 Class D Deferrable Floating Rate Notes Due 2017
(current balance of $43,563,181), Downgraded to B3;
previously on March 18, 2009 Downgraded to B1 and Placed
Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$33,000,000 Class C Deferrable Floating Rate Notes Due
2017, Confirmed at Ba1; previously on March 18, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
The rating actions reflect the adverse impact of the
aforementioned stresses, as well as credit deterioration in the
underlying portfolio. Such credit deterioration is observed
through a decline in the average credit rating (as measured by the
weighted average rating factor), an increase in the dollar amount
of defaulted securities and an increase in the proportion of
securities from issuers rated Caa1 and below. In particular, the
weighted average rating factor has increased over the last year
and is currently 3204 versus a test level of 2684 as of the last
trustee report, dated July 20, 2009. Based on the same report,
defaulted securities total about $15.6 million, accounting for
roughly 2.7% of the collateral balance, and securities rated Caa1
or lower make up approximately 15.7% of the underlying portfolio.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Ballyrock CLO III, Ltd., issued in June 2005, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
BANK OF AMERICA: Moody's Reviews 'B3' Ratings on Securities
-----------------------------------------------------------
Moody's Investors Service put on review for possible upgrade the
B3 ratings on the noncumulative preferred securities issued by
Bank of America Corporation, including the noncumulative trust
preferred securities originally issued by subsidiaries of ABN Amro
North America Holding Company and LaSalle Banking Corporation.
The rating agency also put on review for upgrade the Ba3 rating on
the cumulative preferred security issued by Banc of America
Preferred Funding Corporation. No other ratings for BAC were
affected by this action.
"Bank of America's recently completed capital raising initiative
considerably reduces the near-term risk that it might be forced to
suspend dividends on these preferred securities, said Moody's
Senior Vice President, David Fanger. "This risk was a significant
factor behind the downgrade of the ratings on these securities in
March," he added. The action follows BAC's success in raising
sufficient capital to satisfy the requirement mandated by the U.S.
government following its earlier 'stress test' under the
Supervisory Capital Assessment Program. Through the issuance of
new common shares, the sale of assets, and a series of exchanges
of preferred securities, BAC has added over $32.4 billion in
common equity and will reduce its annual preferred dividend by
about $1.0 billion. The capital raise successfully increased
BAC's Tier I common by $38.1 billion (plus an anticipated $1.6
billion by year-end 2010 due to reduced preferred dividends),
which is in excess of the $33.9 billion buffer required by the
SCAP test.
Moody's said that it plans to conclude the review at the same time
as it concludes the pending review for upgrade of the D bank
financial strength rating of BAC's lead bank subsidiary, Bank of
America, N.A. The review of the BFSR is considering the positive
impact on BAC's and BANA's stand-alone credit profile from the
capital raise, but also the significant challenges stemming from
the current economic environment as well as the ongoing
integration of Merrill Lynch. "After loan loss provisions,
Moody's does not expect Bank of America to generate sizable
earnings until the second half of 2010 at the earliest," Mr.
Fanger noted. High unemployment, a weak U.S. economy, and
challenging real estate markets are likely to contribute to a rise
in delinquent and problem loans. This will require significant
additional loan loss provisions in 2009 and into 2010. The bank's
decision to end negotiations to acquire asset protection from the
U.S. government on a pool of $118 billion in legacy capital
markets assets also could leave it more exposed to adverse
developments in the capital markets if losses in the pool were to
exceed the $10 billion first loss position originally agreed upon
with the U.S. government. Until there is greater clarity on the
economic outlook and the likely future trends in BAC's asset
quality, these challenges are likely to limit the extent of any
upgrade of the BFSR as well as the ratings on BAC's preferred
securities.
Moody's last rating action on BAC was on May 14th, 2009 when the D
BFSR of BANA was placed on review for possible upgrade, the
ratings outlook on BAC's non-cumulative preferred securities was
changed to developing from negative, and the outlook on the BAC's
junior subordinated trust preferred securities was changed to
stable from negative.
These ratings were affected:
On Review for Possible Upgrade:
Issuer: Bank of America Corporation
-- Multiple Seniority Shelf, Placed on Review for Possible
Upgrade, currently (P)B3
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC I
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC II
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC III
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC IV
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC V
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC VI
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC VII
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC IX
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC X
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC XI
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC XII
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC AAH Capital Funding LLC XIII
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC LB Capital Funding LLC I
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC LB Capital Funding LLC II
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BAC North America Holding Company
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: BANA Holding Corporation
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: Banc of America Preferred Funding Corp.
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently Ba3
Issuer: BankBoston Corporation
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: Barnett Banks, Incorporated (Old)
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: FleetBoston Financial Corporation
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: LaSalle National Corporation
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: MBNA Corporation
-- Multiple Seniority Shelf, Placed on Review for Possible
Upgrade, currently (P)B3
Issuer: Merrill Lynch & Co., Inc.
-- Multiple Seniority Shelf, Placed on Review for Possible
Upgrade, currently (P)B3
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: Shawmut National Corporation
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Issuer: Summit Bancorp
-- Preferred Stock, Placed on Review for Possible Upgrade,
currently B3
Outlook Actions:
Issuer: Bank of America Corporation
-- Outlook, Changed To Rating Under Review From Stable(m)
Issuer: BAC AAH Capital Funding LLC I
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC AAH Capital Funding LLC II
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC AAH Capital Funding LLC III
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC AAH Capital Funding LLC IV
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC AAH Capital Funding LLC V
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC AAH Capital Funding LLC VI
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC AAH Capital Funding LLC VII
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC AAH Capital Funding LLC IX
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC AAH Capital Funding LLC X
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC AAH Capital Funding LLC XI
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC AAH Capital Funding LLC XII
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC AAH Capital Funding LLC XIII
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC LB Capital Funding LLC I
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC LB Capital Funding LLC II
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BAC North America Holding Company
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BANA Holding Corporation
-- Outlook, Changed To Rating Under Review From Stable(m)
Issuer: Banc of America Preferred Funding Corp.
-- Outlook, Changed To Rating Under Review From Developing
Issuer: BankBoston Corporation
-- Outlook, Changed To Rating Under Review From Developing
Issuer: Barnett Banks, Incorporated (Old)
-- Outlook, Changed To Rating Under Review From Developing
Issuer: FleetBoston Financial Corporation
-- Outlook, Changed To Rating Under Review From Stable(m)
Issuer: LaSalle National Corporation
-- Outlook, Changed To Rating Under Review From Developing
Issuer: MBNA Corporation
-- Outlook, Changed To Rating Under Review From Stable(m)
Issuer: Merrill Lynch & Co., Inc.
-- Outlook, Changed To Rating Under Review From Stable(m)
Issuer: Shawmut National Corporation
-- Outlook, Changed To Rating Under Review From Developing
Issuer: Summit Bancorp
-- Outlook, Changed To Rating Under Review From Developing
BANC OF AMERICA: Fitch Cuts Ratings on 2006-R2 Resecuritizations
----------------------------------------------------------------
Fitch Ratings downgrades the ratings on Banc of America Funding
2006-R2, which is a U.S. RMBS resecuritization, as part of Fitch's
ongoing review of Alt-A residential mortgage backed security
transactions. The affected classes represent a beneficial
ownership interest in separate trust funds.
The underlying securities remaining in Banc of America Funding
2006-R2 consists of several subordinate classes which have a Fitch
rating of 'C/RR6' or 'D/RR6' or are not rated by Fitch.
The classes B1 and B2 were downgraded to 'D' because the bonds
incurred a realized principal loss as reported on the monthly
remittance reports provided by the trustee. Recovery Ratings were
run on all bonds with a rating below 'B'.
Fitch has downgraded these classes:
-- Class B1 to 'D/RR6' from 'C/RR6';
-- Class B2 to 'D/RR6' from 'C/RR6'.
Fitch recently revised its surveillance methodology for prime and
Alt A RMBS to include the use of the ResiLogic mortgage loss and
default model to determine a base-case loss expectation in
conjunction with a transaction specific assessment of the pools'
actual performance. The assessment helps determine the
adjustment, if any, to the ResiLogic base-case loss expectation
due to observed improvement or deterioration in the pools'
performance trends.
BANC OF AMERICA: Fitch Puts Ratings on 14 Certs. on Negative Watch
------------------------------------------------------------------
Fitch Ratings places 14 classes of Banc of America Commercial
Mortgage Inc.'s commercial mortgage pass-through certificates,
series 2005-4 on Rating Watch Negative. A detailed list of rating
actions follows at the end of this press release.
The Negative Watch is due to the expected transfer and recent
transfer to special servicing of the largest and third largest
loans in the transaction, Pacific Arts Plaza (7.2% of the pool)
and Renaissance Baltimore Harborplace (6.9%).
The Pacific Arts Plaza loan is secured by an 825,061 square foot
(sf) office property located in Costa Mesa, CA. Occupancy has
declined significantly since issuance and the sponsor, Maguire
Properties, L.P., has indicated that it will no longer continue to
fund the cash shortfall associated with the mortgage.
The Renaissance Baltimore Harborplace loan is secured by a 622
room hotel located in Baltimore, MD. Revenue per available room
(RevPAR) at the property has declined since issuance and the
sponsor, Sunstone Hotel Investors, Inc., has indicated default may
be imminent.
Fitch will resolve the Negative Watch status as more information
becomes available, including workout strategies and valuations.
As this transaction's performance is similar to recent vintages,
Fitch's review will follow the surveillance methodology referenced
in Fitch's amended criteria for analyzing recent vintage U.S.
CMBS.
Fitch places these classes on Rating Watch Negative:
-- $97.1 million class A-J 'AAA';
-- $31.7 million class B 'AA';
-- $15.9 million class C 'AA-';
-- $29.7 million class D 'A';
-- $17.8 million class E 'A-';
-- $19.8 million class F 'BBB+';
-- $17.8 million class G 'BBB-';
-- $23.8 million class H 'BB+';
-- $7.9 million class J 'BB';
-- $7.9 million class K 'B+';
-- $7.9 million class L 'B';
-- $4 million class M 'B-';
-- $5.9 million class N 'CCC/RR1';
-- $5.9 million class O 'CCC/RR2'.
BANC OF AMERICA: Fitch Takes Rating Actions on 16 2007-5 Notes
--------------------------------------------------------------
Fitch Ratings has taken various rating actions on 16 classes of
Banc of America Commercial Mortgage Inc., series 2007-5. In
addition, Fitch has assigned Rating Outlooks, as applicable. A
detailed list of rating actions follows at the end of this press
release.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch forecasts potential losses of
10.1% for this transaction, should market conditions not recover.
The rating actions are based on losses of 8.1%, including 100% of
the losses associated with term defaults and any losses associated
with maturities within the next five years. Given the significant
term to maturity, Fitch's actions only account for 25% of the
losses associated with maturities beyond five years. The bonds
with Negative Outlooks indicate classes that may be downgraded in
the future should full potential losses be realized. Fitch
considers the Outlooks on the super-senior classes to be Stable
due to projected losses having limited impact on credit
enhancement when associated paydown is factored into the analysis.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for loans
representing 73.1% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
The remaining loans represent 11.1% of the recognized losses.
Approximately 25.2% of the mortgages mature within the next five
years: 9.6% in 2012 and 15.5% in 2014. In 2017, 66.6% of the pool
is scheduled to mature.
Fitch identified 30 Loans of Concern (30.5%) within the pool, nine
of which (7.6%) are specially serviced. Of the specially serviced
loans, two (4% of the pool) are current. Six of the Fitch Loans
of Concern (17.2%) are within the transaction's top 15 loans
(59.7%) by unpaid principal balance, one of which is 90 days
delinquent.
Losses are expected on 11 of the loans within the top 15: five
(15.6%) of these loans are expected to default the term, while
losses on the remaining six loans (28%) are expected at maturity.
Loss severities associated with these loans range from 4% to 35%.
The largest contributors to loss on a pool level basis (by
outstanding balance) are: Smith Barney Building (5.4%), Sherman
Oaks Marriott (2.9%), and West Hartford Portfolio (2%).
The Smith Barney Building consists of a 188,232 square foot (sf)
office property located in San Diego, CA, approximately 15 miles
north of San Diego and in close proximity to supporting commercial
businesses. Occupancy declined from 94.6% at issuance to 62.5% as
of March 2009 after the subject's largest tenant, Heller Ehrman
White & McAuliff, vacated their space at lease expiration in
February 2009. The loan sponsor, Irvine Company, is aggressively
marketing the vacant space. The property was underwritten to a
stabilized cash flow at issuance. The sponsor's business plan
included re-signing expiring leases at higher rates, retaining the
property's historically high occupancy, and ultimately improving
property cash flow. Currently, the market vacancy and asking rent
for the San Diego office market is 18.2% and $29.3 psf,
respectively. The economic downturn has created a challenging
environment for the property to achieve initial performance
expectations and a default is expected prior to the maturity of
the loan.
Sherman Oaks Marriott is a 213-key hotel located in Sherman Oaks,
CA. The subject is situated in the San Fernando Valley, which is
in the NW area of greater Los Angeles. The neighborhood
surrounding the property is characterized by commercial
development, including office and retail uses. Property
performance has declined from origination, with the YE 2008
occupancy, average daily rate (ADR), and revenue per available
room of 71%, $176, and $125.1, respectively, below actual
performance at issuance of 77.5%, $172.06, and $133.4. The
February 2009 performance figures revealed additional declines
when compared to YE 2008, with the occupancy, ADR and RevPAR
reported as 58.6%, $162.94, and $95.5, respectively. The sponsor,
Lewis N. Wolff, sites the current recession and its effect on the
local hotel market as the primary driver for the decline in
performance. The sponsor continues to focus on reducing expenses
and recently invested over $1.6 million into property
improvements. Given the current economic environment, a recovery
in hotel performance to levels anticipated at issuance is
unlikely.
The West Hartford Portfolio consists of a 23-property multifamily
portfolio located in Hartford, CT, totaling 680-units. The loan
transferred to special servicing in January 2009 for imminent
default. The special servicer is pursuing foreclosure, and there
is ongoing litigation as the borrower is contesting the special
servicer's demand for a deficiency judgment. The borrower has not
provided any financial statements since the date of the
foreclosure filing. Hearings are expected to begin in September
2009, and a timeframe for resolution of the workout is unknown at
this point.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Outlooks and Loss Severity ratings to these classes:
-- $139.4 million class A-J to 'BBB-/LS4' from 'AAA'; Outlook
Negative;
-- $20.9 million class B to 'BB/LS5' from 'AA+'; Outlook
Negative;
-- $13.9 million class C to 'BB/LS5' from 'AA'; Outlook
Negative;
-- $20.9 million class D to 'BB/LS5' from 'AA-'; Outlook
Negative;
-- $18.6 million class E to 'B/LS5' from 'A+'; Outlook Negative;
-- $11.6 million class F to 'B-/LS5' from 'A'; Outlook Negative;
-- $18.6 million class G to 'B-/LS5' from 'A-'; Outlook
Negative;
-- $20.9 million class H to 'B-/LS5' from 'BBB+'; Outlook
Negative;
-- $16.3 million class J to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $18.6 million class K to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $11.6 million class L to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $6.9 million class M to 'B-/LS5' from 'BB'; Outlook Negative;
-- $4.6 million class N to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $6.9 million class O to 'B-/LS5' from 'B+'; Outlook Negative;
-- $2.3 million class P to 'B-/LS5' from 'B'; Outlook Negative.
In addition, Fitch affirms, removes from Rating Watch Negative,
and assigns a Rating Outlook and LS rating to this class:
-- $4.6 million class Q at 'B-/LS5'; Outlook Negative.
Fitch also affirms these classes and Outlooks as indicated:
-- $254.4 million class A-1A at 'AAA/LS2'; Outlook Stable;
-- $18.7 million class A-1 at 'AAA/LS2'; Outlook Stable;
-- $77 million class A-2 at 'AAA/LS2'; Outlook Stable;
-- $281 million class A-3 at 'AAA/LS2'; Outlook Stable;
-- $48.3 million class A-SB at 'AAA/LS2'; Outlook Stable;
-- $612 billion class A-4 at 'AAA/LS2'; Outlook Stable;
-- $185.9 million class A-M at 'AAA/LS3'; Outlook Stable;
-- Interest-only class X-W at 'AAA'; Outlook Stable;
Fitch does not rate class S.
BANC OF AMERICA: S&P Downgrades Ratings on 10 2006-3 Securities
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
classes of commercial mortgage-backed securities from Banc of
America Commercial Mortgage Trust's series 2006-3 and removed them
from CreditWatch with negative implications, where they were
placed June 26, 2009. In addition, S&P affirmed its ratings on
four classes from the same transaction.
The downgrades follow S&P's analysis of the transaction using
S&P's recently released U.S. conduit and fusion CMBS criteria,
which was the primary driver of the rating actions. S&P's
analysis included a review of the credit characteristics of all
the loans in the pool. Using servicer-provided financial
information, S&P calculated an adjusted debt service coverage
(DSC) of 1.38x and a loan-to-value ratio of 107.1%. S&P further
stressed the loans' cash flows under S&P's 'AAA' scenario to yield
a weighted average DSC of 0.88x and an LTV of 143.7%. The implied
defaults and loss severity under the 'AAA' scenario were 82.5% and
35.8%, respectively. The DSC and LTV calculations exclude nine
credit impaired loans (8.0%). S&P estimated losses for these
loans, which are included in the 'AAA' scenario implied default
and loss figures.
The lowered ratings on the subordinate classes also reflect S&P's
expectations for credit support erosion upon the eventual
resolution of nine of the 10 specially serviced assets. S&P has
lowered its rating on class G to 'D' to reflect recurring interest
shortfalls resulting from eight appraisal reduction amounts
totaling $85.3 million in effect for the assets with the special
servicer. S&P expects the shortfalls to recur for the foreseeable
future.
The affirmed ratings on the principal and interest certificates
reflect credit enhancement levels that, in S&P's opinion, provide
adequate support through various stress scenarios. S&P affirmed
the ratings on the interest-only certificates based on S&P's
current criteria. S&P published a request for comment proposing
changes to the IO criteria on June 1, 2009. After finalizing
S&P's criteria review, S&P may revise its current criteria. Any
change in S&P's criteria may affect outstanding ratings, including
the ratings on the IO certificates S&P affirmed.
Credit Concerns
Ten assets ($165.2 million, 8.5%) in the pool are with the special
servicer, CWCapital Asset Management LLC. Eight loans are more
than 90 days delinquent ($147.4 million, 7.6%) and two are in
their grace periods ($17.8 million, 0.9%). Eight of the specially
serviced loans have appraisal ARAs in effect, totaling
$85.3 million. Six of the specially serviced assets have balances
greater than 0.85% of the total pool balance, while the remaining
four loans have balances that are less than 0.75% of the total
pool balance.
Seven of the ten loans with the special servicer are
collateralized by properties formerly tenanted by Boscov's and are
90-plus days delinquent. The loans have an aggregate principal
balance of $115.8 million (6.0%) and have a total exposure,
including interest and advances thereon, of $129.2 million. The
loans are neither cross-collateralized nor cross-defaulted and
were transferred to CWCapital on Aug. 7, 2008, after Boscov's
filed for bankruptcy on Aug. 4, 2008. These seven loans have ARAs
in effect totaling $83.5 million. Standard & Poor's expects the
resolution of these assets will result in a significant loss to
the trust.
Transaction Summary
As of the Aug. 10, 2009, remittance report, the collateral pool
consisted of 96 loans with an aggregate trust balance of
$1.938 billion, compared to 96 loans with an aggregate trust
balance of $1.965 billion at issuance. Bank of America N.A.
reported financial information for 99.4% of the pool; 92.2% of the
servicer-provided information was full-year 2008 data. S&P
calculated a weighted average DSC of 1.41x for the pool based on
the reported figures. S&P's adjusted DSC and LTV were 1.38x and
107.1%, respectively. The transaction has not experienced any
principal losses to date. Twenty-five loans are on the master
servicer's watchlist ($548.2 million, 28%). Five loans
($110.1 million, 5.7%) have reported DSC between 1.10x and 1.0x,
and six loans ($127.4 million, 6.6%) have reported DSC of less
than 1.0x.
Summary Of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$961.0 billion (49.6%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.40x for the top 10 loans.
Two of the top 10 loans (9.9%) have a reported DSC below 1.1x.
Three of the top 10 loans ($324.7 million, 15.1%) appear on the
master servicer's watchlist. S&P's adjusted DSC and LTV for the
top 10 loans were 1.36x and 102.9%, respectively.
Standard & Poor's stressed the loans with the special servicer and
the remaining loans in the pool according to S&P's updated
conduit/fusion criteria. The resultant credit enhancement levels
support the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Banc of America Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-3
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-4 A+ AAA/Watch Neg 30.41
A-1A A+ AAA/Watch Neg 30.41
A-M BBB AAA/Watch Neg 20.28
A-J B+ A+/Watch Neg 12.42
B B BBB+/Watch Neg 10.26
C B- BBB/Watch Neg 9.25
D CCC+ BB+/Watch Neg 7.60
E CCC B+/Watch Neg 6.72
F CCC- CCC+/Watch Neg 5.58
G D CCC-/Watch Neg 4.69
Ratings Affirmed
Banc of America Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-3
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.41
A-2 AAA 30.41
A-3 AAA 30.41
XW AAA N/A
N/A - Not applicable.
BDC MORTGAGE: Moody's Downgrades Ratings on Three 1998-A Certs.
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on three
certificates issued in BDC Mortgage Trust, Series 1998-A
resecuritized transaction. The certificates in the
resecuritization are backed by one or more securities, which in
turn are backed by residential mortgage loans. These rating
actions have been triggered by changes in performance and/or
Moody's ratings on the underlying residential mortgage-backed
securities (underlying securities).
The ratings on the certificates in the resecuritization are based
on:
(i) The updated expected loss of the pool of loans backing the
underlying securities portfolio and the updated ratings on
the underlying securities portfolio
(ii) The available credit enhancement on the underlying
securities, and
(iii) The structure of the resecuritization transaction.
(1) Moody's first updated its loss assumptions on the underlying
pool of mortgage loans (backing the underlying securities) and
then arrived at updated ratings on the underlying securities.
Certain resecuritizations may contain underlying securities that
were not originally rated by Moody's. In this case, an expected
loss was derived by comparing the non-rated deal to a Moody's-
rated deal with similar current collateral and performance
characteristics. An implicit rating was then determined by
comparing current available credit enhancement for the non-rated
tranche to the estimated expected loss for the deal.
The ratings on the underlying securities are then used to derive a
weighted average portfolio rating based on a weighted average
rating factor. To determine the portfolio WARF, Moody's assigns
the ratings on the underlying securities a Rating Factor based on
Moody's published 10-yr idealized loss expectations. Weights are
assigned to each Rating Factor based on the contribution (by
outstanding pledged balance) of the underlying security to the
resecuritized transaction.
(2) Second, Moody's determines the weighted average credit
enhancement available to the portfolio security by evaluating
the loss coverage level consistent with the ratings on the
underlying securities and the underlying mortgage pool losses
and weighting them based on the outstanding pledged balance of
the underlying securities.
(3) Finally, the ratings on the bonds issued in the
resecuritization are determined after taking into
consideration additional structural aspects of the
resecuritization. For transactions where only a single
tranche is issued, the weighted average portfolio rating (as
determined in step 1 above) is the rating assigned to the
tranche. Where multiple securities are issued, the loss
allocation and cash flow priority are taken into
consideration. For instance where the certificates in the
resecuritization are tranched into a super senior tranche and
a support tranche, the support tranche is notched down to
reflect a higher severity of loss to that tranche. The rating
on the super senior tranche is determined based on the total
credit enhancement available i.e. the credit enhancement
assessed in step (2) and the additional enhancement from the
support tranche.
The probability of default for the junior-most certificate in the
resecuritization is the same as the probability of default for the
lowest rated underlying certificate. However, Moody's anticipates
a higher loss severity on the junior-most class due to its
subordinate position (both in terms of principal distribution and
loss allocation) and smaller size (when compared to underlying
certificate). Therefore, the ratings on junior certificates in
the resecuritization are lower than the portfolio rating on the
combined underlying bonds.
Because the ratings on the certificates in the resecuritization
are linked to the ratings on the underlying certificates and their
mortgage pool performance, any rating action on the underlying
certificates may trigger a further review of the ratings on the
certificates in the resecuritization. The ratings on the
certificates in the resecuritization address the ultimate payment
of promised interest and principal and do not address any other
amounts that may be payable on the certificates.
For securities insured by a financial guarantor, the rating on the
securities is equal to the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described above.
Complete Rating Actions are:
Issuer: BDC Mortgage Trust, Series 1998-A
-- 1-A, Downgraded to Caa2; previously on Nov 15, 2001 Upgraded
to Aa3
-- 1-B, Downgraded to Ca; previously on Nov 15, 2001 Upgraded to
Baa2
-- 1-C, Downgraded to C; previously on Nov 15, 2001 Upgraded to
Ba3
BEAR STEARNS: Fitch Downgrades Ratings on 16 2007-PWR17 Certs.
--------------------------------------------------------------
Fitch Ratings has downgraded, removed from Rating Watch Negative,
and assigned Rating Outlooks to 16 classes of commercial mortgage
pass-through certificates from Bear Stearns Commercial Mortgage
Securities Trust 2007-PWR17.
The downgrades are the result of loss expectations on specially
serviced loans as well as Fitch's prospective views regarding
commercial real estate market value and cash flow declines. Fitch
foresees potential losses could reach as high as 7.7% for this
transaction should market conditions not recover. The rating
actions are based on losses of 7.1%, including 100% of the term
losses and 25% of the losses anticipated to occur at maturity; the
7.1% recognizes all of the losses anticipated in the next five
years.
Given the significant remaining term to maturity, Fitch's actions
do not account for the full magnitude of possible maturity losses.
The bonds with Negative Outlooks indicate classes that may be
downgraded in the future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for certain
loans representing 61.6% of the pool and, in some cases, revised
based on additional information and/or property characteristics.
Approximately 19.3% of the mortgages mature within the next five
years: 8.1% in 2012 and 11.2% in 2014. All losses associated with
these loans are fully recognized in the rating actions.
Fitch identified 28 Loans of Concern (14.0%) within the pool,
seven of which (7.7%) are specially serviced. Of the specially
serviced loans, only one (0.05%) is current. Two (3.7%) of the
specially serviced loans are within the transaction's top 15 loans
(51.6%) by unpaid principal balance.
Two of the loans (6.5%) within the top 15 are expected to default
during the term, one of which is estimated to experience a loss
severity of 32%. The largest contributors to loss across the
transaction are the DRA/Colonial Office Portfolio (7.6%) and the
RRI Hotel Portfolio (5.6%).
The DRA/Colonial Portfolio loan is collateralized by 19 office and
retail properties (with 43 buildings) which comprise approximately
5.2 million square feet and are located across six metropolitan
statistical areas: Atlanta, GA (1); Austin, TX (1); Birmingham, AL
(7); Charlotte, NC (1); Orlando, FL (6); and Tampa, FL (3). Most
of the properties are located in tertiary markets, but are
generally in very good condition. Occupancies at individual
properties ranged between 72.0% and 100% as of March 31, 2009.
The portfolio-wide occupancy was 91.6% as of the same date,
compared to 93.9% at issuance. At issuance, the loan sponsors,
DRA G&I Fund VI and Colonial Properties Trust, had approximately
$207.3 million of cash equity (28%) in the properties. The loan
matures Aug. 6, 2014.
The third largest loan in the transaction, the RRI Hotel Portfolio
(5.6%) was transferred to the special servicer in June 2009. The
loan is secured by 79 Red Roof Inn hotels located across 24
states, with the largest concentration in Texas, which accounts
for 9.6% of total rooms. The chain is classified as
economy/budget hotels which are experiencing declines in occupancy
and Revenue per Available Room as price compression and
competition from more upscale limited service hotels contribute to
added stress across this segment. As a recently transferred loan,
the special servicer is currently in the process of analyzing the
portfolio, including property level operating statements, and has
yet to determine a resolution strategy. All excess cash flow is
currently being swept by the special servicer, which was able to
make a debt service payment on the August remittance, to bring the
loan to 30 days delinquent from 60 days past due. Based on
current performance and anticipated declines, losses are expected
prior to the loan's maturity in 2017.
Fitch has downgraded, removed from Rating Watch Negative and
assigned Rating Outlooks to these classes:
-- $269.0 million class A-J to 'BBB' from 'AAA'; Outlook
Negative;
-- $28.5 million class B to 'BB' from 'AA+'; Outlook Negative;
-- $44.8 million class C to 'BB' from 'AA'; Outlook Negative;
-- $24.5 million class D to 'BB' from 'AA-'; Outlook Negative;
-- $20.4 million class E to 'BB' from 'A+'; Outlook Negative;
-- $28.5 million class F to 'B' from 'A'; Outlook Negative;
-- $32.6 million class G to 'B-'from 'A-'; Outlook Negative;
-- $36.7 million class H to 'B-' from 'BBB+'; Outlook Negative;
-- $32.6 million class J to 'B-' from 'BBB'; Outlook Negative;
-- $32.6 million class K to 'B-' from 'BBB-'; Outlook Negative;
-- $12.2 million class L to 'B-' 'BB+'; Outlook Negative;
-- $12.2 million class M to 'B-' from 'BB'; Outlook Negative;
-- $12.2 million class N to 'CCC/RR6' from 'BB-';
-- $8.2 million class O to 'CCC/RR6' from 'B+';
-- $4.1 million class P to 'CCC/RR6' from 'B';
-- $8.2 million class Q to 'CCC/RR6' from 'B-'.
Additionally, Fitch has affirmed these classes and Rating Outlooks
as indicated:
-- $71.2 million class A-1 at 'AAA'; Outlook Stable;
-- $194.1 million class A-2 at 'AAA'; Outlook Stable;
-- $311.8 million class A-3 at 'AAA'; Outlook Stable;
-- $132 million class A-AB at 'AAA'; Outlook Stable;
-- $1.18 billion class A-4 at 'AAA'; Outlook Stable;
-- $363.6 million class A-1A at 'AAA'; Outlook Stable;
-- $231.0 million class A-M at 'AAA'; Outlook Stable;
-- $95 million class A-MFL at 'AAA'; Outlook Stable;
-- Interest-only class X-1 at 'AAA'; Outlook Stable;
-- Interest-only class X-2 at 'AAA'; Outlook Stable;
Fitch does not rate the $41.8 million class S.
BEAR STEARNS: Fitch Takes Various Rating Actions on 23 Certs.
-------------------------------------------------------------
Fitch Ratings has taken various rating actions on 23 classes of
Bear Stearns Commercial Mortgage Securities Inc., commercial
mortgage pass-through certificates, Series 2006-TOP22. In
addition, Fitch has assigned Rating Outlooks, as applicable. A
detailed list of rating actions follows at the end of this press
release.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch forecasts potential losses of
1.9% for this transaction, should market conditions not recover.
The rating actions are based on losses of 1.87% including 100% of
the losses associated with term defaults and any losses associated
with maturities within the next five years. Given the significant
term to maturity, Fitch's actions only account for 25% of the
losses associated with maturities beyond five years. The bonds
with Negative Outlooks indicate classes that may be downgraded in
the future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for loans
representing 42.5% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
The loans in the reviewed sample accounted for 86.8% of the
recognized loss in the deal.
Approximately 14.5% of the mortgages are scheduled to mature
within the next five years, with 6.3% maturing in 2010 and 8.2%
maturing in 2011. In 2016, 51.1% of the pool is scheduled to
mature.
Fitch identified 27 Loans of Concern (16.0%) within the pool, two
of which (0.4%) are specially serviced. None of the specially
serviced loans are within the transaction's top 15 loans (35.5%)
by unpaid principal balance and one of the specially serviced
loans is current (0.2%). Four of the Fitch Loans of Concern
(7.9%) are within the transaction's top 15 loans.
Eleven of the top 15 loans (29.2%) are expected to default during
the term or at maturity, with loss severities up to 40%. Three of
the largest contributors to loss are: Mervyn's Portfolio (II)
(3.6% of the pool), 501 Route 17 South (0.7%) and Cedar Towers
(0.4%).
The Mervyn's Portfolio (II) is collateralized by 25 single-tenant
properties in California and Texas that were 100% occupied by the
retailer Mervyn's. The properties total 1.9 million square feet
of net rentable area. In July of 2008, Mervyn's filed for Chapter
11 bankruptcy protection and later announced that they were
closing all U.S. stores, leaving the entire portfolio 100% vacant.
The loan is still current and as of year-end YE 2008 the debt
service coverage ratio was 2.61 times (x). As of August, nine of
the 25 leases have been taken over (three by Kohl's, and six by
WinCo Foods). Based on current performance and anticipated
declines in performance, losses are expected prior to the loan's
maturity in 2012.
501 Route 17 South is collateralized by a 39,851 sf retail center
in Paramus, NJ. Major tenants include: Gap, Five Below, and
Visionary Eye Dr. X. As of YE 2008 the center was 100% occupied
with a 1.42x DSCR. Based on current performance and anticipated
declines in performance, along with increasing vacancies in the
area retail market, losses are expected prior to the loan's
maturity in 2016.
Cedar Towers is a 172-unit multifamily property in Randallstown,
MD. As of March 2009 the property was 94% occupied and was
covering at a 1.20x DSCR as of YE 2008. When the property was
only 92% occupied as of YE 2007 the DSCR was below 1.0x. While
vacancy has gone down recently, the property is still offering a
high level of free prorated rents and concessions. The loan has
an Anticipated Repayment Date in 2020 with a final maturity date
in 2035. Based on current performance and anticipated declines in
performance, losses are expected prior to the loan's maturity in
2035.
Fitch downgrades, and assigns Loss Severity ratings and Outlooks
to these classes:
-- $125.7 million class A-J to 'AA/LS3' from 'AAA'; Outlook
Stable;
-- $32.0 million class B to 'A/LS4'from 'AA'; Outlook Stable;
-- $12.8 million class C to 'A/LS5 from 'AA-'; Outlook Stable;
-- $14.9 million class E to 'BBB/LS5' from 'A-'; Outlook Stable;
-- $14.9 million class F to 'BBB-/LS5' from 'BBB+'; Outlook
Stable;
-- $14.9 million class G to 'BB/LS5' from 'BBB'; Outlook
Negative;
-- $8.5 million class H to 'BB/LS5' from 'BBB-'; Outlook
Negative.
Fitch downgrades, removes from Rating Watch Negative, and assigns
LS ratings and Outlooks to these classes:
-- $10.7 million class J to 'B/LS5' from 'BB+'; Outlook
Negative;
-- $2.1 million class K to 'B-/LS5' from 'BB'; Outlook Negative;
-- $6.4 million class L to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $2.1 million class M to 'B-/LS5' from 'B+'; Outlook Negative;
-- $6.2 million class N to 'B-/LS5' from 'B'; Outlook Negative.
Fitch affirms, and assigns an LS rating and Outlook to this class:
-- $25.6 million class D at 'A/LS4'; Outlook Negative.
Fitch has affirmed this class, removed it from Rating Watch
Negative, and assigned it a Negative Outlook:
-- $4.3 million class O at 'B-/LS5';.
Additionally, Fitch affirms these classes and assigns an LS rating
with a Stable Outlook:
-- $36.9 million class A-1 at 'AAA/LS1;
-- $212 million class A-2 at 'AAA/LS1;
-- $95.1 million class A-3 at 'AAA/LS1';
-- $81.5 million class A-AB at 'AAA/LS1';
-- $563.8 million class A-4 at 'AAA/LS1';
-- $189.1 million class A-1A at 'AAA/LS1';
-- $170.5 million class A-M at 'AAA/LS2';
Fitch affirms this class and assigns a Stable Outlook to:
-- Interest-only class X at 'AAA'.
Fitch does not rate the $12.8 million class P.
BEAR STEARNS: S&P Downgrades Ratings on Two 1999-CLF1 Securities
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes of corporate leased-backed certificates from Bear Stearns
Commercial Mortgage Securities Inc.'s series 1999-CLF1.
Concurrently, S&P affirmed its ratings on five other classes from
the same transaction.
The downgrades reflect deterioration in the credit characteristics
of the classes due primarily to the impact of three of the loans
in special servicing. The downgrade of class D to 'CCC' reflects
the potential deterioration in credit enhancement levels upon the
resolution of these loans, which have appraisal reduction amounts
in effect totaling $1.9 million. The downgrade of class E to 'D'
reflects interest shortfalls due to appraisal subordinate
entitlement reductions affecting the same three loans in special
servicing.
The affirmations reflect credit enhancement that adequately
supports the existing ratings. The class A certificates also
receive additional credit enhancement from a financial guarantee
insurance policy issued by MBIA Insurance Corp. (BBB/Negative/--),
which guarantees timely payment of principal and interest.
Standard & Poor's analysis and rating on the class A certificates
do not take into consideration the MBIA financial guarantee
insurance policy. S&P affirmed the rating on the class X
interest-only certificates based on S&P's current criteria. S&P
published a request for comment proposing changes to the IO
criteria on June 1, 2009. After S&P finalize its criteria review,
S&P may revise its current criteria. Any change in S&P's criteria
may affect outstanding ratings, including the rating on the IO
certificates S&P affirmed.
As of the July 21, 2009, distribution date, the collateral pool
consisted of 144 credit tenant lease loans with an aggregate
principal balance of $246.4 million, down 36% from $383.4 million
and 171 loans at issuance. The pool consists of retail (79%),
office (19%), and lodging (2%) properties with a significant
concentration in drugstore retail ($78.5 million, 32%). Fully
amortizing loans account for 64% of the pool, or 124 loans, while
the remaining 20 loans (36%) are amortizing loans with a balloon
payment.
Of the 20 loans with a balloon payment, three are extended
amortization loans insured by a wholly owned insurance subsidiary
of Berkshire Hathaway Inc. ('AAA/Negative') in the event that the
borrowers default on their obligations to pay monthly principal
and interest should the respective tenants not renew their leases.
For the remaining 17 loans, residual value insurance (RVI)
provided by R.V.I. America Insurance Co. (BBB/Negative/--) and
Financial Structures Ltd., a subsidiary of Royal Indemnity Co.
(not rated), mitigate balloon risk.
Bondable CTLs support 10 loans ($40.5 million, 16%), while 134
loans ($205.2 million, 84%) have triple- and double-net CTLs
supplemented by lease enhancement policies provided by Lexington
Insurance Co. (A+/Negative/--) or Chubb Custom Insurance Co.
(AA/Stable/--). The top five tenants,, constitute 55% of the
pool: Rite Aid Corp. (14%, B-/Stable/--), Koninklijke
Ahold N.V. (13%, BBB/Stable/A-2), The U.S. Postal Service (11%),
CVS Caremark Corp. (10%, BBB+/Stable/A-2), and Walgreen Co. (7%,
A+/Negative/A-1). The Rite Aid loans include properties formerly
occupied by Eckerd Corp., which serve as collateral for nine loans
($16.4 million, 7%).
Midland Loan Services Inc., the master and special servicer,
reported four loans ($6.8 million, 3%) in special servicing and 10
loans ($15.9 million, 6%) on its watchlist. Three of the loans
with the special servicer are secured by properties formerly
occupied by Circuit City. The loans were transferred to the
special servicer following Circuit City's bankruptcy. The loans
are 90-plus days delinquent and have an aggregate total exposure
of $6.8 million. ARAs totaling $1.9 million are in effect for
these three loans.
The remaining loan ($484,061, 0.2%) with the special servicer is
secured by a property occupied by the U.S. Postal Service. The
loan was transferred to the special servicer due to payment
delinquency. The loan is 60-plus days delinquent. Standard &
Poor's does not expect a loss upon the resolution of the loan at
this time.
The largest loan ($5.4 million, 2%) on the watchlist is secured by
a lodging property in Issaquah, Wash., which is 100% leased to
Accor S.A. The loan is on the watchlist due to a low debt service
coverage of 1.07x as of September 2007. The remaining loans on
the watchlist consist of loans with lease obligations to
Koninklijke Ahold N.V., Rite Aid Corp., Nash Finch Co., and the
U.S. Postal Service. These loans are on the watchlist because the
tenants have vacated the property or the borrowers have been late
on loan payments.
Because the transaction is secured by a CTL loan pool, the
associated ratings are correlated with the ratings assigned to the
underlying tenants and guarantors. The ratings on the
certificates may fluctuate over time as the ratings on the
underlying tenants and guarantors change.
S&P revalued or stressed various loans in its analysis and
reviewed the resultant credit enhancement levels in conjunction
with the levels determined by Standard & Poor's credit lease
default model.
Ratings Lowered
Bear Stearns Commercial Mortgage Securities Inc.
Corporate leased-backed certificates series 1999-CLF1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
D CCC B 1.68
E D CCC 0.13
Ratings Affirmed
Bear Stearns Commercial Mortgage Securities Inc.
Corporate leased-backed certificates series 1999-CFL1
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-3 AAA 24.63*
A-4 AAA 24.63*
B AAA 18.02
C A+ 11.79
X AAA N.A.
* Does not reflect financial guarantee insurance policy issued by
MBIA Insurance Corp. N.A. - Not applicable.
BOSTON HARBOR: Moody's Downgrades Ratings on Two 2004-1 Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Boston Harbor CLO 2004-1, Ltd.:
-- US$246,000,000 Class A Floating Rate Notes Due 2016 (current
balance of $240,552,182), Downgraded to Aa2; previously on
May 12, 2004 Assigned Aaa;
-- US$15,000,000 Class D Floating Rate Deferrable Notes Due
2016, Downgraded to Ca; previously on March 18, 2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
The downgrade actions taken on the Class A Notes and Class D Notes
reflect the adverse impact of the aforementioned stresses, as well
as credit deterioration in the underlying portfolio. Such credit
deterioration is observed through a decline in the average credit
rating (as measured by the weighted average rating factor), an
increase in the dollar amount of defaulted securities, an increase
in the proportion of securities from issuers rated Caa1 and below,
and failure of the Weighted Average Spread Test. In particular,
the weighted average rating factor has increased over the last
year and is currently 2555 versus a test level of 2300 as of the
last trustee report, dated July 3, 2009. Based on the same
report, defaulted securities total about $2.7 million, accounting
for roughly 1.0% of the collateral balance, and securities rated
Caa1 or lower make up approximately 11.6% of the underlying
portfolio. (Due to the impact of all aforementioned stresses, key
model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, may be different from the trustee's reported numbers.)
Additionally, Moody's has upgraded the ratings of these notes:
-- US$18,000,000 Class B Floating Rate Deferrable Revolving
Notes (currently undrawn), Upgraded to Baa3; previously on
March 18, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade.
Finally, Moody's has confirmed the ratings of these notes:
-- US$21,000,000 Class C Floating Rate Notes Due 2016, Confirmed
at B1; previously on March 18, 2009 Downgraded to B1 and
Placed Under Review for Possible Downgrade.
Moody's notes that the upgrade actions on the Class B Notes and
the rating confirmation on the Class C Notes have incorporated the
aforementioned stresses as well as credit deterioration in the
underlying portfolio. However, the actions reflect updated
analysis indicating that the impact of these factors on the
ratings of the Class B and Class C Notes is not as negative as
previously assessed during Stage I of the deal review in March.
The current conclusions stem from comprehensive deal-level
analysis completed during Stage II of the ongoing CLO surveillance
review, which included an in-depth assessment of results from
Moody's quantitative CLO rating model along with an examination of
deal-specific qualitative factors. By way of comparison, during
Stage I Moody's took rating actions that were largely the result
of a parameter-based approach.
Boston Harbor CLO 2004-1, Ltd., issued in May 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
BTC SPV: S&P Downgrades Ratings on Various Notes to 'BB-'
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on BTC SPV
(Cayman) 2001-1 Ltd.'s class A-4 through A-18 zero-coupon notes
series 1 to 'BB-' from 'BB+' and removed them from CreditWatch
with negative implications.
The ratings on the class A-4 through A-18 notes are dependent on
the lowest of the ratings on the reference obligations: Ansonia
CDO 2006-1 Ltd.'s class A-FX notes ('BB+/Watch Neg'); Lehman XS
Trust Series 2007-16N's class 2-A2 certificates ('BB-');
Alternative Loan Trust Series 2006-OA10's class 1-A-1 mortgage
pass-through certificates ('AAA'); CWABS Asset Backed Certificates
Series 2006-2's class 2-A-3 ('AAA'); and the ratings on the
collateral securities, U.S. Treasury bonds ('AAA') and Freddie
Mac bonds ('AAA').
The rating actions reflect the Aug. 14, 2009, lowering of the
rating on Lehman XS Trust Certificates Series 2007-16N's class 2-
A2 to 'BB-' from 'AAA'.
CDO LTD: Moody's Downgrades Ratings on Various Classes of Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by CDO (Cayman) Ltd.:
-- US$49,000,000 Class B Floating Rate Senior Secured Notes Due
2012 (current balance of $49,066,917 including deferred
interest), Downgraded to Caa3; previously on March 4, 2009
Baa3 Placed Under Review for Possible Downgrade;
-- US$11,000,000 Class C Floating Rate Secured Notes due 2012
(current balance of $10,904,982 including deferred
interest), Downgraded to C; previously on September 3, 2008
Downgraded to Caa1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds will be below their historical
averages, consistent with Moody's research.
Credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of the Class C overcollateralization test,
the Class B interest coverage test, and the Class C interest
coverage test. In particular, the weighted average rating factor
has increased over the last year and is currently 4084 versus a
test level of 2400 as of the last trustee report, dated August 3,
2009. Based on the same report, defaulted securities total about
$4.5 million, accounting for roughly 6.3% of the collateral
balance, and securities rated Caa1 or lower make up approximately
14.3% of the underlying portfolio. Additionally, interest
payments on the Class B and Class C notes are presently being
deferred as a result of the failure of the Class B interest
coverage test. Due to the impact of all aforementioned stresses,
key model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, may be different from the trustee's reported numbers.
Longhorn CDO (Cayman) Ltd., issued in March of 2000, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
CDO REPACK: S&P Junks Rating on Class D-2 Notes From 'B'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on class D-2
from CDO Repack SPC Ltd.'s series BSCMS 1999-CLF1 class D notes
due 2030. Concurrently, S&P affirmed the rating on class D-1.
The sole source of cash flow for the D-1 and D-2 classes comes
from the class D certificate from Bear Stearns Commercial Mortgage
Securities Inc.'s series 1999-CLF1. S&P lowered the rating on
class D from the BSCMS 1999-CLF1 to 'CCC' to reflect potential
deterioration of the credit characteristics due primarily to the
impact of three of the loans in special servicing. The affirmed
rating on class D-1 reflects credit enhancement that adequately
supports the rating.
Standard & Poor's rating analysis utilized its credit lease
default model. When S&P utilized this model for BSCMS 1999-CLF1,
S&P bifurcated the class D to approximate the principal balances
of classes D-1 and D-2 from CDO Repack SPC Ltd.'s series BSCMS
1999-CLF1 class D notes. Because the D-1 and D-2 certificates are
dependent on a pool of credit-tenant-leaseloans, the ratings
assigned to them correlate with the ratings assigned to the
underlying tenants and guarantors within the CTL pool.
Consequently, the ratings on the D-1 and D-2 certificates may
fluctuate over time as the ratings of the underlying tenants and
guarantors change.
Standard & Poor's revalued or stressed various loans in its
analysis of the CTL pool and reviewed the resultant credit
enhancement levels in conjunction with the levels determined by
Standard & Poor's credit lease default model.
Rating Lowered
CDO Repack SPC Ltd.
BSCMS 1999-CLF1 class D notes due 2030
Rating
------
Class To From
----- -- ----
D-2 CCC B
Rating Affirmed
CDO Repack SPC Ltd.
BSCMS 1999-CLF1 class D notes due 2030
Class Rating
----- ------
D-1 BBB-
CENT 10: Moody's Downgrades Ratings on Various Classes of Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Cent 10 CDO Limited:
-- US$296MM Class A-1 Senior Term Notes due 2017, Downgraded to
Aa2; previously on November 10, 2005 Assigned Aaa;
-- US$31.5MM Class B Senior Floating Rate Notes due 2017,
Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$17MM Class C Deferrable Mezzanine Floating Rate Notes due
2017, Downgraded to Ba2; previously on March 18, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$17MM Class D Deferrable Mezzanine Floating Rate Notes due
2017, Downgraded to Caa1; previously on March 18, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$7.5MM Class E Deferrable Junior Floating Rate Notes due
2017, Downgraded to Caa3; previously on March 18, 2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
second lien loans will be below their historical averages,
consistent with Moody's research.
Credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, and an
increase in the proportion of securities from issuers rated Caa1
and below. In particular, the weighted average rating factor has
increased over the last year and is currently 2701 versus a test
level of 2512 as of the last trustee report, dated July 7, 2009.
Based on the same report, defaulted securities total about
$26.6 million, accounting for roughly 7.4% of the collateral
balance, and securities rated Caa1 or lower make up approximately
8.5% of the underlying portfolio. Due to the impact of all
aforementioned stresses, key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, and
weighted average recovery rate, may be different from the
trustee's reported numbers.
Cent 10 CDO Limited, issued in November of 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
CITIGROUP MORTGAGE: Fitch Downgrades Ratings on 2005-12 Certs.
--------------------------------------------------------------
Fitch Ratings downgrades the ratings on Citigroup Mortgage Loan
Trust Re-Remic Trust Certificates 2005-12, which is a U.S. RMBS
resecuritization, as part of Fitch's ongoing review of Alt-A RMBS
transactions. The affected classes represent a beneficial
ownership interest in separate trust funds.
The underlying securities remaining in Citigroup Mortgage Loan
Trust Re-Remic Trust Certificates 2005-12 Group One consist of
Citigroup Mortgage Loan Trust 2005-5 class II-1-1A3 (rated
'CCC/RR3' by Fitch) and class II-1-1A4 (rated 'CCC/RR2').
The underlying securities remaining in Citigroup Mortgage Loan
Trust Re-Remic Trust Certificates 2005-12 Group Two consist of
Citigroup Mortgage Loan Trust 2005-5 classes II-1-2A3 (rated
'CCC/RR3'), class II-1-2A4 (rated 'CCC/RR1') and class II-1-2A5
(rated 'CCC').
The ratings for Citigroup Mortgage Loan Trust Re-Remic Trust
Certificates 2005-12 classes IA1, IA2, IA3, IIA1, IIA2, and IIA3
were based on the lowest rating of the underlying bonds in their
respective group, since the classes do not have credit enhancement
provided by the re-remic structure.
Fitch downgrades these Citigroup Mortgage Loan Trust Re-Remic
Trust Certificates 2005-12:
-- Class IA1 to 'CCC/RR2' from 'AAA';
-- Class IA2 to 'CCC' from 'AAA';
-- Class IA3 to 'CCC/RR3' from 'AAA';
-- Class IIA1 to 'CCC/RR2' from 'AAA';
-- Class IIA2 to 'CCC/RR1' from 'AAA';
-- Class IIA3 to 'CCC/RR3' from 'AAA'.
Fitch recently revised its surveillance methodology for prime and
Alt-A RMBS to include the use of the ResiLogic mortgage loss and
default model to determine a base-case loss expectation in
conjunction with a transaction specific assessment of the pools'
actual performance. The assessment helps determine the
adjustment, if any, to the ResiLogic base-case loss expectation
due to observed improvement or deterioration in the pools'
performance trends.
In addition to the long-term rating for each bond, the above
referenced spreadsheet contains Fitch's Recovery Ratings (RR) for
bonds rated below 'B'. The Recovery Rating scale is based upon
the expected relative recovery characteristics of an obligation.
For structured finance, Recovery Ratings are designed to estimate
recoveries on a forward-looking basis while taking into account
the time value of money.
COAST INVESTMENT: Moody's Downgrades Ratings on Five 2000-1 Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of five classes of notes issued by Coast Investment Grade
2000-1, Limited. The notes affected by the rating action are:
-- Class A Floating Rate Senior Secured Notes, due 2015,
Downgraded to A1 and Under Review for Possible Downgrade;
Previously on 2/26/2009 Downgraded to Aa1
-- Class B-1 Floating Rate Senior Secured Notes, due 2015,
Downgraded to Ba2 and Under Review for Possible Downgrade;
Previously on 2/26/2009 Downgraded to Baa3 and placed Under
Review for Possible Downgrade
-- Class B-2 Fixed Rate Senior Secured Notes, due 2015, due
2015, Downgraded to Ba2 and Under Review for Possible
Downgrade; Previously on 2/26/2009 Downgraded to Baa3 and
placed Under Review for Possible Downgrade
-- Class C-1 Floating Rate Senior Secured Notes, due 2015,
Downgraded to Ca; Previously on 2/26/2009 Downgraded to Caa2
and placed Under Review for Possible Downgrade
-- Class C-2 Fixed Rate Senior Secured Notes, due 2015,
Downgraded to Ca; Previously on 2/26/2009 Downgraded to Caa2
and placed Under Review for Possible Downgrade
Coast Investment Grade 2000-1, Limited. is a collateralized debt
obligation backed primarily by a portfolio of Collateralized Loan
Obligations and Collateralized Bond Obligations.
The rating downgrade action reflects deterioration in the credit
quality of the underlying portfolio. Credit deterioration of the
collateral pool is observed through a decline in the average
credit rating (as measured by an increase in the weighted average
rating factor), increase in defaulted or PIKing assets and failure
of one or more coverage tests, among other measures. The trustee
reports that the WARF of the portfolio is 3616 as compared to 1743
in January 2009. The trustee also reports $10.75M in PIKing
collateral as compared to $4.75M in January 2009. The trustee
reports that some coverage tests, including the Class C
overcollateralization test, are failing.
Moody's explained that in addition to the quantitative factors
that are explicitly modeled, qualitative factors are part of the
Moody's rating committee considerations. These qualitative
factors include but are not limited to the structural protections
in the transaction, the recent performance of the transaction in
the current market environment, how legal risks and issues are
addressed in transaction documentation, the collateral manager's
track record, and the potential for selection bias in the
portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions.
CRAFT NO 1: Moody's Downgrades Ratings on Two 1998-A Notes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
ratings on two classes of notes and two classes of certificates
issued by CRAFT No. 1 Trust 1998-A.
The complete rating actions are:
Issuer: CRAFT No. 1 Trust 1998-A
-- Class A Floating Rate Notes due May 15, 2020, downgraded to
B2; previously Baa3, placed on review for possible downgrade
on March 13, 2009
-- Class B Floating Rate Notes due May 15, 2020, downgraded to
C; previously B3, placed on review for possible downgrade on
March 13, 2009
-- Class C Fixed Rate Certificates due May 15, 2020, downgraded
to C; previously Caa2, placed on review for possible
downgrade on March 13, 2009
-- Class D Fixed Rate Certificates due May 15, 2020, downgraded
to C; previously Caa3, placed on review for possible
downgrade on March 13, 2009
The CRAFT transaction is backed by financing and lease cashflows
and aircraft values associated with a portfolio of 46 Bombardier
Dash 8 and CRJ aircraft. In the wake of airline bankruptcies
earlier in the deal's life, a number of aircraft in the CRAFT
portfolio came off their original finance leases, and many
aircraft in the portfolio have spent varying periods of time off-
lease, which lowered leasing revenues to date and slowed
amortization.
Having a large proportion of operating leases in the portfolio,
rather than full payout finance leases and loans, causes greater
uncertainty around future cash flows. Three aircraft are
currently off-lease.
The Class C and D Certificates have been locked out of interest
payments due a trigger whereby, due to the aggregate appraised
base value of the aircraft portfolio being less than the
outstanding aggregate balance of Classes A, B, and C, with respect
to the Class C Certificates, and due to the aggregate appraised
base value of the aircraft portfolio being less than the
outstanding aggregate balance of Classes A, B, C, and D, with
respect to the Class D Certificates, the liquidity facility may
not be drawn for payment of the Class C or D Certificates.
Moody's anticipates that the Class C and D Certificates will not
receive further interest or principal payments. The Class B Notes
are still receiving interest payments due to support provided by
the liquidity facility. Moody's expects that the Class B notes
will be paid very minimal principal during the remaining life of
the deal.
The Class A Notes are receiving full interest payments which are
supported by lease and sale revenues to the trust. In addition,
they will have the benefit of support from the liquidity facility
if needed. The Class A Notes are currently about $2 million (1%)
behind their Target Balance. Based on current lease agreements
and Bombardier's expectations from current remarketing efforts, it
is likely that the Class A Notes will remain fairly close to their
Target Balance in the near-term.
There are several factors that could put the Class A Notes at risk
over the coming 6-7 years. Firstly, the strength of the aircraft
portfolio relative to the note's balance has weakened over the
years, as seen in the loan-to-value ratio (which has increased to
over 85%) and cashflow runs which indicate little room for stress
against base case. Secondly, there are structural mechanics that
may put a drag on Class A amortization: since the Class B Notes
are being paid by the liquidity facility, which is in turn repaid
before minimum Class A amortization, this causes some cash to be
paid to Class B interest rather than Class A amortization. In
Moody's estimation, it is likely that the transaction may struggle
to keep the Class A Notes close to Target Balance, and there is a
risk that these Notes may not be paid in full.
CRAFT CLO: Moody's Junks Ratings on Class C 2004-2 Notes
--------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by CRAFT CLO 2004-2, Ltd.:
-- $55,000,000 Class C Notes due 2013, Downgraded to Caa1;
previously on April 16, 2009 Ba2 Placed Under Review for
Possible Downgrade;
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," the application
of certain stresses with respect to the default probabilities
associated with certain Moody's credit estimates, and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Credit deterioration of the collateral pool is observed through a
decline in the average credit rating (as measured by the weighted
average rating factor), an increase in the dollar amount of
defaulted securities, an increase in the proportion of securities
from issuers rated Caa1 and below. The weighted average rating
factor has steadily increased over the last year and is currently
468 versus a test level of 360 as of the last report, dated
July 13, 2009. Moody's also assessed the collateral pool's
elevated concentration risk in a small number of obligors and
industries. This includes a significant concentration in debt
obligations of companies in the banking, finance, real estate, and
insurance industries, which Moody's views to be more strongly
correlated in the current market environment.
In addition, because the underlying referenced assets are not all
publicly rated by Moody's, their credit risk was evaluated via a
mapping process between the originator's internal rating scale and
Moody's public rating scale. To compensate for the absence of
credit indicators such as ratings reviews and outlooks in mapped
ratings, a half notch stress was applied to the mapping scale.
Because this mapping was performed prior to April 1, 2007, an
additional stress was applied to capture potential deviations from
the established mapping.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
CRAFT CLO 2004-2, Ltd., issued in July 2004, is a balance-sheet
synthetic collateralized loan obligation, referencing a portfolio
of bank originated corporate loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
CRAFT EURO: Moody's Downgrades Ratings on 2004-1 Notes to 'Ba3'
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by CRAFT EURO CLO 2004-1, Ltd.:
-- EUR291,000,000 Credit Linked Notes due 2011, Downgraded to
Ba3; previously on April 16, 2009 Baa3 Placed Under Review
for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," the application
of certain stresses with respect to the default probabilities
associated with certain Moody's credit estimates, and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Credit deterioration of the collateral pool is observed through a
decline in the average credit rating (as measured by the weighted
average rating factor), an increase in the dollar amount of
defaulted securities, an increase in the proportion of securities
from issuers rated Caa1 and below. The weighted average rating
factor has steadily increased over the last year and is currently
300 versus a test level of 210 as of the last report, dated
July 13, 2009. Moody's also assessed the collateral pool's
elevated concentration risk in a small number of obligors and
industries. This includes a significant concentration in debt
obligations of companies in the banking, finance, real estate, and
insurance industries, which Moody's views to be more strongly
correlated in the current market environment.
In addition, because the underlying referenced assets are not all
publicly rated by Moody's, their credit risk was evaluated via a
mapping process between the originator's internal rating scale and
Moody's public rating scale. To compensate for the absence of
credit indicators such as ratings reviews and outlooks in mapped
ratings, a half notch stress was applied to the mapping scale.
Because this mapping was performed prior to April 1, 2007, an
additional stress was applied to capture potential deviations from
the established mapping.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
CRAFT EURO CLO 2004-1, Ltd., issued in July 2004, is a balance-
sheet synthetic collateralized loan obligation, primarily
referencing a portfolio of bank originated corporate loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
CREDIT SUISSE: Fitch Takes Various Rating Actions on 2006-C1 Notes
------------------------------------------------------------------
Fitch Ratings takes various actions on Credit Suisse Commercial
Mortgage Trust, series 2006-C1. A detailed list of rating actions
follows at the end of this release.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch foresees potential losses
could reach as high as 3.7% for this transaction should market
conditions not recover. The rating actions are based on losses of
2.8%, including 100% of the term losses and 25% of the losses
anticipated to occur at maturity; the 2.8% recognizes all of the
losses anticipated in the next five years.
Given the significant remaining term to maturity, Fitch's actions
do not account for the full magnitude of possible maturity losses.
The bonds with Negative Rating Outlooks indicate classes that may
be downgraded in the future should full potential losses be
realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for certain
loans representing 44.5% of the pool and, in some cases, revised
based on additional information and/or property characteristics.
The remaining loans represent 24.6% of the recognized losses.
Approximately 22.3% of the mortgages mature within the next five
years: 8.4% in 2010, 0.8% in 2011, 10% in 2012, 2.3% in 2013, and
0.7% in 2014. All losses associated with these loans are fully
recognized in the rating actions.
Fitch identified 40 Loans of Concern (6.4%) within the pool, 15 of
which (8.1%) are specially serviced.
Two of the loans (1.9%) within the top 15 are expected to default
during the term, with loss severities ranging from 0.7% to 32.8%.
The largest contributors to loss (by loan balance) are: Hanes
Point Shopping Center (0.9%), The Core Club (0.6%) and Azalea
Ridge Apartments (0.3%)
Hanes Point Shopping Center is a 237,834 sf anchored retail center
in Winston-Salem, NC. The property experienced a significant
decline in occupancy since issuance as a result of Linens N
Things' bankruptcy filing. The servicer-reported June 2009 debt
service coverage ratio and occupancy were 0.74 times (x) and 83%,
respectively. Based on current performance and anticipated
declines, losses are expected prior to the loan's maturity in
2016.
The Core Club is a 27,976 single-tenant retail property located in
New York, NY. The loan transferred to special servicing due to
monetary default. A recent appraisal indicated a value below the
debt amount, and losses are expected prior to the loan's maturity
in 2015.
Azalea Ridge Apartments is a 300 unit multifamily property located
in Walls, MS. The loan transferred to special servicing due to
cash flow difficulties at the property. A recent broker opinion
of value indicated a value below the debt amount and losses are
expected prior to the loan's maturity in 2011.
Fitch has downgraded and assigned Rating Outlooks and Loss
Severity ratings to these classes:
-- $22.5 million class E to 'A/LS5' from 'A+'; Outlook Negative;
-- $30 million class G to 'BBB/LS5' from 'A-'; Outlook Negative;
-- $33.8 million class H to 'BB/LS5' from 'BBB+'; Outlook
Negative;
-- $30 million class J to 'BB/LS5' from 'BBB'; Outlook Negative;
-- $37.5 million class K to 'B/LS5' from 'BBB-'; Outlook
Negative;
-- $15 million class L to 'B-/LS5' from 'BB+'; Outlook Negative;
-- $11.3 million class M to 'B-/LS5' from 'BB'; Outlook
Negative;
-- $11.3 million class N to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $3.8 million class O to 'B-/LS5' from 'B+'; Outlook Negative;
-- $3.8 million class P to 'B-/LS5' from 'B'; Outlook Negative.
Additionally, Fitch has affirmed these classes and Rating Outlooks
and assigned LS ratings as indicated:
-- $26.5 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $235 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $336.9 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $155 million class A-AB at 'AAA/LS1'; Outlook Stable;
-- $698 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $576.6 million class A-1-A at 'AAA/LS1'; Outlook Stable;
-- $300.4 million class A-M at 'AAA/LS3'; Outlook Stable;
-- Interest-only class A-X at 'AAA'; Outlook Stable;
-- Interest-only class A-Y at 'AAA'; Outlook Stable;
-- $236.5 million class A-J at 'AAA/LS3'; Outlook Negative;
-- $18.8 million class B to at 'AA+/LS5'; Outlook Negative;
-- $37.5 million class C to at 'AA/LS5'; Outlook Negative;
-- $33.8 million class D to at 'AA-/LS5'; Outlook Negative;
-- $33.8 million class F to at 'A/LS5'; Outlook Negative;
-- $7.5 million class Q to at 'B-/LS5'; Outlook Negative.
Fitch does not rate these classes:
-- $33.8 million class B;
-- $1.8 million class CCA.
CREDIT SUISSE: Fitch Downgrades Ratings on 16 2006-C4 Certs.
------------------------------------------------------------
Fitch Ratings has downgraded, removed from Rating Watch Negative,
and assigned Rating Outlooks to 16 classes of commercial mortgage
pass-through certificates from Credit Suisse Commercial Mortgage
Trust series 2006-C4.
The downgrades are the result of loss expectations from the
specially serviced loans as well as Fitch's prospective views
regarding commercial real estate market value and cash flow
declines. Fitch forecasts potential losses of 10.4% for this
transaction, should market conditions not recover. The rating
actions are based on losses of 9.3%, including 100% of the losses
associated with term defaults and any losses associated with
maturities within the next five years. Given the significant term
to maturity, Fitch's actions only account for 25% of the losses
associated with maturities beyond five years. The bonds with
Negative Outlooks indicate classes that may be downgraded in the
future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for certain
loans representing 61.6% of the pool and, in some cases, revised
based on additional information and/or property characteristics.
Of the recognized losses, approximately 80% are derived from loans
which Fitch examined in detail.
Approximately 3.9% of the mortgages mature within the next five
years: 3.4% in 2011, 0.2% in 2012 and 0.3% in 2013. In 2016,
88.9% of the pool is scheduled to mature.
Fitch identified 89 Loans of Concern (29.1%) within the pool, 28
of which (12.7%) are specially serviced. Of the specially
serviced loans, three (6.9%) are current. Four of the specially
serviced loans are within the transaction's top 15 loans (51.9%)
by unpaid principal balance.
Eight of the Loans of Concern (16.4%) within the top 15 loans are
expected to default during the term, with loss severities ranging
from 2% to 50%. The largest contributors to loss are: Babcock &
Brown FX3 Portfolio (4.6%), The Dream Hotel (2.4%), and Harwood
Center (1.9%).
The Babcock & Brown FX3 loan is collateralized by a portfolio of
14 multifamily properties totaling 3,720 units. The properties
are located in Nevada, Texas, Maryland, Florida and South
Carolina. The loan transferred to special servicing in February
of 2009 due to imminent default. The special servicer is
currently negotiating a possible modification with the sponsors.
The loan remains current. Servicer-reported year-end (YE) 2008
occupancy was 94%. Fitch based its loss estimates on recent
broker opinions of value.
The Dream Hotel loan is collateralized by a 220-room boutique
hotel located midtown Manhattan, NY. The loan transferred to
special servicing in April 2009 due to imminent default. The loan
is now 90-days delinquent. The special servicer and the borrower
are continuing negotiations. The servicer reported YE 2008
revenue per available room declined to $271.02 from $288.28 at YE
2007.
The loan is collateralized by a 721,759 square foot (SF) office
building located in downtown Dallas, TX. The loan transferred to
special servicing in April 2009 due to imminent default. The
sponsor indicated that they would not be able to make full debt
service payments once the loan adjusted from interest only to
amortizing in July 2009. Servicer-reported YE 2008 occupancy was
73%. The special servicer is currently negotiating with the
sponsor.
Fitch has downgraded and assigned Rating Outlooks to these
classes:
-- $341.8 million class A-J to 'BBB-' from 'AAA'; assigns LS4
Outlook Negative;
-- $26.7 million class B to 'BB' from 'AA+'; assigns LS5;
Outlook Negative;
-- $64.1 million class C to 'BB' from 'AA'; assigns LS5; Outlook
Negative;
-- $37.4 million class D to 'B' from 'AA-'; assigns LS5; Outlook
Negative;
-- $21.4 million class E to 'B' from 'A+'; assigns LS5; Outlook
Negative;
-- $48.1 million class F to 'B-' from 'A'; assigns LS5; Outlook
Negative;
-- $42.7 million class G to 'B-' from 'A-'; assigns LS5; Outlook
Negative;
-- $48.1 million class H to 'CCC/RR6' from 'BBB+';
-- $48.1 million class J to 'CC/RR6' from 'BBB';
-- $53.4 million class K to 'CC/RR6' from 'BBB-';
-- $10.7 million class L to 'CC/RR6' from 'BB+';
-- $16 million class M to 'CC/RR6' from 'BB';
-- $16 million class N to 'CC/RR6' from 'BB-';
-- $5.3 million class O to 'CC/RR6' from 'B+';
-- $10.7 million class P to 'CC/RR6' from 'B';
-- $10.7 million class Q to 'CC/RR6' from 'B-'.
Fitch has also removed the above classes from Rating Watch
Negative.
Fitch has affirmed these classes and revised the Rating Outlooks
as indicated:
-- $38 million class A-1 at 'AAA'; assigns LS2; Outlook Stable;
-- $92 million class A-2 at 'AAA'; assigns LS2; Outlook Stable;
-- $156 million class A-AB at 'AAA'; assigns LS2; Outlook
Stable;
-- $1.8 billion class A-3 at 'AAA'; assigns LS2; Outlook Stable;
-- $150 million class A-4FL at 'AAA'; assigns LS2; Outlook
Stable;
-- $704.5 million class A-1-A at 'AAA'; assigns LS2; Outlook
Stable;
-- $427.3 million class A-M at 'AAA'; assigns LS3; Outlook to
Negative from Stable;
-- Interest only class A-X at 'AAA'; Outlook Stable;
-- Interest only class A-SP at 'AAA'; Outlook Stable;
-- Interest only class A-Y at 'AAA'; Outlook Stable.
Fitch does not rate the $53.4 million class S.
CREDIT SUISSE: S&P Downgrades Ratings on 2004-TFL2 Certificates
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class K and L commercial mortgage pass-through certificates from
Credit Suisse First Boston Mortgage Securities Corp.'s series
2004-TFL2. Concurrently, S&P affirmed its ratings on four other
classes and removed all six ratings from CreditWatch with negative
implications, where they were placed April 7, 2009.
The lowered and affirmed ratings reflect S&P's revaluation of the
remaining loan, which has experienced property performance
declines over the past year, as well as concerns regarding the
borrower's ability to refinance the loan by its August 2010
maturity.
As of the July 2009 remittance report, the Seminole Towne Center
loan was the remaining loan in the pool, with a whole-loan and
trust balance of $70.0 million. The loan is secured by a
1.1 million-sq.-ft. regional retail mall in Sanford, Fla.,
612,890 sq. ft. of which serves as collateral for the trust.
Sanford is approximately 17 miles north of the Orlando central
business district. The collateral includes 321,318 sq. ft of in-
line space and 291,572 sq ft. of anchor space, which includes
Macy's (160,000 sq. ft.) and Belk (131,572 sq. ft.).
Approximately 0.02% of in-line space will expire during the
remainder of 2009, and 1.6% will expire in 2010. The master
servicer, Wachovia Bank N.A. (Wachovia), reported a debt service
coverage of 3.12x for the 12 months ended Dec. 31, 2008. Based on
S&P's review of the borrower's operating statements for the first
six months of 2009, the 12 months ended Dec. 31, 2008, its 2009
budget, and its June 30, 2009, rent roll, S&P's adjusted valuation
has declined 28% since S&P's last rating actions on Sept. 11,
2008. Comparable mall shop sales for tenants with less than
10,000 sq. ft. have dropped to $278 from $322 since S&P's last
review and are projected to fall even further, to $247, for the 12
months ending Dec. 31, 2009. In addition, S&P expects cash flow
to decline, reflecting the property's sales trends, as recent
leases are being signed on a percentage rent basis in lieu of base
rent.
The loan was transferred to the special servicer (also Wachovia)
on July 9, 2009, due to a balloon payment default. The borrower
continued to make its monthly interest-only debt service payment
(as it did on July 9), which kept the loan current. The lender
and borrower agreed to a one-year loan extension (to Aug. 9,
2010), with one additional 12-month extension option, as well as
amortization of $215,000 per month ($2.58 million per year).
Wachovia indicated that the borrower will absorb all fees
associated with the extension, including closing costs, legal
fees, and special servicer fees. The loan was subsequently
transferred back to the master servicer on July 23, 2009.
Ratings Lowered And Removed From Creditwatch Negative
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-TFL2
Rating
------
Class To From
----- -- ----
K A AA/Watch Neg
L BB+ A/Watch Neg
Ratings Affirmed And Removed From Creditwatch Negative
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-TFL2
Rating
------
Class To From
----- -- ----
G AAA AAA/Watch Neg
H AAA AAA/Watch Neg
J AAA AAA/Watch Neg
A-X AAA AAA/Watch Neg
CTX CDO: Moody's Reviews Ratings on All Classes of Notes
--------------------------------------------------------
Moody's Investors Service placed all rated classes of Notes issued
by CTX CDO I, Ltd., on review for possible downgrade due to
deterioration in the credit quality of the underlying portfolio
and the potential for an Event of Default triggered by further
haircuts to Par Value resulting from additional rating downgrades
of the underlying collateral.
CTX CDO I, Ltd., is a collateralized debt obligation backed by a
portfolio of cash collateral and reference obligations in
commercial mortgage backed securities, commercial real estate
collateralized debt obligations, and real estate investment
trusts. CMBS collateral and reference obligations comprise
approximately 94% of the portfolio; all are from securitizations
completed in 2005 and 2007. The CRE CDO and REIT collateral
constitute approximately 3% each of the portfolio.
Several key indicators of declining credit quality of the
portfolio have become evident since Moody's last review of the
transaction. The Trustee reports a weighted average rating factor
(WARF) of 2,040 as of July 31, 2009 in contrast to a reported WARF
of 1,961 as of March 26, 2009. All collateral and reference
obligations are now rated at Baa3 or lower, which is resulting in
a significant haircut amount in Par Value which is factored into
the calculation of both the Class A/B Overcollateralization Test
and Default Par Value Coverage Ratio. The Trustee reports that
the transaction is currently failing the Class A/B
Overcollateralization Test. In addition, The Trustee currently
reports that $15 million of reference obligations have defaulted.
As commercial real estate loan performance continues
deteriorating, the risk of an EOD triggered by an increase in the
Total Par Value Haircut Amount from additional rating downgrades
is increasing. As provided for in Article V of the Indenture,
during the occurrence and continuance of an Event of Default,
certain parties to the transaction may be entitled to direct the
Trustee to take particular actions with respect to the Collateral
Debt Securities and the Notes, including liquidation. Moody's
notes that the transaction is exposed to a significant
concentration of CMBS assets, the majority of which have low
speculative-grade ratings. It is also exposed to CRE CDOs with
low speculative-grade ratings. Both types of assets have shown
depressed market valuations recently and thus may herald poor
recovery prospects in any sale and liquidation of the Collateral.
If an EOD occurs, the severity of losses will vary depending on
the timing and outcome of a liquidation of the Collateral, should
the Controlling Class direct the Trustee to dispose of the
Collateral.
The actions reflect the increased expected loss associated with
each tranche due to the diminished credit quality on the
underlying portfolio. Moody's rating action is:
-- Class A, $54,750,000, Senior Secured Floating Rate Notes Due
2052, on review for possible downgrade; previously on
3/6/2009 downgraded to Baa3 from Aaa
-- Class B, $32,250,000, Senior Secured Floating Rate Notes Due
2052, on review for possible downgrade; previously on
3/6/2009 downgraded to Ba1 from Aa2
-- Class C, $35,000,000, Secured Floating Rate Deferrable
Interest Notes Due 2052, on review for possible downgrade;
previously on 3/6/2009 downgraded to Ba3 from A2
-- Class D, $5,500,000, Secured Floating Rate Deferrable
Interest Notes Due 2052, on review for possible downgrade;
previously on 3/6/2009 downgraded to Ba3 from A3
-- Class E, $9,000,000, Secured Floating Rate Deferrable
Interest Notes Due 2052, on review for possible downgrade;
previously on 3/6/2009 downgraded to B1 from Baa1
-- Class F, $6,250,000, Secured Floating Rate Deferrable
Interest Notes Due 2052, on review for possible downgrade;
previously on 3/6/2009 downgraded to B1 from Baa2
-- Class G, $7,250,000, Secured Floating Rate Deferrable
Interest Notes Due 2052, on review for possible downgrade;
previously on 3/6/2009 downgraded to B1 from Baa3
-- Class H, $8,250,000, Floating Rate Deferrable Interest Notes
Due 2052, on review for possible downgrade; previously on
3/6/2009 downgraded to B2 from Ba1
-- Class J, $4,500,000, Floating Rate Deferrable Interest Notes
Due 2052, on review for possible downgrade; previously on
3/6/2009 downgraded to Caa2 from Ba2
-- Class K, $2,750,000, Floating Rate Deferrable Interest Notes
Due 2052, on review for possible downgrade; previously on
3/6/2009 downgraded to Caa3 from Ba3
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated March 6, 2009.
CWABS INC: Moody's Downgrades Ratings on Six 2001-BC3 Securities
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of six
securities issued by CWABS, Inc. Asset-Backed Certificates, Series
2001-BC3. Additionally, Moody's has corrected and upgraded the
ratings of two classes issued by CWABS, Inc. Asset-Backed
Certificates, Series 2002-1. Each of these pools is primarily
backed by first-lien fixed- and adjustable-rate subprime
residential mortgage loans. These actions are part of an ongoing
review of subprime RMBS transactions.
Each of the transactions on which Moody's has taken rating action
is supported by a seller loss coverage policy provided by
Countrywide, which is available to cover all losses on the
mortgage loans. When Moody's downgraded the 2002-1 transaction
class B-1 and class B-2 to Ba2 and Ca, respectively, on March 20th
2009, Moody's did not take the seller loss coverage into
consideration. After reviewing the transaction under updated
assumptions and applying the seller loss coverage, the correct
ratings for class B-1 and class B-2 of the 2002-1 transaction are
Ba1 and B1, respectively.
The transactions do not receive support from excess spread or
overcollateralization, so the current level of remaining seller
loss coverage, 7% for 2001-BC1 and 19% for 2002-1, was a key
consideration in Moody's rating analysis. Over the past 18 months
the available coverage provided to the 2001-BC3 has been depleted
by more than 55%, which is a primary driver in the downgrades of
the 2001-BC3 securities. Additionally, over 35% of each pool is
sixty or more days past due which influenced Moody's updated loss
projections on the underlying collateral.
Moody's approach to analyzing seasoned subprime pools (prior to
the 2nd half of 2005) takes into account the annualized loss rate
from last 12 months and the projected loss rate over next 12
months, and then translates these measures into lifetime losses
based on a deal's expected remaining life. Recent Losses are
calculated by assessing cumulative losses incurred over the past
12-months as a percentage of the average pool factor in the last
year. For Pipeline Losses, Moody's uses annualized roll rates of
15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+
days, are in foreclosure, and REO, respectively. Moody's then
applies deal-specific severity assumptions to arrive at projected
losses. The results of these two calculations -- Recent Losses
and Pipeline Losses --- are weighted to arrive at the lifetime
cumulative loss projection.
Other methodologies and factors that may have been considered in
the process of rating this issue can be found at www.moodys.com in
the Credit Policy & Methodologies directory, in the Ratings
Methodologies subdirectory.
Complete rating actions are:
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2002-1
Expected Cumulative Losses: 1.6% (as a percentage of the original
loan pool balance)
-- Cl. B-1, Upgraded to Ba1; previously on March 20, 2009
downgraded to Ba2
-- Cl. B-2, Upgraded to B1; previously on March 20, 2009
downgraded to Ca
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2001-BC3
Expected Cumulative Losses: 2.3% (as a percentage of the original
loan pool balance)
-- Cl. A, Downgraded to A2; previously on August 31, 2001
Assigned Aaa
-- Cl. A-IO, Downgraded to A2; previously on August 31, 2001
Assigned Aaa
-- Cl. M-1, Downgraded to B1; previously on March 20, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ca; previously on March 20, 2009 Aa1
Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C; previously on March 20, 2009 Aa3
Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C; previously on March 20, 2009 A3
Placed Under Review for Possible Downgrade
CWCAPITAL COBALT: Moody's Reviews Ratings on All Seven Classes
--------------------------------------------------------------
Moody's Investors Service placed all seven classes of Notes issued
by CWCapital COBALT III Synthetic CDO, Ltd., on review for
possible downgrade due to deterioration in the credit quality of
the underlying portfolio and the potential for an Event of Default
triggered by further haircuts to Par Value resulting from
additional rating downgrades of the underlying collateral.
CWCapital COBALT III Synthetic CDO, Ltd., is a collateralized debt
obligation backed by a portfolio of cash collateral and reference
obligations in commercial mortgage backed securities and
commercial real estate collateralized debt obligations. CMBS
collateral and reference obligations comprise approximately 90% of
the portfolio; all are from securitizations completed in 2005 and
2006. The CRE CDO collateral constitutes approximately 10% of the
portfolio.
Several key indicators of declining credit quality of the
portfolio have become evident since Moody's last review of the
transaction. The Trustee reports a weighted average rating factor
of 2,540 as of July 27, 2009 in contrast to a reported WARF of
1,953 as of February 25, 2009. All collateral and reference
obligations are now rated at Baa3 or lower, which is resulting in
a significant haircut amount in Par Value which is factored into
the calculation of both the Overcollateralization Test and Default
Par Value Coverage Test. The Trustee reports that the transaction
is currently failing its Overcollateralization Test. In addition,
The Trustee currently reports that $20 million of reference
obligations have defaulted.
As commercial real estate loan performance continues
deteriorating, the risk of an EOD triggered by further haircuts to
Par Value from additional rating downgrades is increasing. As
provided for in Article V of the Indenture, during the occurrence
and continuance of an Event of Default, certain parties to the
transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral Debt Securities
and the Notes, including liquidation. Moody's notes that the
transaction is exposed to a significant concentration of CMBS
assets, the majority of which have low speculative-grade ratings.
It is also exposed to CRE CDOs with low speculative-grade ratings.
Both types of assets have shown depressed market valuations
recently and thus may herald poor recovery prospects in any sale
and liquidation of the Collateral. If an EOD occurs, the severity
of losses will vary depending on the timing and outcome of a
liquidation of the Collateral, should the Controlling Class direct
the Trustee to dispose of the Collateral.
The actions reflect the increased expected loss associated with
each tranche due to the diminished credit quality on the
underlying portfolio. Moody's rating action is:
-- Class A, $64,500,000, Floating Rate Notes Due 2043, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Ba3 from Aaa
-- Class B, $42,500,000, Floating Rate Notes Due 2043, on review
for possible downgrade; previously on 3/6/2009 downgraded to
B3 from Aa2
-- Class C, $22,000,000, Floating Rate Notes Due 2043, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Caa2 from A2
-- Class D, $6,000,000, Floating Rate Notes Due 2043, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Caa2 from A3
-- Class E, $5,500,000, Floating Rate Notes Due 2043, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Caa2 from Baa1
-- Class F, $6,250,000, Floating Rate Notes Due 2043, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Caa2 from Baa3
-- Class G, $15,250,000, Floating Rate Notes Due 2043, on review
for possible downgrade; previously on 3/6/2009 downgraded to
Caa3 from Ba2
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated March 6, 2009.
DEUTSCHE BANK: Moody's Downgrades Ratings on 11 Debt Securities
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 11
securities issued by Deutsche Bank. The collateral backing the
transactions consists primarily of first-lien, fixed and
adjustable-rate, Alt-A mortgage loans.
The downgrades relate to structural features, such as sequential
pay structures, whereby certain senior bonds are entitled to
receive more than their pro-rata share of principal payments. In
the event that subordinate bonds are written down entirely, these
bonds are subject to structural features that redirect principal
payments to be paid pro rata to all senior bonds, and/or direct
losses to be allocated pro rata to each of the outstanding senior
bonds. In either of those cases, given the recent increase in the
pace of credit support erosion relative to amortization of the
bonds, there is an increased likelihood that the downgraded bonds
may not be completely paid off before subordinate bonds are
completely written down.
In its analysis, Moody's has considered current available credit
enhancement and recent CPR, CDR, and severity trends. The
cashflows were run on the basis of pool loss expectations in line
with those published in Q1 2009, although Moody's incorporated
short-term cashflow stresses to assess the resiliency of the bonds
impacted in the actions.
It should be noted that, in general, Alt-A and Option ARM
delinquency trends in the past six months have closely tracked
Moody's Q1 projections. If the pace of modifications picks up,
delinquencies may be lower than Moody's projections. Severity
trends, however, have worsened, with current severities trending
higher than Moody's lifetime average severity assumptions by 5-9
percentage points in many pools. Given that recent data on the
housing markets has been mixed and there are early indications of
home prices potentially bottoming, it is unclear whether the
recent higher severities represent peak severities, and to what
extent they might alter the average lifetime expected severity.
Complete Rating Actions are:
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2006-
AR1
-- Cl. I-A-2, Downgraded to B3; previously on 2/2/2009
Downgraded to Baa3
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2006-
AR6
-- Cl. A-1, Downgraded to Ba3; previously on 2/2/2009 Downgraded
to Baa3
-- Cl. A-2, Downgraded to Caa3; previously on 2/2/2009
Downgraded to Baa3
-- Cl. A-3, Downgraded to Caa1; previously on 2/2/2009
Downgraded to Baa3
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4
-- Cl. A-1A, Downgraded to Caa1; previously on 2/2/2009
Downgraded to Baa3
-- Cl. A-1B-1, Downgraded to Ba3; previously on 2/2/2009
Downgraded to Aa2
-- Cl. A-1B-2, Downgraded to Aa3 and Placed Under Review for
Possible Downgrade; previously on 2/2/2009 Downgraded to Aa2
-- Current Underlying Rating: Downgraded to B2; previously on
2/2/2009 Downgraded to Aa2
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3
Placed Under Review for Possible Downgrade on 5/20/2009)
-- Cl. A-1C, Downgraded to Caa2; previously on 2/2/2009
Downgraded to Baa3
Deutsche Alt-B Securities, Inc. Mortgage Loan Trust Series 2006-
AB2
-- Cl. A-1, Downgraded to B3; previously on 2/2/2009 Downgraded
to A2
-- Cl. A-7, Downgraded to A3; previously on 6/8/2006 Assigned
Aaa
Deutsche Alt-B Securities, Inc. Mortgage Loan Trust Series 2006-
AB3
-- Cl. A-7, Downgraded to B2; previously on 2/2/2009 Downgraded
to A3
DILLON READ: Moody's Reviews Ratings on All Classes of Notes
------------------------------------------------------------
Moody's Investors Service placed all rated classes of Notes issued
by Dillon Read CMBS CDO 2006-1 Ltd. on review for possible
downgrade due to deterioration in the credit quality of the
underlying portfolio and the potential for an Event of Default
(EOD) triggered by further haircuts to Par Value resulting from
additional rating downgrades of the underlying collateral.
Dillon Read CMBS CDO 2006-1 Ltd. is a collateralized debt
obligation backed by a portfolio of cash collateral and reference
obligations in commercial mortgage backed securities, REIT debt
and commercial real estate collateralized debt obligations. CMBS
collateral and reference obligations comprise approximately 86% of
the portfolio; all are from securitizations completed in 2005 and
2006. The REIT debt and CRE CDO collateral constitute
approximately 14% of the portfolio.
Several key indicators of declining credit quality of the
portfolio have become evident since Moody's last review of the
transaction. The Trustee reports a weighted average rating factor
of 2,016 as of July 31, 2009 in contrast to a reported WARF of
1,631 as of February 27, 2009. All collateral and reference
obligations are now rated at Baa3 or lower, which is resulting in
a significant haircut amount in Par Value which is factored into
the calculation of both the Overcollateralization Test and the
ratio under Indenture Section 5.1(d). The Trustee reports that
the transaction is currently failing its Overcollateralization
Test. In addition, The Trustee currently reports that
approximately $40.2 million of collateral and reference
obligations have defaulted.
As commercial real estate loan performance continues
deteriorating, the risk of an EOD triggered by further haircuts to
Par Value from additional rating downgrades is increasing. As
provided for in Article V of the Indenture, during the occurrence
and continuance of an Event of Default, certain parties to the
transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral Debt Securities
and the Notes, including liquidation. Moody's notes that the
transaction is exposed to a significant concentration of CMBS
assets, the majority of which have low speculative-grade ratings.
It is also exposed to CRE CDOs with low speculative-grade ratings.
Both types of assets have shown depressed market valuations
recently and thus may herald poor recovery prospects in any sale
and liquidation of the Collateral. If an EOD occurs, the severity
of losses will vary depending on the timing and outcome of a
liquidation of the Collateral, should the Controlling Class direct
the Trustee to dispose of the Collateral.
The actions reflect the increased expected loss associated with
each tranche due to the diminished credit quality on the
underlying portfolio. Moody's rating action is:
-- Class A-S1VF, $ $646,383,581.84, Floating Rate Notes Due
2046, on review for possible downgrade; previously on
3/20/2009 downgraded to A3 from Aaa
-- Class A1, $150,000,000, Floating Rate Notes Due 2046, on
review for possible downgrade; previously on 3/20/2009
downgraded to Baa3 from Aaa
-- Class A2, $60,000,000, Floating Rate Notes Due 2046, on
review for possible downgrade; previously on 3/20/2009
downgraded to Ba1 from Aa2
-- Class A3, $41,250,000, Floating Rate Notes Due 2046, on
review for possible downgrade; previously on 3/20/2009
downgraded to B1 from A2
-- Class A4, $12,500,000, Floating Rate Notes Due 2046, on
review for possible downgrade; previously on 3/20/2009
downgraded to B2 from A3
-- Class B1, $28,750,000, Floating Rate Notes Due 2046, on
review for possible downgrade; previously on 3/20/2009
downgraded to B3 from Baa2
-- Class B2, $11,250,000, Floating Rate Notes Due 2046, on
review for possible downgrade; previously on 3/20/2009
downgraded to Caa1 from Baa3
-- Class B3, $8,750,000, Floating Rate Notes Due 2046, on review
for possible downgrade; previously on 3/20/2009 downgraded to
Caa1 from Ba1
-- Class B4, $10,000,000, Floating Rate Notes Due 2046, on
review for possible downgrade; previously on 3/20/2009
downgraded to Caa1 from Ba2
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated March 20, 2009.
DRYDEN XVI-LEVERAGED: Moody's Downgrades Ratings on Various Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Dryden XVI-Leveraged Loan CDO
2006:
-- US$375,000,000 Class A-1 Senior Secured Floating Rate Notes
Due October 20, 2020 (current balance of $366,474,418),
Downgraded to Aa3; previously on December 14, 2006 Assigned
Aaa;
-- US$20,000,000 Class A-2 Senior Secured Floating Rate Notes
Due October 20, 2020, Downgraded Baa1; previously on March 4,
2009 Aa2 Placed Under Review for Possible Downgrade;
-- US$32,500,000 Class B Mezzanine Secured Deferrable Floating
Rate Notes Due October 20, 2020, Downgraded to Ba2;
previously on March 17, 2009 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- US$16,250,000 Class C Mezzanine Secured Deferrable Floating
Rate Notes Due October 20, 2020 (current balance of
$16,352,974), Downgraded to B2; previously on March 17, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$17,500,000 Class D Mezzanine Secured Deferrable Floating
Rate Notes Due October 20, 2020 (current balance of $
17,703,790), Downgraded to Ca; previously on March 17, 2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," the application
of certain stresses with respect to the default probabilities
associated with certain Moody's credit estimates, and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
second lien loans will be below their historical averages,
consistent with Moody's research. Moody's has also applied
resecuritization stress factors to default probability assumptions
for structured finance asset collateral as described in the press
release titled "Moody's updates its key assumptions for rating
structured finance CDOs," published on December 11, 2008.
Credit deterioration of the collateral pool is observed through a
decline in the average credit rating (as measured by the weighted
average rating factor), an increase in the dollar amount of
defaulted securities, an increase in the proportion of securities
from issuers rated Caa1 and below, and failure of Class B
overcollateralization test, Class C overcollateralization test,
and Class D overcollateralization test. The weighted average
rating factor has steadily increased over the last year and is
currently 2810 versus a test level of 2600 as of the last trustee
report, dated July 9, 2009. Based on the same report, defaulted
securities total about $31 million, accounting for roughly 7% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 14% of the underlying portfolio. Additionally,
interest payments on the Class C and D Notes are presently being
deferred as a result of the failure of the Class B and C
overcollateralization tests.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Dryden XVI-Leveraged Loan CDO 2006, issued in December 14, 2006, a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
EATON VANCE: Moody's Downgrades Ratings on Various Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Eaton Vance CDO IX, Ltd.:
-- US$45,000,000 Class A-1-B Floating Rate Notes Due 2019 Notes,
Downgraded to A1; previously on Mar 4, 2009 Aaa Placed Under
Review for Possible Downgrade;
-- US$160,000,000 Class A-2 Floating Rate Notes Due 2019 Notes,
Downgraded to Aa3; previously on Apr 27, 2007 Assigned Aaa;
-- US$20,000,000 Class B Floating Rate Notes Due 2019 Notes,
Downgraded to Baa1; previously on Mar 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$35,000,000 Class D Floating Rate Deferrable Notes Due 2019
Notes, Downgraded to Caa1; previously on Mar 13, 2009
Downgraded to B2 and Remains On Review for Possible
Downgrade;
-- US$6,000,000 Class 2 Combination Notes Due 2019 Notes,
Downgraded to B1; previously on Mar 4, 2009 Ba1 Placed Under
Review for Possible Downgrade.
In addition, Moody's has confirmed the rating of these notes:
-- US$27,500,000 Class C Floating Rate Deferrable Notes Due 2019
Notes, Confirmed at Ba1; previously on Mar 13, 2009
Downgraded to Ba1 and Remains On Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
second lien loans will be below their historical averages,
consistent with Moody's research.
The rating actions reflect the adverse impact of the
aforementioned stresses, as well as credit deterioration in the
underlying portfolio. Such credit deterioration is observed
through a decline in the average credit rating (as measured by the
weighted average rating factor), and an increase in the dollar
amount of defaulted securities, an increase in the proportion of
securities from issuers rated Caa1 and below. In particular, the
weighted average rating factor has increased over the last year
and is currently 2740 as of the last trustee report, dated July 7,
2009. Based on the same report, defaulted securities total about
$33 million, accounting for roughly 6.9% of the collateral
balance, and securities rated Caa1 or lower make up approximately
19.0% of the underlying portfolio. Due to the impact of all
aforementioned stresses, key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, and
weighted average recovery rate, may be different from the
trustee's reported numbers.
Eaton Vance CDO IX, Ltd., issued in March of 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
FORTIUS I: Moody's Does Not Take Rating Actions on Notes
--------------------------------------------------------
Moody's Investors Service announced that it has not withdrawn,
reduced or taken any other adverse action with respect to its
current ratings on these notes issued by Fortius I Funding, Ltd.
(the Issuer) as a result of the entry into and execution of a
novation agreement among Issuer, AIG Financial Products Corp.
(Transferor) and Barclays Bank PLC (Transferee) on August 13, 2009
(the Novation Transaction), evidencing Transferor's wish to
transfer by novation its rights and responsibilities under eight
swap transactions to Transferee:
-- US$11,500,000 Class S Floating Rate Notes Due 2010, Currently
Rated A1; previous on 2/18/09 Downgraded to A1
-- US$390,000,000 A-1 Floating Rate Notes Due 2041, Currently
Rated Ca; previously on 2/18/09 Downgraded to Ca
-- US$84,000,000 Class A-2 Floating Rate Notes Due 2041,
Currently Rated C; previously on 2/18/09 Downgraded to C
-- US$57,000,000 Class B Floating Rate Notes Due 2041, Currently
Rated C; previously on 2/18/09 Downgraded to C
-- US$15,000,000 Class C Deferrable Floating Rate Notes Due
2041, Currently Rated C; previously on 10/23/08 Downgraded to
C
-- US$30,000,000 Class D Deferrable Floating Rate Notes Due
2041, Currently Rated C; previously on 10/23/08 Downgraded to
C
-- US$5,000,000 Class E Deferrable Floating Rate Notes Due 2041,
Currently Rated C; previously on 10/23/08 Downgraded to C
-- US$19,000 Preferred Shares, Currently Rated C; previously on
10/23/08 Downgraded to C
Moody's analysis relied on review of the related swap and novation
documentation as well as an examination of the cash flows in the
transaction.
Many CDO documents (to which Moody's is never a party) specify
that, in order to amend the documents, the issuer must obtain an
opinion from the rating agencies that the proposed amendment would
not in and of itself result in the related ratings being
downgraded or withdrawn at the time of the amendment. This type
of provision is typically referred to in the CDO indenture as a
"rating agency confirmation" or "RAC". Moody's is never obligated
to provide a RAC, and the decision whether or not to issue a RAC
lies entirely within Moody's sole discretion.
Before providing a RAC for an amendment, the proposal will be
reviewed by a Moody's credit committee which will consider, among
other things, the performance of the specific CDO and collateral
manager and the specifics of the proposed amendment and the
particular structure of the CDO. A RAC is purely an opinion, as
of the point in time at which the RAC is provided, that the
proposed amendment in isolation does not introduce sufficient
additional credit risk so as to negatively impact the related
ratings. In other words, it does not consider the impact of other
factors on the ratings, such as collateral deterioration. Also,
the RAC does not address any other, non-credit related impact that
the amendment might have. Moody's further emphasizes that a RAC
is not a substitute for noteholder consent or for independent
analyses by noteholders of the impact on them of any proposed
amendment.
FRASER SULLIVAN: Moody's Downgrades Ratings on Various Classes
--------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Fraser Sullivan CLO II Ltd.:
-- US$51,600,000 Class A-2 Senior Secured Floating Rate Notes
due 2020, Downgraded to A1; previously on 3/4/2009 Aaa Placed
Under Review for Possible Downgrade;
-- US$33,000,000 Class B Senior Secured Floating Rate Notes due
2020, Downgraded to Baa1; previously on 3/4/2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$32,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2020, Downgraded to Ba2; previously on 3/17/2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$33,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2020, Downgraded to Caa2; previously on 3/17/2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$17,000,000 Class E Senior Secured Deferrable Floating Rate
Notes due 2020, Downgraded to Ca; previously on 3/17/2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook", the application
of certain stresses with respect to the default probabilities
associated with certain Moody's credit estimates, and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
high-yield corporate bonds and second lien loans will be below
their historical averages, consistent with Moody's research.
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates, and that Moody's
analysis reflects the application of certain stresses with respect
to the default probabilities associated with such CEs. These
additional stresses reflect the rapid pace of recent changes in
credit market conditions and the default rate expectations in the
current economic cycle that are higher than the historical
averages. Specifically, the default probability stresses include
(1) a 1.5 notch-equivalent assumed downgrade for CEs updated
between 12-15 months ago; and (2) assuming an equivalent of Caa3
for CEs that were not updated within the last 15 months.
Additionally, as CEs do not carry credit indicators such as
ratings reviews and outlooks, a stress of a 0.5 notch-equivalent
assumed downgrade for CEs is also applied to CEs provided between
6-12 months ago.
The rating actions reflect the adverse impact of the
aforementioned stresses, as well as credit deterioration in the
underlying portfolio. Such credit deterioration is observed
through a decline in the average credit rating (as measured by the
weighted average rating factor), an increase in the dollar amount
of defaulted securities, an increase in the proportion of
securities from issuers rated Caa1 and below. In particular, the
weighted average rating factor has increased over the last year
and is currently 3094 versus a test level of 2643 as of the last
trustee report, dated July 1, 2009. Based on the same report,
defaulted securities total about $35.7 million, accounting for
roughly 7.4% of the collateral balance, and securities rated Caa1
or lower make up approximately 11.8% of the underlying portfolio.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Fraser Sullivan CLO II Ltd., issued in December 7, 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
GSAA HOME: Moody's Downgrades Ratings on 12 Securities
------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 12
securities issued by 6 GSAA Home Equity Trust transactions. The
collateral backing the transactions consists primarily of first-
lien, fixed and adjustable-rate Alt-A mortgage loans.
The downgrades relate to structural features, such as sequential
pay structures, whereby certain senior bonds are entitled to
receive more than their pro-rata share of principal payments. In
the event that subordinate bonds are written down entirely, these
bonds are subject to structural features that redirect principal
payments to be paid pro rata to all senior bonds, and/or direct
losses to be allocated pro rata to each of the outstanding senior
bonds. In either of those cases, given the recent increase in the
pace of credit support erosion relative to amortization of the
bonds, there is an increased likelihood that the downgraded bonds
may not be completely paid off before subordinate bonds are
completely written down.
In its analysis, Moody's has considered current available credit
enhancement and recent CPR, CDR, and severity trends. The
cashflows were run on the basis of pool loss expectations in line
with those published in Q1 2009, although Moody's incorporated
short-term cashflow stresses to assess the resiliency of the bonds
impacted in the actions.
It should be noted that, in general, Alt-A and Option ARM
delinquency trends in the past six months have closely tracked
Moody's Q1 projections. If the pace of modifications picks up,
delinquencies may be lower than Moody's projections. Severity
trends, however, have worsened, with current severities trending
higher than Moody's lifetime average severity assumptions by 5-9
percentage points in many pools. Given that recent data on the
housing markets has been mixed and there are early indications of
home prices potentially bottoming, it is unclear whether the
recent higher severities represent peak severities, and to what
extent they might alter the average lifetime expected severity.
Complete Rating Actions are:
GSAA Home Equity Trust 2006-10
-- Cl. AV-1, Downgraded to Baa1; previously on 2/19/2009
Downgraded to Aa1
-- Cl. AF-2, Downgraded to Caa1; previously on 2/19/2009
Downgraded to Baa1
-- Cl. AF-3, Downgraded to Caa1; previously on 2/19/2009
Downgraded to B3
GSAA Home Equity Trust 2006-13
-- Cl. AV-1, Downgraded to A3; previously on 2/19/2009
Downgraded to Aa1
-- Cl. AF-2, Downgraded to Caa1; previously on 2/19/2009
Downgraded to Baa2
GSAA Home Equity Trust 2006-15, Asset-Backed Certificates, Series
2006-15
-- Cl. AV-1, Downgraded to Baa3; previously on 2/19/2009
Downgraded to Aa2
-- Cl. AF-2, Downgraded to Caa1; previously on 2/19/2009
Downgraded to A3
GSAA Home Equity Trust 2006-3
-- Cl. A-1, Downgraded to B2; previously on 2/19/2009 Downgraded
to Baa2
GSAA Home Equity Trust 2006-5
-- Cl. 2A1, Downgraded to B3; previously on 2/19/2009 Downgraded
to Baa3
GSAA Home Equity Trust 2006-6
-- Cl. AF-2, Downgraded to Ba3; previously on 2/19/2009
Downgraded to Aa2
-- Cl. AF-3, Downgraded to Caa1; previously on 2/19/2009
Downgraded to B2
-- Cl. AF-7, Downgraded to C; previously on 2/19/2009 Downgraded
to Caa1
GSR MORTGAGE: S&P Corrects Rating on Class 2B5 Cert. to 'CC'
------------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on the
class 2B5 certificate issued by GSR Mortgage Loan Trust 2005-AR4
by lowering it to 'CC' from 'B'.
On July 1, 2009, as a result of an administrative error, S&P
affirmed the 'B' rating on the 2B5 class and removed it from
CreditWatch negative as part of a larger U.S. prime jumbo
residential mortgage-backed securities review. However, the
projected credit support for this class was insufficient to
maintain a 'B' rating, given its current projected losses for this
transaction, so S&P lowered it to 'CC'.
Rating Corrected
GSR Mortgage Loan Trust 2005-AR4
Rating
------
Class Current July 1 Pre-July 1
----- ------- ------ ----------
2B5 CC B B/Watch Neg
HEDGED MUTUAL: Moody's Takes Rating Actions on 12 Series of Notes
-----------------------------------------------------------------
Moody's Investors Service has taken rating actions on twelve
series of notes issued by various Hedged Mutual Fund Fee Trusts.
These transactions represent securitizations of 12(b)1 fees and
contingent deferred sales charges generated by specified pools of
mutual fund shares commonly known as "B" shares. Citibank, N.A.,
the sponsor, has been a major financier of such fees.
The rating actions are based on a review of cash flow modeling
results which indicate increased potential for default frrequency
and severity. The sharp declines in market values of most stocks
and bonds in major financial markets worldwide in latter 2008
caused declines in the cash flows expected to be received from the
mutual fund shares underlying these transactions. Since changes
in the current value of a fund alter the future stream of 12b1
fees, which are the primary source of cash flow in these
transactions, the declines in market values have lowered the fees
expected to be generated by those funds. Market improvements in
2009 have not to date reversed the weakness. These deals also
benefit to varying degrees from hedges in the form of put options
on selected equity indices. The hedges in the transactions, to
the extent not expired, have not and are not expected to provide
sufficient offset to market volatility to maintain the prior
ratings. Notes whose ratings are being confirmed in some cases
represent older deals not previously downgraded which benefited
from the strong market performance prior to latter 2008 or newer
deals that had previously been downgraded. The lone transaction
being upgraded is also an older deal which benefited from the
prior strong market performance. Finally, the two transactions
downgraded most severely, Series 2005-2 and Series 2007-1, are
transactions whose collateral included subordinated interests in
other mutual fund fee trusts. These subordinated assets were more
at risk for market volatility.
All but one of the transactions with rating actions listed below
are wrapped by a financial guarantor. The current ratings on the
securities are consistent with Moody's practice of rating insured
securities at the higher of (1) the guarantor's insurance
financial strength rating and (2) the underlying rating, based on
Moody's modified approach to rating structured finance securities
wrapped by financial guarantors.
As part of evaluating the current rating for the security, Moody's
Investors Service also reviewed the underlying rating. The
underlying rating reflects the intrinsic credit quality of the
security in the absence of the guarantee.
Complete rating actions are:
Issuer: Hedged Mutual Fund Fee Trust 2004-1
-- Ser. 2004-1, Confirmed at Aa2; previously on Dec 30, 2008 Aa2
Placed Under Review for Possible Downgrade
Issuer: Hedged Mutual Fund Fee Trust 2004-2
-- Ser. 2004-2, Confirmed at Aa2; previously on Dec 30, 2008 Aa2
Placed Under Review for Possible Downgrade
-- Underlying Rating: Confirmed at Aa2; previously on Dec 30,
2008 Aa2 Placed Under Review for Possible Downgrade
Issuer: Hedged Mutual Fund Fee Trust 2004-3
-- Ser. 2004-3, Upgraded to Aa2; previously on Dec 30, 2008 Aa3
Placed Under Review for Possible Downgrade
-- Underlying Rating: Upgraded to Aa2; previously on Dec 30,
2008 Aa3 Placed Under Review for Possible Downgrade
Issuer: Hedged Mutual Fund Fee Trust 2004-4
-- Ser. 2004-4, Confirmed at Aa3; previously on Dec 30, 2008 Aa3
Placed Under Review for Possible Downgrade
-- Underlying Rating: Confirmed at Aa3; previously on Dec 30,
2008 Aa3 Placed Under Review for Possible Downgrade
Issuer: Hedged Mutual Fund Fee Trust 2005-1
-- Ser. 2005-1, Downgraded to Baa1; previously on Dec 30, 2008
Downgraded to A3 and Placed Under Review for Possible
Downgrade
-- Underlying Rating: Downgraded to Baa1; previously on Dec 30,
2008 Downgraded to A3 and Placed Under Review for Possible
Downgrade
Issuer: Hedged Mutual Fund Fee Trust 2005-2
-- Ser. 2005-2, Downgraded to Caa2; previously on Dec 30, 2008
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade
-- Underlying Rating: Downgraded to Caa2; previously on Dec 30,
2008 Downgraded to Baa3 and Placed Under Review for Possible
Downgrade
Issuer: Hedged Mutual Fund Fee Trust 2005-3
-- Series 2005-3, Downgraded to Ba2; previously on Dec 30, 2008
Downgraded to Baa1 and Placed Under Review for Possible
Downgrade
-- Underlying Rating: Downgraded to Ba2; previously on Dec 30,
2008 Downgraded to Baa1 and Placed Under Review for Possible
Downgrade
Issuer: Hedged Mutual Fund Fee Trust 2006-1
-- Ser. 2006-1, Downgraded to Ba1; previously on Dec 30, 2008
Downgraded to A3 and Placed Under Review for Possible
Downgrade
-- Underlying Rating: Downgraded to Ba1; previously on Dec 30,
2008 Downgraded to A3 and Placed Under Review for Possible
Downgrade
Issuer: Hedged Mutual Fund Fee Trust 2006-2
-- Ser. 2006-2, Downgraded to Baa3; previously on Dec 30, 2008
Downgraded to A3 and Placed Under Review for Possible
Downgrade
-- Underlying Rating: Downgraded to Baa3; previously on Dec 30,
2008 Downgraded to A3 and Placed Under Review for Possible
Downgrade
Issuer: Hedged Mutual Fund Fee Trust 2006-3
-- Ser. 2006-3, Confirmed at A2; previously on Dec 30, 2008
Downgraded to A2 and Placed Under Review for Possible
Downgrade
-- Underlying Rating: Confirmed at A2; previously on Dec 30,
2008 Downgraded to A2 and Placed Under Review for Possible
Downgrade
Issuer: Hedged Mutual Fund Fee Trust 2006-4
-- Ser. 2006-4, Confirmed at A3; previously on Dec 30, 2008
Downgraded to A3 and Placed Under Review for Possible
Downgrade
-- Underlying Rating: Confirmed at A3; previously on Dec 30,
2008 Downgraded to A3 and Placed Under Review for Possible
Downgrade
Issuer: Hedged Mutual Fund Fee Trust 2007-1
-- Ser. 2007-1, Downgraded to B1; previously on Dec 30, 2008
Downgraded to Baa1 and Placed Under Review for Possible
Downgrade
-- Underlying Rating: Downgraded to B1; previously on Dec 30,
2008 Downgraded to Baa1 and Placed Under Review for Possible
Downgrade
JP MORGAN: Fitch Takes Rating Actions on 2006-CIBC17 Certificates
-----------------------------------------------------------------
Fitch Ratings has downgraded, removed from Rating Watch Negative,
and assigned Rating Outlooks to 13 classes of commercial mortgage
pass-through certificates from J.P. Morgan Chase Commercial
Mortgage Securities Corp., series 2006-CIBC17. A detailed list of
rating actions follows at the end of this release.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch forecasts potential losses of
6.8% for this transaction, should market conditions not recover.
The rating actions are based on losses of 5.2%, including 100% of
the losses associated with term defaults and any losses associated
with maturities within the next five years. Given the significant
term to maturity, Fitch's actions only account for 25% of the
losses associated with maturities beyond five years. The bonds
with Negative Outlooks indicate classes that may be downgraded in
the future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for certain
loans representing 69.1% of the pool and, in some cases, revised
based on additional information and/or property characteristics.
Of the recognized losses, approximately 70% are derived from loans
which Fitch examined in detail.
Approximately 5.6% of the mortgages mature within the next five
years: 3.6% in 2011 and 2% in 2013. In 2016, 92.9% of the pool is
scheduled to mature.
Fitch identified 26 Loans of Concern (17.5%) within the pool,
three of which (1.6%) are specially serviced. Of the specially
serviced loans, none are current. None of the specially serviced
loans are within the transaction's top 15 loans (53.5%) by unpaid
principal balance.
Two of the Loans of Concern (12.4%) within the top 15 loans is
expected to default during the term, with loss severities of
approximately 18%. The largest contributors to loss are: Bank of
America Plaza (10.5%), The Towers (1.9%) and The Bonnie Lane and
Northlake Portfolio (0.6%).
The Bank of America Plaza loan is collateralized by a 1.25 million
square foot office property located in downtown Atlanta, GA.
Major tenants include Bank of America (30% of net rentable area)
and Troutman Sanders (23% NRA). The third largest tenant Ernest
and Young (16.7% NRA) vacated the property in April 2007. Some of
the space has been re-leased but the majority of it remains
vacant. Tenants occupying 15% of the NRA have leases which expire
in 2009 and 42% of the NRA, including the largest tenant, expires
in 2012. The sponsors are GFW Trust, GFW Trust II and Bentley
Forbes Holdings, LLC. Fitch expects the loan to default prior to
maturity in 2016.
The Towers loan is collateralized by a 160,000 sf office tower
located in Great Neck, NY. Major tenants include Garfunkel Wild &
Travis (16% NRA), Sterling Equities (14% NRA) and Servisair (11%
NRA). Twenty six percent of the NRA have leases which expire in
2010, 15% in 2012 and 11% in 2013. Revenues and occupancy have
generally been in-line with the issuer's underwriting; however,
2008 expenses were approximately 17% in excess of underwritten.
The Bonnie Lane and Northlake Portfolio is collateralized by 13
single-story office buildings comprising 89,000 sf in Cordova, TN
and a 78,000 sf office and retail center in Tucker, GA. The loan
transferred to special servicing in October 2008 due to imminent
default. The loan is now 90-days delinquent and the special
servicer is pursuing foreclosure. The servicer reported June 30,
2008 occupancy, the most recent available, was 82%. Fitch loss
estimates are based on recent appraised values.
Fitch has downgraded, removed from Rating Watch Negative, and
assigned Rating Outlooks and Loss Severity (LS) ratings to these
classes:
-- $202.9 million class A-J to 'A/LS3' from 'AAA'; assigns ;
Outlook Negative;
-- $44.4 million class B to 'BBB/LS5' from 'AA'; ; Outlook
Negative;
-- $19 million class C to 'BBB-/LS5' from 'AA-'; ; Outlook
Negative;
-- $34.9 million class D to 'BB/LS5' from 'A'; ; Outlook
Negative;
-- $31.7 million class E to 'BB/LS5' from 'A-';; Outlook
Negative;
-- $34.9 million class F to 'B/LS5' from 'BBB+'; Outlook
Negative;
-- $31.7 million class G to 'B-/LS5' from 'BBB';; Outlook
Negative;
-- $31.7 million class H to 'B-/LS5' from 'BBB-';; Outlook
Negative;
-- $9.5 million class J to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $9.5 million class K to 'B-/LS5' from 'BB'; Outlook Negative;
-- $9.5 million class L to 'B-/LS5' from 'BB-'; ; Outlook
Negative;
-- $3.2 million class M to 'B-/LS5' from 'B+'; ; Outlook
Negative;
-- $6.3 million class N to 'B-/LS5' from 'B'; Outlook Negative;
Fitch has affirmed, removed from Rating Watch Negative and
assigned a Rating Outlook and LS rating to this class:
-- $6.3 million class P at 'B-/LS5'; Outlook Negative.
Fitch has also affirmed the ratings and Rating Outlooks and
assigned LS ratings for these classes:
-- $49.3 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $105.8 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $1.2 billion class A-4 at 'AAA/LS1'; Outlook Stable;
-- $89.1 million class A-SB 'AAA/LS1'; Outlook Stable;
-- $285.8 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $253.7 million class A-M at 'AAA/LS1'; Outlook Stable;
-- Interest-only class X at 'AAA'; Outlook Stable;
Fitch does not rate the $31.7 million class NR.
JP MORGAN: Fitch Takes Rating Actions on 13 2007-CIBC20 Certs.
--------------------------------------------------------------
Fitch Ratings has taken various rating actions on 13 classes of
J.P. Morgan Chase Commercial Mortgage Securities Corp., commercial
mortgage pass-through certificates, series 2007-CIBC20. In
addition, Fitch has assigned Rating Outlooks, as applicable. A
detailed list of rating actions follows at the end of this press
release.
The downgrades are the result of Fitch's prospective views
regarding commercial real estate market value and cash flow
declines as well as loss expectations on specially serviced loans.
Fitch forecasts potential losses of 7.3% for this transaction,
should market conditions not recover. The rating actions are
based on losses of 5.7% including 100% of the losses associated
with term defaults and any losses associated with maturities
within the next five years. Given the significant term to
maturity, Fitch's actions only account for 25% of the losses
associated with maturities beyond five years. The bonds with
Negative Outlooks indicate classes that may be downgraded in the
future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for loans
representing 69.9% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Approximately 15.1% of the mortgages are scheduled to mature
within the next five years, with 7% maturing in 2012 and 7.1%
maturing in 2014. In 2017, 80.6% of the pool is scheduled to
mature.
Fitch identified 33 Loans of Concern (23.2%) within the pool, 11
of which (3.8%) are specially serviced. None of the specially
serviced loans are within the transaction's top 15 loans, which
comprises 55.3% of the total pool's unpaid principal balance.
Twelve of the top 15 loans (47.9% of the pool) are expected to
default during the term or at maturity, with loss severities
ranging from approximately 1% to 18%. Of the top 15 loans, the
largest contributors (by loan balance) to term losses are: North
Hills Mall (5.6% of the pool balance), Baldwin Park Retail (1.6%)
and the Everbank Building (1.5%).
North Hills Mall is a 585,798 square foot retail property located
in Raleigh, NC. Overall occupancy as of April 2009 was 97.8%,
compared to 97.6% at issuance, with a servicer reported YE 2008
debt service coverage ratio of 1.09 times. Approximately 14.7% of
the leases have expired or are scheduled to expire prior to YE
2010. Major tenants include: Target (not part of the collateral);
JCPenney; Regal Cinemas; and REI.
Baldwin Park Retail is a 182,463 sf retail plaza located in
Orlando, FL. Occupancy as of November 2008 was 84.3%, compared to
87.8% at issuance, with a servicer reported YE 2008 DSCR of 0.94x.
Approximately 23.7% of the leases have expired or are scheduled to
expire prior to YE 2011. Major tenants include Publix and CVS.
The Everbank Building loan is secured by a 206,798 sf office
building located in the central business district of Jacksonville,
FL. Occupancy as of November 2008 was 88.8% compared to 86.1% at
issuance. The servicer reported YE 2008 DSCR was 1.04x.
The largest specially serviced asset (0.9%) with losses expected
is a retail center located in Bluffton, SC, anchored by a cinema.
The asset transferred to special servicing in October 2008 for
payment default. A receiver is in place at the property as of May
2009.
Fitch has downgraded, removed from Rating Watch Negative, and
assigned Loss Severity Ratings and Rating Outlooks to these
classes:
-- $152.6 million class A-J to 'AA/LS4' from 'AAA'; Outlook
Negative;
-- $31.8 million class B to 'A/LS5' from 'AA+'; Outlook
Negative;
-- $25.4 million class C to 'A/LS5' from 'AA'; Outlook Negative;
-- $28.6 million class D to 'BBB/LS5' from 'AA-'; Outlook
Negative;
-- $22.3 million class E to 'BBB-/LS5' from 'A+'; Outlook
Negative;
-- $22.3 million class F to 'BB/LS5' from 'A'; Outlook Negative;
-- $25.4 million class G to 'BB/LS5' from 'A-'; Outlook
Negative;
-- $35 million class H to 'B/LS5' from 'BBB+'; Outlook Negative;
-- $31.8 million class J to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $28.6 million class K to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $31.8 million class L to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $9.5 million class M to 'B-/LS5' from 'BB'; Outlook Negative;
-- $6.4 million class N to 'B-/LS5' from 'BB-'; Outlook
Negative.
Additionally, Fitch affirms these classes and assigns LS Ratings
and Rating Outlooks:
-- $20.2 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $105.1 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $208.6 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $991.7 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $84.4 million class A-SB at 'AAA/LS1'; Outlook Stable;
-- $360.8 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $219.3 million class A-M at 'AAA/LS3'; Outlook Stable;
-- $35 million class A-MFL at 'AAA/LS3'; Outlook Stable.
These two classes were affirmed:
-- Interest-only class X-1 at 'AAA'; Outlook Stable;
-- Interest-only class X-2 at 'AAA'; Outlook Stable.
Fitch does not rate:
-- $19.1 million class P;
-- $3.2 million class Q;
-- $9.5 million class T;
-- $25.4 class NR.
JP MORGAN: Fitch Takes Rating Actions on 17 2008-C2 Securities
--------------------------------------------------------------
Fitch Ratings has taken various actions on 17 classes of J.P.
Morgan Chase Commercial Mortgage Securities Trust 2008-C2. In
addition, Fitch has assigned Rating Outlooks as applicable. A
detailed list of rating actions follows at the end of this press
release.
The downgrades are the result of loss expectations on loans in
special servicing, as well as Fitch's prospective views regarding
commercial real estate market value and cash flow declines. Fitch
forecasts potential losses of 14.6% for this transaction should
market conditions not recover. The rating actions are based on
losses of 14.1%, including 100% of the losses associated with term
defaults and any losses associated with maturities within the next
five years. Given the significant term to maturity, Fitch's
actions only account for 25% of the losses associated with
maturities beyond five years. The bonds with Negative Outlooks
indicate classes that may be downgraded in the future should full
potential losses be realized. Fitch considers the Outlooks on the
super-senior classes to be Stable due to projected losses having
limited impact on credit enhancement when associated pay down is
factored into the analysis.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for loans
representing 71% of the pool and, in certain cases, revised based
on additional information and/or property characteristics.
Approximately 97% of the assumed losses were on loans reviewed in
detail by Fitch.
Approximately 16.4% of the mortgages mature within the next five
years: 4.8% in 2012, 2.2% in 2013, and 9.5% in 2014. In 2017 and
2018, 83% of the pool is scheduled to mature.
Fitch identified 20 Loans of Concern (37.1%) within the pool, four
of which (22.3%) are delinquent and in special servicing. Six of
the Fitch Loans of Concern (29.7%) are within the transaction's
top 15 loans (63.7%) by unpaid principal balance.
Losses are expected on eight of the loans within the top 15
(43.7%): four (24.1%) of these loans are expected to default the
term, while losses on the remaining four loans (19.6%) are
expected at maturity. Loss severities associated with these loans
range from 5% to 60%.
The largest contributors to loss by loan balance are: The
Promenade Shops at Dos Lagos (10.8%), The Westin Portfolio (9%),
and The Regency Portfolio (2.2%), all of which are specially
serviced. Appraisal reductions and associated monthly appraisal
subordination entitlement reductions (ASER) are present for The
Promenade Shops at Dos Lagos and The Westin Portfolio. The
cumulative ASERs for these two properties are $1.4 million and
$604,354, respectively.
The Promenade Shops at Dos Lagos is comprised of a 345,847 square
foot lifestyle/entertainment retail center built in 2006/2007.
The loan transferred to special servicing in October 2008 for
monetary default after the borrower indicated the property was
significantly impacted by the downturn in the economy and slower
than anticipated growth of the neighborhood residential real
estate market. Many tenants at the center have been struggling
since origination and have asked for rent reductions. It is also
noted that these tenants have kickout provisions in their leases
that could be triggered in the next year. As of July 2009, the
average sales per square foot at the center were 36% below the
pre-construction projection. Although the sponsor, Poag & McEwen,
is focusing on lease re-negotiations, tenant retention, and
improving sales volume, the special servicer continues to move
forward with foreclosure.
The Westin Portfolio consists of the 487-room Westin La Polama in
Tucson, AZ, with a 27-hole Jack Nicklaus golf course and spa, and
the 412-room oceanfront Westin Hilton Head, in Hilton Head, SC.
The loan transferred to special servicing in October 2008 for
monetary default. The properties have been significantly affected
by the weakening hotel sector and continue to experience
performance declines while both business and leisure travel remain
low. The servicer continues to negotiate with the borrower, and
updated appraisals have been received. The current appraisals
indicate value is not sufficient to support the outstanding debt
amount.
The Regency Portfolio transferred to special servicing in March
2009 for imminent default after the borrower indicated it would be
unable to make any future debt service payments due to a
substantial increase in vacancies and declining rental values.
The loan is secured by 20 properties -- 11 retail, four
industrial, three flex, one medical office and one multi-family --
primarily located in Iowa. Management of the property has been
transferred to a third-party entity and a receiver has been
appointed. The special servicer continues to negotiate with the
borrower.
Fitch has downgraded, removed from Rating Watch Negative, and
assigned Outlooks and Loss Severity (LS) ratings to these classes:
-- $116.5 million class AM to 'BBB-/LS4' from 'AAA'; Outlook
Negative;
-- $61.2 million class AJ to 'B/LS5' from 'AAA'; Outlook
Negative;
-- $14.6 million class B to 'B-/LS5' from 'AA+'; Outlook
Negative;
-- $14.6 million class C to 'B-/LS5' from 'AA'; Outlook
Negative;
-- $10.2 million class D to 'CCC/RR6' from 'AA-';
-- $10.2 million class E to 'CC/RR6' from 'A+';
-- $13.1 million class F to 'CC/RR6' from 'A';
-- $11.7 million class G to 'CC/RR6' from 'A-';
-- $16 million class H to 'CC/RR6' from 'BBB+';
-- $14.6 million class J to 'CC/RR6' from 'BBB';
-- $14.6 million class K to 'CC/RR6' from 'BBB-';
-- $8.7 million class L to 'CC/RR6' from 'BB+';
-- $4.4 million class M to 'CC/RR6' from 'BB';
-- $5.8 million class N to 'CC/RR6' from 'BB-';
-- $4.4 million class P to 'CC/RR6' from 'B+';
-- $2.9 million class Q to 'CC/RR6' from 'B';
-- $4.4 million class T to 'CC/RR6' from 'B-'.
Fitch has also affirmed these classes and Outlooks:
-- $19.8 million class A-1 at 'AAA/LS2'; Outlook Stable;
-- $68.1 million class A-2 at 'AAA/LS2'; Outlook Stable;
-- $105.5 million class A-3 at 'AAA/LS2'; Outlook Stable;
-- $54.5 million class A-SB at 'AAA/LS2'; Outlook Stable;
-- $354.6 billion class A-4 at 'AAA/LS2'; Outlook Stable;
-- $145 million class A-FL at 'AAA/LS2'; Outlook Stable;
-- $64.7 million class A-1A at 'AAA/LS2'; Outlook Stable;
-- Interest-only class X1 at 'AAA'; Outlook Stable;
JP MORGAN: Moody's Confirms Ratings on Five 2005-R1 Certs.
----------------------------------------------------------
Moody's Investors Service has confirmed the ratings on five
certificates issued in J.P. Morgan MBS, Series 2005-R1
resecuritized transaction. The certificates in the
resecuritization are backed by one or more securities, which in
turn are backed by residential mortgage loans. These rating
actions have been triggered by changes in performance and/or
Moody's ratings on the underlying residential mortgage-backed
securities (underlying securities). The ratings on the
certificates in the resecuritization are based on:
(i) The updated expected loss of the pool of loans backing the
underlying securities portfolio and the updated ratings on
the underlying securities portfolio
(ii) The available credit enhancement on the underlying
securities, and
(iii) The structure of the resecuritization transaction.
(1) Moody's first updated its loss assumptions on the underlying
pool of mortgage loans (backing the underlying securities) and
then arrived at updated ratings on the underlying securities.
Certain resecuritizations may contain underlying securities that
were not originally rated by Moody's. In this case, an expected
loss was derived by comparing the non-rated deal to a Moody's-
rated deal with similar current collateral and performance
characteristics. An implicit rating was then determined by
comparing current available credit enhancement for the non rated
tranche to the estimated expected loss for the deal.
The ratings on the underlying securities are then used to derive a
weighted average portfolio rating based on a weighted average
rating factor (WARF). To determine the portfolio WARF, Moody's
assigns the ratings on the underlying securities a Rating Factor
based on Moody's published 10-yr idealized loss expectations.
Weights are assigned to each Rating Factor based on the
contribution (by outstanding pledged balance) of the underlying
security to the resecuritized transaction.
(2) Second, Moody's determines the weighted average credit
enhancement available to the portfolio security by evaluating
the loss coverage level consistent with the ratings on the
underlying securities and the underlying mortgage pool losses
and weighting them based on the outstanding pledged balance of
the underlying securities.
(3) Finally, the ratings on the bonds issued in the
resecuritization are determined after taking into
consideration additional structural aspects of the
resecuritization. For transactions where only a single
tranche is issued, the weighted average portfolio rating (as
determined in step 1 above) is the rating assigned to the
tranche. Where multiple securities are issued, the loss
allocation and cash flow priority are taken into
consideration. For instance where the certificates in the
resecuritization are tranched into a super senior tranche and
a support tranche, the support tranche is notched down to
reflect a higher severity of loss to that tranche. The rating
on the super senior tranche is determined based on the total
credit enhancement available i.e. the credit enhancement
assessed in step (2) and the additional enhancement from the
support tranche.
The probability of default for the junior-most certificate in the
resecuritization is the same as the probability of default for the
lowest rated underlying certificate. However, Moody's anticipates
a higher loss severity on the junior-most class due to its
subordinate position (both in terms of principal distribution and
loss allocation) and smaller size (when compared to underlying
certificate). Therefore, the ratings on junior certificates in
the resecuritization are lower than the portfolio rating on the
combined underlying bonds.
Because the ratings on the certificates in the resecuritization
are linked to the ratings on the underlying certificates and their
mortgage pool performance, any rating action on the underlying
certificates may trigger a further review of the ratings on the
certificates in the resecuritization. The ratings on the
certificates in the resecuritization address the ultimate payment
of promised interest and principal and do not address any other
amounts that may be payable on the certificates.
For securities insured by a financial guarantor, the rating on the
securities is equal to the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described above.
Complete Rating Actions are:
Issuer: J.P. Morgan MBS, Series 2005-R1
-- Cl. B-1, Confirmed at Baa2; previously on Nov 14, 2008 Baa2
Placed Under Review for Possible Downgrade
-- Cl. B-2, Confirmed at Ba1; previously on Nov 14, 2008 Ba1
Placed Under Review for Possible Downgrade
-- Cl. B-3, Confirmed at Ba2; previously on Nov 14, 2008 Ba2
Placed Under Review for Possible Downgrade
-- Cl. B-4, Confirmed at Ba3; previously on Nov 14, 2008 Ba3
Placed Under Review for Possible Downgrade
-- Cl. B-5, Confirmed at B3; previously on Nov 14, 2008 B3
Placed Under Review for Possible Downgrade
JUPITER HIGH-GRADE: Moody's Does Not Take Rating Action on 5 Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has not withdrawn,
reduced or taken any other adverse action with respect to its
current ratings on these notes issued by Jupiter High-Grade CDO
Ltd. as the "Issuer" as a result of the entry into and execution
of a novation agreement among Issuer, AIG Financial Products Corp.
as the "Transferor" and Barclays Bank PLCas the "Transferee" on
August 7, 2009 as the "Novation Transaction", evidencing
Transferor's wish to transfer by novation its rights and
responsibilities under five swap transactions to Transferee:
-- US$489,950,000 Class A-1A First Priority Senior Floating Rate
Notes Due 2041, Currently Rated Ba2; previously on 2/10/09
Downgraded to Ba2
-- US$113,800,000 Class A-1B First Priority Senior Floating Rate
Notes Due 2041, Currently Rated Ba2; previously on 2/10/09
Downgraded to Ba2
-- US$82,500,000 Class A-2 Second Priority Senior Floating Rate
Notes Due 2041, Currently Rated Caa3; previously on 2/10/09
Downgraded to Caa3
-- US$41,250,000 Class B Third Priority Floating Rate Notes Due
2041, Currently Rated C; previously on 2/10/09 Downgraded to
C
-- US$14,250,000 Class C Fourth Priority Mezzanine Floating Rate
Notes Due 2041, Currently Rated C; previously on 2/10/09
Downgraded to C
Moody's analysis relied on review of the related swap and novation
documentation as well as an examination of the cash flows in the
transaction.
Many CDO documents (to which Moody's is never a party) specify
that, in order to amend the documents, the issuer must obtain an
opinion from the rating agencies that the proposed amendment would
not in and of itself result in the related ratings being
downgraded or withdrawn at the time of the amendment. This type
of provision is typically referred to in the CDO indenture as a
"rating agency confirmation" or "RAC". Moody's is never obligated
to provide a RAC, and the decision whether or not to issue a RAC
lies entirely within Moody's sole discretion.
Before providing a RAC for an amendment, the proposal will be
reviewed by a Moody's credit committee which will consider, among
other things, the performance of the specific CDO and collateral
manager and the specifics of the proposed amendment and the
particular structure of the CDO. A RAC is purely an opinion, as
of the point in time at which the RAC is provided, that the
proposed amendment in isolation does not introduce sufficient
additional credit risk so as to negatively impact the related
ratings. In other words, it does not consider the impact of other
factors on the ratings, such as collateral deterioration. Also,
the RAC does not address any other, non-credit related impact that
the amendment might have. Moody's further emphasizes that a RAC
is not a substitute for noteholder consent or for independent
analyses by noteholders of the impact on them of any proposed
amendment.
JUPITER HIGH-GRADE: Moody's Does Not Take Rating Action on 8 Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has not withdrawn,
reduced or taken any other adverse action with respect to its
current ratings on these notes issued by Jupiter High-Grade
Funding III, Ltd., as the "Issuer" as a result of the entry into
and execution of a novation agreement among Issuer, AIG Financial
Products Corp. as the "Transferor" and Barclays Bank PLCas the
"Transferee" on August 6, 2009as the "Novation Transaction",
evidencing Transferor's wish to transfer by novation its rights
and responsibilities under two swap transactions to Transferee:
-- US$250,000 Class A-1VA First Priority Senior Secured Voting
Floating Rate Notes Due 2042, Currently Rated Caa2;
previously on 2/10/09 Downgraded to Caa2
-- US$400,000,000 Class A-1VB First Priority Senior Secured
Voting Floating Rate Delayed Draw Notes Due 2042, Currently
Rated Caa2; previously on 2/10/09 Downgraded to Caa2
-- US$1,299,750,000 Class A-1NV First Priority Senior Secured
Non-Voting Floating Rate Notes Due 2042, Currently Rated
Caa2; previously on 2/10/09 Downgraded to Caa2
-- US$80,000,000 Class A-2A Second Priority Senior Secured
Floating Rate Notes Due 2042, Currently Rated C; previously
on 2/10/09 Downgraded to C
-- US$70,000,000 Class A-2B Second Priority Senior Secured
Floating Rate Notes Due 2042, Currently Rated C; previously
on 2/10/09 Downgraded to C
-- US$90,000,000 Class B Third Priority Senior Secured Floating
Rate Notes Due 2042, Currently Rated C; previously on 2/10/09
Downgraded to C
-- US$43,000,000 Class C Fourth Priority Mezzanine Deferrable
Secured Floating Rate Notes Due 2042, Currently Rated C;
previously on 2/10/09 Downgraded to C
-- 27,000 Preferred Shares (having an Aggregate Liquidation
Preference of US$27,000,000) Due 2042, Currently Rated C;
previously on 2/10/09 Rated C
Moody's analysis relied on review of the related swap and novation
documentation as well as an examination of the cash flows in the
transaction.
Many CDO documents (to which Moody's is never a party) specify
that, in order to amend the documents, the issuer must obtain an
opinion from the rating agencies that the proposed amendment would
not in and of itself result in the related ratings being
downgraded or withdrawn at the time of the amendment. This type
of provision is typically referred to in the CDO indenture as a
"rating agency confirmation" or "RAC". Moody's is never obligated
to provide a RAC, and the decision whether or not to issue a RAC
lies entirely within Moody's sole discretion.
Before providing a RAC for an amendment, the proposal will be
reviewed by a Moody's credit committee which will consider, among
other things, the performance of the specific CDO and collateral
manager and the specifics of the proposed amendment and the
particular structure of the CDO. A RAC is purely an opinion, as
of the point in time at which the RAC is provided, that the
proposed amendment in isolation does not introduce sufficient
additional credit risk so as to negatively impact the related
ratings. In other words, it does not consider the impact of other
factors on the ratings, such as collateral deterioration. Also,
the RAC does not address any other, non-credit related impact that
the amendment might have. Moody's further emphasizes that a RAC
is not a substitute for noteholder consent or for independent
analyses by noteholders of the impact on them of any proposed
amendment.
KIMBERLITE CDO: Moody's Reviews Ratings on All Classes of Notes
---------------------------------------------------------------
Moody's Investors Service placed all rated classes of Notes issued
by Kimberlite CDO I, Ltd., on review for possible downgrade due to
deterioration in the credit quality of the underlying portfolio
and the potential for an Event of Default triggered by further
decreases to Par Value Coverage Amount resulting from additional
rating downgrades of the underlying collateral.
Kimberlite CDO I, Ltd. is a collateralized debt obligation backed
by a portfolio of cash collateral and reference obligations in
commercial mortgage backed securities and commercial real estate
collateralized debt obligations. CMBS collateral and reference
obligations comprise approximately 92% of the portfolio; all are
from securitizations completed between 2004 and 2006. The CRE CDO
collateral and reference obligations constitute approximately 8%
of the portfolio.
Several key indicators of declining credit quality of the
portfolio have become evident since Moody's last review of the
transaction. The Trustee reports a weighted average rating factor
of 1,604 as of July 27, 2009 in contrast to a reported WARF of
1,383 as of February 20, 2009. All collateral and reference
obligations are now rated at Baa3 or lower, which is resulting in
a significant haircut amount in Par Value which is factored into
the calculation of the Par Value Coverage Amount tests. The
Trustee reports that the transaction is currently failing its
Class A/B Coverage Test.
As commercial real estate loan performance continues
deteriorating, the risk of an EOD triggered by further haircuts to
Par Value from additional rating downgrades is increasing. As
provided for in Section 5.1 of the Indenture, during the
occurrence and continuance of an Event of Default, certain parties
to the transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral Debt Securities
and the Notes, including liquidation. Moody's notes that the
transaction is exposed to a significant concentration of CMBS
assets, the majority of which have low speculative-grade ratings.
It is also exposed to CRE CDOs with low speculative-grade ratings.
It is also exposed to CRE CDOs with low speculative-grade ratings.
Both types of assets have shown depressed market valuations
recently and thus may herald poor recovery prospects in any sale
and liquidation of the Collateral. If an EOD occurs, the severity
of losses will vary depending on the timing and outcome of a
liquidation of the Collateral, should the Controlling Class direct
the Trustee to dispose of the Collateral.
The actions reflect the increased expected loss associated with
each tranche due to the diminished credit quality on the
underlying portfolio. Moody's rating action is:
-- Class A, $79,375,000, Floating Rate Notes Due 2050, on review
for possible downgrade; previously on 3/9/2009 downgraded to
Ba3 from Baa3
-- Class B, $40,125,000, Floating Rate Notes Due 2050, on review
for possible downgrade; previously on 3/9/2009 downgraded to
B2 from Ba1
-- Class C, $45,750,000, Floating Rate Notes Due 2050, on review
for possible downgrade; previously on 3/9/2009 downgraded to
Caa1 from Ba2
-- Class D, $10,125,000, Floating Rate Notes Due 2050, on review
for possible downgrade; previously on 3/9/2009 downgraded to
Caa2 from Ba3
-- Class E, $9,750,000, Floating Rate Notes Due 2050, on review
for possible downgrade; previously on 3/9/2009 downgraded to
Caa2 from B1
-- Class F, $11,625,000, Floating Rate Notes Due 2050, on review
for possible downgrade; previously on 3/9/2009 downgraded to
Caa2 from B2
-- Class G, $12,000,000, Floating Rate Notes Due 2050, on review
for possible downgrade; previously on 3/9/2009 downgraded to
Caa3 from B3
-- Class H, $22,500,000, Floating Rate Notes Due 2050, on review
for possible downgrade; previously on 3/9/2009 downgraded to
Caa3 from Caa1
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated March 9, 2009.
KKR FINANCIAL: Moody's Downgrades Ratings on 2005-2 Notes
---------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by KKR Financial 2005-2, Ltd.:
-- US$545M Class A-1 Senior Secured Floating Rate Notes, Due
2017 (current balance of $537,929,784), Downgraded to Aa2;
previously on Feb 25, 2009 Downgraded to Aa1;
-- US$150M Class A-2 Senior Secured Delayed Draw Floating Rate
Notes, Due 2017 (current balance of $148,054,069), Downgraded
to Aa2; previously on Feb 25, 2009 Downgraded to Aa1.
In addition, Moody's has upgraded the ratings of these notes:
-- US$30M Class E Deferrable Mezzanine Floating Rate Notes, Due
2017, Upgraded to B2; previously on Feb 25, 2009 Downgraded
to Ca;
-- US$10M Class F Deferrable Mezzanine Floating Rate Notes, Due
2017, Upgraded to Caa1; previously on Feb 25, 2009 Downgraded
to Ca.
Moody's has also withdrawn the rating of this cancelled note:
-- US$64M Class D Deferrable Mezzanine Floating Rate Notes, Due
2017 Notes, Withdrawn; previously on Feb 25, 2009 Downgraded
to B1.
According to Moody's, the rating actions taken on the notes are
primarily a result of the complete cancellation of the Class D
Deferrable Mezzanine Floating Rate Notes in the transaction.
According to the Form 8-K filed by KKR Financial Holdings LLC with
the United States Securities and Exchange Commission as of
July 28, 2009, KKR Financial Holdings LLC surrendered for
cancellation on July 10, 2009, the entire $64 million principal
amount of the Class D notes, without receiving any payment in
exchange. The surrendered notes were cancelled upon receipt by
the trustee, and the related debt was extinguished by the issuer.
Prior to the note cancellation, KKR Financial Holdings LLC had
owned, directly or indirectly, all of the mezzanine notes and
junior subordinated notes issued by KKR CLO Financial CLO 2005-2,
Ltd.
Prior to the cancellation of the Class D notes, the Class E
overcollateralization test had been failing. If this
overcollateralization test failure had continued, on the next
payment date the Class F notes would be deferring interest and
excess interest would be used to delever the Class A-1 and A-2
notes. The complete cancellation of the Class D notes
substantially improves the Class C/D and Class E
overcollateralization ratios. Based on the trustee report dated
July 16, 2009, the Class C/D overcollateralization ratio was
118.79% versus a test level of 108.6%, and the Class E
overcollateralization ratio was 114.53% versus a test level of
106.9%. Both tests are now passing with substantial cushion over
their respective trigger levels. These increases in the
overcollateralization ratios have the effect of permitting the
resumption of interest payments to the mezzanine and junior notes,
while averting required redemptions of the senior notes due to
overcollateralization test failures. On the next payment date,
the Class A-1 and A-2 notes are no longer expected to delever, and
the Class F notes are expected to receive interest payment. The
rating actions considered the impact of this cash flow re-
diversion on the entire capital structure of the deal.
KKR Financial 2005-2, Ltd., issued in November of 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
KKR FINANCIAL: Moody's Upgrades Ratings on Two 2005-1 Notes
-----------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by KKR Financial CLO 2005-1, Ltd.:
-- US$64M Class D Deferrable Mezzanine Floating Rate Notes, Due
2017 (current balance of $52,000,000), Upgraded to Caa2;
previously on Feb 13, 2009 Downgraded to Caa3;
-- US$15M Class E Deferrable Mezzanine Floating Rate Notes, Due
2017, Upgraded to Caa3; previously on Feb 13, 2009 Downgraded
to Ca.
According to Moody's, the rating actions taken on the notes are
primarily a result of the partial cancellation of the Class D
Deferrable Mezzanine Floating Rate Notes in the transaction.
According to the Form 8-K filed by KKR Financial Holdings LLC with
the United States Securities and Exchange Commission as of
July 28, 2009, KKR Financial Holdings LLC surrendered for
cancellation on July 10, 2009, $12 million of the principal amount
of the Class D notes, without receiving any payment in exchange.
The surrendered notes were cancelled upon receipt by the trustee,
and the related debt was extinguished by the issuer. Prior to the
note cancellation, KKR Financial Holdings LLC had owned, directly
or indirectly, all of the mezzanine notes and junior subordinated
notes issued by KKR Financial CLO 2005-1, Ltd.
Prior to the partial cancellation of the Class D notes, the Class
E overcollateralization ratio had been failing. If this
overcollateralization test failure had continued, on the next
payment date the Class F notes would be deferring interest and
excess interest would be used to delever the Class A-1 notes. The
partial cancellation of the Class D notes improves the Class C/D
and Class E overcollateralization ratios. Based on the trustee
report dated July 16, 2009, the Class C/D overcollateralization
ratio was 109.53% versus a test level of 106%, and the Class E
overcollateralization ratio was 107.72% versus a test level of
106.2%. Both tests are now passing with cushion over their
respective trigger levels. These increases in the
overcollateralization ratios have the effect of permitting
interest payments to the mezzanine and junior notes, while
averting required redemptions of the senior notes due to
overcollateralization test failures. On the next payment date,
the Class A-1 and A-2 notes are no longer expected to delever and
the Class F notes are expected to continue to receive interest
payment. The rating actions considered the impact of this cash
flow re-diversion on the entire capital structure of the deal.
Moody's determined that although the senior notes were negatively
impacted, the overall effect on their ratings was not material.
KKR Financial CLO 2005-1, Ltd., issued in March 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
KKR FINANCIAL: Moody's Upgrades Ratings on Various 2006-1 Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by KKR Financial CLO 2006-1, Ltd.:
-- US$87,000,000 Class C Deferrable Mezzanine Secured Floating
Rate Notes Due 2018 (current balance of $75,504,403),
Upgraded to Ba1; previously on Feb 13, 2009 Downgraded to
Ba2;
-- US$48,000,000 Class E Deferrable Mezzanine Secured Floating
Rate Notes Due 2018 (current balance of $31,586,150),
Upgraded to Ba3; previously on Feb 13, 2009 Downgraded to Ca.
Moody's has also withdrawn the ratings of these cancelled notes:
-- US$67,000,000 Class D Deferrable Mezzanine Secured Floating
Rate Notes Due 2018, Withdrawn; previously on Feb 13, 2009
Downgraded to Caa1;
-- US$18,000,000 Class F Deferrable Mezzanine Secured Floating
Rate Notes Due 2018, Withdrawn; previously on Feb 13, 2009
Downgraded to Ca.
According to Moody's, the rating actions taken on the notes are
primarily a result of the partial cancellation of the Class C and
Class E Deferrable Mezzanine Floating Rate Notes, and the complete
cancellation of the Class D, Class F, Class G and Class H
Deferrable Mezzanine Secured Floating Rate Notes in the
transaction. According to the Form 8-K filed by KKR Financial
Holdings LLC with the United States Securities and Exchange
Commission as of July 28, 2009, KKR Financial Holdings LLC
surrendered for cancellation on July 10, 2009 $12,688,524 of the
principal amount of the Class C notes, the entire $68,261,804
principal amount of the Class D notes, $18,951,690 of the
principal amount of the Class E notes, the entire $19,344,279
principal amount of the Class F notes, the entire $51,584,745
principal amount of the Class G notes, and the entire $51,584,745
principal amount of the Class H notes, without receiving any
payment in exchange. The surrendered notes were cancelled upon
receipt by the trustee, and the related debt was extinguished by
the issuer. Prior to the note cancellation, KKR Financial
Holdings LLC had owned, directly or indirectly, 80% of the
mezzanine notes and junior subordinated notes issued by KKR
Financial CLO 2006-1, Ltd.
Prior to the cancellation of the notes, the Class A/B
overcollateralization test, the Class C/D overcollateralization
test, and the Class E overcollateralization test had all been
failing. As a result, the Class A-1 and A-2a notes were
delevering and the Class C, D, E, F, G, and H notes were deferring
interest. The cancellation of the notes substantially improves
the Class C/D and Class E overcollateralization ratios. Based on
the trustee report dated July 15, 2009, the Class C/D
overcollateralization ratio was 128.874% versus a test level of
118.9%, and the Class E overcollateralization ratio was 123.188%
versus a test level of 114%. Both overcollateralization tests are
now passing with substantial cushion over their respective trigger
levels. These increases in the overcollateralization ratios have
the effect of permitting the resumption of interest payments to
the mezzanine and junior notes, while averting required
redemptions of the senior notes due to the failure of the
mezzanine and junior overcollateralization tests. On the next
payment date, the Class A-1 and Class A-2a notes are no longer
expected to continue their delevering, and the Class C and Class E
notes are expected to start to receive interest payment. The
rating actions considered the impact of this cash flow re-
diversion on the entire capital structure of the deal. Moody's
determined that although the senior notes were negatively
impacted, the overall effect on their ratings was not material.
KKR Financial CLO 2006-1, Ltd., issued in September 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
LANDMARK VII: Moody's Downgrades Ratings on Three Classes of Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Landmark VII CDO Ltd.:
-- US$229,500,000 Class A-1L Due 2018 (current balance of
$225,464,613), Downgraded to Aa2; previously on April 20,
2006 Assigned Aaa;
-- US$20,500,000 Class A-2L Due 2018 Downgraded to A2;
previously on March 4, 2009 Aa2 Placed Under Review for
Possible Downgrade;
-- US$14,000,000 Class B-2L Due 2018 Downgraded to Ca;
previously on March 17, 2009 Downgraded to Caa2 and Placed
Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$23,000,000 Class A-3L Due 2018 Confirmed at Ba1;
previously on March 17, 2009 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- US$14,000,000 Class B-1L Due 2018 Confirmed at B1; previously
on March 17, 2009 Downgraded to B and Placed Under Review for
Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
second lien loans will be below their historical averages,
consistent with Moody's research.
The rating actions reflect the adverse impact of the
aforementioned stresses, as well as credit deterioration in the
underlying portfolio. Such credit deterioration is observed
through a decline in the average credit rating (as measured by the
weighted average rating factor) and an increase in the dollar
amount of defaulted securities, an increase in the proportion of
securities from issuers rated Caa1 and below. In particular, the
weighted average rating factor has increased over the last year
and is currently 3126 versus a test level of WARF test level as of
the last trustee report, dated July 3, 2009. Based on the same
report, defaulted securities total about $27.0 million, accounting
for roughly 8.5% of the collateral balance, and securities rated
Caa1 or lower make up approximately 15.6% of the underlying
portfolio. Due to the impact of all aforementioned stresses, key
model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, may be different from the trustee's reported numbers.
Landmark VII CDO Ltd., issued in April of 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
LB-UBS COMMERCIAL: S&P Downgrades Ratings on 19 2007-C1 Securities
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 19
classes of commercial mortgage-backed securities from LB-UBS
Commercial Mortgage Trust 2007-C1 and removed them from
CreditWatch with negative implications, where they were placed
June 26, 2009. In addition, S&P affirmed its ratings on seven
classes from the same transaction. Lastly, S&P affirmed its
ratings on four classes of commercial mortgage pass-through
certificates from Four Times Square Trust's series 2006-4TS.
The downgrades follow S&P's analysis of the transaction using
S&P's recently released U.S. conduit and fusion CMBS criteria,
which was the primary driver of the rating actions. S&P's
analysis included a review of the credit characteristics of all of
the loans in the pool. Using servicer-provided financial
information, S&P calculated an adjusted debt service coverage of
1.35x and a loan-to-value ratio of 111.8%. S&P further stressed
the loans' cash flows under S&P's 'AAA' scenario to yield a
weighted average DSC of 0.84x and an LTV of 152.8%. The implied
defaults and loss severity under the 'AAA' scenario were 80.7% and
39.6%, respectively. The DSC and LTV calculations exclude 11
credit impaired loans (12.0%). S&P estimated losses for these
loans, which are included in the 'AAA' scenario implied default
and loss figures.
Classes H, J, K, and L are currently experiencing interest
shortfalls primarily due to appraisal subordinate entitlement
reductions. However, several of the related appraisal reduction
amounts are not based on final appraisals and are subject to
change. A change in the resulting ASERs could affect the future
interest shortfalls for each class. S&P will continue to monitor
the interest shortfalls and lower the ratings to 'D' if S&P
determine that the interest shortfalls are expected to continue
for the foreseeable future.
S&P lowered the ratings on classes M through S to 'D' because the
ASERs prompted interest shortfalls that S&P expects to continue in
the foreseeable future.
S&P affirmed the ratings on the interest-only certificates based
on S&P's current criteria. S&P published a request for comment
proposing changes to the IO criteria on June 1, 2009. After S&P
finalize its criteria review, S&P may revise its current criteria.
Any change in S&P's criteria may impact outstanding ratings,
including the ratings on the IO certificates S&P affirmed.
Credit Concerns
Fourteen loans ($609.0 million, 16.3%) in the pool are currently
with the special servicer, Midland Loan Services Inc. A breakdown
of the specially serviced loans by payment status is: six loans
are 90-plus-days delinquent ($157.3 million, 4.2%); one loan is 30
days delinquent ($102.3 million, 2.7%); three loans are less than
30 days delinquent ($244.6 million, 6.6%); and four loans are
current ($104.8 million, 2.8%). Five of the specially serviced
loans have balances greater than 1% of the total pool balance,
while the remaining nine loans have balances that are less than
1.0% of the total pool balance.
As of the Aug. 17, 2009, remittance report, nine loans had ARAs in
effect totaling $143.5 million, and resulting ASERs totaled
approximately $746,000.
Transaction Summary
As of the Aug. 17, 2009, remittance report, the collateral pool
consisted of 141 loans with an aggregate trust balance of
$3.73 billion, compared with 145 loans and $3.75 billion at
issuance. The master servicer for the transaction is KeyBank Real
Estate Capital Markets Inc. The master servicer provided
financial information for 100% of the pool, and 99.9% of the
financial information was either full-year 2008 data or March 2009
data. S&P calculated a weighted average DSC of 1.41x for the pool
based on the reported figures. S&P's adjusted DSC and LTV were
1.35x and 111.8%, respectively. The transaction has not
experienced any principal losses to date. Five loans
($20.1 million, 0.5%) are on the master servicer's watchlist.
Twenty-five loans ($614.9 million, 16.5%) have a reported DSC
below 1.10x, and 21 of these loans ($407.9 million, 10.9%) have a
reported DSC of less than 1.0x.
Summary Of The Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$2.06 billion (56.4%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.42x for the top 10 loans,
compared with 1.45x at issuance. S&P's adjusted DSC and LTV for
the top 10 loans were 1.33x and 112.5%, respectively. The DSC and
LTV calculations exclude two of the three loans that are with the
special servicer and are discussed below.
The Bethany Maryland Portfolio loan is the sixth-largest loan in
the trust with a principal balance of $150.4 million (4%) and a
whole-loan balance of $190.0 million. The whole-loan balance
includes $39.6 million of nonpooled "BMP" certificates (not
rated). In addition, there is a $1.9 million C note held outside
of the trust. The loan is secured by four multifamily properties
in Laurel, Glen Burnie, and Middle River, Md., totaling 1,587
units. The loan was transferred to the special servicer on March
4, 2009, after the borrower abandoned the property. Midland has
received property condition reports, and the appraisals are
pending. As of June 30, 2009, the reported DSC was 0.83x, and
occupancy was 89.5%. The lender is currently being represented in
the bankruptcy and currently awaiting the borrower's restructure
plan. An ARA totaling $59.7 million is in effect for this loan.
Standard & Poor's expects a significant loss upon the eventual
resolution of this loan. Several broker opinion of values (BOVs)
provided by the special servicer were considered in S&P's loss
assessment.
The Bethany Houston Portfolio loan is the ninth-largest loan in
the trust with a principal balance of $102.3 (3%) million. There
is also a $19.5 million B note and a $1.7 million C note held
outside of the trust. The loan is secured by eight multifamily
properties in Houston, Texas, totaling 2,439 units. The loan was
transferred to the special servicer on Jan. 22, 2009, due to 147
outstanding liens on the property as of November 2008 totaling
$3,004,406. At issuance, there was a $10.46 million renovation
reserve put in place, which has been fully depleted. The master
servicer reported a DSC of 0.85x, and occupancy was 81.2% as of
December 2008, compared with a reported DSC of 1.24x and occupancy
of 87% at issuance. The lender is currently being represented in
the bankruptcy and currently awaiting the borrower's restructure
plan. An ARA totaling $38.8 million is in effect for this loan.
Standard & Poor's expects a significant loss upon the eventual
resolution of this loan. S&P considered several BOVs provided by
the special servicer in S&P's loss assessment.
The Lembi Portfolio loan is the 10th-largest loan in the trust
with a principal balance of $85.6 million (2%). The loan is
secured by 19 multifamily properties in San Francisco, Calif.,
with 442 aggregate units and four commercial properties. The loan
was transferred to Midland due to payment default. KeyBank
reported a DSC of 0.99x as of Dec. 31, 2008. Based on recent
BOVs, Standard & Poor's currently expects a minimal loss upon
resolution of the loan.
Four Times Square
The Four Times Square transaction is encumbered by a $632 million
whole loan consisting of a $582.4 million A participation split
into two pari passu pieces: an A-1 note totaling $66.3 million,
which is included in the LB-UBS 2007-C1 trust, and an A-2 note
totaling $516.1 million, which is included in Four Times Square
Trust's series 2006-4TS. The whole loan is further participated
into a $25.9 million note B and a $24.1 million note C that are
also included in the Four Times Square Trust. The A-2, B, and C
notes, totaling $566.1 million, provide 100% of the cash flow to
the certificates in Four Times Square Trust's series 2006-4TS.
The loan is secured by a 1.7 million-sq.-ft. class A office
building in midtown Manhattan. Reported DSC was 1.82x as of year-
end 2008. Occupancy was 99.8% compared with 99.8% occupancy at
issuance. Standard & Poor's adjusted value for this loan is
comparable to its level at issuance. According to the July 17,
2009, remittance report, the C note experienced interest
shortfalls associated with the Lehman Bros.' Sept. 25, 2008,
bankruptcy filing.
Standard & Poor's stressed the loans in the LB-UBS Commercial
Mortgage Trust 2007-C1 pool according to S&P's updated
conduit/fusion criteria. The resultant credit enhancement levels
support the lowered and affirmed ratings. The affirmed ratings
from Four Times Square Trust's series 2006-4TS reflect S&P's
analysis of the operating performance of the property securing the
loan.
Ratings Lowered And Removed From Creditwatch Negative
LB-UBS Commercial Mortgage Trust 2007-C1
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-4 A+ AAA/Watch Neg 30.21
A-1A A+ AAA/Watch Neg 30.21
A-M BBB AAA/Watch Neg 20.14
A-J BB- AAA/Watch Neg 11.58
B B+ AA+/Watch Neg 10.83
C B+ AA/Watch Neg 9.32
D B AA-/Watch Neg 8.31
E B A+/Watch Neg 7.81
F B- A/Watch Neg 6.92
G B- A-/Watch Neg 6.04
H CCC+ BBB+/Watch Neg 4.91
J CCC- BBB/Watch Neg 3.78
K CCC- BBB-/Watch Neg 2.39
L CCC- BB+/Watch Neg 2.14
M D BB/Watch Neg 1.89
N D BB-/Watch Neg 1.64
P D B+/Watch Neg 1.51
Q D B-/Watch Neg 1.26
S D CCC+/Watch Neg 1.01
Ratings Affirmed
LB-UBS Commercial Mortgage Trust 2007-C1
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.21
A-2 AAA 30.21
A-3 AAA 30.21
A-AB AAA 30.21
X-CL AAA N/A
X-CP AAA N/A
X-W AAA N/A
Four Times Square Trust
Commercial mortgage pass-through certificates series 2006-4TS
Class Rating Credit enhancement (%)
----- ------ ----------------------
A AAA N/A
B AA+ N/A
C AA N/A
X AAA N/A
N/A - Not applicable.
LENOX STREET: Moody's Reviews Ratings on All 2007-1 Notes
---------------------------------------------------------
Moody's Investors Service placed all rated classes of Notes issued
by Lenox Street 2007-1 Ltd. on review for possible downgrade due
to deterioration in the credit quality of the underlying portfolio
and the potential for an Event of Default triggered by further
decreases to its Par Value Coverage resulting from additional
rating downgrades of the underlying collateral.
Lenox Street 2007-1, Ltd. is a collateralized debt obligation
backed by a portfolio of cash collateral and reference obligations
in commercial mortgage backed securities and commercial real
estate collateralized debt obligations. CMBS collateral and
reference obligations comprise approximately 89% of the portfolio;
all are from securitizations completed between 2005 and 2007. The
CRE CDO collateral constitutes approximately 11% of the portfolio.
Several key indicators of declining credit quality of the
portfolio have become evident since Moody's last review of the
transaction. The Trustee reports a weighted average rating factor
of 2,792 as of July 27, 2009 in contrast to a reported WARF of
2,320 as of February 26, 2009. All collateral and reference
obligations are now rated at Baa3 or lower, which is resulting in
a significant haircut amount in Par Value which is factored into
the calculation of both the Overcollateralization Ratio tests and
Default Par Value Coverage Ratio test. The Trustee reports that
the transaction also has a Class A/B O/C Test Failure. In
addition, the Trustee currently reports that the transaction is
failing its Liquidity Interest Coverage Amount.
As commercial real estate loan performance continues
deteriorating, the risk of an EOD triggered by further haircuts to
Par Value from additional rating downgrades is increasing. As
provided for in Section 5.1 of the Indenture, during the
occurrence and continuance of an Event of Default, certain parties
to the transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral Debt Securities
and the Notes, including liquidation. Moody's notes that the
transaction is exposed to a significant concentration of CMBS
assets, the majority of which have low speculative-grade ratings.
It is also exposed to CRE CDOs with low speculative-grade ratings.
Both types of assets have shown depressed market valuations
recently and thus may herald poor recovery prospects in any sale
and liquidation of the Collateral. If an EOD occurs, the severity
of losses will vary depending on the timing and outcome of a
liquidation of the Collateral, should the Controlling Class direct
the Trustee to dispose of the Collateral.
The actions reflect the increased expected loss associated with
each tranche due to the diminished credit quality on the
underlying portfolio. Moody's rating action is:
-- Class A, $91,500,000, Floating Rate Notes Due 2045, on review
for possible downgrade; previously on 3/19/2009 downgraded to
Baa1 from Aaa
-- Class B, $113,500,000, Floating Rate Notes Due 2045, on
review for possible downgrade; previously on 3/19/2009
downgraded to Baa3 from Aa
-- Class C, $46,500,000, Floating Rate Notes Due 2045, on review
for possible downgrade; previously on 3/19/2009 downgraded to
Ba2 from A2
-- Class D, $10,500,000, Floating Rate Notes Due 2045, on review
for possible downgrade; previously on 3/19/2009 downgraded to
Ba3 from A3
-- Class E, $24,500,000, Floating Rate Notes Due 2045, on review
for possible downgrade; previously on 3/19/2009 downgraded to
Ba3 from Baa1
-- Class F, $23,500,000, Floating Rate Notes Due 2045, on review
for possible downgrade; previously on 3/19/2009 downgraded to
B1 from Baa3
-- Class G, $8,801,608, Floating Rate Notes Due 2045, on review
for possible downgrade; previously on 3/19/2009 downgraded to
B2 from Ba1
-- Class H, $12,713,434, Floating Rate Notes Due 2045, on review
for possible downgrade; previously on 3/19/2009 downgraded to
B2 from Ba2
-- Class J, $6,845,695, Floating Rate Notes Due 2045, on review
for possible downgrade; previously on 3/19/2009 downgraded to
B2 from Ba3
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated March 19, 2009.
LEXINGTON CAPITAL: Moody's Does Not Take Rating Action on Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has not withdrawn,
reduced or taken any other adverse action with respect to its
current ratings on these notes issued by Lexington Capital
Funding, Ltd., as the "Issuer" as a result of the entry into and
execution of a novation agreement among Issuer, AIG Financial
Products Corp. as the "Transferor" and Barclays Bank PLCas the
"Transferee" on August 11, 2009 as the "Novation Transaction",
evidencing Transferor's wish to transfer by novation its rights
and responsibilities under a swap transaction to Transferee:
-- US$135,000,000 Class A-1AV First Priority Senior Secured
Voting Floating Rate Notes Due 2042, Currently Rated Ca;
previously on 3/27/09 Downgraded to Ca
-- US$199,750,000 Class A-1ANV First Priority Senior Secured
Non-Voting Floating Rate Notes Due 2042, Currently Rated Ca;
previously on 3/27/09 Downgraded to Ca
-- US$250,000 Class A-1B First Priority Senior Secured Floating
Rate Notes Due 2042, Currently Rated Ca; previously on
3/27/09 Downgraded to Ca
-- US$72,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2042, Currently Rated C; previously
on 3/27/09 Downgraded to C
-- US$44,000,000 Class B Third Priority Senior Secured Fixed
Rate Notes Due 2042, Currently Rated C; previously on 3/27/09
Downgraded to C
-- US$10,000,000 Class C Fourth Priority Senior Deferrable
Secured Floating Rate Notes Due 2042, Currently Rated C;
previously on 3/27/09 Downgraded to C
-- US$19,000,000 Class D Fifth Priority Senior Deferrable
Secured Floating Rate Notes Due 2042, Currently Rated C;
previously on 3/27/09 Downgraded to C
-- US$5,000,000 Class E Sixth Priority Mezzanine Deferrable
Secured Floating Rate Notes Due 2042, Currently Rated C;
previously on 3/27/09 Downgraded to C
Moody's analysis relied on review of the related swap and novation
documentation as well as an examination of the cash flows in the
transaction.
Many CDO documents (to which Moody's is never a party) specify
that, in order to amend the documents, the issuer must obtain an
opinion from the rating agencies that the proposed amendment would
not in and of itself result in the related ratings being
downgraded or withdrawn at the time of the amendment. This type
of provision is typically referred to in the CDO indenture as a
"rating agency confirmation" or "RAC". Moody's is never obligated
to provide a RAC, and the decision whether or not to issue a RAC
lies entirely within Moody's sole discretion.
Before providing a RAC for an amendment, the proposal will be
reviewed by a Moody's credit committee which will consider, among
other things, the performance of the specific CDO and collateral
manager and the specifics of the proposed amendment and the
particular structure of the CDO. A RAC is purely an opinion, as
of the point in time at which the RAC is provided, that the
proposed amendment in isolation does not introduce sufficient
additional credit risk so as to negatively impact the related
ratings. In other words, it does not consider the impact of other
factors on the ratings, such as collateral deterioration. Also,
the RAC does not address any other, non-credit related impact that
the amendment might have. Moody's further emphasizes that a RAC
is not a substitute for noteholder consent or for independent
analyses by noteholders of the impact on them of any proposed
amendment.
LIGHTPOINT CLO: Moody's Downgrades Ratings on Various Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by LightPoint CLO VII, Ltd.:
-- US$335,250,000 Class A-1 Floating Rate Notes Due 2021
(current balance of $330,025,153), Downgraded to Aa2;
previously on May 15, 2007 Assigned Aaa;
-- US$21,250,000 Class A-2 Floating Rate Notes Due 2021,
Downgraded to A2; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$17,000,000 Class D Deferrable Floating Rate Notes Due
2021, Downgraded to Caa3; previously on March 13, 2009
Downgraded to Caa2 and Placed Under Review for Possible
Downgrade;
-- US$3,000,000 Class J Blended Securities (current rated
balance of $2,669,831), Downgraded to B1; previously on March
4, 2009 Baa2 Placed Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$25,000,000 Class B Deferrable Floating Rate Notes Due
2021, Confirmed at Ba1; previously on March 13, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$18,000,000 Class C Deferrable Floating Rate Notes Due
2021, Confirmed at B1; previously on March 13, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook", the application
of certain stresses with respect to the default probabilities
associated with certain Moody's credit estimates, and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
second lien loans will be below their historical averages,
consistent with Moody's research.
Credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of Class C and Class D
overcollateralization tests. In particular, the weighted average
rating factor has increased over the last year and is currently
2594 as of the last trustee report, dated July 6, 2009. Based on
the same report, defaulted securities total about $19 million,
accounting for roughly 4.4% of the collateral balance, and
securities rated Caa1 or lower make up approximately 9.79% of the
underlying portfolio (due to the impact of all aforementioned
stresses, key model inputs used by Moody's in its analysis, such
as par, weighted average rating factor, and weighted average
recovery rate, may be different from the trustee's reported
numbers). Moody's also assessed the collateral pool's elevated
concentration risk in debt obligations of companies in the
banking, finance, real estate, and insurance industries, which
Moody's views to be more strongly correlated in the current market
environment.
LightPoint CLO VII, Ltd., issued on May 15, 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
MERRILL LYNCH: Fitch Takes Rating Actions on 24 2006-C1 Certs.
--------------------------------------------------------------
Fitch Ratings has taken various rating actions on 24 classes of
Merrill Lynch Mortgage Trust, commercial mortgage pass-through
certificates, series 2006-C1. In addition, Fitch has assigned
Rating Outlooks, as applicable. A detailed list of rating actions
follows at the end of this press release.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch forecasts potential losses of
4.8% for this transaction, should market conditions not recover.
The rating actions are based on losses of 4.2% including 100% of
the losses associated with term defaults and any losses associated
with maturities within the next five years. Given the significant
term to maturity, Fitch's actions only account for 25% of the
losses associated with maturities beyond five years. The bonds
with Negative Outlooks indicate classes that may be downgraded in
the future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for loans
representing 57.2% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
The loans in the reviewed sample accounted for 97.2% of the
recognized loss in the deal.
Approximately 20.6% of the mortgages are scheduled to mature
within the next five years, with 16.3% maturing in 2011 and 4.2%
maturing in 2012. In 2016, 71.8% of the pool is scheduled to
mature.
Fitch identified 67 Loans of Concern (32.2%) within the pool, 11
of which (14.5%) are specially serviced. Two of the specially
serviced loans are within the transaction's top 15 loans (42.4%)
by unpaid principal balance and four of the specially serviced
loans are current (11.6%). Five of the Fitch Loans of Concern
(17.3%) are within the transaction's top 15 loans.
Thirteen of the top 15 loans (39.5%) are expected to default
during the term or at maturity, with loss severities up to 58%.
The three largest contributors to loss are: Raintree Corporate
Center 1 and 2 (2.4% of the pool), Copperwood Village Shopping
Center (2.2%) and Fourth & Walnut (1.0%).
Raintree Corporate Center 1 and 2 is collateralized by a two-
building, 298,865 square foot (sf) office complex located in
Scottsdale, AZ. Occupancy as of April 2009 was 86%; however, the
tenant occupying all of Building 2 (50% of net rentable area
[NRA]) has exercised their early termination option and will be
leaving as of November 2009. Building 1 occupancy declined to
71.5% as of April 2009, and is facing approximately 50% rollover
by the end of 2010. The building also has exposure to multiple
mortgage industry tenants. Based on current performance and
anticipated declines in performance, losses are expected prior to
the loan's maturity in 2016.
Copperwood Village Shopping Center is a 350,444 sf retail center
located in Northwest Houston, TX. Property was 93% occupied as of
April 2009, a 5% decline from securitization. The property is
anchored by Target and Food Town (not part of collateral), and the
largest tenants include: Marshalls, Bed Bath & Beyond, Office Max,
Palais Royal, and Michaels. Four of the five largest tenants
(combined 28.1% of NRA) have leases that roll before February
2012. Based on current and anticipated declines in performance,
losses are expected prior to the loan's maturity in 2016.
Fourth & Walnut is a 356,061 sf office building in Cincinnati, OH.
The loan transferred to special servicing in June 2008 for
monetary default, and is now in foreclosure. The occupancy as of
July 2009 was 71.3%. Major tenants at the property include Duke
Energy Corporation and Huntington National Bank. Based on current
delinquency status and loan performance, losses are expected prior
to the loans Anticipated Repayment Date in 2016.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Outlooks and Loss Severity ratings to these classes:
-- $217.9 million class A-J to 'A/LS3' from 'AAA'; Outlook
Negative;
-- $56 million class B to 'BBB/LS4' from 'AA'; Outlook Negative;
-- $28 million class C to 'BBB/LS5' from 'AA-'; Outlook
Negative;
-- $31.1 million class D to 'BB/LS5' from 'A'; Outlook Negative;
-- $18.7 million class E to 'BB/LS5' from 'A-'; Outlook
Negative;
-- $28 million class F to 'B/LS5' from 'BBB+'; Outlook Negative;
-- $21.8 million class G to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $24.9 million class H to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $6.2 million class J to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $9.3 million class K to 'B-/LS5' from 'BB'; Outlook Negative;
-- $6.2 million class L to 'B-/LS5 from 'BB-'; Outlook Negative;
-- $6.2 million class M to 'B-/LS5' from 'B+'; Outlook Negative;
-- $6.2 million class N to 'B-/LS5' from 'B'; Outlook Negative.
Fitch has affirmed this class, removed it from Rating Watch
Negative, and assigned it a Negative Outlook, and an LS rating:
-- $6.2 million class P at 'B-/LS5'.
Additionally, Fitch affirms these classes, with a Stable Outlook,
and assigns LS ratings:
-- $38 million class A-1 at 'AAA/LS1';
-- $380.4 million class A-2 at 'AAA/LS1';
-- $134 million class A-3 at 'AAA/LS1';
-- $25 million class A-3B at 'AAA/LS1';
-- $113.9 million class A-SB at 'AAA/LS1;
-- $753.4 million class A-4 at 'AAA/LS1';
-- $238.7 million class A-1A at 'AAA/LS1;
-- Interest-only class X at 'AAA';
-- $249 million class A-M at 'AAA/LS3.
Fitch does not rate the $31.1 million class Q.
MKP CBO: Paydown Cues S&P to Withdraw Rating on Class A-1 Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its rating on the
class A-1 notes issued by MKP CBO III Ltd., a cash flow mezzanine
structured finance collateralized debt obligation transaction.
The rating withdrawal follows the complete paydown of the class A-
1 notes on the Aug. 10, 2009 payment date.
Rating Withdrawn
MKP CBO III Ltd.
Rating
------
Class To From
----- -- ----
A-1 NR AAA
NR - Not rated.
Other Outstanding Ratings
MKP CBO III Ltd.
Class Rating
----- ------
A-2 AAA
B BBB/Watch Neg
C CC
A combo AAA
B/C combo CCC+/Watch Neg
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 13 2007-9 Certs.
---------------------------------------------------------------
Fitch Ratings has downgraded and assigned Rating Outlooks on 13
classes of commercial mortgage pass-through certificates from ML-
CFC Commercial Mortgage Trust, series 2007-9. A detailed list of
rating actions follows at the end of this press release.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch forecasts potential losses of
7.9% for this transaction, should market conditions not recover.
The rating actions are based on losses of 5.9%, including 100% of
the losses associated with term defaults and any losses associated
with maturities within the next five years. Given the significant
term to maturity, Fitch's actions only account for 25% of the
losses associated with maturities beyond five years. The bonds
with Negative Outlooks indicate classes that may be downgraded in
the future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for loans
representing 45.8% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
The remaining 54.2% represent 23.7% of Fitch's expected losses.
Approximately 9.9% of the mortgages mature within the next five
years: 0.24% in 2010, 0.20% in 2011 and 9.5% in 2012. In 2017,
79.2% of the pool is scheduled to mature.
Fitch identified 27 Loans of Concern (15%) within the pool, eight
of which (6.4%) are specially serviced. Of the specially serviced
loans, four (7.6% of the pool) are current. Three of the Fitch
Loans of Concern (8.8%) are within the transaction's top 15 loans
by unpaid principal balance.
Seven of the loans within the top 15 (17.3%) are expected to
default during their term with loss severities ranging from 1.3%
through 35.6%. Five of the top 15 loans (24.2%) are expected to
default at maturity, with loss severities ranging from 0.2% to
16.1%. The largest contributors to loss are: DLJ West Coast
Portfolio (4.7% of the pool), Farallon Portfolio (17.9% of the
pool), Janss Marketplace (2.1% of the pool), and 300 Capitol Mall
(3.7% of the pool).
The DLJ West Coast Portfolio loan is secured by six crossed hotel
properties located across two states and operated under three
different flags - Hilton, Marriott, and Hawthorn Hotels. All six
properties have long-term franchise agreements that expire between
2019 and 2027. The loan transferred to the special servicer in
May of 2009 due to deterioration in performance as a result of the
declining economic environment. The revenue per available room at
the property has significantly declined since issuance driven by
lower occupancy and lower achieved average daily rates. More
specifically, on the consolidated level, servicer reported
occupancy as of YE 2008 was 67.3% down from 76.1% at issuance
while ADR declined to $79.6 from $98.7 at issuance. The special
servicer is negotiating a possible workout with the borrower.
The Farallon Portfolio loan is secured by 274 mobile home
communities totaling 57,165 home sites. The properties are
located across 23 states with no state concentration greater than
16.1%. Occupancy and servicer reported debt service coverage
ratio have both declined since issuance as a result of overall
economic conditions. Occupancy and DSCR have declined to 80% and
1.24x, from 82.6% and 1.31x at issuance, respectively. The loan
was structured with interest-only payments due and does not
benefit from scheduled amortization. In addition, the loan was
structured with higher leverage, which could potentially result in
refinance losses, if the borrower is unable to refinance the total
debt due at maturity.
The Janss Marketplace loan is secured by a 421,196 sf shopping
center located in Thousand Oaks, CA. At issuance the center was
anchored by Mervyn's, Toys R Us, and Linens 'N Things. Mervyn's
(18.7% of NRA) and Linens 'N Things (8.3% of NRA) have filed for
bankruptcy and have vacated their space at the property. The loan
transferred to the special servicer in October of 2008 as a result
of the bankruptcies, but has since been returned to the master
servicer as the borrower did not indicate distress.
The 300 Capitol Mall loan is secured by a 383,238 sf class A
office property in Sacramento, CA. The property continues to be
well occupied at 95% as of YE 2008 with the state of California,
investment grade rated, leasing 85% of the building's NRA.
Despite the high occupancy, the DSCR as of YE 2008 was 0.97x,
reflecting the high-leverage nature of the loan. In addition, the
property has high exposure to rollover in 2012, when 57% of the
NRA expires. At issuance the loan was structured with interest-
only payments due and does not benefit from amortization.
Fitch downgrades and assigns Outlooks and Recovery Ratings (RR) to
these classes, as indicated:
-- $168 million class A-J to 'A' from 'AAA'; Outlook Negative;
-- $56.8 million class AJ-A to 'A' from 'AAA'; Outlook Negative;
-- $31.6 million class B to 'BBB' from 'AA+'; Outlook Negative;
-- $21.1 million class C to 'BBB-' from 'AA'; Outlook Negative;
-- $28.1 million class D to 'BB' from 'AA-'; Outlook Negative;
-- $24.6 million class E to 'BB' from 'A+'; Outlook Negative;
-- $24.6 million class F to 'BB' from 'A'; Outlook Negative;
-- $28.1 million class G to 'B' from 'A-'; Outlook Negative;
-- $28.1 million class H to 'B-' from 'BBB+'; Outlook Negative;
-- $24.6 million class J to 'B-' from 'BBB'; Outlook Negative;
-- $31.6 million class K to 'CCC/RR6' from 'BBB-';
-- $14 million class L to 'CCC/RR6' from 'BB-';
-- $10.5 million class M to 'CCC/RR6' from 'B+';
-- $7 million class N to 'CCC/RR6' from 'B-'.
In addition, Fitch affirms these:
-- $44.1 million class A-1 at 'AAA'; Outlook Stable;
-- $258.2 million class A-2 at 'AAA'; Outlook Stable;
-- $134.8 billion class A-3 at 'AAA'; Outlook Stable;
-- $90.4 billion class A-SB at 'AAA'; Outlook Stable;
-- $931 million class A-4 at 'AAA'; Outlook Stable;
-- $496.3 million class A-1A at 'AAA'; Outlook Stable;
-- $210 million class A-M at 'AAA'; Outlook Stable;
-- $71 million class AM-A at 'AAA'; Outlook Stable;
-- Interest-only class X-P at 'AAA'; Outlook Stable;
-- Interest-only class X-C at 'AAA'; Outlook Stable.
Fitch does not rate the $14.1 million class P, $3.5 million class
Q, $10.5 million class S, or $35.1 million class T.
MM COMMUNITY: Moody's Downgrades Ratings on Two Classes
-------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by MM Community Funding, Ltd., a
trust preferred CDO:
-- Class A Floating Rate Senior Notes Due 2031, Downgraded to
B1; previously on 3/27/2009 Downgraded to Aa1
-- Class B Floating Rate Senior Notes Due 2031, Downgraded to
Ca; previously on 3/27/2009 Downgraded to Caa2
According to Moody's, the transaction is negatively impacted by a
large pay-fixed, receive-floating interest rate swap where
payments to the hedge counterparty absorb a large portion of the
excess spread in the deal. Shortfalls to the Class B interest
payments are currently being covered by the Reserve Account that
has accumulated balance of $20.33 mm after a payment of $1.637 mm
on the payment date of July 27, 2009. Despite a reduction in the
hedge notional from $198 mm to $99 mm, Moody's projects that the
burden of making hedge payment over the remaining life of this
transaction will significantly reduce the amount of cash available
to pay Class A and B and put the ultimate payments of Class A and
B at significant risk.
Moody's took its last rating action on this deal on March 27,
2009. Since then, Moody's noticed a significant increase on the
assumed defaulted amount (from $27 mm to $80 mm) and increase on
the weighted average rating factor (from 3005 to 3465). In
addition, the transaction has experienced a failure of its Senior
Subordinate Principal Coverage Test (83.20% actual as reported by
trustee vs 105.9% the trigger). The rating actions therefore also
reflect the credit deterioration of the underlying portfolio.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the strength of the legal
framework as well as specific documentation features, the
collateral manager's impact and the potential for selection bias
in the portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
MMCAPS FUNDING: Moody's Downgrades Ratings on Two Classes of Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by MMCaps Funding XVIII, Ltd., a
trust preferred CDO:
-- US$185,100,000 Class A-1 Floating Rate Notes Due 2039,
Downgraded to Baa2; previously on 3/27/2009 Downgraded to A3
-- US$21,800,000 Class A-2 Floating Rate Notes Due 2039,
Downgraded to Ba2; previously on 3/27/2009 Downgraded to Ba1
According to Moody's, the rating actions taken on the notes are a
result of larger than anticipated par loss and continue failure of
some of its principal coverage tests as well as an increase on the
assumed defaulted amount.
Moody's took its last rating action on this deal on March 27,
2009. Since then, Moody's noticed a significant increase on the
assumed defaulted amount (from $42.5 mm to $72.5 mm). In
addition, the transaction has experienced a failure of its Class
A/B Principal Coverage Test (128.83% actual as reported by trustee
vs 132.44% the trigger), Class C Principal Coverage Test (96.84%
actual as reported by trustee vs 103.98% the trigger) and Class D
Principal Coverage Test (89.84% actual as reported by trustee vs
101.67% the trigger)
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the strength of the legal
framework as well as specific documentation features, the
collateral manager's impact and the potential for selection bias
in the portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
MMCAPS FUNDING: Moody's Downgrades Ratings on Various Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by MMCaps Funding XIX, Ltd., a trust
preferred CDO:
-- US$220,000,000 Class A-1 Floating Rate Senior Notes Due 2038,
Downgraded to Ba1; previously on 3/27/2009 Downgraded to A3
-- US$26,000,000 Class A-2 Floating Rate Senior Notes Due 2038,
Downgraded to B3; previously on 3/27/2009 Downgraded to Ba1
-- US$32,000,000 Class B Floating Rate Senior Notes Due 2038,
Downgraded to Caa3; previously on 3/27/2009 Downgraded to B2
-- US$79,000,000 Class C Floating Rate Senior Subordinate Notes
Due 2038, Downgraded to Ca; previously on 3/27/2009
Downgraded to Caa3
According to Moody's, the rating actions taken on the notes are a
result of larger than anticipated par loss and credit
deterioration in the collateral pool as well as an increase on the
assumed defaulted amount.
Moody's took its last rating action on this deal on March 27,
2009. Since then, Moody's noticed a significant increase on the
assumed defaulted amount (from $23.5 million to $78.5 million).
In addition, the transaction has experienced a failure on all its
principal coverage tests; Class A Principal Coverage Test (140.8%
actual as reported by trustee vs 151.8% the trigger), Class B
Principal Coverage Test (124.4% actual as reported by trustee vs
133.3% the trigger), Class C Principal Coverage Test (96.63%
actual as reported by trustee vs 106..2% the trigger) and Class D
Principal Coverage Test (89.73% actual as reported by trustee vs
102.7% the trigger).
An Event of Default has been declared on 7/14/2009 due to non-
payment of interest on one of the Senior Notes. Due to the
current credit crisis and weak economic conditions, Moody's
assumed that there is a higher likelihood that the controlling
class would elect to accelerate cash flows from the underlying
performing securities than request a liquidation of the
transaction.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the strength of the legal
framework as well as specific documentation features, the
collateral manager's impact and the potential for selection bias
in the portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
MORGAN STANLEY: Fitch Downgrades Ratings on 2007-HQ13 Certs.
------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 11 classes of commercial mortgage pass-through
certificates from Morgan Stanley Capital I Trust 2007-HQ13. In
addition, Fitch has assigned Rating Outlooks as applicable. A
detailed list of rating actions follows at the end of this
release.
The downgrades are the result of loss expectations and reflect
Fitch's prospective views regarding commercial real estate market
value and cash flow declines. Fitch forecasts potential losses of
6.15% for this transaction should market conditions not recover.
The rating actions are based on losses of 5.20%, including 100% of
the losses associated with term defaults and any losses associated
with maturities within the next five years. Given the significant
term to maturity, Fitch's actions only account for 25% of the
losses associated with maturities beyond five years. The bonds
with Negative Outlooks indicate classes that may be downgraded in
the future should full potential losses be realized.
Fitch analyzed the transaction and calculated expected losses by
assuming cash flows on each of the properties decline 15% from
year-end (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for certain
loans representing 66.0% of the pool and, in some cases, revised
based on additional information and/or property characteristics.
The remaining 34% represent 9.14% of the total losses.
Approximately 22.6% of the mortgages mature within the next five
years: 3.9% in 2009, 8.1% in 2010, 10.7% in 2012, 0.2% in 2013,
and 0.1% in 2014. In 2017, 72.4% of the pool is scheduled to
mature.
Fitch identified 12 Loans of Concern (27.7%) within the pool, two
of which (2.2%) are specially serviced. Of the specially serviced
loans, one (1.3%) is current. None of the transactions top 15
loans are in special servicing.
Three of the top 15 loans (8.4%) are expected to default during
the term, with loss severities up to 46.8%. The largest
contributors to loss are: Tower 17 (3.7%), Sanctuary Lofts (2.2%),
and the Seattle Portfolio (1.9%).
The Tower 17 loan (3.7%) is collateralized by a 231,598 square
foot (sf) Class A office building located in Irvine, CA. The
property was 28.4% vacant at issuance and has been unable to
increase occupancy due to market conditions in Orange County. As
of the June 3, 2009 rent roll, the property is 76.2% occupied.
The borrower has to lower rents and offer concessions, along with
its competitors, in order to avoid losing tenants to cheaper
space. According to PPR, the Airport submarket vacancy was 20.7%
in second quarter 2009 (2Q'09) and rents of $27.2 psf. The loan
is sponsored by Rockwood Capital. An affiliate of Rockwood
recently purchased the B-notes on the property.
The Sanctuary Lofts loan (2.2%) is collateralized by a 203 unit
(534 beds) student housing property located in San Marcos, TX.
The subject is located less than one mile from the Texas State
University San Marcos Campus (approximately 20,000 student
enrollment). The servicer reported YE08 debt service coverage
ratio (DSCR) was 0.84 times (x) with occupancy at 94.66%. A new
property manager was hired at the end of 2008 and the borrower
expects performance to improve in the upcoming 2009-2010 school
year.
The Seattle Portfolio loan (1.94%) consists of three cross-
collateralized loans that mature Dec. 1, 2009. Queen Vista, the
largest loan in the portfolio (1.04%) is collateralized by an 87
unit multifamily property in Seattle, WA. The servicer reported
YE08 DSCR was 1.04x and an occupancy of 84.0%. The second largest
loan, 733 Summit (0.5%), is collateralized by a 52 unit
multifamily property in Seattle, WA. As of YE08 the property was
78% occupied with a DSCR of 1.21x. The third loan, Highland Crest
(0.4%), is collateralized by a 34 unit multifamily property in
Seattle, WA. As of YE08 the property was 94% occupied with a DSCR
of 1.02x. The borrower has hired a new management company and
made personnel reductions in an effort to reduce overhead costs
and improve performance at the properties. The borrower has
requested a loan extension; however, the properties do not meet
the contemplated extension requirements. This loan is currently
with the master servicer.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Outlooks and Loss Severity (LS) ratings to these classes:
-- $72.8 million class AJ to 'A/LS3' from 'AAA'; Outlook
Negative;
-- $18.2 million class B to 'A/LS5' from 'AA'; Outlook Negative;
-- $11.7 million class C to 'BBB/LS5' from 'AA-'; Outlook
Negative;
-- $16.9 million class D to 'BB/LS5' from 'A'; Outlook Negative;
-- $13.0 million class E to 'BB/LS5' from 'A-'; Outlook
Negative;
-- $11.7 million class F to 'B/LS5' from 'BBB+'; Outlook
Negative;
-- $11.7 million class G to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $13.0 million class H to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $3.9 million class J to 'B-/LS5' from 'BB+; Outlook Negative;
-- $3.9 million class K to 'B-/LS5' from 'BB; Outlook Negative;
-- $3.9 million class L to 'B-/LS5' from 'BB-'; Outlook
Negative.
In addition, Fitch has affirmed these classes, with a Stable
Outlook:
-- $140.5 million class A-1 at 'AAA/LS1';
-- $178.2 million class A-1A at 'AAA/LS1';
-- $67.7 million class A-2 at 'AAA/LS1';
-- $334.5 million class A-3 at 'AAA/LS1';
-- Interest-only class X at 'AAA';
-- $103.9 million class A-M at 'AAA/LS1'.
NORTHSTAR CBO: Fitch Downgrades Ratings on 1997-2 Notes
-------------------------------------------------------
Fitch Ratings has downgraded and withdrawn the ratings on the
remaining class of notes from Northstar CBO 1997-2 Ltd./Corp., a
collateralized bond obligation managed by ING Investment
Management Company. Details on this rating action follow at the
end of this release.
The downgrade reflects the issuer's failure to redeem the full
principal amount due to the class A-3 notes at the maturity date
on July 15, 2009. Approximately $51.5 million of principal
remained unpaid on the class A-3 notes following the final
distribution to investors. There are no additional proceeds or
securities remaining in the transaction for distribution to
investors. Since the last review, proceeds to the class A-3 notes
represent less than 10% of their outstanding principal amount,
which is consistent with Fitch's 'RR6' recovery rating.
Fitch subsequently withdraws the rating of the class A-3 notes
since the notes have matured. The trustee has directed the
noteholders to surrender their notes to the Paying Agent.
Fitch has taken this rating action:
-- $51,456,985 class A-3 notes downgraded to 'D/RR6' from
'C/RR6' and withdrawn.
OCTAGON INVESTMENT: Moody's Does Not Take Rating Action on Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has not withdrawn,
reduced or taken any other adverse action with respect to its
current ratings on these notes issued by Octagon Investment
Partners XI, Ltd., as a result of Issuer's entry into and
execution of a Interest Rate Swap Transaction on August 10, 2009
with Wachovia Bank, National Association:
-- US$344,500,000 Class A-1A Senior Secured Floating Rate Notes
due 2021; previously on July 26, 2007 Assigned Aaa;
-- US$37,500,000 and EUR0 Class A-1B Redenominatable Senior
Secured Floating Rate Notes due 2021; previously on July 26,
2007 Assigned Aaa;
-- US$22,000,000 Class A-2 Senior Secured Floating Rate Notes
due 2021, Aa2 Under Review for Possible Downgrade; previously
on March 4, 2009 Aa2 Placed Under Review for Possible
Downgrade;
-- US$31,000,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2021, Baa3 Under Review for Possible Downgrade;
previously on March 13, 2009 Downgraded from A2 Under Review
for Possible Downgrade;
-- US$19,000,000 Class C Secured Deferrable Floating Rate Notes
due 2021, Ba3 Under Review for Possible Downgrade; previously
on March 13, 2009 Downgraded from Baa2 Under Review for
Possible Downgrade;
-- US$16,000,000 Class D Secured Deferrable Floating Rate Notes
due 2021, B3 Under Review for Possible Downgrade; previously
on March 13, 2009 Downgraded from Ba2 Placed Under Review for
Possible Downgrade;
The Swap is being entered into to hedge against potential interest
rate risk in the transaction. Wachovia Bank, National Association
currently has a Senior Unsecured rating of Aa2 and a short-term
rating of P-1, both of which conform with the Hedge Counterparty
Rating Requirements and with Moody's current methodology as it
relates to eligible swap counterparties. Moody's analysis relied
on review of the related swap documentation as well as an
examination of the cash flows in the transaction. In Moody's
opinion, entry into the Swap does not pose a material adverse
affect to the noteholders in terms of credit risk.
Many CLO documents (to which Moody's is never a party) specify
that, in order to amend the documents, the issuer must obtain an
opinion from the rating agencies that the proposed amendment would
not in and of itself result in the related ratings being
downgraded or withdrawn at the time of the amendment. This type
of provision is typically referred to in the CLO indenture as a
"rating agency confirmation" or "RAC". Moody's is never obligated
to provide a RAC, and the decision whether or not to issue a RAC
lies entirely within Moody's sole discretion.
Before providing a RAC for an amendment, the proposal will be
reviewed by a Moody's credit committee which will consider, among
other things, the performance of the specific CLO and collateral
manager and the specifics of the proposed amendment and the
particular structure of the CLO. A RAC is purely an opinion, as
of the point in time at which the RAC is provided, that the
proposed amendment in isolation does not introduce sufficient
additional credit risk so as to negatively impact the related
ratings. In other words, it does not consider the impact of other
factors on the ratings, such as collateral deterioration. Also,
the RAC does not address any other, non-credit related impact that
the amendment might have. Moody's further emphasizes that a RAC
is not a substitute for noteholder consent or for independent
analyses by noteholders of the impact on them of any proposed
amendment.
PREFERRED TERM: Moody's Downgrades Ratings on Five Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Preferred Term Securities XXIV,
Ltd., a trust preferred CDO:
-- US$577,800,000 Floating Rate Class A-1 Senior Notes Due
March 22, 2037, Downgraded to Baa3; previously on 3/27/2009
downgraded to A1
-- US$85,800,000 Floating Rate Class B-1 Mezzanine Notes Due
March 22, 2037, Downgraded to Caa3; previously on 3/27/2009
downgraded to B2
-- US$20,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due March 22, 2037, Downgraded to Caa3; previously on
3/27/2009 downgraded to B2
-- US$65,650,000 Floating Rate Class C-1 Mezzanine Notes Due
March 22, 2037, Downgraded to Ca; previously on 3/27/2009
downgraded to Caa3
-- US$54,250,000 Fixed/Floating Rate Class C-2 Mezzanine Notes
Due March 22, 2037, Downgraded to Ca; previously on 3/27/2009
downgraded to Caa3
According to Moody's, the rating actions taken on the notes are a
result of larger than anticipated par loss and credit
deterioration in the collateral pool as well as an increase on the
assumed defaulted amount.
Moody's took its last rating action on this deal on March 27,
2009. Since then, Moody's noticed a significant increase on the
assumed defaulted amount (from $69.8 mm to $254.3 mm). In
addition, the transaction has experienced a failure in all its
coverage tests; Senior Coverage Test (116.1% actual as reported by
trustee vs 128% the trigger), Class B Mezzanine Coverage Test
(101.41% actual as reported by trustee vs 115% the trigger), Class
C Mezzanine Coverage Test (88.7% actual as reported by trustee vs
105.5% the trigger) and Class D Mezzanine Coverage Test (82.61%
actual as reported by trustee vs 100.25% the trigger).
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the strength of the legal
framework as well as specific documentation features, the
collateral manager's impact and the potential for selection bias
in the portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
PREFERRED TERM: Moody's Downgrades Ratings on Ten Classes
---------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Preferred Term Securities XXIII,
Ltd., a trust preferred CDO:
-- US$544,000,000 Floating Rate Class A-1 Senior Notes Due
December 22, 2036, Downgraded to B1; previously on 3/27/2009
downgraded to A2
-- US$141,000,000 Floating Rate Class A-2 Senior Notes Due
December 22, 2036, Downgraded to Caa1; previously on
3/27/2009 downgraded to Baa1
-- US$33,500,000 Fixed Rate Class A-X Notes Due September 22,
2011, Downgraded to B1; previously on 3/27/2009 downgraded to
A2
-- US$321,000,000 Floating Rate Class A-FP Senior Notes Due
December 22, 2036, Downgraded to B1; previously on 3/27/2009
downgraded to A2
-- US$67,400,000 Floating Rate Class B-1 Mezzanine Notes Due
December 22, 2036, Downgraded to Ca; previously on 3/27/2009
downgraded to B2
-- US$31,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes
Due December 22, 2036, Downgraded to Ca; previously on
3/27/2009 downgraded to B2
-- US$57,600,000 Floating Rate Class B-FP Mezzanine Notes Due
December 22, 2036, Downgraded to Ca; previously on 3/27/2009
downgraded to B2
-- US$81,200,000 Floating Rate Class C-1 Mezzanine Notes Due
December 22, 2036, Downgraded to C; previously on 3/27/2009
downgraded to Caa3
-- US$28,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes
Due December 22, 2036, Downgraded to C; previously on
3/27/2009 downgraded to Caa3
-- US$52,800,000 Floating Rate Class C-FP Mezzanine Notes Due
December 22, 2036, Downgraded to C; previously on 3/27/2009
downgraded to Caa3
According to Moody's, the rating actions taken on the notes are a
result of larger than anticipated par loss and credit
deterioration in the collateral pool as well as an increase on the
assumed defaulted amount.
Moody's took its last rating action on this deal on March 27,
2009. Since then, Moody's noticed a significant increase on the
assumed defaulted amount (from $97.1 mm to $264.1 mm). In
addition, the transaction has experienced failure on these
coverage tests; Class B Mezzanine Coverage Test (113.54% actual as
reported by trustee vs 115% the trigger), Class C Mezzanine
Coverage Test (99.64% actual as reported by trustee vs 105.8% the
trigger) and Class D Mezzanine Coverage Test (91.93% actual as
reported by trustee vs 100.25% the trigger).
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the strength of the legal
framework as well as specific documentation features, the
collateral manager's impact and the potential for selection bias
in the portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
PROSPECT FUNDING: Moody's Upgrades Ratings on Various Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has upgraded its
ratings of these notes and loans of Prospect Funding I, LLC:
-- US$205,000,000 Class A-2 First Senior Secured Floating Rate
Notes due 2013, Upgraded to A3; previously on Nov 12, 2008
Downgraded to Baa3 and Remains On Review for Possible
Downgrade
-- US$200,000,000 Class A-3 First Senior Secured Variable
Funding Notes due 2013, Upgraded to A3; previously on Nov 12,
2008 Downgraded to Baa3 and Remains On Review for Possible
Downgrade
-- US$240,000,000 Class A-5 First Senior Secured Multi-Currency
Variable Funding Notes due 2014, Upgraded to A3; previously
on Nov 12, 2008 Downgraded to Baa3 and Remains On Review for
Possible Downgrade
-- US$310,000,000 Class A-6 First Senior Secured Fixed Rate
Notes due 2012, Upgraded to A3; previously on Nov 12, 2008
Downgraded to Baa3 and Remains On Review for Possible
Downgrade
-- US$140,000,000 Class A-7 First Senior Secured Floating Rate
Notes due 2014, Upgraded to A3; previously on Nov 12, 2008
Downgraded to Baa3 and Remains On Review for Possible
Downgrade
-- US$75,000,000 Class A-8 First Senior Secured Floating Rate
Notes due 2012, Upgraded to A3; previously on Nov 12, 2008
Downgraded to Baa3 and Remains On Review for Possible
Downgrade
-- US$50,000,000 Class B-2 Second Senior Secured Floating Rate
Notes due 2012, Upgraded to B2; previously on Nov 12, 2008
Downgraded to Caa1 and Remains On Review for Possible
Downgrade
-- US$23,000,000 Class C-1 Mezzanine Secured Fixed Rate Notes
due 2012, Upgraded to Caa1; previously on Nov 12, 2008
Downgraded to Caa3 and Remains On Review for Possible
Downgrade
-- US$32,000,000 Class C-2 Mezzanine Secured Floating Rate Notes
due 2012, Upgraded to Caa1; previously on Nov 12, 2008
Downgraded to Caa3 and Remains On Review for Possible
Downgrade
-- US$17,500,000 Class D-1 Junior Secured Fixed Rate Notes due
2012, Upgraded to Caa3; previously on Oct 24, 2008 Downgraded
to Ca
-- US$37,500,000 Class D-2 Junior Secured Floating Rate Notes
due 2012, Upgraded to Caa3; previously on Oct 24, 2008
Downgraded to Ca
-- US$45,000,000 Second Senior Loans due 2013, Upgraded to B2;
previously on Nov 12, 2008 Downgraded to Caa1 and Remains On
Review for Possible Downgrade
According to Moody's, the Prospect Funding I notes and loans had
been accelerated in April 2009 following the occurrence of an
event of default caused by the failure of the transaction to
comply with certain overcollateralization tests in October 2008.
The rating actions took into consideration the fact that, as of
August 17, 2009, the failed over-collateralization tests had been
cured, the acceleration and event of default had been rescinded,
certain first senior loans had been redeemed and certain first
senior notes had been canceled. The rating actions also took into
consideration the revised modeling assumptions and revised
monitoring approach that were described in Moody's report entitled
"Moody's Modifies Its Modeling Assumptions for Market-Value
Collateralized Loan Obligations" published on July 9, 2009.
More specifically, since November 2008, while the event of default
had occurred and was continuing and the transaction had been
accelerated, some underlying assets were sold as directed by the
controlling parties and a significant portion of the first senior
class debts was paid down with sales proceeds and excess spreads
from the collateral. As of August 17, 2009, the amount of Class A
notes outstanding is $691.6 million while it was just over
$1.1 billion in November 2008. The Senior Revolving Credit
Facility was redeemed and terminated, thereby further reducing the
leverage available in the transaction. Additionally, certain
Class A notes were purchased in the secondary market and were
subsequently canceled without any further obligations remaining
for the issuer. All aforementioned actions effected a
deleveraging of the capital structure, causing the percentage of
subordinated tranches and equity in the transaction's total
capital structure to have increased. In addition,
overcollateralization ratios of the transaction improved
significantly over their levels of November 2008: Moody's junior
over-collateralization test improved from 96% to 121%, Moody's
mezzanine over-collateralization test from 97% to 125%, Moody's
second senior over-collateralization test from 98% to 130% and
Moody's senior over-collateralization test from 102% to 142%
during this period. With the less leveraged capital structure and
the increased overcollateralization ratios, the risk of loss in
the rated notes and loans has decreased since last November.
In its analysis, Moody's rating committee considered current and
various hypothetical portfolios that assumed certain available
cash in the portfolio were either reinvested or distributed to
equity holders. These scenarios combined with the revised advance
rates produced a range of ratings outcomes. In determining the
final rating levels, Moody's also considered other factors such as
(i) the manager's behavior and deal performance during the most
recent credit crisis, (ii) the controlling rights of certain
classes of noteholders and the potential implications of
exercising those rights in case of events of default, (iii)
current and potential portfolio compositions, (iv) existing
advance rates in the transaction, and (v) the maturity of the
transaction.
Prospect Funding I, LLC, is a market value collateralized
obligation backed primarily by bank loans, high yield securities
and mezzanine investments.
PORTER SQUARE: Moody's Downgrades Ratings on Three Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of three classes of notes issued by Porter Square CDO I,
Ltd. The notes affected by the rating action are:
-- US$78,000,000 Class A-2 Senior Secured Floating Rate Notes
Due 2038, Downgraded to A1; Previously on 3/24/2009 Confirmed
Aa1
-- US$26,000,000 Class A-3 Senior Secured Floating Rate Notes
Due 2038, Downgraded to A2; Previously on 3/24/2009 Confirmed
Aa2
-- US$24,000,000 Class B Senior Secured Floating Rate Notes Due
2038, Downgraded to Caa1; Previously on 3/24/2009 Downgraded
to B1
Porter Square CDO I, Ltd., is a collateralized debt obligation
backed primarily by a portfolio of residential mortgage backed
securities and other types of asset backed securities.
The rating downgrade action reflects deterioration in the credit
quality of the underlying portfolio. Credit deterioration of the
collateral pool is observed through a decline in the average
credit rating (as measured by an increase in the weighted average
rating factor), and failure of one or more coverage tests, among
other measures. The trustee reports that the WARF of the
portfolio is 2481 as compared to 913 in February 2009. The
trustee reports some coverage tests are failing, including the A/B
overcollateralization test.
The action also takes into consideration the risk of the
transaction experiencing an Event of Default. During the
occurrence and continuance of an Event of Default, certain parties
to the transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral and the Notes,
including the sale and liquidation of the assets. The severity of
losses of certain tranches may be different depending on the
timing and outcome of a liquidation.
Moody's explained that in addition to the quantitative factors
that are explicitly modeled, qualitative factors are part of the
Moody's rating committee considerations. These qualitative
factors include but are not limited to the structural protections
in the transaction, the recent performance of the transaction in
the current market environment, how legal risks and issues are
addressed in transaction documentation, the collateral manager's
track record, and the potential for selection bias in the
portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions.
REVE SPC: Moody's Downgrades Ratings on Various Classes
-------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating on notes issued by REVE SPC under Segregated Portfolio
Series 48, 54, and 56, collateralized debt obligation transactions
referencing a portfolio of corporate entities.
Moody's explained that the rating actions taken are the result of
the deterioration in the credit quality of the reference
portfolio. The 10 year weighted average rating factor of the
portfolio, not adjusted with forward looking measures, has
deteriorated from 333 initially to 1,274, equivalent to an average
rating of the current portfolio of Ba2. The reference portfolio
includes an exposure to CIT Group, Inc., and Ambac Financial Group
which have experienced substantial credit migration in the past
few months, and are now rated Ca, respectively. Since inception
of the transactions, the subordination of the rated tranches has
been reduced due to credit events on Lehman Brothers Inc.,
Washington Mutual, Federal Home Loan Mortgage Corporation, Federal
National Mortgage Association, Idearc Inc, Kaupthing Bank hf,
Glitnir Banki hf. Since February 20, 2009, additional credit
events on NXP B.V, JSC "Bank Turanalen" and Syncora Guarantee Inc
have lead to an additional decrease in subordination of
approximately 1.5% for all classes. The Banking, Finance,
Insurance and Real Estate industry sector are the most
represented, weighing 10%, 15%, 20% and 12% respectively, of the
portfolio initial notional.
Moody's initially analyzed and continues to monitor these
transactions using primarily the methodology for Corporate
Synthetic Obligations as described in Moody's Special Report
below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (April 2009)
The rating actions are:
REVE SPC Segregated Portfolio Series 48:
Class Description: US$75,000,000 ING Managed Synthetic 2007-2
Class JSS Notes, due 2014
-- Current Rating Action: Downgraded to Ca
-- Prior Rating Date: February 20, 2009
-- Prior Rating Action: Downgraded to Caa1 from Ba1
REVE SPC Segregated Portfolio Series 54:
Class Description: US$10,000,000 ING Managed Synthetic 2007-2
Class A Notes, due 2017
-- Current Rating Action: Downgraded to Ca
-- Prior Rating Date: February 20, 2009
-- Prior Rating Action: Downgraded to Caa2 from Ba3
REVE SPC Segregated Portfolio Series 56:
Class Description: US$500,000,000 ING Managed Synthetic 2007-2
Class A Notes, due 2012
-- Current Rating Action: Downgraded to Ca
-- Prior Rating Date: February 20, 2009
-- Prior Rating Action: Downgraded to Ba3 from A2
RFMSI SERIES: S&P Corrects Rating on Class A-1 Certificate to 'B-'
------------------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on the
class A-1 certificate issued by RFMSI Series 2006-S9 Trust by
lowering it to 'B-' from 'B'.
On June 22, 2009, as a result of an administrative error, S&P
affirmed the rating on class A-1 as part of a larger U.S. prime
jumbo residential mortgage-backed securities review. However, the
projected credit support for this class was insufficient to
maintain a 'B' rating given S&P's current projected losses for
this transaction, so S&P has lowered the rating to 'B-'.
Rating Corrected
RFMSI Series 2006-S9 Trust
Rating
------
Class Current June 22 Pre-June 22
----- ------- ------- -----------
A-1 B- B B
SANDELMAN FINANCE: Moody's Confirms Ratings on 2006-2 Notes
-----------------------------------------------------------
Moody's Investors Service announced that it has confirmed the
ratings of these notes issued by Sandelman Finance 2006-2 Ltd.:
-- US$71,000,000 Class A-2 Second Priority Senior Notes Due
2019, Confirmed at Aa2; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- US$53,000,000 Class B Third Priority Senior Subordinate
Deferrable Notes Due 2019 (current balance of
$46,425,385.19), Confirmed at Baa3; previously on March 23,
2009 Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$66,000,000 Class C Fourth Priority Junior Subordinate
Deferrable Notes Due 2019 (current balance of
$61,616,923.46), Confirmed at Ba3; previously on March 23,
2009 Downgraded to Ba3 and Placed Under Review for Possible
Downgrade;
-- US$17,500,000 Class D Fifth Priority Junior Subordinate
Deferrable Notes Due 2019, Confirmed at B3; previously on
March 23, 2009 Downgraded to B3 and Placed Under Review for
Possible Downgrade.
Moody's notes that the rating confirmations on the above notes
largely reflect updated analysis indicating that the impact of
certain assumption stresses incorporated in Moody's rating
analysis (discussed below) is not as negative as previously
assessed during Stage I of the deal review in March. The current
conclusions stem from comprehensive deal-level analysis completed
during Stage II of the ongoing CLO surveillance review, which
included an in-depth assessment of results from Moody's
quantitative CLO rating model along with an examination of deal-
specific qualitative factors. By way of comparison, during Stage
I Moody's took rating actions that were largely the result of a
parameter-based approach.
According to Moody's, the rating actions also incorporate Moody's
revised assumptions with respect to default probability and the
calculation of the Diversity Score. These revised assumptions are
described in the publication "Moody's Approach to Rating
Collateralized Loan Obligations," dated August 12, 2009. Moody's
analysis also reflects the expectation that recoveries for high-
yield corporate bonds and second lien loans will be below their
historical averages, consistent with Moody's research. Other
assumptions used in Moody's CLO surveillance are described in
"Moody's CLO Ratings Surveillance Brief - Second Quarter 2009,"
published on July 17, 2009. Due to the impact of all
aforementioned stresses, key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, and
weighted average recovery rate, may be different from the
trustee's reported numbers.
Sandelman Finance 2006-2 Ltd, issued on January 16, 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans, including those issued by both large as well
as small to medium size enterprises.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
SARATOGA CLO: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Saratoga CLO I, Limited:
-- US$49,000,000 Class A-2 Floating Rate Notes Due 2019,
Downgraded to A2; previously on June 15, 2006 Assigned Aaa;
-- US$24,000,000 Class B Floating Rate Deferrable Notes Due
2019, Downgraded to Ba1; previously on March 20, 2009
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$11,250,000 Class C Floating Rate Deferrable Notes Due
2019, Downgraded to B3; previously on March 20, 2009
Downgraded to Ba3 and Placed Under Review for Possible
Downgrade;
-- US$6,750,000 Class D Floating Rate Deferrable Notes Due 2019
(current balance of $5,282,811), Downgraded to Caa3;
previously on March 20, 2009 Downgraded to B2 and Placed
Under Review for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
second lien loans will be below their historical averages,
consistent with Moody's research.
Credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, an
increase in the proportion of securities from issuers rated Caa1
and below, and failure of the WARF test, the Diversity Test, and
the Class D overcollateralization test. The weighted average
rating factor has increased over the last year and is currently
2631 versus a test level of 2500 as of the last trustee report,
dated July 8, 2009. Based on the same report, defaulted
securities total about $27.3 million, accounting for roughly 10%
of the collateral balance, and securities rated Caa1 or lower make
up approximately 12.1% of the underlying portfolio. Due to the
impact of all aforementioned stresses, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, and weighted average recovery rate, may be different from
the trustee's reported numbers.
Saratoga CLO I, Limited, issued in September of 2002, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
SENIOR ABS: Moody's Downgrades Ratings on 2002-1 Certificates
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating of Senior ABS Repack Trust Series 2002-1 Certificates
issued by Senior ABS Repack Trust Series 2002-1.
The rating action is:
Senior ABS Repack Trust Series 2002-1
* Senior ABS Repack Trust Series 2002-1 Certificates Downgraded to
Ba1; Previously on 4/15/2009 Downgraded to Baa3.
The transaction is a repackaged security whose rating is based
primarily upon the transaction's structure and the credit quality
of the Deposited Assets, which consists of Class A-2 Second
Priority Senior Secured Floating Rate Notes from E*TRADE ABS CDO
I, LTD. E*TRADE ADS CDO I, LTD., is an ABS CDO that experienced
an Event of Default in September 2004 due to the sum of the
Aggregate Principal Balance of the Notes falling below the Net
Outstanding Portfolio Collateral Balance. Class A-2 Second
Priority Senior Secured Floating Rate Notes was downgraded to Ba1
on July 31, 2009. The notes were previously downgraded to Baa3 on
2/26/2009.
SORIN REAL: S&P Downgrades Ratings on Eight Classes of Notes
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes from Sorin Real Estate CDO IV Ltd. The lowered ratings
and one additional rating from this transaction remain on
CreditWatch with negative implications.
The downgrades reflect S&P's analysis of the transaction following
S&P's rating actions on the underlying commercial mortgage-backed
securities assets, as well as revised credit estimates for the
remaining assets in Sorin IV, a commercial real estate
collateralized debt obligation transaction. The downgrades also
reflect S&P's analysis of the CDO's defaulted assets. All of the
ratings remain on CreditWatch with negative implications due to
the CDO's exposure to CMBS collateral with ratings on CreditWatch
negative, as well as commercial real estate loan assets that may
experience additional deterioration in their credit
characteristics.
According to the July 21, 2009, trustee report, there were eight
defaulted assets ($77.1 million, 20%) in Sorin IV. The amount of
defaulted assets caused three overcollateralization and two
interest coverage test failures. The defaulted assets include:
* The Eastridge Mall B-note ($20 million, 5.2%);
* The Yellowstone Mountain Club loan ($16.9 million, 4.4%);
* The Rhodes Ranch loan ($14.2 million, 3.7%);
* The Chico Mall B-note ($8.5 million, 2.2%);
* The Weststate Land Partners loan ($8 million, 2.1%);
* The Flag Luxury Properties loan ($4.5 million, 1.2%);
* Sorin Real Estate CDO I's class E note ($4 million, 1%); and
* Citigroup Commercial Mortgage Trust 2006-FL2's class SRL note
($1.1 million, 0.3%).
The transaction's exposure to downgraded CMBS includes:
* Banc of America Large Loan Trust 2007-BMB1's class A2
($18.8 million, 4.9; and
* GS Mortgage Securities Trust 2007-GG10's class AM
($14.6 million, 3.8%).
In addition, S&P's adjusted valuation of the Beverly Hilton loan
has declined 52% following the downgrade of Credit Suisse First
Boston Mortgage Securities Corp. Series 2006-TFL2 (CSFB 2006-
TFL2). The A-note serves as collateral in CSFB 2006-TFL2, while
portions of the B-notes ($13 million, 3.4%) are held as collateral
in Sorin IV.
Excluding the defaulted assets, the transaction's current asset
pool includes these:
* 16 CMBS certificates ($145.4 million, 38%), $112 million of
which are on CreditWatch negative;
* Four mezzanine loans ($73.5 million, 19%);
* Five subordinate interest loans ($49.1 million, 13%);
* Four CDO certificates ($23 million, 6%); and
* Two senior interest loans ($17.9 million, 5%).
S&P's analysis of the transaction was based on information the
collateral manager provided to us, the trustee remittance report,
and data on the underlying CMBS deals.
S&P will update or resolve the CreditWatch negative placements on
Sorin IV in conjunction with S&P's resolution of the CreditWatch
placements on the CMBS assets and/or as S&P analyze the credit
characteristics of the remaining assets.
Ratings Lowered And Remaining On Creditwatch Negative
Sorin Real Estate CDO IV Ltd.
Rating
------
Class To From
----- -- ----
A-2 AA+/Watch Neg AAA/Watch Neg
A-3 AA/Watch Neg AAA/Watch Neg
B AA-/Watch Neg AA/Watch Neg
C BBB-/Watch Neg A+/Watch Neg
D BB+/Watch Neg A-/Watch Neg
E BB-/Watch Neg BBB/Watch Neg
F CCC/Watch Neg BB+/Watch Neg
G CCC-/Watch Neg B/Watch Neg
Rating Remaining On Creditwatch Negative
Sorin Real Estate CDO IV Ltd.
Class Rating
----- ------
A-1 AAA/Watch Neg
STARTS LTD: S&P Withdraws 'CCC-' Rating on Series 2007-6 CDO
------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CCC-' rating on
the notes issued by STARTS (Cayman) Ltd.'s series 2007-6, a
synthetic collateralized debt obligation of investment-grade
corporate bonds transaction. The rating was previously on
CreditWatch with negative implications.
The rating withdrawal follows the complete redemption of the
notes, which occurred on Aug. 14, 2009, after the noteholders
received a repurchase notice.
Rating Withdrawn
STARTS (Cayman) Ltd.
Series 2007-6
Rating Balance (mil. JPY)
------ ------------------
Class To From Current Previous
----- -- ---- ------- --------
Notes NR CCC-/Watch Neg 0.00 2,000.00
NR - Not rated.
STRUCTURED ASSET: Fitch Cuts Ratings on 2007-5R Resecuritizarion
----------------------------------------------------------------
Fitch Ratings downgrades the rating on Structured Asset Securities
Corporation 2007-5R, which is a U.S. RMBS resecuritization, as
part of Fitch's on going review of Alt-A RMBS transactions. The
affected classes represent a beneficial ownership interest in
separate trust funds.
The underlying securities remaining in Structured Asset Securities
Corporation 2007-5R consist of Lehman Mortgage Trust 2007-3 class
2A1 (rated 'CC/RR3' by Fitch), Structured Asset Securities
Corporation 2004-20 class AP (rated 'A/LS1'; Outlook Stable by
Fitch), Structured Asset Securities Corporation 2005-1 class AP
(rated 'B/LS1; Outlook Negative by Fitch), Structured Asset
Securities Corporation 2005-5 class AP (rated 'CCC/RR3' by Fitch),
several Fannie Mae and Freddie Mac Principal Only bonds, and two
Freddie Mac IO strips.
The rating for Structured Asset Securities Corporation 2007-5R 1F
was based on the lowest rating of the underlying bonds, since the
class does not have credit enhancement provided by the re-remic
structure. In addition, a recovery rating was assigned on class
1F.
Structured Asset Securities Corporation 2007-5R
-- Class 1F downgraded to 'CC/RR2' from 'B'.
Fitch recently revised its surveillance methodology for prime and
Alt-A RMBS to include the use of the ResiLogic mortgage loss and
default model to determine a base-case loss expectation in
conjunction with a transaction specific assessment of the pools'
actual performance. The assessment helps determine the
adjustment, if any, to the ResiLogic base-case loss expectation
due to observed improvement or deterioration in the pools'
performance trends.
TBW MORTGAGE-BACKED: Moody's Takes Rating Actions on Two Tranches
-----------------------------------------------------------------
Moody's Investors Service has taken rating actions with respect to
the ratings of two tranches from TBW Mortgage-Backed Trust 2007-1.
These actions result in changes to ratings announced on
February 20, 2009.
The rating actions are being taken to correct an error identified
by Moody's with respect to the estimates used to calculate the
available credit support. The ratings have been adjusted to
reflect that the appropriate support provided by the Cl.A-7B to
Cl.A-3 and Cl.A-5 is 67% and 33% of the balance of class Cl.A-7B,
respectively. The actions listed below reflect Moody's updated
expected losses on the transaction.
The rating actions for the securities are:
Issuer: TBW Mortgage-Backed Trust 2007-1, Mortgage Pass-Through
Certificates, Series 2007-1
Pool current expect loss: 25.76% of original balance
-- Cl. A-3, Downgraded to Caa2; previously on 2/20/2009
Downgraded to A1
-- Cl. A-5, Downgraded to Caa2; previously on 2/20/2009
Downgraded to A1
The collateral backing the transaction consists primarily of
first-lien, fixed-rate, Alt-A mortgage loans. Moody's final
rating actions are based on current ratings, level of credit
enhancement, collateral performance and updated pool-level loss
expectations relative to current level of credit enhancement.
Moody's took into account credit enhancement provided by
seniority, cross-collateralization, excess spread, time tranching,
and other structural features within the senior note waterfalls.
Loss estimates are subject to variability and are sensitive to
assumptions used; as a result, realized losses could ultimately
turn out higher or lower than Moody's current expectations.
Moody's will continue to evaluate performance data as it becomes
available and will assess the pattern of potential future defaults
and adjust loss expectations accordingly as necessary.
The ratings on the notes were assigned by evaluating factors
determined to be applicable to the credit profile of the notes,
such as i) the nature, sufficiency, and quality of historical
performance information regarding the asset class as well as for
the transaction sponsor, ii) an analysis of the collateral, iii)
an analysis of the policies, procedures and alignment of interests
of the key parties to the transaction, most notably the originator
and the servicer, iv) an analysis of the transaction's allocation
of collateral cashflow and capital structure, v) an analysis of
the transaction's governance and legal structure, and (vi) a
comparison of these attributes against those of other similar
transactions.
TIERS LANDGROVE: Moody's Downgrades Ratings on 2007-2 Notes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating on notes issued by TIERS Landgrove Synthetic CDO SPC Series
2007-2, collateralized debt obligation transactions referencing a
managed portfolio of corporate entities. Moody's explained that
the rating actions taken are the result of the deterioration of
the credit quality of the reference portfolio. The 10 year
weighted average rating factor of the portfolio, not adjusted with
forward looking measures, has deteriorated from 303 initially to
746, equivalent to an average rating of the current portfolio of
Ba1. The reference portfolio includes an exposure to CIT Group,
Inc. and Ambac Assurance Corporation which have experienced
substantial credit migration in the past few months, and are now
rated Ca and Caa2, respectively. Since inception of the
transactions, the subordination of the rated tranches has been
reduced due to credit events on Lehman Brothers Inc., Washington
Mutual, Federal Home Loan Mortgage Corporation, Federal National
Mortgage Association and Capmark Financial Group. These credit
events lead to a decrease of approximately 2% of the subordination
for all classes. The Banking, Insurance and Sovereign and Public
Finance industry sectors are the most represented, weighing 12%,
16% and 10%, respectively, of the portfolio initial notional.
Moody's initially analyzed and continues to monitor these
transactions using primarily the methodology for Corporate
Synthetic Obligations as described in Moody's Special Report
below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (April 2009)
-- US$101M US$101,000,000 Class B Floating Rate Notes due 2017
Notes, Downgraded to Caa2; previously on Mar 11, 2009
Downgraded to Ba3
-- CLP4,200,000,000 Class C1 CLP Fixed Income Notes due 2017
Notes, Downgraded to Ca; previously on Mar 11, 2009
Downgraded to B3
-- US$3M US$3,000,000 Class C2 Floating Rate Notes due 2017
Notes, Downgraded to Ca; previously on Mar 11, 2009
Downgraded to B3
TIERS WOLCOTT: Moody's Downgrades Ratings on Various Notes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating on notes issued by TIERS Wolcott Synthetic CDO Floating
Rate Credit Linked Trust under Series 2007-26 and Series 2007-29,
collateralized debt obligation transactions referencing a managed
portfolio of corporate entities.
Moody's explained that the rating actions taken are the result of
the deterioration of the credit quality of the reference
portfolio. The 10 year weighted average rating factor of the
portfolio, not adjusted with forward looking measures, has
deteriorated from 245 initially to 770, equivalent to an average
rating of the current portfolio of Baa3. The reference portfolio
includes an exposure to CIT Group, Inc., and Ambac Financial Group
which have experienced substantial credit migration in the past
few months, and are now rated Ca and Caa2, respectively. Since
inception of the transaction, the subordination of the rated
tranches has been reduced due to credit events on Capmark
Financial Group, Lehman Brothers Inc., Washington Mutual, RH
Donnelly, Federal Home Loan Mortgage Corporation, Federal National
Mortgage Association and Idearc Inc. These credit events lead to
a decrease of approximately 3.5% of the subordination for both of
the series. The Banking, Finance, Insurance and Real Estate
industry sector are the most represented, weighting 12%, 15%, 16%
and 4%, respectively, of the portfolio initial notional.
Moody's initially analyzed and continues to monitor this
transaction using primarily the methodology for Corporate
Synthetic Obligations as described in Moody's Special Report
below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (April 2009)
The rating actions are:
Class Description: US$90,000,000 TIERS(R) Wolcott Synthetic CDO
Floating Rate Credit Linked Trust Certificates, Series 2007-26
-- Current Rating: Ca
-- Prior Rating Action Date: February 25, 2009
-- Prior Rating Action: Downgrade to B3 from Aa3
Class Description: US$30,000,000 TIERS(R) Wolcott Synthetic CDO
Floating Rate Credit Linked Trust Certificates, Series 2007-29
-- Current Rating: Ca
-- Prior Rating Action Date: February 25, 2009
-- Prior Rating Action: Downgrade to Caa3 from Baa3
WELLS FARGO: Moody's Takes Rating Actions on Two 2007-10 Tranches
-----------------------------------------------------------------
Moody's Investors Service has taken rating actions with respect to
the ratings of two tranches from Wells Fargo Mortgage Backed
Securities Trust 2007-10 which is collateralized by Prime Jumbo
mortgage loans. These actions result in changes to ratings
announced on April 29, 2009.
The rating actions are being taken to correct an error identified
by Moody's in its cash-flow runs that resulted in improper
calculations of the principal pro rata payment to senior tranches
after subordination depletion. Instead of calculating each senior
tranche's pro rata percentage based on the current balance as of
subordination depletion, the cash-flow runs calculated each senior
tranche's percentage as of their original balance.
To determine the updated ratings, Moody's first updated the loss
projection based on the latest performance trends of the
underlying collateral since the last action. Then, cash-flow
projections were re-run with the corrected model.
The rating actions are based on current ratings, level of credit
enhancement, collateral performance and updated pool-level loss
expectations relative to current level of credit enhancement.
Moody's took into account credit enhancement provided by
seniority, cross-collateralization, time tranching, and other
structural features within the senior note waterfalls.
Loss estimates are subject to variability and are sensitive to
assumptions used; as a result, realized losses could ultimately
turn out higher or lower than Moody's current expectations.
Moody's will continue to evaluate performance data as it becomes
available and will assess the pattern of potential future defaults
and adjust loss expectations accordingly as necessary.
The adjusted rating actions are:
Issuer: Wells Fargo Mtge Backed Securities 2007-10 Tr
-- Cl. 1-A-5, Upgraded to B2 from B3; previously on 4/29/2009
Downgraded to B3 from A2
-- Cl. 1-A-6, Downgraded to B3 from B2; previously on 4/29/2009
Downgraded to B2 from A2
The ratings on the certificates were assigned after evaluating
factors determined applicable to the credit profile of the
certificates, such as:
i) the nature, sufficiency, and quality of historical
performance information available for the asset class as well
as for the transaction sponsor,
ii) collateral analysis,
iii) an analysis of the policies, procedures and alignment of
interests of the key parties to the transaction, most notably
the originator and the servicer,
iv) an analysis of the transaction's allocation of collateral
cashflow and capital structure,
v) an analysis of the transaction's governance and legal
structure, and
vi) a comparison of these attributes against those of other
similar transactions.
WHITEHORSE III: Moody's Downgrades Ratings on Various Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Whitehorse III Ltd.:
-- US$254,000,000 Class A-1L Floating Rate Notes Due May 2018,
Downgraded to Aa1; previously on February 22, 2006 Assigned
Aaa;
-- US$30,000,000 Class A-2L Floating Rate Notes Due May 2018
(current balance of $18,500,000), Downgraded to A2;
previously on March 4, 2009 Aa2 Placed Under Review for
Possible Downgrade;
-- US$19,000,000 Class A-3L Floating Rate Notes Due May 2018,
Downgraded to Ba1; previously on March 17, 2009 Downgraded to
Baa3 and Placed Under Review for Possible Downgrade;
-- US$12,000,000 Class B-1L Floating Rate Notes Due May 2018,
Downgraded to B1; previously on March 17, 2009 Downgraded to
Ba3 and Placed Under Review for Possible Downgrade.
In addition, Moody's has confirmed the rating of these notes:
-- US$12,000,000 Class B-2L Floating Rate Notes Due May 2018
(current balance of $10,719,682), Confirmed at B3; previously
on March 17, 2009 Downgraded to B3 and Placed Under Review
for Possible Downgrade.
According to Moody's, the rating actions taken on the notes are a
result of credit deterioration of the underlying portfolio. The
actions also reflect Moody's revised assumptions with respect to
default probability, the treatment of ratings on "Review for
Possible Downgrade" or with a "Negative Outlook," and the
calculation of the Diversity Score. The revised assumptions that
have been applied to all corporate credits in the underlying
portfolio are described in the press release dated February 4,
2009, titled "Moody's updates key assumptions for rating CLOs."
Moody's analysis also reflects the expectation that recoveries for
second lien loans will be below their historical averages,
consistent with Moody's research.
Credit deterioration is observed through a decline in the average
credit rating (as measured by the weighted average rating factor),
an increase in the dollar amount of defaulted securities, and an
increase in the proportion of securities from issuers rated Caa1
and below. In particular, the weighted average rating factor has
increased over the last year and is currently 2584 versus a test
level of 2535 as of the last trustee report, dated July 23, 2009.
Based on the same report, defaulted securities total about
$19.3 million, accounting for roughly 5.6% of the collateral
balance, and securities rated Caa1 or lower make up approximately
10% of the underlying portfolio.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Whitehorse III Ltd., issued in February of 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, specific
documentation features, the collateral manager's track record, and
the potential for selection bias in the portfolio. All
information available to rating committees, including
macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
* Moody's Downgrades Ratings on GS CDS of Corporate Entities
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
ratings on GS CDSs (Ref. # SDB506494104, SDB506546906,
SDB506546935, SDB506546943, SDB506546950, SDB506546955,
SDB506547004), collateralized debt obligation transactions
referencing a managed portfolio of corporate entities. These
seven CSOs are credit default swaps with Goldman Sachs referencing
the Class 7A1 of Landgrove Synthetic CDO SPC Series 2007-2.
Moody's explained that the rating actions taken are the result of
the deterioration of the credit quality of the reference
portfolio. The 10 year weighted average rating factor of the
portfolio, not adjusted with forward looking measures, has
deteriorated from 303 initially to 746, equivalent to an average
rating of the current portfolio of Ba1. The reference portfolio
includes an exposure to CIT Group, Inc., and Ambac Assurance
Corporation which have experienced substantial credit migration in
the past few months, and are now rated Ca and Caa2, respectively.
Since inception of the transactions, the subordination of the
rated tranches has been reduced due to credit events on Lehman
Brothers Inc., Washington Mutual, Federal Home Loan Mortgage
Corporation, Federal National Mortgage Association and Capmark
Financial Group. These credit events lead to a decrease of
approximately 2% of the subordination for all classes. The
Banking, Insurance and Sovereign and Public Finance industry
sector are the most represented, weighing 12%, 16% and 10%,
respectively, of the portfolio initial notional.
Moody's initially analyzed and continues to monitor these
transactions using primarily the methodology for Corporate
Synthetic Obligations as described in Moody's Special Report
below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (April 2009)
Issuer: GS CDS (Ref. # SDB506494104)
-- US$5,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Downgraded
to B1; previously on Feb 25, 2009 Downgraded to Baa3
Issuer: GS CDS (Ref. # SDB506546906)
-- US$6,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Downgraded
to B1; previously on Feb 25, 2009 Downgraded to Baa3
Issuer: GS CDS (Ref. # SDB506546935)
-- US$5,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Downgraded
to B1; previously on Feb 25, 2009 Downgraded to Baa3
Issuer: GS CDS (Ref. # SDB506546943)
-- US$5,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Downgraded
to B1; previously on Feb 25, 2009 Downgraded to Baa3
Issuer: GS CDS (Ref. # SDB506546950)
-- US$3,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Downgraded
to B1; previously on Feb 25, 2009 Downgraded to Baa3
Issuer: GS CDS (Ref. # SDB506546955)
-- US$3,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Downgraded
to B1; previously on Feb 25, 2009 Downgraded to Baa3
Issuer: GS CDS (Ref. # SDB506547004)
-- US$3,000,000 Credit Default Swap Referencing Class 7A1 of
Landgrove Synthetic CDO SPC Series 2007-2 Notes, Downgraded
to B1; previously on Feb 25, 2009 Downgraded to Baa3
* S&P Downgrades Ratings on 48 Tranches From 27 Hybrid CDO Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 48
tranches from 27 U.S. cash flow and hybrid collateralized debt
obligation transactions. At the same time, S&P removed 41 of the
lowered ratings from CreditWatch with negative implications. The
ratings on four of the downgraded tranches remain on CreditWatch
with negative implications, indicating a significant likelihood of
further downgrades. S&P also withdrew its ratings on one tranche
from Duke Funding VI MM/MTN and one tranche from Restructured
Asset Backed Securities 2003-3, which were both paid in full. In
addition, S&P withdrew its rating from one tranche from Whitehawk
CDO Funding, which rolled over to a new money market tranche.
The CDO downgrades reflect a number of factors, including credit
deterioration and recent negative rating actions on U.S. subprime
residential mortgage-backed securities. The CreditWatch
placements primarily affect transactions for which a significant
portion of the collateral assets currently have ratings on
CreditWatch with negative implications or have significant
exposure to assets rated in the 'CCC' category.
The 48 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $14.032 billion. Sixteen of the 27 affected
transactions are mezzanine structured finance CDOs of asset-backed
securities, which are collateralized in large part by mezzanine
tranches of RMBS and other SF securities. Seven of the 27
transactions are high-grade SF CDOs of ABS that were
collateralized at origination primarily by 'AAA' through 'A' rated
tranches of RMBS and other SF securities. Another three of the 27
transactions are CDOs of CDOs that were collateralized at
origination primarily by notes from other CDOs, as well as by
tranches from RMBS and other SF transactions. The other
transaction is a retranching of other CDO tranches.
In addition, Standard & Poor's reviewed the ratings assigned to
126 tranches, and based on S&P's assessment of current credit
support available to them, has left them at their current levels.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Acacia CDO 7 Ltd. A BB/Watch Neg A+/Watch Neg
Acacia CDO 7 Ltd. B CC BB+/Watch Neg
Acacia CDO 7 Ltd. C CC B-/Watch Neg
Acacia Option ARM 1 CDO A-1J CC CCC/Watch Neg
Acacia Option ARM 1 CDO A-1S CC B-/Watch Neg
Adrastea SHG 2007-1 Ltd. A1M CC B/Watch Neg
Adrastea SHG 2007-1 Ltd. A1M Unfd CC B/Watch Neg
Adrastea SHG 2007-1 Ltd. A1Q CC CCC-/Watch Neg
Anderson Mezzanine A-1a CC CCC/Watch Neg
Funding 2007-1 Ltd.
Anderson Mezzanine A-1b CC CCC/Watch Neg
Funding 2007-1 Ltd.
Bering CDO I Ltd. A-1S1 CC BB/Watch Neg
Duke Funding IX Ltd. A1 CC BB+/Watch Neg
Duke Funding IX Ltd. A2F CC CCC/Watch Neg
Duke Funding IX Ltd. A2V CC CCC/Watch Neg
Duke Funding VI MM/MTN Series 1 NR/NR AAA/A-1+
Fortius I Funding Ltd. A-1 CC CCC/Watch Neg
Fortius I Funding Ltd. A-2 CC CCC-/Watch Neg
Gemstone CDO VII Ltd. A-1a CC BB+/Watch Neg
HSPI Diversified CDO Fund I S CCC- BB+/Watch Neg
HSPI Diversified CDO FundII S CCC BB+/Watch Neg
Ischus CDO I Ltd. A-1 AA+/Watch Neg AAA/Watch Neg
Ischus CDO I Ltd. A-2 BBB+/Watch Neg AA-/Watch Neg
Ischus CDO I Ltd. B CCC+/Watch Neg BB/Watch Neg
Ischus CDO I Ltd. C-1 CC CCC/Watch Neg
Ischus CDO I Ltd. C-2 CC CCC/Watch Neg
Istana High Grade ABS CDO I A-1 CC BB+/Watch Neg
Kleros Real Estate CDO I A-1A CC B/Watch Neg
Kleros Real Estate CDO I A-1B CC CCC-/Watch Neg
Kleros Real Estate CDO II A-1A CC B-/Watch Neg
Knollwood CDO II Ltd. A-1VF CC BB-/Watch Neg
Knollwood CDO II Ltd. A-2S CC CCC/Watch Neg
Lenox CDO Ltd. A-1S CCC- BB+/Watch Neg
Liberty Harbour CDO 2005-1 A LT-1 CC BB/Watch Neg
Longshore CDO Fnding 2006-2 A-1 CC B-/Watch Neg
Madaket Funding I Ltd. A1M CC BB-/Watch Neg
Madaket Funding I Ltd. A1Q CC BB-/Watch Neg
Madaket Funding I Ltd. A2 CC CCC-
North Cove CDO Ltd. A CC B-/Watch Neg
Pine Mountain CDO III A-1 CC B-/Watch Neg
Pine Mountain CDO III A-2 CC CCC-/Watch Neg
Restructured Asset Backed A-2 NR AAA
Securities (RABS) 2003-3
Restructured Asset Backed A-3 CCC+ A-
Securities (RABS) 2003-3
Skybox CDO Ltd. A CC BB-/Watch Neg
Skybox CDO Ltd. B CC B-/Watch Neg
Sunrise CDO I Ltd. A CCC+ BB+
Trainer Wortham First A-1L CCC BB+/Watch Neg
Republic CBO II Ltd.
Wadsworth CDO Ltd. A-1A CC BB+/Watch Neg
Wadsworth CDO Ltd. A-1B CC BB+/Watch Neg
Whitehawk CDO Funding A-1mmi NR/NR BBB+/A-1+/WatchNeg
Zenith Funding Ltd. A-1 CC B-/Watch Neg
Zenith Funding Ltd. F CC B-/Watch Neg
Other Ratings Reviewed
Transaction Class Rating
----------- ----- ------
Acacia CDO 7 Ltd. D CC
Acacia CDO 7 Ltd. E CC
Acacia Option ARM 1 CDO A-2 CC
Acacia Option ARM 1 CDO A-3 CC
Acacia Option ARM 1 CDO B CC
Adirondack 2005-2 Ltd. A-1LT-a A-/Watch Neg
Adirondack 2005-2 Ltd. A-1LT-b A-/Watch Neg
Adirondack 2005-2 Ltd. A-2 BBB-/Watch Neg
Adirondack 2005-2 Ltd. B B/Watch Neg
Adirondack 2005-2 Ltd. C CCC-/Watch Neg
Adirondack 2005-2 Ltd. D CC
Adirondack 2005-2 Ltd. E CC
Adrastea SHG 2007-1 Ltd. A2 CC
Adrastea SHG 2007-1 Ltd. A3 CC
Adrastea SHG 2007-1 Ltd. A4 CC
Adrastea SHG 2007-1 Ltd. B CC
Anderson Mezzanine S BB/Watch Neg
Funding 2007-1 Ltd.
Anderson Mezzanine A-2 CC
Funding 2007-1 Ltd.
Anderson Mezzanine B CC
Funding 2007-1 Ltd.
Anderson Mezzanine C CC
Funding 2007-1 Ltd.
Anderson Mezzanine D CC
Funding 2007-1 Ltd.
Bering CDO I Ltd. A-1J CC
Bering CDO I Ltd. A-1S2 CC
Bering CDO I Ltd. A-2 CC
Bering CDO I Ltd. A-3 CC
Bering CDO I Ltd. B CC
Bering CDO I Ltd. C CC
Dawn CDO I Ltd. A BB
Dawn CDO I Ltd. B CCC-
Duke Funding IX Ltd. A3F CC
Duke Funding IX Ltd. A3V CC
Duke Funding IX Ltd. B CC
Fortius I Funding Ltd. B CC
Fortius I Funding Ltd. C CC
Fortius I Funding Ltd. D CC
Fortius I Funding Ltd. E CC
Fortius I Funding Ltd. S AAA
Gemstone CDO VII Ltd. A-1b CC
Gemstone CDO VII Ltd. A-2 CC
Gemstone CDO VII Ltd. B CC
Gemstone CDO VII Ltd. C CC
Gemstone CDO VII Ltd. D CC
Gemstone CDO VII Ltd. E CC
HSPI Diversified CDO A-1 CC
Fund I Ltd.
HSPI Diversified CDO A-2 CC
Fund I Ltd.
HSPI Diversified CDO A-3 CC
Fund I Ltd.
HSPI Diversified CDO B CC
Fund I Ltd.
HSPI Diversified CDO C CC
Fund I Ltd.
HSPI Diversified CDO A-1 CC
Fund II Ltd.
HSPI Diversified CDO A-2 CC
Fund II Ltd.
HSPI Diversified CDO A-3 CC
Fund II Ltd.
HSPI Diversified CDO A-4 CC
Fund II Ltd.
HSPI Diversified CDO B-1 CC
Fund II Ltd.
HSPI Diversified CDO C CC
Fund II Ltd.
HSPI Diversified CDO Comp Oblig CC
Fund II Ltd.
HSPI Diversified CDO D CC
Fund II Ltd.
Ischus CDO I Ltd. Combo Secs CC
Istana High Grade ABS A-2 CC
CDO I Ltd.
Istana High Grade ABS A-3 CC
CDO I Ltd.
Istana High Grade ABS A-4 CC
CDO I Ltd.
Istana High Grade ABS B CC
CDO I Ltd.
Istana High Grade ABS C CC
CDO I Ltd.
Istana High Grade ABS D CC
CDO I Ltd.
Istana High Grade ABS E CC
CDO I Ltd.
Kleros Real Estate CDO I A-2 CC
Kleros Real Estate CDO I B CC
Kleros Real Estate CDO I C CC
Kleros Real Estate CDO I D CC
Kleros Real Estate CDO A-1B CC
II Ltd.
Kleros Real Estate CDO A-2 CC
II Ltd.
Kleros Real Estate CDO B CC
II Ltd.
Kleros Real Estate CDO C CC
II Ltd.
Kleros Real Estate CDO D CC
II Ltd.
Kleros Real Estate CDO E CC
II Ltd.
Knollwood CDO II Ltd. A-2J CC
Knollwood CDO II Ltd. B CC
Knollwood CDO II Ltd. C CC
Knollwood CDO II Ltd. D CC
Knollwood CDO II Ltd. E CC
Lenox CDO Ltd. A-1J CC
Lenox CDO Ltd. A-2 CC
Lenox CDO Ltd. B-1 CC
Lenox CDO Ltd. B-2 CC
Lenox CDO Ltd. C CC
Lenox CDO Ltd. D CC
Lenox CDO Ltd. E-1 CC
Lenox CDO Ltd. E-2 CC
Liberty Harbour CDO Ltd. B CC
2005-1
Liberty Harbour CDO Ltd. C CC
2005-1
Liberty Harbour CDO Ltd. Combo nts CC
2005-1
Liberty Harbour CDO Ltd. D CC
2005-1
Longshore CDO Funding A-2 CC
2006-2 Ltd.
Longshore CDO Funding B CC
2006-2 Ltd.
Longshore CDO Funding C-1 CC
2006-2 Ltd.
Longshore CDO Funding C-2 CC
2006-2 Ltd.
Longshore CDO Funding D CC
2006-2 Ltd.
Madaket Funding I Ltd. A3 CC
Madaket Funding I Ltd. A4 CC
Madaket Funding I Ltd. B CC
Madaket Funding I Ltd. C CC
Madaket Funding I Ltd. D CC
North Cove CDO Ltd. B CC
North Cove CDO Ltd. C CC
North Cove CDO Ltd. D CC
Pine Mountain CDO III A-3 CC
Pine Mountain CDO III A-4 CC
Pine Mountain CDO III B CC
Pine Mountain CDO III C CC
Pine Mountain CDO III D CC
Pine Mountain CDO III E CC
Skybox CDO Ltd. C CC
Skybox CDO Ltd. D CC
Sunrise CDO I Ltd. B CC
Sunrise CDO I Ltd. C CC
Trainer Wortham First A-2L CC
Republic CBO II Ltd.
Trainer Wortham First A-3L CC
Republic CBO II Ltd.
Trainer Wortham First B-1L CC
Republic CBO II Ltd.
Trainer Wortham First Pfd shares CC
Republic CBO II Ltd.
Wadsworth CDO Ltd. A-2 CC
Wadsworth CDO Ltd. B CC
Wadsworth CDO Ltd. C CC
Wadsworth CDO Ltd. D CC
Wadsworth CDO Ltd. S-1A CC
Zenith Funding Ltd. A-2 CC
Zenith Funding Ltd. B CC
Zenith Funding Ltd. C CC
* S&P Downgrades Ratings on 89 Classes From 23 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 89
classes from 23 U.S. residential mortgage-backed securities
transactions backed primarily by scratch-and-dent mortgage loan
collateral and issued in 2002 through 2007. S&P removed 43 of the
lowered ratings from CreditWatch with negative implications.
Additionally, S&P affirmed S&P's ratings on 80 classes from 16
transactions and removed 33 of the affirmed ratings from
CreditWatch negative.
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned pipelines, as well as S&P's
projection of future defaults. S&P also incorporated cumulative
losses to date in S&P's analysis when assessing rating outcomes.
S&P derived its loss assumptions using S&P's criteria listed in
the "Related Research" section below. As part of S&P's analysis,
S&P considered the characteristics of the underlying mortgage
collateral, as well as macroeconomic influences. For example, the
risk profile of the underlying mortgage pools influences S&P's
default projections, while S&P's outlook for housing price
declines and the health of the housing market influence S&P's loss
severity assumptions. Furthermore, S&P adjusted S&P's loss
expectations for each deal based on upward trends in
delinquencies.
To maintain a 'AAA' rating, S&P consider whether a class is able
to withstand approximately 150% of S&P's base-case loss
assumptions, subject to individual caps and qualitative factors
assumed on specific transactions. For a class for which we've
affirmed a 'B' rating, S&P consider whether a bond is able to
withstand S&P's base-case loss assumptions. To maintain a rating
in categories between 'B' (the base case) and 'AAA', S&P assess
whether the class can withstand losses exceeding the base-case
assumption at a percentage specific to each rating category, up to
150% for a 'AAA' rating. For example, S&P would assess whether
one class could withstand approximately 110% of S&P's base-case
loss assumptions to maintain a 'BB' rating, while S&P would assess
whether a different class could withstand approximately 120% of
S&P's base-case loss assumptions to maintain a 'BBB' rating.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is not sufficient
to cover losses at the previous rating levels, given S&P's current
projected losses. The affirmations reflect S&P's belief that
there is sufficient credit enhancement to support the ratings at
their current levels. Certain senior classes also benefit from
senior-support classes that would provide support to a certain
extent before any applicable losses could affect the super-senior
certificates. The subordination of classes within each structure
provides credit support for the affected transactions.
The collateral backing these deals originally consisted
predominantly of re-performing, outside-the-guidelines, and
document-deficient first-lien, fixed-rate, and adjustable-rate,
residential mortgage loans secured by one- to four-family
properties.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether, in S&P's view,
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P deem
appropriate.
Rating Actions
2002-CB6 Trust
Series 2002-CB6
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2V 12489WGD0 B A
M-2F 12489WGE8 B A
B-1 12489WGF5 CCC BB
Bayview Financial Mortgage Pass-Through Trust 2006-C
Series 2006-C
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 07325DAN4 BB A/Watch Neg
1-A3 07325DAD6 AAA AAA/Watch Neg
1-A1 07325DAB0 AAA AAA/Watch Neg
M-4 07325DAP9 CC A-/Watch Neg
M-2 07325DAM6 AA- AA-/Watch Neg
M-1 07325DAL8 AA AA/Watch Neg
2-A4 07325DAK0 AAA AAA/Watch Neg
2-A3 07325DAJ3 AAA AAA/Watch Neg
2-A2 07325DAH7 AAA AAA/Watch Neg
1-A5 07325DAF1 AAA AAA/Watch Neg
1-A4 07325DAE4 AAA AAA/Watch Neg
1-A2 07325DAC8 AAA AAA/Watch Neg
Bayview Financial Mortgage Pass-Through Trust 2007-A
Series 2007-A
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 07325VAQ7 CCC BBB+
M-1 07325VAL8 A AA
M-2 07325VAM6 BB AA-
M-4 07325VAP9 CCC A-
B-3 07325VAS3 CC BBB-
B-2 07325VAR5 CC BBB
M-3 07325VAN4 CCC A
Bayview Financial Mortgage Pass-Through Trust 2007-B
Series 2007-B
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A2 07324FAC4 AAA AAA/Watch Neg
M-4 07324FAP5 CC A-/Watch Neg
M-3 07324FAN0 CC A/Watch Neg
M-2 07324FAM2 CCC AA-/Watch Neg
M-1 07324FAL4 CCC AA/Watch Neg
2-A4 07324FAK6 CCC AAA/Watch Neg
2-A3 07324FAJ9 CCC AAA/Watch Neg
2-A2 07324FAH3 AAA AAA/Watch Neg
2-A1 07324FAG5 AAA AAA/Watch Neg
1-A5 07324FAF7 B AAA/Watch Neg
1-A3 07324FAD2 AAA AAA/Watch Neg
1-A1 07324FAB6 AAA AAA/Watch Neg
B-1 07324FAQ3 D BBB+/Watch Neg
A-IO 07324FAA8 AAA AAA/Watch Neg
1-A4 07324FAE0 B AAA/Watch Neg
Bear Stearns Asset Backed Securities Trust 2005-1
Series 2005-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-6 073877BA9 CCC BB
M-3 073877AX0 BB A-
M-4 073877AY8 B BBB+
M-5 073877AZ5 CCC BBB
GMACM Mortgage Loan Trust 2003-GH1
Series 2003-GH1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-5 36185NXR6 AAA AAA/Watch Neg
GSAMP Trust 2005-SEA2
Series 2005-SEA2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 362341TR0 BBB BBB+
B-2 362341TS8 B BBB-
GSRPM Mortgage Loan Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 362334NU4 AAA AAA/Watch Neg
A-2 362334QF4 AAA AAA/Watch Neg
A-3 362334QG2 AAA AAA/Watch Neg
M-1 362334NV2 AA+ AA+/Watch Neg
M-2 362334NW0 BB AA-/Watch Neg
B-1 362334NX8 CCC A/Watch Neg
B-2 362334NY6 CCC BB/Watch Neg
MASTR Specialized Loan Trust 2006-03
Series 2006-03
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 57643BAD0 CC AA-/Watch Neg
A 57643BAA6 B AAA/Watch Neg
M-2 57643BAC2 CC AA/Watch Neg
M-4 57643BAE8 CC A+/Watch Neg
M-5 57643BAF5 CC A/Watch Neg
M-7 57643BAH1 D BBB+/Watch Neg
M-1 57643BAB4 CCC AA+/Watch Neg
M-6 57643BAG3 CC A-/Watch Neg
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1
Series 2007-SD1
Rating
------
Class CUSIP To From
----- ----- -- ----
A 590232AA2 CCC AAA/Watch Neg
M-1 590232AB0 CC AA/Watch Neg
M-2 590232AC8 CC A/Watch Neg
Option One Woodbridge Loan Trust 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M 68401NAE1 BBB-/Watch Neg BBB
Quest Trust 2003-X4
Series 2003-X4
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 03072SMJ1 CCC BB
M-3 03072SMK8 CC B
Quest Trust 2004-X1
Series 2004-X1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 03072SPT6 CCC BB
A 03072SPS8 AA AA/Watch Neg
Quest Trust 2004-X2
Series 2004-X2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-3 03072SSY2 BB BBB+
M-4 03072SSZ9 CCC BB-
M-5 03072STA3 D CCC
Quest Trust 2004-X3
Series 2004-X3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-6 03072SWH4 CC CCC
M-3 03072SWE1 BB BBB+
M-4 03072SWF8 CCC BB
M-5 03072SWG6 CC B-
Quest Trust 2005-X1
Series 2005-X1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-6 03072SZP3 CCC BBB-
M-8 03072SZR9 CC BB+
M-7 03072SZQ1 CCC BBB-
M-5 03072SZN8 B BBB
Quest Trust 2006-X1
Series 2006-X1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 748351AU7 CCC BBB-/Watch Neg
M-4 748351AW3 CC BB-/Watch Neg
M-3 748351AV5 CC BB/Watch Neg
M-1 748351AT0 CCC BBB/Watch Neg
A-3 748351AS2 B A/Watch Neg
A-2 748351AR4 B A/Watch Neg
RAMP Series 2003-RS11 Trust
Series 2003-RS11
Rating
------
Class CUSIP To From
----- ----- -- ----
M-II-5 760985L58 CC BB
M-II-4 760985L41 CC BBB
M-II-3 760985L33 CCC A-
A-I-6B 760985L66 AAA AAA/Watch Neg
M-I-3 760985K67 B BB
RAMP Series 2003-RS6 Trust
Series 2003-RS6
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I-4 760985XJ5 A A/Watch Neg
A-II-A 760985XM8 BB BB/Watch Neg
A-II-B 760985XN6 BB BB/Watch Neg
A-I-6 760985XL0 BBB A/Watch Neg
A-I-5 760985XK2 BBB A/Watch Neg
RAMP Series 2003-RS9 Trust
Series 2003-RS9
Rating
------
Class CUSIP To From
----- ----- -- ----
M-II-4 760985B67 CC B+
A-I-6B 760985B83 AAA AAA/Watch Neg
M-I-2 760985A92 BB- BBB
M-I-3 760985B26 CCC B
M-II-5 760985B75 CC B
M-II-3 760985B59 CCC BB
M-II-2 760985B42 CCC BBB+
Security National Mortgage Loan Trust 2005-2
Series 2005-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 81441PCQ2 BB AA
M-2 81441PCR0 CCC BB
Structured Asset Securities Corporation
Series 2006-RF1
Rating
------
Class CUSIP To From
----- ----- -- ----
B2 86359DXT9 B A
B3 86359DXU6 CCC BBB
B4 86359DXV4 CC CCC
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2006-GEL4
Rating
------
Class CUSIP To From
----- ----- -- ----
M6 86361NAJ0 CC BBB+/Watch Neg
M3 86361NAF8 CCC AA-/Watch Neg
M2 86361NAE1 B AA/Watch Neg
M5 86361NAH4 CCC A/Watch Neg
A3 86361NAC5 AAA AAA/Watch Neg
M1 86361NAD3 BB AA/Watch Neg
A2 86361NAB7 AAA AAA/Watch Neg
M4 86361NAG6 CCC A+/Watch Neg
A1 86361NAA9 AAA AAA/Watch Neg
M7 86361NAK7 CC BBB/Watch Neg
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2005-GEL4
Rating
------
Class CUSIP To From
----- ----- -- ----
M3 86359DRN9 BB A+/Watch Neg
M4 86359DRP4 CCC A-/Watch Neg
M1 86359DRL3 AAA AAA/Watch Neg
A 86359DRK5 AAA AAA/Watch Neg
M5 86359DRQ2 CC BBB+/Watch Neg
M2 86359DRM1 AA+ AA+/Watch Neg
Ratings Affirmed
2002-CB6 Trust
Series 2002-CB6
Class CUSIP Rating
----- ----- ------
M-1 12489WGC2 AAA
Bayview Financial Mortgage Pass-Through Trust 2007-A
Series 2007-A
Class CUSIP Rating
----- ----- ------
1-A1 07325VAB0 AAA
A-IO 07325VAA2 AAA
1-A2 07325VAC8 AAA
1-A5 07325VAF1 AAA
1-A3 07325VAD6 AAA
1-A4 07325VAE4 AAA
2-A 07325VAG9 AAA
Bear Stearns Asset Backed Securities Trust 2005-1
Series 2005-1
Class CUSIP Rating
----- ----- ------
M-2 073877AW2 A
M-1 073877AV4 AA
GMACM Mortgage Loan Trust 2003-GH1
Series 2003-GH1
Class CUSIP Rating
----- ----- ------
M-2 36185NXT2 A
B 36185NXU9 BBB
M-1 36185NXS4 AA
GSAMP Trust 2005-SEA2
Series 2005-SEA2
Class CUSIP Rating
----- ----- ------
A-1 362341TM1 AAA
A-2 362341TN9 AAA
M-1 362341TP4 AA+
M-2 362341TQ2 AA-
Option One Woodbridge Loan Trust 2004-1
Series 2004-1
Class CUSIP Rating
----- ----- ------
A 68401NAD3 AAA
Quest Trust 2003-X2
Series 2003-X2
Class CUSIP Rating
----- ----- ------
M-1 03072SHN8 AAA
M-2 03072SHP3 AA
Quest Trust 2003-X4
Series 2003-X4
Class CUSIP Rating
----- ----- ------
M-1 03072SMH5 AA-
Quest Trust 2004-X2
Series 2004-X2
Class CUSIP Rating
----- ----- ------
M-1 03072SSW6 AA
M-2 03072SSX4 A
Quest Trust 2004-X3
Series 2004-X3
Class CUSIP Rating
----- ----- ------
M-2 03072SWD3 A
M-1 03072SWC5 AA
Quest Trust 2005-X1
Series 2005-X1
Class CUSIP Rating
----- ----- ------
M-4 03072SZM0 BBB+
M-3 03072SZL2 A-
M-2 03072SZK4 A
M-1 03072SZJ7 AA
Quest Trust 2005-X2
Series 2005-X2
Class CUSIP Rating
----- ----- ------
A-2 748351AF0 CCC
RAMP Series 2003-RS11 Trust
Series 2003-RS11
Class CUSIP Rating
----- ----- ------
M-II-2 760985L25 A
A-I-6A 760985K26 AAA
A-I-7 760985K34 AAA
M-II-1 760985K91 AA
M-I-2 760985K59 A
M-I-1 760985K42 AA
RAMP Series 2003-RS9 Trust
Series 2003-RS9
Class CUSIP Rating
----- ----- ------
A-I-7 760985A50 AAA
M-I-1 760985A84 AA
M-II-1 760985B34 AA
A-I-6A 760985A43 AAA
Security National Mortgage Loan Trust 2005-2
Series 2005-2
Class CUSIP Rating
----- ----- ------
A-2 81441PCN9 AAA
A-4 81441PCT6 AAA
A-3 81441PCP4 AAA
Structured Asset Securities Corporation
Series 2006-RF1
Class CUSIP Rating
----- ----- ------
1-A 86359DXP7 AAA
1-AIO 86359DXQ5 AAA
2-A 86359DXR3 AAA
B1 86359DXS1 AA
* S&P Downgrades Ratings on 835 Classes of Mortgage Certs. to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
835 classes of mortgage pass-through certificates from 767 U.S.
residential mortgage-backed securities transactions. S&P removed
45 of the lowered ratings from 41 of the downgraded transactions
from CreditWatch with negative implications. In addition, S&P
placed 262 other ratings from 36 of the affected transactions on
CreditWatch with negative implications. The ratings on 420
additional classes from 85 of these transactions remain on
CreditWatch with negative implications.
Approximately 86.35% of the defaults affected transactions backed
by Alternative-A or subprime collateral. The 835 defaulted
classes consisted of these:
-- 439 classes from Alt-A transactions (52.57% of all defaults);
-- 282 from subprime transactions (33.77% of all defaults);
-- 68 from prime jumbo transactions;
-- 13 from reperforming transactions;
-- 11 from closed-end second-lien transactions;
-- Seven from home equity line of credit (HELOC) transactions;
-- Seven from outside-the-guidelines transactions;
-- Two from re-REMIC (resecuritized real estate mortgage
investment conduit) transactions;
-- Two from risk-transfer transactions;
-- One from a document-deficient transaction;
-- One from a first-lien high loan-to-value transaction;
-- One from a prime conforming transaction; and
-- One from a seasoned loans transaction.
The downgrades reflect S&P's assessment of principal write-downs
on the affected classes during recent remittance periods. The
CreditWatch placements reflect the fact that the affected classes
are within a group that includes a class that defaulted from a
'B-' rating or higher. S&P lowered approximately 91.50% of the
ratings from the 'CCC' or 'CC' rating categories, and S&P lowered
approximately 97% of the ratings from a speculative-grade
category.
S&P expects to resolve the CreditWatch placements affecting these
transactions after S&P complete its reviews of the underlying
credit enhancement. Standard & Poor's will continue to monitor
its ratings on securities that experience principal write-downs
and adjust the ratings as S&P deem appropriate.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers'
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com/
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland,
USA. Danilo Munnoz, Joseph Medel C. Martirez, Denise Marie
Varquez, Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez,
Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez,
Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2009. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
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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 $775 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 Christopher
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*** End of Transmission ***