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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, October 11, 2009, Vol. 13, No. 281
Headlines
ACACIA CDO: Fitch Downgrades Ratings on Five Classes of Notes
AERCO LIMITED: Fitch Takes Rating Actions on Various Classes
AMERICAN HOME: Moody's Corrects Ratings on Four Tranches
ARCAP 2005-RR5: Fitch Downgrades Ratings on 15 Classes of Notes
ARES HIGH: Fitch Downgrades Ratings on 16 Classes of Notes
BEAR STEARNS: Moody's Corrects Ratings on Four 2007-AR1 Tranches
BENEDICT COLLEGE: Moody's Affirms 'B3' Rating on Revenue Bonds
BEXAR COUNTY: Moody's Junks Ratings on Housing Revenue Bonds
BLACKROCK SENIOR: Moody's Downgrades Ratings on Various Classes
BRAZIL GLOBAL: Moody's Upgrades Ratings on Depositary Receipts
CALLIDUS DEBT: Moody's Downgrades Ratings on Four Classes of Notes
CARLYLE HIGH: Moody's Downgrades Ratings on Four Classes of Notes
CARRINGTON MORTGAGE: Moody's Downgrades Ratings on Six Securities
CELERITY CLO: Moody's Downgrades Ratings on Various Classes
CITICORP MTG: Moody's Downgrades Rating on 1994-05 Tranche
CITIGROUP COMMERCIAL: Fitch Cuts Ratings on 17 2007-C6 Certs.
CITIGROUP COMMERCIAL: Fitch Takes Rating Actions on 2006-C4 Certs.
CITIGROUP MORTGAGE: Moody's Cuts Rating on Class 13A2 to 'C-'
CITY OF PONTIAC BUILDING: Moody's Cuts Ratings on 2002 Bonds to B1
COCONINO COUNTY: Fitch Assigns 'BB+' Rating on $14.7 Mil. Bonds
COLUMBUSNOVA CLO: Moody's Downgrades Ratings on Class B Notes
CORTS TRUST: S&P Puts 'BB+' Rating on $27 Mil. Fixed-Rate Certs.
CREDIT LINKED: Moody's Downgrades Ratings on 2006-1 Notes
CREDIT SUISSE: S&P Downgrades Ratings on 18 2006-C3 Securities
CREDIT SUISSE: S&P Downgrades Ratings on 23 2007-C4 Securities
CREDIT SUISSE: S&P Downgrades Ratings on 20 2008-C1 Securities
CRIIMI MAE: Fitch Downgrades Ratings on Two 1996-1 Notes
CSMC SERIES: S&P Downgrades Ratings on Five 2009-8R RMBS Deals
CUMBERLAND II: Moody's Downgrades Ratings on Class A Senior Notes
CWALT INC: Moody's Corrects Ratings on 18 Tranches From Six Deals
DENALI CAPITAL: Moody's Downgrades Ratings on Class A-2L Notes
DENALI CAPITAL: Moody's Downgrades Ratings on Various Classes
EATON VANCE: Moody's Downgrades Ratings on Class A Senior Notes
EMPORIA PREFERRED: Moody's Confirms Ratings on Class B Notes
FREEDOM 2000-1: Moody's Downgrades Ratings on Two Classes of Notes
GLOBAL LEVERAGED: Moody's Downgrades Ratings on Five Classes
GRAND HORN: Moody's Downgrades Ratings on Class B Senior Notes
GREENWICH CAPITAL: Fitch Downgrades Ratings on 15 2007-GG11 Certs.
GREENWICH CAPITAL: S&P Downgrades Ratings on 2006-FL4 Certificates
GUAM WATERWORKS: Fitch Affirms 'BB' Rating on $97.4 Mil. Bonds
HARBORVIEW MORTGAGE: Moody's Corrects Ratings on 2006-12 Tranches
HELIUM CAPITAL: S&P Withdraws 'CCC-' Ratings on Two Classes
HILLMARK FUNDING: Moody's Downgrades Ratings on Three Classes
INDUSTRIAL DEVELOPMENT: Fitch Assigns 'BB+' Rating on Bonds
INDYMAC IMSC: Moody's Corrects Ratings on Six 2007-HOA1 Tranches
ING INVESTMENT: Moody's Downgrades Ratings on Two Classes of Notes
JASPER CLO: Moody's Downgrades Ratings on Three Classes of Notes
JER CRE: Moody's Downgrades Ratings on 13 Classes of Notes
JP MORGAN: Fitch Downgrades Ratings on 15 Classes of Certs.
JP MORGAN: Fitch Downgrades Ratings on 2006-LDP9 Certificates
JP MORGAN: Moody's Downgrades Ratings on 13 2006-A3 Tranches
JP MORGAN: S&P Downgrades Ratings on Three 2008-R2 Certificates
KINGSLAND II: Moody's Downgrades Ratings on Various Classes
KNIGHTSBRIDGE CLO: Moody's Upgrades Ratings on 2007-1 Notes
LB-UBS COMMERCIAL: Fitch Corrects Rating on Class S to 'C/RR6'
LB-UBS COMMERCIAL: Fitch Downgrades Ratings on 16 2006-C7 Certs.
LB-UBS COMMERCIAL: S&P Corrects Ratings on Seven 'SP' Securities
LEHMAN XS: Moody's Downgrades Ratings on 13 Tranches
MASSACHUSETTS HEALTH: Fitch Downgrades Ratings on Bonds to 'BB'
MASTR ADJUSTABLE: Moody's Downgrades Ratings on Five Tranches
MBIA INSURANCE: S&P Downgrades Ratings on 11 Bond Issues to 'BB+'
MBIA INSURANCE: S&P Downgrades Ratings on 17 US ABS Classes
MBIA INSURANCE: S&P Downgrades Ratings on Tranches to 'BB+'
MERIDIAN FUNDING: S&P Downgrades Ratings on Five Notes to 'BB+'
MERIT SECURITIES: S&P Withdraws 'CC' Rating on Custody Receipts
MERRILL LYNCH: Fitch Downgrades Ratings on 12 2008-C1 Certificates
MERRILL LYNCH: Moody's Affirms Ratings on 2002-Canada 8 Notes
MERRILL LYNCH: Moody's Affirms Ratings on 2003-Canada 10 Notes
MERRILL LYNCH: Moody's Affirms Ratings on 13 2005-Canada 16 Notes
MERRILL LYNCH: Moody's Affirms Ratings on 2006-Canada 20 Notes
MERRILL LYNCH: Moody's Affirms Ratings on 12 2007-Canada 22 Notes
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 14 2006-1 Certs.
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 14 2006-1 Certs.
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 16 Certificates
MORGAN STANLEY: Fitch Downgrades Ratings on Three 1997-RR Notes
MORGAN STANLEY: Fitch Downgrades Ratings on 14 2008-TOP29 Certs.
MORGAN STANLEY: Fitch Takes Rating Actions on 25 2006-IQ12 Certs.
MORGAN STANLEY: Fitch Takes Various Rating Actions on Notes
MORGAN STANLEY: Fitch Takes Rating Actions on 21 2007-TOP25 Notes
MORGAN STANLEY: Fitch Takes Rating Actions on 16 2007-HQ12 Notes
MORGAN STANLEY: Moody's Affirms Ratings on Nine 2002-TOP7 Certs.
MORGAN STANLEY: S&P Downgrades Ratings on 14 2004-HQ4 Securities
MSIM PECONIC: Moody's Downgrades Ratings on Three Classes of Notes
N-45o FIRST: Moody's Affirms Ratings on Six Classes of Notes
NEW CENTER: Moody's Withdraws 'Prime-2' Rating on ABCP
NORTH CAROLINA MEDICAL: Fitch Affirms 'BB+' Rating on Bonds
OCTAGON INVESTMENT: Moody's Downgrades Ratings on Three Classes
PACIFICA CDO: Moody's Downgrades Ratings on Various Classes
PALISADES CDO: Fitch Downgrades Ratings on Five Classes of Notes
PAMCO III: Moody's Downgrades Ratings on Various 1998-1 Notes
PANGAEA CLO: Moody's Confirms Ratings on Three Classes of Notes
PORTOLA CLO: Moody's Downgrades Ratings on Four Classes of Notes
PPM GRAYHAWK: Moody's Downgrades Ratings on Various Classes
RHODE ISLAND HEALTH: Fitch Cuts Ratings on Bonds to 'BB-'
SALOMON BROTHERS: Moody's Affirms Ratings on Seven 2001-C1 Notes
SALT CREEK: Fitch Downgrades Ratings on 11 Classes of 2005-1 Notes
SARATOGA CLO: Moody's Does Not Take Rating Action on Notes
SEAWALL SPC: S&P Downgrades Ratings on Various Classes of Notes
SLATE CDO: Moody's Downgrades Rating on Classes of 2007-1 Notes
SSB RV: S&P Affirms Ratings on Class D Notes at 'CCC-'
ST JOSEPH: S&P Downgrades Rating on Two Revenue Bonds to 'BB+'
STANFIELD VEYRON: Moody's Downgrades Ratings on Various Notes
STONE TOWER: Moody's Downgrades Ratings on Class A-3 Notes
STRATA TRUST: Moody's Downgrades Ratings on 2006-10 Notes
STRUCTURED ASSET: Moody's Corrects Ratings on 31 Tranches
TRIAXX FUNDING: Fitch Downgrades Ratings on Two Classes of Notes
UNITED AIR: Moody's Assigns 'Ba1' Rating on 2009-1 Certificates
VERMEER FUNDING: Fitch Downgrades Ratings on Four Classes of Notes
WACHOVIA BANK: Fitch Takes Rating Actions on 25 2006-C28 Certs.
WACHOVIA BANK: S&P Downgrades Ratings on 12 2007-ESH Certs.
WACHOVIA BANK: S&P Downgrades Ratings on 19 2007-C34 Securities
WASATCH CLO: Moody's Downgrades Ratings on Various Classes
WHATELY CDO: Fitch Affirms Ratings on Three Classes of Notes
WIND RIVER: Moody's Downgrades Ratings on Seven Classes of Notes
WIND RIVER: Moody's Downgrades Ratings on Eight Classes of Notes
* Fitch Downgrades Ratings on 748 Bonds From 479 RMBS Deals to 'D'
* S&P Downgrades Ratings on 148 Classes from 13 RMBS Transactions
* S&P Downgrades Ratings on 159 Classes From 23 RMBS Transactions
* S&P Downgrades Ratings on Six Tranches From Two Hybrid CDO Deals
*********
ACACIA CDO: Fitch Downgrades Ratings on Five Classes of Notes
-------------------------------------------------------------
Fitch Ratings has downgraded five classes of notes issued by
Acacia CDO 5, Ltd./Inc.
Fitch's Global Structured Finance Collateralized Debt Obligation
criteria were used to analyze the quality of the underlying
securities in Acacia 5. These rating actions are the result of
continued credit deterioration in the portfolio since Fitch's last
rating action in February 2009. Approximately 66.4% of the
portfolio has been downgraded since the last review, with about
34.7% of the portfolio downgraded since June 1, 2009. These
downgrades have resulted in approximately 73.7% of the portfolio
having a Fitch derived rating below investment grade and 39.1%
with a rating in the 'CCC' rating category or lower, compared to
26.4% and 3.5%, respectively, in February 2009. The percentage of
the portfolio that is considered defaulted per Acacia 5's
governing documents has increased to 12.3% according to the
Aug. 31, 2009 trustee report, from 1.9%.
The class A notes have amortized approximately 50% since close,
mainly due to normal amortization of the underlying assets. The
class C overcollateralization ratio has declined to 102.9%, below
its covenant of 104.6% as of the Aug. 4, 2009 trustee report,
diverting interest proceeds to redeem class A principal after
paying interest to the class C notes on the Aug. 10, 2009
distribution date. While the class A notes are expected to
continue receiving excess spread due to failing coverage tests,
the amount of credit deterioration in the portfolio greatly
outweighs the benefit from the amortization of the capital
structure.
Additionally, the class A notes are assigned a Loss Severity
rating of 'LS3'. The LS ratings indicate each tranche's potential
loss severity given default, as evidenced by the ratio of tranche
size to the base-case loss expectation for the collateral, as
explained in Fitch's LS Rating criteria. The LS rating should
always be considered in conjunction with the probability of
default for tranches with a long-term credit rating in the 'B'
rating category or higher.
The class B notes are downgraded to 'CC' to reflect Fitch's
opinion that, based on the percentage of defaulted securities in
the portfolio and the performance expectations for the remainder
of the portfolio, there is a high probability the notes will
default at or prior to maturity. The classes C, D and E notes are
downgraded to 'C' to indicate Fitch's belief that default is
inevitable at or prior to maturity.
Acacia 5 is a SF CDO that closed on July 14, 2004, and is managed
by Redwood Asset Management, a subsidiary of Redwood Trust, Inc.
The portfolio is composed primarily of residential mortgage-backed
securities (RMBS [79.2%]), SF CDOs (12.8%) and commercial
mortgage-backed securities (5.6%).
Fitch has downgraded, assigned LS ratings and revised Outlooks as
applicable:
Acacia CDO 5, Ltd./Inc.
-- $110,338,451 class A notes to 'B/LS3' from 'AA'; Outlook to
Negative from Stable;
-- $42,250,000 class B notes to 'CC' from 'BBB+';
-- $9,000,000 class C notes to 'C' from 'BB+';
-- $3,023,294 class D notes to 'C' from 'BB';
-- $5,427,964 class E notes to 'C' from 'BB-'.
The outlook on the class A notes is revised to Negative due to the
concentration of RMBS assets in the portfolio, which are expected
to continue to face ratings volatility until the housing market
stabilizes. Fitch does not assign rating outlooks to classes
rated 'CCC' or below.
AERCO LIMITED: Fitch Takes Rating Actions on Various Classes
------------------------------------------------------------
Fitch Ratings has taken these rating actions on AerCo Limited:
-- Class A-3 notes downgraded to 'BB' from 'BBB-';
-- Class A-4 notes affirmed at 'BBB';
-- Class B-1 and B-2 notes downgraded to 'C' from 'CC';
-- Class C-1, C-2, and D-2 notes revised to 'D' from 'C'.
Fitch's analysis incorporated the expected net cash flow to be
available to service debt over the remaining life of the
transaction. Fitch's expected cash flow takes several factors
into account, including aircraft age, portfolio value, Fitch's
expectations for the commercial aviation industry, remarketing
expenses and downtime, potential lease rates on the aircraft, and
perceived liquidity of the aircraft in the portfolio.
The downgrade of the class A-3 notes reflects the decreased
ability of the portfolio to generate lease cash flow and the
inability for the class to receive full principal payments under
Fitch's 'BBB-' stress scenarios. Specifically, Fitch's
expectation is that lease rates will continue to be under pressure
for the portfolio, particularly for B737 Classics. The
affirmation of the class A-4 notes represents the shorter
remaining life compared to the A-3 and its ability to receive full
principal and interest payments under Fitch's 'BBB' stress
scenarios.
The downgrades of the class B notes reflect the high level of
credit risk as interest shortfalls continue to accrue. The
revisions of the class C and D notes are representative of the
accumulating interest shortfalls and their subordinated position
in the waterfall. Fitch's assumption is that these shortfalls,
combined with each class' outstanding principal balance, are not
expected to be repaid by each class' final legal maturity date and
are thus revised to 'D', consistent with Fitch's rating
definitions.
Distressed Recovery ratings have previously been assigned to the
class B-1, B-2, C-1, C-2, and D-2 notes, but were not reviewed at
this time. A new methodology to assign Recovery Ratings is
currently being developed for aircraft operating lease
transactions and the outstanding DR ratings will be replaced by RR
ratings when the methodology is finalized.
AerCo is a special purpose limited liability Jersey company formed
to conduct limited activities, including the buying, owning,
leasing and selling of commercial jet aircraft. In July 1998
AerCo issued $800 million of notes to acquire a portfolio of 35
aircraft. In July 2000, AerCo issued $960 million of notes to
refinance its class A-1 and D-1 notes and to acquire an additional
30 aircraft.
AMERICAN HOME: Moody's Corrects Ratings on Four Tranches
--------------------------------------------------------
Moody's Investors Service has corrected the ratings of 4 tranches
from 2 transactions issued by American Home. Previously, certain
loss and principal allocation features of the transactions were
not accurately accounted for. Ratings have been adjusted to
reflect the fact that after the depletion of the subordinated
certificates, principal distribution for certain tranches will
remain sequential while losses are first allocated to senior
support certificates. Moody's has also updated the expected loss
on the transactions to reflect continued deterioration in
performance.
The actions listed below reflect Moody's updated expected losses
on the transaction and the corrected sequential payment structure:
Issuer: American Home Mortgage Asset Trust 2007-4
-- Pool current expected loss: 41% of original balance
-- Cl. A-1, Upgraded to A1; previously on Feb. 23, 2009
Downgraded to B2
Issuer: American Home Mortgage Investment Trust 2007-1
-- Pool current expected loss: 41% of original balance
-- Cl. A-1-B, Downgraded to Caa3; previously on Feb. 23, 2009
Downgraded to B3
-- Cl. A-1-C, Downgraded to Caa2; previously on Feb. 23, 2009
Downgraded to B3
-- Cl. A-2, Downgraded to Ca; previously on Feb. 23, 2009
Downgraded to Caa3
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate, negative amortization, 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.
ARCAP 2005-RR5: Fitch Downgrades Ratings on 15 Classes of Notes
---------------------------------------------------------------
Fitch Ratings has downgraded 15 classes issued by ARCAP 2005-RR5.
The downgrades reflect losses experienced by the L through N
classes and that the quality of the remaining collateral consists
of approximately 95% commercial mortgage-backed securities bonds
rated below 'B-' or unrated first loss CMBS bonds.
Fitch downgrades ARCAP 2005-RR5:
-- $26,100,000 class A-1 to 'CCC' from 'B'; Outlook Stable;
-- $26,100,000 class A-2 to 'CC' from 'CCC';
-- $26,150,000 class A-3 to 'C' from 'CC';
-- $21,938,000 class B to 'C' from 'CC';
-- $21,938,000 class C to 'C' from 'CC';
-- $3,134,000 class D to 'C' from 'CC';
-- $12,536,000 class E to 'C' from 'CC';
-- $9,402,000 class F to 'C' from 'CC';
-- $9,402,000 class G to 'C' from 'CC';
-- $15,670,000 class H to 'C' from 'CC';
-- $6,268,000 class J to 'C' from 'CC';
-- $9,402,000 class K to 'C' from 'CC';
-- $8,994,583 class L to 'D' from 'C/DR6';
-- $- class M to 'D' from 'C/DR6';
-- $- class N to 'D' from 'C/DR6'.
For the class A-1 and A-2 notes, Fitch expects that it is possible
these bonds will experience a loss as they are dependent upon CMBS
bonds rated below 'B-' to pay. Classes A-3 through K are highly
likely to experience a loss as it is dependent upon first loss
CMBS bonds to pay. Classes L through N have already experienced
losses of approximately $15.7 million resulting in classes M and N
being wiped out. Further losses are anticipated as additional
losses on the underlying collateral will further impact class L.
In its review, Fitch analyzed the transaction based upon a
deterministic approach by using probability of default and
recovery assumptions from Fitch's portfolio credit model. For
each asset, the probability of default assumption is based on the
rating of the bond and term to maturity. The recovery assumption
is based on its seniority and tranche thickness within the
underlying transaction.
ARCap 2005-RR5 is collateralized by all or a portion of 17 classes
of fixed-rate CMBS in 15 separate underlying transactions (70.8%)
and the five most junior classes of ARCap 2004-RR3 (28.9%).
Approximately 94.5% of the collateral is currently rated below 'B-
' or not rated, and, therefore, is more susceptible to losses in
the near-term. ARCap 2005-RR5 holds 5.5% in the 'BB' category and
4.4% in the 'B' category.
ARES HIGH: Fitch Downgrades Ratings on 16 Classes of Notes
----------------------------------------------------------
Fitch Ratings has downgraded and removed the Rating Watch Negative
on 16 classes of notes issued by Ares High Yield CSO II PLC.
Details of the rating actions follow at the end of this press
release.
Since February 2009, the transaction has suffered a 3.9% decrease
in credit enhancement due to trading losses and exposure to credit
events on Equistar Chemical and Smurfit-Stone Container. In
addition, 43% of the reference portfolio has experienced negative
credit migration since February 2009, including 1.6% in new
defaults. Currently, 32.5% of the portfolio has a Negative
Outlook, with an additional 3.6% on Rating Watch Negative. In
Fitch's view, the recent losses have exceeded expectations for the
rating levels throughout the capital structure.
Assets with a Fitch derived rating at or below 'CCC' comprise
19.9% of the portfolio, with 1.6% rated 'D'. This compares to
credit enhancement levels of 21.1%, 19.1%, 17.1%, 15.1% and 11.8%
for the class B, C, D, E, and G notes, respectively.
Ares CSO II is scheduled to mature on Sept. 20, 2010. Fitch
reviewed portfolio credit risk under alternative scenarios in
addition to the standard application of the Portfolio Credit
Model. In its review, Fitch ran scenarios that limited
correlation and obligor concentration stresses to understand the
impact of correlated default assumptions on the model results,
given the short remaining life of the transaction. Fitch also
considered each tranche's ability to absorb individual distressed
or lowly rated obligors under various recovery scenarios,
including a 15% recovery rate assumption that is consistent with
recoveries on recent credit events. Fitch used both the modified
PCM results and the obligor default-sensitivity analysis to assess
credit risk for each class of notes.
Ares CSO II is a collateralized debt obligation that closed
June 21, 2005, and is managed by Ares Management, LLC. Ares CSO
II provides investors leveraged access to the credit risk of a
diverse portfolio of credit default swaps comprising primarily
non-investment grade corporate obligations. Ares CSO II gains
access to the credit risk of the portfolio via a credit default
swap with Deutsche Bank AG London (rated 'F1+/AA-' with a Negative
Outlook by Fitch), as swap counterparty.
The Loss Severity ratings indicate each tranche's potential loss
severity given default, as evidenced by the ratio of tranche size
to the base-case loss expectation for the collateral. The LS
rating should always be considered in conjunction with the
probability of default indicated by a tranche's long-term credit
rating.
Fitch has taken these actions:
-- US$20,000,000 series B-1 notes downgraded to 'A' from 'AAA';
assigned 'LS3'; Outlook Negative;
-- US$45,500,000 series 2B-1 notes downgraded to 'A' from 'AAA';
assigned 'LS3'; Outlook Negative;
-- EUR25,000,000 series B-2 notes downgraded to 'A' from 'AAA';
assigned 'LS3'; Outlook Negative;
-- JPY500,000,000 series 2B-2 notes downgraded to 'A' from
'AAA'; assigned 'LS3'; Outlook Negative;
-- US$5,000,000 series B-3 notes downgraded to 'A' from 'AAA';
assigned 'LS3'; Outlook Negative;
-- US$3,000,000 series C notes downgraded to 'BBB' from 'AA+';
assigned 'LS5'; Outlook Negative;
-- US$5,000,000 series 2C notes downgraded to 'BBB' from 'AA+';
assigned 'LS5'; Outlook Negative;
-- US$4,000,000 series D notes downgraded to 'BB' from 'AA';
assigned 'LS5'; Outlook Negative;
-- US$10,500,000 series 2D-1 notes downgraded to 'BB' from 'AA';
assigned 'LS5'; Outlook Negative;
-- JPY300,000,000 series 2D-2 notes downgraded to 'BB' from
'AA'; assigned 'LS5'; Outlook Negative;
-- US$2,000,000 series E-1 notes downgraded to 'B' from 'A+';
assigned 'LS5'; Outlook Negative;
-- US$4,500,000 series 2E-1 notes downgraded to 'B' from 'A+';
assigned 'LS5'; Outlook Negative;
-- JPY1,000,000,000 series E-2 notes downgraded to 'B' from
'A+'; assigned 'LS5'; Outlook Negative;
-- JPY100,000,000 series 2E-2 notes downgraded to 'B' from 'A+';
assigned 'LS5'; Outlook Negative;
-- US$11,700,000 series G notes downgraded to 'CCC' from 'BBB+';
-- US$11,070,000 series 2G notes downgraded to 'CCC' from
'BBB+'.
BEAR STEARNS: Moody's Corrects Ratings on Four 2007-AR1 Tranches
----------------------------------------------------------------
Moody's Investors Service has corrected the ratings of 4 tranches
from Bear Stearns Trust 2007-AR1. Previously, certain loss and
principal allocation features of the transaction were not
accurately accounted for. Ratings have been adjusted to reflect
the fact that after the depletion of the subordinated
certificates, principal distribution for certain tranches will
remain sequential while losses are first allocated to senior
support certificates. Moody's has also updated the expected loss
on the transaction to reflect continued deterioration in
performance.
The actions listed below reflect Moody's updated expected losses
on the transaction and the corrected sequential payment structure.
Complete rating actions are:
Issuer: Bear Stearns Mortgage Funding Trust 2007-AR1, Group I
-- Pool current expected loss: 45% of original balance
-- Cl. I-A-1, Downgraded to Caa2; previously on Feb. 23, 2009
Downgraded to B2
-- Cl. I-X, Downgraded to Caa2; previously on Feb. 23, 2009
Downgraded to B2
Issuer: Bear Stearns Mortgage Funding Trust 2007-AR1, Group II
-- Pool current expected loss: 40% of original balance
-- Cl. II-A-1, Upgraded to A1; previously on Feb. 23, 2009
Downgraded to Baa2
-- Cl. II-A-3, Downgraded to Caa3; previously on Feb. 23, 2009
Downgraded to Caa1
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate, negative amortization, 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.
BENEDICT COLLEGE: Moody's Affirms 'B3' Rating on Revenue Bonds
--------------------------------------------------------------
Moody's Investors Service has affirmed the underlying B3 rating on
the Revenue Bonds of Benedict College. The rating outlook remains
negative. Rated debt includes $16 million of Series 1998 and 1999
bonds issued through Richland County, South Carolina, and
$26 million of Series 2002 bonds issued through the Educational
Facilities Authority for Private Nonprofit Institutions of Higher
Learning of South Carolina.
Legal Security: General obligation with security interest in
certain pledged revenues derived from the operations of various
auxiliary facilities. Mortgage interest in improvements financed
through the bonds. There are trustee held debt service reserve
fund requirements. As of June 30, 2008, the College was not in
compliance with its performance covenants with Radian Asset
Assurance. The College received a waiver of the covenants for
June 30, 2008.
Debt-Related Derivatives: None.
Challenges
* Complex debt structure and high debt burden relative to
operations. Actual debt service represented a relatively high
12.1% of operating expenses in FY 2008 and total debt of
$83.8 million represented 169% of FY 2008 revenues by Moody's
calculation. Radian, who insures the bonds Moody's rates as
well as a $7.2 million loan with National Bank of South
Carolina, has a first mortgage pledge on certain College
property as well as additional financial and operative
covenants. The College's other $16 million NBSC loan is secured
by a collateral pledge of $16.5 million of endowment invested in
a certificate of deposit to be held at the Bank. At the end of
FY 2009, over 90% of the College's cash and investments were
pledged as collateral.
* Extremely limited liquidity with unrestricted financial
resources as of June 30, 2008 of negative $3.9 million. While
most of the College's investments are held in certificates of
deposit, it has some stock holdings in South Carolina Community
Bank. The holdings in the Bank declined 57% in fair value in FY
2008 from $2.7 million at FYE 2007 to $1.2 million, further
depressing net assets. Financial resources have also been
reduced by write downs of Student loan receivable which declined
to $1.2 million at FYE 2008. Based on draft FY 2009 financial
statements, Moody's estimate the College had approximately
$2.4 million in cash and investments as of June 30, 2009 not
encumbered by collateral requirements or held in debt service
reserve funds. Moody's expect the cash position of the College
to remain highly constrained.
* Based on FY 2008 financial statements, Benedict's Final
Composite Score, a measure of financial stability used by the
U.S. Department of Education, fell below the standard used to
define "financially sound." The Department has reduced the
ability of the College to draw on financial aid funds in advance
of full documentation. Federal financial aid remains a critical
source of revenue for this College where close to 90% of
students qualifies for Federal Pell Grant aid. As of August 31,
2009, Accounts receivable related to Grants and sponsored
programs increases to over $6 million from under $1 million the
year before, and cash and cash equivalents was reduced by a
similar amount.
Strengths
* Recent trend of increasing enrollment and student derived fees.
Net tuition revenue increased 6.2% in FY 2008 to $26 million,
while preliminary figures for FY 2009 show 12% growth.
Auxiliary revenue has also grown to almost $15 million in FY
2009 from $11 million in FY 2007. Management reports early
census figures the fall 2009 semester at headcount enrollment of
3,010 as compared to 2,889 in the fall of 2008 and 2,659 in the
fall of 2007. Student recruitment efforts resulted in 1,195 new
students this fall, compared to 1,140 last year.
* Ongoing donor support with three-year average gift revenue of
$2 million per year. A recent Kresge Foundation grant will
provide some funding to boost the capacity of the College's
fundraising operations.
* Improved internal financial reporting related to tracking and
projecting cash positions.
Recent development/results:
Prompted by growing enrollment and demand for student housing from
students outside of the region, Benedict entered into an operating
lease with the owner of an older motor hotel several miles from
its campus. This summer the College invested approximately
$380,000 of its limited cash into improvements. The project ran
into difficulties related to fire safety and zoning standards and
College has had to relocate the students with additional expenses
related to the extra facility and shuttle bus services.
Management estimates the cost of the fire safety improvements to
be in the $430,000 range.
Outlook
Moody's negative outlook reflects ongoing concern about the
College's ability to cover debt service from operations, combined
with its extremely thin liquidity. Stability could return if the
College is successful in increasing its revenues, continues
careful cost management and maintains positive cash flow.
What could change the rating -- UP
Marked improvement in debt service coverage combined with
consistent growth in liquid financial resources.
What could change the rating -- DOWN
Weakened liquidity profile or difficulty in achieving coverage of
debt service from operations.
Key Indicators (Fall 2008 enrollment; FY 2008 financial):
* Total Enrollment: 2,502 full-time equivalent students
* Selectivity: 82.9%
* Matriculation: 21.2%
* Total Financial Resources: $4.4 million
* Total Pro-Forma Debt: $83.8
* Expendable Resources to Debt: -0.03 times
* Expendable Resources to Operations: -0.04 times
* Total Revenues: $49.8 million
* Average operating margin: -8.6%
* Operating Dependence on Student based Revenue (% of total
operating revenues): 77.7%
Rated Debt
* Series 1998 and 1999 issued through Richland County, South
Carolina: B3; insured by Radian Asset Assurance, Inc, with a
current financial strength rating of Ba1 with a stable outlook
* Series 2002 issued through the Educational Facilities Authority
for Private Nonprofit Institutions of Higher Learning of South
Carolina: B3; insured by Radian Asset Assurance, Inc, with a
current financial strength rating of Ba1 with a stable outlook
The last rating action was on April 4, 2007, when the rating was
downgraded to B3 from B2 and removed from Watchlist.
BEXAR COUNTY: Moody's Junks Ratings on Housing Revenue Bonds
------------------------------------------------------------
Moody's Investors Service has downgraded the rating on Bexar
County Housing Finance Corporation's (Honey Creek/Austin Point
Apartments) Multifamily Housing Revenue Bonds Series 2000A to B2
from B1 and downgraded Series 2000C to Ca from B3. The outlook
remains negative.
The rating downgrades are based upon the expectation that the debt
service reserve fund for 200C will be tapped on the next debt
service payment date, the inherent weakness this demonstrates and
weakening debt service coverage levels. The negative outlook
reflects forecasts for weak occupancy and negative rent growth for
the submarket in the near term.
Legal Security: The bonds are limited obligations payable solely
from the revenues, receipts and security pledged in the Trust
Indenture.
Recent Developments/Results:
Occupancy has declined from 93.3% in January, 2009 to 88.1% in
August. The average occupancy is 90.3% for the North Central San
Antonio submarket, according to Torto Wheaton Research (TWR). The
forecast for rent growth in the submarket is -.10% for 2009.
In 2008 (audited statements), debt service coverage was
satisfactory at 1.29x for 2000A and 1.15x for 2000C. Interim
statements for 2009 indicate debt service coverage has dropped
substantially for 2009. Interim statements for 2009 indicate DSC
for 2000A is 1.11x and 1.00x for 2000C. However, these figures do
not include capital expenditures as expenses. Due to a reserve
and replacement fund with $0 balance, it is likely these expenses
are being funded from operations. By adding this expense, debt
service coverage drops to 1.0x for 2000A and 0.89 for 2000C. The
trustee indicates the debt service fund for 2000A is fully funded
and 2000C is short $48,400 for its Oct. 1 2009 interest payment.
This indicates coverage is actually less than 1.0x and that the
interim statements overstate debt service coverage. On April 1,
2009, the Series C debt service reserve fund was tapped in the
amount of $69,200, leaving a balance of $52,000.
CHC of America, the properties owner has indicated in the past
that it will likely transfer money if the DSRF is ever
insufficient to make debt service payments. CHC transferred
$283,085 to the project for capital improvements in 2006. Moody's
downgrade of 2000A to B2 reflects weakening debt service coverage
and strong recovery possibilities should there be a payment
default. Moody's downgrade of 2000C to Ca reflects the
expectation that the DSRF will be tapped and nearly exhausted on
the next debt service payment date and low potential for recovery
should there be a payment default.
Outlook
The outlook for the bonds is negative based upon negative rent
growth forecast and potential the owner will not transfer funds to
the project in the future.
The last rating action was on March 30, 2009 when the ratings were
downgraded to B1 (2000A) and B3 (2000C).
BLACKROCK SENIOR: Moody's Downgrades Ratings on Various Classes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Blackrock Senior Income Series
II:
-- US$278,500,000 Class A-1 Senior Secured Floating Rate Notes
Due 2017 (current balance of $272,722,626), Downgraded to
Aa2; previously on August 19, 2005 Assigned Aaa;
-- US$150,000,000 Class A-2 Delayed Draw Senior Secured Floating
Rate Notes Due 2017 (current balance of $147,646,954),
Downgraded to Aa2; previously on August 19, 2005 Assigned
Aaa;
-- US$16,600,000 Class B Second Priority Secured Floating Rate
Notes Due 2017, Downgraded to A2; previously on March 4, 2009
Aa2 Placed Under Review for Possible Downgrade;
-- US$23,900,000 Class D-1 Fourth Priority Secured Floating Rate
Deferrable Notes Due 2017, Downgraded to B2; previously on
March 18, 2009 Downgraded to B1 and Remained On Review for
Possible Downgrade;
-- US$4,000,000 Class D-2 Fourth Priority Secured Fixed Rate
Deferrable Notes Due 2017, Downgraded to B2; previously on
March 18, 2009 Downgraded to B1 and Remained On Review for
Possible Downgrade;
-- US$5,000,000 Class 1 Composite Securities Due 2017 (current
rated balance of $3,495,363), Downgraded to Baa2; previously
on March 4, 2009 A3 Placed Under Review for Possible
Downgrade;
-- US$9,200,000 Class 2 Composite Securities Due 2017 (current
rated balance of $5,120,537), Downgraded to Ba3; previously
on March 4, 2009 Baa3 Placed Under Review for Possible
Downgrade;
-- US$8,000,000 Class 3 Composite Securities Due 2017 (current
rated balance of $3,922,067), Downgraded to B1; previously on
March 4, 2009 Ba2 Placed Under Review for Possible Downgrade;
-- US$1,500,000 Class 4 Composite Securities Due 2017 (current
rated balance of $601,061), Downgraded to B3; previously on
March 4, 2009 Ba3 Placed Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$38,900,000 Class C Third Priority Secured Floating Rate
Deferrable Notes Due 2017, Confirmed at Baa3; previously on
March 18, 2009 Downgraded to Baa3 and Remained 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. 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 Overcollateralization Test
and the Interest Diversion Test. In particular, the weighted
average rating factor has increased over the last year and is
currently 2625 as of the last trustee report, dated August 31,
2009. Based on the same report, defaulted securities currently
held in the portfolio total about $8 million, accounting for
roughly 1.5% of the collateral balance, and securities rated Caa1
or lower make up approximately 10.5% of the underlying portfolio.
The Class D overcollateralization test was reported at 101.7%
versus a test level of 102.5% and the Interest Diversion Test was
reported at 101.7% versus a test level of 104.8%.
The rating actions also reflect 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
Blackrock Senior Income Series II, issued on June 29, 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.
BRAZIL GLOBAL: Moody's Upgrades Ratings on Depositary Receipts
--------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these depositary receipts issued out of the Brazil
Global Bond Depository Receipt Progamme:
* Brazil Global Bond Coupon Depositary Receipts; Upgraded to Baa3;
previously on July 17, 2009, Ba1 Placed Under Review for
Possible Upgrade;
* Brazil Global Bond Coupon Strip Depositary Receipts; Upgraded to
Baa3; previously on July 17, 2009, Ba1 Placed Under Review for
Possible Upgrade;
* Brazil Global Bond Intermediate Coupon Depositary Receipts;
Upgraded to Baa3; previously on July 17, 2009, Ba1 Placed Under
Review for Possible Upgrade;
* Brazil Global Bond Long Term Coupon Depositary Receipts;
Upgraded to Baa3; previously on July 17, 2009, Ba1 Placed Under
Review for Possible Upgrade;
* Brazil Global Bond Principal Depositary Receipts; Upgraded to
Baa3; previously on July 17, 2009, Ba1 Placed Under Review for
Possible Upgrade;
The transaction is structured note whose rating are based
primarily upon the transaction's structure and the credit quality
of the Bonds, which consist 10 1/8% U.S. Dollar-Denominated
Unsecured Global Bonds due 2027, issued by Brazil. The Bonds were
upgraded from Ba1 Placed Under Review for Possible Upgrade to Baa3
on September 22, 2009.
CALLIDUS DEBT: Moody's Downgrades Ratings on Four Classes of Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Callidus Debt Partners CLO Fund
III, Ltd.:
-- US$50,000,000 (current balance of $47,624,622) Class A-1
Revolving Senior Secured Floating Rate Notes Notes,
Downgraded to Aa1; previously on December 21, 2004 Assigned
Aaa
-- US$212,000,000 (current balance of $209,348,400) Class A-2
Senior Secured Floating Rate Notes Notes, Downgraded to Aa1;
previously on December 21, 2004 Assigned Aaa
-- US$8,000,000 Class A-4 Senior Secured Floating Rate Notes
Notes, Downgraded to Aa2; previously on December 21, 2004
Assigned Aaa
-- US$16,000,000 Class B Senior Secured Floating Rate Notes
Notes, Downgraded to A2; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade
In addition, Moody's has confirmed the ratings of these notes:
-- US$22,000,000 Class C Senior Secured Deferrable Floating Rate
Notes Notes, Confirmed at Baa3; previously on March 18, 2009
Downgraded to Baa3 and Remained On Review for Possible
Downgrade
-- US$17,000,000 Class D Senior Secured Deferrable Floating Rate
Notes Notes, Confirmed at Ba3; previously on March 18, 2009
Downgraded to Ba3 and Remained On Review for Possible
Downgrade
-- US$8,500,000 Class E Senior Secured Deferrable Floating Rate
Notes Notes, Confirmed at B3; previously on March 18, 2009
Downgraded to B3 and Remained 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.
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 Class E
Overcollateralization Tests. In particular, the weighted
average rating factor has increased over the last year and is
currently 2606 versus a test level of 2435 as of the last trustee
report, dated September 1, 2009. Based on the same report,
defaulted securities currently held in the portfolio total about
$15 million, accounting for roughly 4% of the collateral balance,
and securities rated Caa1 or lower make up approximately 7% of the
underlying portfolio. The Class D overcollateralization test was
reported at 105.65% versus a test level of 106.0% and the Class E
overcollateralization test was reported at 103.12% versus a test
level of 103.6%.
The rating actions also reflect Moody's revised assumptions with
respect to default probability including certain stresses
pertaining to credit estimates 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
Callidus Debt Partners CLO Fund III, Ltd,, issued on December 2,
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.
CARLYLE HIGH: Moody's Downgrades Ratings on Four Classes of Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Carlyle High Yield Partners VI,
Ltd.:
-- US$294,000,000 Class A-1 Senior Secured Floating Rate Notes
Due 2016, Downgraded to A1; previously on July 8, 2004
Assigned Aaa;
-- US$30,000,000 Class A-3 Revolving Senior Secured Floating
Rate Notes Due 2016, Downgraded to A1; previously on July 8,
2004 Assigned Aaa;
-- US$17,000,000 Class B Senior Secured Deferrable Floating Rate
Notes Due 2016, Downgraded to Baa3; previously on March 18,
2009 Downgraded to Baa2 and Placed Under Review for Possible
Downgrade;
-- US$30,000,000 Class C Secured Floating Rate Notes Due 2016,
Downgraded to B2; previously on March 18, 2009 Downgraded to
Ba3 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. 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 WARF test and Caa limitation. In
particular, the weighted average rating factor has increased over
the last year and is currently 2888 versus a test level of 2460 as
of the last trustee report, dated August 26, 2009. Based on the
same report, defaulted securities currently held in the portfolio
total about $16.2 million, accounting for roughly 4.56% of the
collateral balance, and securities rated Caa1 or lower make up
approximately 10.8% of the underlying portfolio. As of the
August 11, 2009 note valuation report, the APEX Revolver has a
drawn balance of $16.1 million, and has an additional
$22.2 million available to be drawn upon.
The rating actions also reflect 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
Carlyle High Yield Partners VI, Ltd., issued in July 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.
CARRINGTON MORTGAGE: Moody's Downgrades Ratings on Six Securities
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of six
securities issued by Carrington Mortgage Loan Trust, Series 2006-
NC4. The rating actions are the result of recent deterioration
relative to expected performance.
The collateral backing the transaction consists primarily of
first-lien, fixed and adjustable subprime residential mortgage
loans. Moody's have increased Moody's loss projection on the
underlying assets in light of the growing inventory and increasing
age of loans held for sale. This aging is expected to lead to
higher loss severities due to accrual of interest advances which
will need to be recovered at liquidation. While longer current
liquidations already yield high severities attributable to
depressed home values, it is Moody's expectation that such
depressed valuations will persist for several years in most areas.
Further as this transaction has built REO inventory, low losses to
date have enabled it to maintain its OC target and allowed
residual interest to be released. This excess interest had
previously been expected to be utilized as protection against
losses, and this performance leaves bondholders less protected
against losses in the long run.
Generally, the downgraded securities are thought to have a higher
probability of default due to the increased loss expectations
combined with diminished support provided by life-time excess
interest. The Class A-2 and A-5 in particular are at higher risk
of losses if they are not paid off before supporting subordinate
bonds are completely written down. In the event that subordinate
bonds are written down entirely; this deal has structural features
that redirect principal payments pro-rata to all senior bonds.
Complete rating actions are:
Issuer: Carrington Mortgage Loan Trust, Series 2006-NC4
-- Pool current expected loss: 34% of original balance
-- Cl. A-2, Downgraded to Ba3; previously on March 16, 2009
Downgraded to Baa3
-- Cl. A-3, Downgraded to B2; previously on March 16, 2009
Downgraded to Ba1
-- Cl. A-4, Downgraded to B2; previously on March 16, 2009
Downgraded to Ba2
-- Cl. A-5, Downgraded to Ba3; previously on March 16, 2009
Downgraded to Baa2
-- Cl. M-1, Downgraded to Ca; previously on March 16, 2009
Downgraded to B2
-- Cl. M-2, Downgraded to C; previously on March 16, 2009
Downgraded to Ca
CELERITY CLO: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Celerity CLO Limited:
-- US$22,000,000 Class B Second Priority Floating Rate Notes Due
2016, Downgraded to Aa1; previously on March 4, 2009 Aaa
Placed Under Review for Possible Downgrade;
-- US$16,000,000 Class D Fourth Priority Deferrable Floating
Rate Notes Due 2016, Downgraded to Caa1; previously on March
18, 2009 Downgraded to Ba3 and Placed Under Review for
Possible Downgrade.
-- US$8,000,000 Class E Fifth Priority Deferrable Floating Rate
Notes Due 2016, Downgraded to Caa3; previously on March 18,
2009 Downgraded to B3 and Placed Under Review for Possible
Downgrade.
-- US$3,000,000 Class 1 Combination Securities Due 2016,
Downgraded to Baa2; previously on March 17, 2004 Assigned A2.
In addition, Moody's has confirmed the ratings of these notes:
-- US$29,000,000 Class C Third Priority Deferrable Floating Rate
Notes Due 2016 Confirmed at Baa2; previously on March 18,
2009 Downgraded to Baa2 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. 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 E Overcollateralization Test.
In particular, the weighted average rating factor has increased
over the last year and is currently 2736 versus a test level of
2200 as of the last trustee report, dated September 22, 2009.
Based on the same report, defaulted securities currently held in
the portfolio total about $12.3 million, accounting for roughly
5.8% of the collateral balance, and securities rated Caa1 or lower
make up approximately 15.75% of the underlying portfolio. The
Class E overcollateralization test was reported at 100.45% versus
a test level of 102.4%.
The rating actions also reflect 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 second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Celerity CLO Limited, issued in March 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.
CITICORP MTG: Moody's Downgrades Rating on 1994-05 Tranche
----------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
from Citicorp Mtg Sec Inc 1994-05, backed by prime Jumbo loans due
to lower credit enhancement relative to expected pool losses.
This action reflects Moody's updated expected losses on this
transaction:
Complete rating action is:
Issuer: Citicorp Mtg Sec Inc 1994-05 (Number of loans remaining -
73)
-- Pool current expect loss: 0.30% of original balance
-- B-1, Downgraded to B3; previously on Mar 29, 1994 Assigned
Baa3
The collateral backing this transaction consists primarily of
first-lien, fixed-rate, jumbo residential mortgage loans. This
action is a result of Moody's updated loss expectations on the
underlying collateral relative to available credit enhancement for
the bonds.
Moody's methodology for rating securities backed by pools of jumbo
mortgages originated prior to 2005 takes into account the
annualized loss rate from the last 12 months and the projected
loss rate over the 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 for the previous year. Pipeline Losses are calculated
by using annualized roll rates of 15%, 30%, 65% and 90% for loans
that are 60-89 days delinquent, 90 or more days delinquent, in
foreclosure, and properties that are held for sale respectively.
Moody's then applies loss upon default (severity) assumptions
ranging from 25% to 35% on the loans that are projected to
default. The roll-rates and severity assumptions mentioned above
can vary from deal-to-deal, depending on a deal's specific
characteristics. Weights are then applied to Recent Losses and
Pipeline Losses. The weights applied depend on the year of loan
and RMBS origination -- deals from earlier vintages typically
experience higher Recent Losses and, as a result, have higher
weights on Recent Losses. The weighted loss is then translated to
lifetime projected loss depending on the deal's expected remaining
life by which is estimated based the deal's pool factor and
prepayment speeds. Additional stresses may also be applied for
low factor pools to incorporate the additional volatility of those
transactions.
Moody's final rating actions are based on i) the level of credit
enhancement available relative to the updated pool-level loss
expectations and ii) current ratings. In addition, Moody's takes
into account credit enhancement provided by seniority, cross-
collateralization, time tranching, and other structural features
within the priority of payments.
CITIGROUP COMMERCIAL: Fitch Cuts Ratings on 17 2007-C6 Certs.
-------------------------------------------------------------
Fitch Ratings downgrades and removes from Rating Watch Negative 17
classes and assigns Rating Outlooks to all rated classes of
Citigroup Commercial Mortgage Trust 2007-C6, commercial mortgage
pass-through certificates. 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
9.8% for this transaction, should market conditions not recover.
The rating actions are based on losses of 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 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for loans
representing 52.3% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Approximately 71% of the recognized losses were from loans
reviewed in detail.
Approximately 23.6% of the mortgages mature within the next five
years: 2.2% in 2011, 5.2% in 2012 and 1.8% in 2013. In 2017,
81.8% of the pool is scheduled to mature.
Fitch identified 42 Loans of Concern (16.4%) within the pool, 15
of which (6.6%) are specially serviced. Of the specially serviced
loans, three (4.1% of the pool) are current. Four of the Fitch
Loans of Concern (7.8%) are within the transaction's top 15 loans,
and two (3.9%) are specially serviced.
Losses were assumed on 12 of the loans within the top 15. Two of
the loans (3.2%) are assumed to default during the term. Loss
severities associated with these loans range from approximately 5%
to 23%. The largest contributors to loss are: CGM Americold
Portfolio (3.1%), Moreno Valley Mall (1.8%), and Crossroads
Marketplace (1.3%).
The CGM Americold Portfolio is secured by 15 temperature-
controlled storage facilities across ten states, comprising
103 million gross cubic feet of storage capacity (approx.
4.2 million sf). The portfolio includes six public facilites,
four distibution centers, and five production facilites. The loan
is interest-only until maturity in 2014. The most recent
servicer-reported financial statements indicate a NOI DSCR of 1.96
times (x). The borrower does not provide the master servicer with
a rent roll, so occupancy was not available. Americold is a
privately held REIT jointly owned by Vornado Trust (48%), Crescent
Real Estate Equities (32%) and The Yucaipa Companies (20%).
Americold is the dominant provider of temperature-controlled
warehousing and transportation management services to the U.S.
food industry, at more than twice the size of its nearest
competitor. Fitch analysis resulted in a higher probability of
default at maturity due to anticipated value declines.
The Moreno Valley Mall loan is secured by a regional mall in
Moreno Valley, CA in the Inland Empire of California. The
property totals 1,078,378 sf with 472,844 sf of collateral. The
property is anchored by Macy's, JCPenney, and Sears. Major
tenants include The Limited and Harkins Theater. As of September
2009, the property was 77.4% occupied, down from 91.5% at
issuance. The decline in occupancy is due to the loss of several
tenants, including Gottschalks which occupied 150,000 sf. In-line
occupancy was 85.8% for the same period. The mall is sponsored
and operated by General Growth Properties (GGP) which filed
Chapter 11 bankruptcy on April 16, 2009. The loan has a maturity
date of 2011 and is currently in special servicing.
The Crossroads Marketplace loan is secured by a 263,757 sf retail
center in Chino Hills, CA. Constructed in phases between 2000 and
2003, the property consists of 12 buildings and ground leased
space and represents a portion of a larger 500,000 sf power center
in Chino Hills, CA. The loan is interest-only for the entire loan
term. The largest tenants are Sports Chalet, Inc. (15.9% of
NRA), Best Buy Stores LP (11.8% of NRA), and Stein Mart, Inc.
(11.8% of NRA). Near term lease expirations include 0.6% in 2010,
14.7% in 2011, 1.3% in 2012, and 11.8% in 2013.
Occupancy at the property dropped to 89% as of June 30, 2009,
after tenants vacated, including Off Broadway Shoes (9.1% of NRA).
Fitch analysis of the loan resulted in a higher probability of
default during the loan term due to declining occupancy at the
property and Fitch expected declines as a result of current retail
market conditions.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Loss Severity ratings and Outlooks to these classes as indicated:
-- $248.3 million class A-J to 'BBB/LS3' from 'AAA'; Outlook
Negative;
-- $150 million class A-JFL from to 'BBB/LS3' from 'AAA';
Outlook Negative;
-- $23.8 million class B to 'BBB-/LS5' from 'AA+'; Outlook
Negative;
-- $71.3 million class C to 'BB/LS5' from "AA'; Outlook
Negative;
-- $35.7 million class D to 'BB/LS5' from 'AA-'; Outlook
Negative;
-- $29.7 million class E to 'BB/LS5' 'A+'; Outlook Negative;
-- $35.7 million class F to "B/LS5' from 'A'; Outlook Negative;
-- $47.6 million class G to 'B-/LS5' from 'A-'; Outlook
Negative;
-- $53.5 million class H to 'B-/LS5' from 'BBB+'; Outlook
Negative;
-- $65.4 million class J to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $53.5 million class K to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $11.9 million class L to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $11.9 million class M to 'B-/LS5' from 'BB'; Outlook
Negative;
-- $17.8 million class N to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $11.9 million class O to 'B-/LS5' from 'B+'; Outlook
Negative;
-- $5.9 million class P to 'B-/LS5' from 'B'; Outlook Negative.
Fitch also affirms these classes and assigns LS ratings and
Outlooks as indicated:
-- $138.4 million class at A-1 'AAA'/LS1; Outlook Stable;
-- $259 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $387 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $126.3 million class A-3B at 'AAA/LS1'; Outlook Stable;
-- $140 million class A-SB at 'AAA'/LS1; Outlook Stable;
-- $1.573 billion class A-4 'AAA'/LS1; Outlook Stable;
-- $200 million class A-4FL at 'AAA/LS1'; Outlook Stable;
-- $488.1 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $425.6 million class A-M at 'AAA/LS3'; Outlook Stable;
-- $50 million class A-MFL at 'AAA/LS3'; Outlook Stable;
-- Interest-only class X at 'AAA'; Outlook Stable.
-- $5.9 million class Q at 'B-/LS5'; Outlook Negative.
Fitch does not rate the $71 million class S.
CITIGROUP COMMERCIAL: Fitch Takes Rating Actions on 2006-C4 Certs.
------------------------------------------------------------------
Fitch Ratings has downgraded, removed from Rating Watch Negative,
assigned Rating Outlooks and Loss Severity ratings to certain
classes of commercial mortgage pass-through certificates from
Citigroup Commercial Mortgage Trust series 2006-C4. 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
4.9% 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 (YE) 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for certain
loans representing 53% of the pool and, in some cases, revised
based on additional information and/or property characteristics.
Of the recognized losses, approximately 90% are derived from loans
which Fitch examined in detail.
Approximately 10.4% of the mortgages mature within the next five
years: 2% in 2011, 0.8% in 2012 and 8.3% in 2013. In 2016, 80.5%
of the pool is scheduled to mature.
Fitch identified 28 Loans of Concern (14.5%) within the pool, 10
of which (3.9%) are specially serviced. Of the specially serviced
loans, two (1.5%) are current. None of the specially serviced
loans are within the transaction's top 15 loans (41.2%) by unpaid
principal balance.
Two of the Loans of Concern (4.3%) within the top 15 loans are
expected to default during the term, with loss severities ranging
from 12% to 60%. The largest contributors to loss are: Great Wolf
Resorts Portfolio (2.8%) and Bristol Pointe Apartment Homes
(1.2%), Desert Inn Office Center (0.7%).
The Great Wolf Resorts Portfolio loan is collateralized by two
hotel and water park properties located in Sandusky, OH and Lake
Dalton, WI. CNL Income Properties, Inc and Great Wolf Resorts,
Inc. are the sponsors. YE 2008 occupancy, DSCR and RevPAR for the
Sandusky property were 54%, 0.46x and 99.89 respectively versus
58%, 1.75x and 128.18 at issuance. YE 2008 occupancy, DSCR and
RevPAR for the Lake Dalton property were 51%, 1.04 and $92.22
respectively, compared to 59%, 1.74x and 187.46 at issuance. Due
to the low DSCR, and as part of Fitch's amended criteria for
recent vintage reviews, Fitch modeled the loan as a term default.
Fitch loss estimates were derived from valuing the properties
based on YE 2008 cash flow and an 11% cap rate.
The Bristol Pointe Apartment Homes loan is collateralized by a 508
unit multifamily property located in Norcross, GA. The sponsor is
Cottonwood Capital, LLC, and the borrower is structured with 32
tenants-in-common investors. Property performance declined
significantly throughout 2008. YE 2008 occupancy and DSCR were
74% and 0.97x respectively compared to 90% and 1.44x at YE 2007.
Additionally, the loan was schedules to begin amortizing in May
2009. The loan transferred to special servicing in April 2009 due
to imminent default. The special servicer extended the interest-
only payments through May 2010 and the loan is current. As part
of Fitch's amended criteria for recent vintage reviews, Fitch
modeled the loan as a term default. Fitch loss estimates are
based on a recent appraised value.
The Desert Inn Office Center loan is collateralized by a 116,000
SF office property located in Las Vegas, NV. The sponsor is James
M. Clark, and the borrower is structured with 28 tenants-in-common
investors. The property has lost several tenants over the last
two years and the vacant space has not been re-leased. Occupancy
and DSCR as of YE 2008 were 69% and 1.04x respectively compared to
89% and 1.66x at issuance. The loan transferred to special
servicing in March 2009, and the special servicer is pursuing
foreclosure. As part of Fitch's amended criteria for recent
vintage reviews, Fitch modeled the loan as a term default. Fitch
loss estimates are based on a recent appraised value.
Fitch has downgraded, removed from Rating Watch Negative, and
assigned Rating Outlooks and Loss Severity ratings to these
classes as indicated:
-- $164.1 million class A-J to 'AA/LS3' from 'AAA'; Outlook
Negative;
-- $50.9 million class B to 'A/LS5' from 'AA'; Outlook Negative;
-- $25.5 million class C to 'BBB/LS5' from 'AA-'; Outlook
Negative;
-- $31.1 million class D to 'BBB-/LS5' from 'A'; Outlook
Negative;
-- $22.6 million class E to 'BB/LS5' from 'A-'; Outlook
Negative;
-- $28.3 million class F to 'BB/LS5' from 'BBB+'; Outlook
Negative;
-- $28.3 million class G to 'B/LS5' from 'BBB'; Outlook
Negative;
-- $25.5 million class H to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $11.3 million class J to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $8.5 million class K to 'B-/LS5' from 'BB'; Outlook Negative;
-- $8.5 million class L to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $5.7 million class M to 'B-/LS5' from 'B+'; Outlook Negative;
-- $5.7 million class N to 'B-/LS5' from 'B'; Outlook Negative;
-- $5.7 million class O to 'CCC/RR6' from 'B-'.
Fitch has affirmed these classes and assigned LS ratings as
indicated:
-- $44.2 million class A-1 'AAA/LS1'; Outlook Stable;
-- $152.7 million class A-2 'AAA/LS1'; Outlook Stable;
-- $135.2 million class A-SB 'AAA/LS1'; Outlook Stable;
-- $831.3 million class A-3 'AAA/LS1'; Outlook Stable;
-- $380 million class A-1A 'AAA/LS1'; Outlook Stable;
-- $266.4 million class A-M 'AAA/LS3'; Outlook Stable;
-- Interest only class X 'AAA'; Outlook Stable;
Fitch does not rate the $22 million class P.
CITIGROUP MORTGAGE: Moody's Cuts Rating on Class 13A2 to 'C-'
-------------------------------------------------------------
Moody's Investors Service has downgraded the rating - from Caa3 to
C- on Class 13A2 resecuritized Certificate issued in Citigroup
Mortgage Loan Trust 2009-6 resecuritized transaction.
This certificate is backed by Class A-3A issued by Citigroup
Mortgage Loan Trust 2007-AMC2 Asset-Backed Pass-Through
Certificates, Series 2007-AMC2, which in turn is backed by
residential mortgage loans. This rating action has been triggered
by a downgrade of the Underlying Certificate on September 30, 2009
from Ba3 to Caa2. The senior tranche of the Resecuritized
Transaction Class 13A1 is not impacted by the rating change on the
Underlying Certificate.
The rating on Class 13A2, the subordinate tranche of the
Resecuritized Transaction, is based on the rating of the
Underlying Certificate and rating of the senior tranche of the
Resecuritized Transaction.
The ratings on all the tranches of a given resecuritized
transaction are 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 a Rating Factor
based on Moody's published 10-yr idealized loss expectations.
Weights are assigned to the Rating Factor of each tranche within a
resecuritized transaction based on the their respective
contribution (by outstanding balance). After Moody's arrive at
the rating of the senior tranche of a resecuritized transaction by
doing cashflow analysis the rating of the junior tranche of that
resecuritized transaction is a rating at which the portfolio WARF
of the resecutized transaction is equal to the WARF of the
underlying certificate backing the resecuritization.
As can be inferred from the above description, the rating on the
subordinate class is based on (i) the structure of a
resecuritization transaction, (ii) the rating on the respective
underlying certificate, and (iii) the size of the subordinate
class in that resecuritized transaction. The probability of
default for the subordinate class of the resecuritized transaction
is the same as that of the underlying certificate. However,
across a range of future scenario the subordinate tranche is
likely to incur a higher loss severity due to its subordinate
position to the senior class (both in terms of principal
distribution and loss allocation), and smaller size (when compared
to underlying certificate). Therefore, the rating on subordinate
class is typically lower than the rating on the respective
underlying certificate.
Because the rating on the tranches in a resecuritized transaction
are linked to the rating of the underlying certificate(s), any
rating action on the underlying certificates will result in a
change in the WARF which will trigger a review of the ratings on
the resecuritized certificates and may lead to a rating action on
the resecuritized certificates.
Moody's calculates estimated losses for Subprime RMBS per the
methodology outlined in the publication titled as Subprime RMBS
Loss Projection Update, March 2009, issued on March 5, 2009.
Complete rating actions are:
Issuer: Citigroup Mortgage Loan Trust Inc., Resecuritization Trust
Certificates, Series 2009-6
-- Cl. 13A2, Downgraded to C; previously on Jun 30, 2009
Assigned Caa3
CITY OF PONTIAC BUILDING: Moody's Cuts Ratings on 2002 Bonds to B1
------------------------------------------------------------------
Moody's Investors Service downgrades the rating to B1 from Ba3 and
revises the outlook to negative on the City of Pontiac Building
Authority's outstanding Building Authority Bonds, Series 2002.
The $1.2 million of outstanding debt related to this issue is
scheduled to mature in 2012 and comprises the only general
obligation debt of the Authority rated by Moody's. The bonds are
secured by rental payments to the Authority from the City of
Pontiac which constitutes a limited tax general obligation of the
city, not subject to setoff or abatement. The issue is also
supported by revenues from the city's Tax Increment Financing
Authority through a sublease agreement and city officials report
that TIFA revenues are sufficient to meet debt service
requirements. Moody's rating downgrade to B1 reflects the impact
of continued city-wide financial stress, including significant and
growing deficit balances; economic concentration in the strained
US auto industry which is experiencing ongoing retrenchments; and
economic challenges as evidenced by persistently high unemployment
rates and declining population. Moody's revision of the outlook
to negative reflects Moody's expectations that the city will
continue to experience revenue and expenditure pressures,
exacerbated by the economic recession and shrinking taxbase,
resulting in a further weakening of the county's financial
flexibility.
Weak Demographic Trends Persist;
Further Pressured By Current Economic Conditions
Located in Oakland County (general obligation rated Aaa), the City
of Pontiac, serves as the county seat and major industrial center
for the area. Despite some increased economic activity in the
region, the city continues to face significantly adverse economic
conditions and its demographic profile remains one of the weakest
in the nation. Over the past five decades, Pontiac's population
has fallen by nearly 25%. Despite a labor force which has
declined, unemployment levels have remained persistently high.
The city's unemployment rate spiked in 2009 (35% in July 2009,
compared to 15.6% state and 9.7% national rates) and is expected
to continue to grow higher in the coming year. Since 1980, the
city's lowest annual unemployment figure was 6.4%, achieved in
2000, compared to 3.6% state and 4.0% nationally that same year.
Evidence of economic challenge is also found in the metro area's
rate of home foreclosures which ranked highest in the nation in
RealtyTrac's 2006 and 2007 reports, and poverty levels that
persist at rates more than twice the state average. Wealth
indicators have generally declined since 1970 (per capita income
was 85% of the state average) compared to the 2000 census (PCI
equaled 68% of the state average).
Significant General Motors Concentration;
Plant Closings Expected
General Motors (ratings withdrawn) is the city's largest employer
(17,200 employees) and taxpayer comprising approximately 25% of
the city's taxbase in 2009 (down from 35% in 2005). Officials
reported that GM invested approximately $790 million in recent
years, while redeveloping previously abandoned manufacturing
facilities into Centerpoint, a mixed-use business campus, and
relocating GM's powertrain division and several other operations
to the new Truck Product Center in the city. Although Pontiac is
home to both research and development and manufacturing jobs
ongoing challenges are expected as the regional economy continues
to adapt to the persistent automotive manufacturing pressures. On
June 1, 2009, GM announced that it will be closing the Pontiac
Assembly Plant by October 2009 and will place the Pontiac Stamping
Plant on standby capacity by December 2010 as a part of its
company-wide restructuring efforts.
Severe Financial Stress And Limited Fiscal Options
Continue To Challenge Management
For the past seven years, the city has experienced significant
financial problems caused by a combination of reduced revenues,
increasing expenditures, and shortcomings in accounting and
reporting which have resulted in severe financial distress. What
had been the city's largest revenue source, State Revenue Sharing,
has been reduced considerably, dropping an average of 5% annually
since fiscal 2002. Municipal income taxes, the city's second
largest revenue generator, have also been severely impacted by
continued economic slowdowns, especially in the automotive sector.
As revenues continued to fall, many operating expenditures, such
as health care and energy costs, increased significantly over the
same period.
In addition to pressures prompted by economic conditions, the city
recognized serious shortcomings in its accounting and financial
reporting areas. During the process of completing the fiscal 2004
audit with a well-known accounting firm, the city discovered
approximately $8 million in necessary prior period adjustments for
items dating back to the early 1990s, including the write off of
receivables and the booking of payables that had not been
recorded. This, coupled with an operating deficit of $8.4 million
in fiscal 2004, brought the General Fund balance to a negative
$20.8 million, or negative 41.4% of General Fund revenues.
Continuing this trend of structural imbalance, the city realized a
substantial operating deficit of $10.9 million in fiscal 2005
bringing the General Fund balance to negative $31.7 million
(fiscal 2005) or negative 64.7% of General Fund revenues.
Overall, the city's operating deficits averaged $7.6 million
annually from fiscal 2002 through fiscal 2005. Compounding the
General Fund deficit balance, other funds (such as special revenue
funds, enterprise funds, and capital improvement funds) have
remained either in a deficit position or a very narrow position,
providing limited resources for the city to operate under.
Deficit Balances Persist; Liquidity Narrowing
In order to resolve a portion of the accumulated fund deficits,
the city issued $22 million in Budget Stabilization Bonds,
renegotiated an adverse tax tribunal judgment against the city,
exhausted the existing Budget Stabilization Fund, and utilized
revenues from an Oakland County Bond issue and lease agreement in
fiscal 2006. As a result of those efforts, the General Fund
balance improved from a negative $31.7 million in fiscal 2005 to a
negative $4.1 million at the end of fiscal 2006. The General Fund
recorded operating deficits of $2 million and $930,000 in fiscal
2007 and fiscal 2008, respectively, resulting in a General Fund
balance of negative $7 million at the end of fiscal 2008 (negative
14% of General Fund revenues). Liquidity for day-to-day
governmental operations is provided by interfund loans, primarily
from the enterprise funds, internal service funds, and from other
component units. As revenues in these funds face similar
challenges as General Fund revenues, Moody's expects liquidity
throughout all city financial operations to narrow through the
midterm.
Moody's believes that although the city has been able to achieve
improvements in its financial planning and monitoring, management
remains severely challenged in its ability to build and maintain
satisfactory reserve levels. Already at lean staffing levels,
departments such as Police and Public Works may not be able to
perform required duties if further staff reductions are
implemented, yet annual expenditures remain above revenues.
Management expects to record a $600,000 General Fund operating
surplus in fiscal 2009 mainly due to one-time revenue of
$2 million from the city's recent sale of the North Oakland
Medical Center. The city passed a balanced budget for fiscal 2010
which again included one-time revenues from the sale of city
assets (The Pontiac Silverdome) and revenue projections for city
income taxes which management reports are currently tracking
behind original estimates. Moody's believes that the city will
remain challenged by limited revenue flexibility with statutorily
limited property taxes, declining state aid and eroding income tax
revenue as well as increasing expenditure pressures. The city's
liquidity position as well as the ability to achieve structural
balance in fiscal operations will remain a focus of future credit
reviews.
Governor Assigns Emergency Financial Manager;
Updated Deficit Elimination Plan Expected
Per state law, in 2007, the city submitted an updated Deficit
Elimination Plan to the state. The Governor then appointed a team
to review the city's finances which determined that a fiscal
emergency did exist at the city. In early 2009, the Governor
appointed an Emergency Financial Manager to oversee all of the
city's financial operations for a one year period beginning
March 1, 2009. Management reports that an updated Deficit
Elimination Plan is currently being developed which would also
detail the city's plan to eliminate the General Fund's deficit
position within five years (per state requirement). Among several
options to address the General Fund's deficit position, per
statute, the EFM may recommend applying for federal bankruptcy
protection under Chapter 9 of the US Bankruptcy Code. Management
reports that the city is not currently considering the application
for Chapter 9 protection. Moody's will continue to monitor the
city's credit quality as further developments occur.
Above Average Debt Levels Expected To Be Maintained
Moody's expects the city to maintain a moderate debt position in
the mid-term to lack of future borrowing plans. The city's
overall debt burden, at 4.2%, is above average and largely the
result of borrowings by the city. The city's direct debt burden
is high at 2.5%. Although a large portion of debt is to be
supported by utility and tax increment revenues, the contracting
of the local economy continue to challenge those revenue streams.
Management reports that no further borrowing is planned for the
near-term.
Outlook
The negative outlook reflects Moody's expectations that the city
will continue to experience revenue and expenditure pressures,
exacerbated by the economic recession and shrinking taxbase,
resulting in a further weakening of the city's financial
flexibility. Consecutive years of deficits in several city funds
and the uncertainty of the region's economic stability and future
revenue streams from the state all constitute ongoing challenges
that could lead to further credit decline. Future credit reviews
will focus on the city's ability to achieve its management
initiatives, implement its deficit elimination plan, build
reserves and continue to record structural balance in the near- to
mid-term.
What Could Change The Rating Up
-- Material operating surpluses, achieved through financial
structurally balanced solutions that will carry forward to
future budgets
-- Sustained economic improvement coupled with revenue
enhancements
What Could Change The Rating Down
-- Revenue challenges that continue to exceed expenditure (and
alternate revenue) solutions
-- Continued operating deficits leading to heightened cash-flow
weakness
Key Statistics:
* 2000 Population: 66,337
* 2009 Full Valuation: $3.5 billion
* 2009 Full Value per capita: $50,349
* Direct Debt Level: 2.5%
* Debt Burden: 5.0%
* PCI as % of State (2000 census): 71.5%
* MFI as % of State (2000 census): 68.1%
* City Unemployment Rate: 35% (July, 2009)
* Fiscal 2008 General Fund Balance -$7.0 million (-14.4% of
General Fund revenues)
* Outstanding rated GOLT debt: $1.2 million
The last rating action for the City of Pontiac (MI) was on
April 8, 2008, when the city's general obligation limited tax
rating was downgraded to Ba3 from Ba2.
COCONINO COUNTY: Fitch Assigns 'BB+' Rating on $14.7 Mil. Bonds
---------------------------------------------------------------
Fitch Ratings has assigned a 'BB+' rating to the anticipated
$14.7 million issuance of Coconino County of Arizona pollution
control corporation pollution control revenue bonds, 2009 series A
(Tucson Electric Power Co. Navajo Project). The bonds are tax-
exempt, senior unsecured obligations. Net proceeds from the bond
issuance will be used to repay $14.7 million of outstanding
Coconino County Pollution Control Corporation pollution control
refunding revenue bonds, 1997 series B (Tucson Electric Power Co.
Navajo Project). The Rating Outlook is Stable.
The ratings and Outlook reflect TEP's high debt leverage,
covenants in the utility's bank facilities that restrict debt-
leverage relative to EBITDA and prospective mortgage debt
issuance and the need for amendments to its bank facilities in
2008 to comply with the debt-leverage ratio covenant included
therein. A relatively high degree of variable rate debt,
structural subordination of its senior unsecured debt to more
than $900 million of outstanding capital lease and secured debt
obligations, a sluggish service territory economy and frozen non-
fuel rates are additional sources of concern for investors.
The ratings and Outlook also consider expected improvement in
TEP's post-2008 credit ratios as the result of a settlement
approved by the Arizona Corporation Commission in the utility's
last general rate case. The ruling increased base rates in
December 2008 and adopted a purchase power and fuel adjustment
clause effective Jan. 1, 2009. The ratings also recognize TEP's
competitive rates, relatively low-cost generating resource mix, a
long history of above industry average service territory growth
and significant debt reduction in recent years.
COLUMBUSNOVA CLO: Moody's Downgrades Ratings on Class B Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of these notes issued by ColumbusNova CLO Ltd. 2007-1:
-- US$30,000,000 Class B Senior Notes Due 2019, Downgraded to
A1; previously on March 4, 2009 Aa2 Placed Under Review for
Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$22,000,000 Class C Deferrable Mezzanine Notes Due 2019,
Confirmed at Baa3; previously on March 17, 2009 Downgraded to
Baa3 and Placed Under Review for Possible Downgrade;
-- US$20,000,000 Class D Deferrable Mezzanine Notes Due 2019,
Confirmed at Ba3; previously on March 17, 2009 Downgraded to
Ba3 and Placed Under Review for Possible Downgrade;
-- US$15,000,000 Class E Deferrable Junior Notes Due 2019
(current balance of $15,352,344), 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. 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 Class D Overcollateralization Test. In
particular, the weighted average rating factor has increased over
the last year and is currently 2897 as of the last trustee report,
dated September 8, 2009. Based on the same report, defaulted
securities currently held in the portfolio total about
$17.4 million, accounting for roughly 3.6% of the collateral
balance, and securities rated Caa1 or lower make up approximately
12.7% of the underlying portfolio. The Class D
Overcollateralization Test was reported at 104.48% versus a test
level of 104.90%. Additionally, interest payments on the Class E
Notes are presently being deferred as a result of the failure of
the Class D Overcollateralization Test. 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.
The rating actions also reflect 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 second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
ColumbusNova CLO Ltd. 2007-1, 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.
CORTS TRUST: S&P Puts 'BB+' Rating on $27 Mil. Fixed-Rate Certs.
----------------------------------------------------------------
Standard & Poor's Ratings Services placed its 'BB+' rating on the
$27.0 million fixed-rate corporate-backed trust securities
certificates issued by CorTS Trust for Xerox Capital Trust I on
CreditWatch with negative implications.
The rating on the certificates is dependent solely on the rating
on the underlying security, the $27.0 million 8% series B capital
securities due Feb. 1, 2027, issued by Xerox Capital Trust I.
The rating action follows S&P's Sept. 28, 2009, placement of the
rating on the underlying security on CreditWatch with negative
implications.
Rating Placed On Creditwatch Negative
CorTS Trust for Xerox Capital Trust I
$27.0 million series B
Rating
------
Class To From
----- -- ----
Certs BB+/Watch Neg BB+
CREDIT LINKED: Moody's Downgrades Ratings on 2006-1 Notes
---------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating on notes issued by Credit Linked Notes Ltd. 2006-1, a
collateralized debt obligation transaction referencing a static
portfolio of corporate entities with fixed recovery rate.
The rating action is:
-- US$15,000,000 Notes Due June 20, 2013, Downgraded to Caa3;
previously on March 18, 2009 Downgraded to B3
Moody's explained that the rating action taken is 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 977 from the last rating action to 1385,
equivalent to an average rating of the current portfolio of Ba2.
The reference portfolio includes an exposure to Ambac Assurance
Corporation which have experienced substantial credit migration in
the past few months, and is now rated Caa2. Since the last rating
action, the subordination of the rated tranche has been reduced by
another 1.42% due to credit events on Chemtura Corporation, and
Thomson S.A. These two new credit events and the credit events on
Lehman Brothers Holding Inc., and Tribune Company, have led to a
decrease of approximately 2.8% of the subordination of the
tranche. The portfolio has the highest industry concentration in
Insurance (15.4%), Finance (6.7%), and Banking (6.7%).
Moody's monitors 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 (September 2009)
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, and
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: S&P Downgrades Ratings on 18 2006-C3 Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 18
classes of commercial mortgage-backed securities from Credit
Suisse Commercial Mortgage Trust Series 2006-C3 and removed them
from CreditWatch with negative implications. In addition, S&P
affirmed its ratings on four classes from this transaction.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. The downgrades of the subordinate
and mezzanine classes also reflect the credit support erosion S&P
anticipate will occur upon the eventual resolution of the
specially serviced loans, as well as S&P's analysis of two loans
that S&P considers credit-impaired. 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 1.39x and a loan-
to-value ratio of 109.2%. 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 149.4%. The implied defaults and loss
severity under the 'AAA' scenario were 86.2% and 41.4%,
respectively. All of the DSC and LTV calculations noted above
exclude seven ($241.8 million, 12.7%) of the eight specially
serviced loans and two credit-impaired loans ($4.8 million, 0.3%).
S&P separately estimated losses for these loans, which are
included in S&P's 'AAA' scenario implied default and loss figures.
S&P downgraded the class N, O, and P certificates to 'D' to
reflect interest shortfalls resulting from appraisal subordinate
entitlement reductions in effect for six loans with the special
servicer. Appraisal reduction amounts totaling $25.1 million are
in effect on these six loans. S&P expects the shortfalls to recur
in the future.
S&P affirmed its rating on the class A-X interest-only
certificates based on S&P's current criteria. S&P published a
request for comment proposing changes to S&P's IO criteria on
June 1, 2009. After S&P finalizes its criteria review, S&P may
revise its IO criteria, which may affect outstanding ratings,
including the rating on the IO certificates that S&P affirmed.
Credit Concerns
Eight loans ($244.2 million, 12.8%) in the pool are with the
special servicer, Midland Loan Services Inc. The payment status of
these loans is: two are in foreclosure ($18.7 million, 1.0%), four
are more than 90 days delinquent ($25.2 million, 1.3%), one is in
its grace period ($2.3 million, 0.1%), and one is current
($197.9 million, 10.4%). Six of the specially serviced loans have
ARAs in effect totaling $25.1 million. One of the specially
serviced loans has a balance that represents 10.4% of the pool,
and the remaining specially serviced loans have balances that are
less than 0.7% of the total pool balance. The loan that is 10.4%
of the pool is the only top 10 loan with the special servicer, and
S&P discusses this loan in detail in the top 10 section below.
In addition to the specially serviced loans, S&P considered the
Madison Marketplace ($1.7 million, 0.1%) and 505 Lawrenceville
Square ($3.1 million, 0.2%) loans to be credit-impaired. As of
year-end 2008, Madison Marketplace had an occupancy of 48.9% and a
DSC of 0.04x, and a single tenant occupied 100% of the 505
Lawrenceville Square property. The tenant has decided not to
renew its lease, which expires February 2010.
Transaction Summary
As of the September 2009 remittance report, the collateral pool
consisted of 157 loans with an aggregate trust balance of
$1.91 billion, which represents approximately 98.8% of the trust
balance at issuance. No loans have paid off or have been
liquidated since issuance. The master servicer for the
transaction, Midland Loan Services Inc., provided financial
information for 99.8% of the pool; 95.3% of the financial
information was full-year 2008 data. S&P calculated a weighted
average DSC of 1.42x for the pool based on the reported figures.
S&P's adjusted DSC and LTV were 1.39x and 109.2%, respectively.
S&P's adjusted DSC and LTV figures exclude seven of the eight
specially serviced loans and two loans that S&P considered credit-
impaired. S&P estimated losses separately for these nine loans
($246.6 million, 12.9%). The servicer reported DSC figures for
all nine of these loans. Based on the servicer-reported DSC
figures, S&P calculated a weighted average DSC of 1.10x for these
nine loans, including six ($42.9 million, 2.2%) below 1.0x.
Twenty-five loans (5.9%) are on the master servicer's watchlist.
Twenty loans ($103.1 million, 5.4%) have a reported DSC below
1.10x, and 16 of these loans ($91.5 million, 4.8%) have a reported
DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$1.04 billion (54.7%). Using servicer-reported numbers, S&P
calculated a weighted average DSC for the top 10 loans of 1.38x.
One of the top 10 loans ($197.9 million, 10.4%) is with the
special servicer. Excluding one specially serviced loan, S&P's
adjusted DSC and LTV for the top 10 loans are 1.28x and 120.7%,
respectively.
The Babcock & Brown FX2 is the largest loan with the special
servicer and the second-largest loan in the pool. The loan is
current and was transferred to the special servicer in February
2009 due to an imminent default. The portfolio was appraised for
$137.0 million as of March 2009. The loan has a trust balance of
$197.9 million (10.4%) and is secured by 17 multifamily properties
totaling 5,145 units in six states. The largest property consists
of 1,184 units (23% of total units) in Richmond, Va. The
portfolio consists of two other properties in Richmond (438 units,
8.5% of total units) and one in Hopewell, Va. (149 units, 2.9% of
total units). The remaining 13 properties are in Texas (six
properties consisting of 1,650 units, 32.1% of total units);
Missouri (one property consisting of 608 units, 11.8% of total
units); North Carolina (two properties consisting of 476 units,
9.3% of total units); Georgia (two properties consisting of 344
units, 6.7% of total units); and Florida (two properties
consisting of 296 units, 5.8% of total units). As of September
2009, the portfolio occupancy was 87%. At this time, Standard &
Poor's expects a moderate loss upon the resolution of this loan.
Standard & Poor's stressed the 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
Credit Suisse Commercial Mortgage Trust Series 2006-C3
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-3 A AAA/Watch Neg 30.38
A-1-A A AAA/Watch Neg 30.38
A-M BBB- AAA/Watch Neg 20.25
A-J B+ AAA/Watch Neg 13.04
B B AA/Watch Neg 10.76
C B- AA-/Watch Neg 9.87
D B- A/Watch Neg 8.23
E CCC+ A-/Watch Neg 7.21
F CCC BBB+/Watch Neg 5.95
G CCC- BBB/Watch Neg 4.68
H CCC- BBB-/Watch Neg 3.54
J CCC- BB+/Watch Neg 3.16
K CCC- BB/Watch Neg 2.78
L CCC- BB-/Watch Neg 2.40
M CCC- B+/Watch Neg 2.15
N D B/Watch Neg 1.77
O D B-/Watch Neg 1.39
P D CCC/Watch Neg 0.89
Ratings Affirmed
Credit Suisse Commercial Mortgage Trust Series 2006-C3
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.38
A-2 AAA 30.38
A-AB AAA 30.38
A-X AAA N/A
N/A - Not applicable.
CREDIT SUISSE: S&P Downgrades Ratings on 23 2007-C4 Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 23
classes of commercial mortgage-backed securities from Credit
Suisse Commercial Mortgage Trust Series 2007-C4 and removed them
from CreditWatch with negative implications. In addition, S&P
affirmed its ratings on three classes from the same transaction.
The downgrades follow S&P's analysis of the transaction using its
recently released U.S. conduit and fusion CMBS criteria, which was
the primary driver of the rating actions. The downgrades of the
subordinate classes also reflect credit support erosion, which S&P
anticipate will occur upon the eventual resolution of the
specially serviced loans, as well as its analysis of one loan
(1.5%) that S&P considers credit-impaired. 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 1.17x and a
loan-to-value ratio of 147.7%. S&P further stressed the loans'
cash flows under S&P's 'AAA' scenario to yield a weighted average
DSC of 0.68x and an LTV of 221.3%. The implied defaults and loss
severity under the 'AAA' scenario were 95.2% and 52.9%,
respectively. All of the DSC and LTV calculations noted above
excluded 12 (6.7%) of the 16 specially serviced loans and one
credit-impaired loan (1.5%). S&P separately estimated losses for
these loans, which are included in S&P's 'AAA' scenario implied
default and loss figures.
S&P affirmed its rating on the class A-X interest-only
certificates based on its current criteria. S&P published a
request for comment proposing changes to its IO criteria on
June 1, 2009. After S&P finalize its criteria review, S&P may
revise its IO criteria, which may affect outstanding ratings,
including the rating on the IO certificates that S&P affirmed.
Credit Concerns
As of the September 2009 remittance report, 14 loans
($161.9 million, 7.8%) in the pool were with the special
servicers, ING Clarion Capital Loan Services LLC and NCB FSB. The
payment status of the loans is: one is classified as real estate
owned ($1.3 million, 0.1%), four are in foreclosure
($15.7 million, 0.8%), five are more than 90 days delinquent
($30.9 million, 1.4%), one is 60 days delinquent ($1.9 million,
0.1%), two are 30 days delinquent ($96.8 million, 4.7%), and one
is current ($15.3 million, 0.7%). Nine of the specially serviced
loans had appraisal reduction amounts in effect totaling
$21.3 million as of the September 2009 remittance report.
Standard & Poor's is aware of one ARA that was adjusted downward
by $4.7 million after the remittance report date. One of the
specially serviced loans has a balance that accounts for 4.6% of
the pool balance, and the remaining specially serviced loans have
balances that represent less than 0.8% of the total pool balance.
The loan that is 4.6% of the pool was the only top 10 loan with
the special servicer as of the September remittance report and is
discussed in detail below.
In addition, the fifth-largest loan in the pool, the Meyberry
House loan ($90.0 million, 4.4%), and the Westport Landing
Shopping Center loan ($3.7 million, 0.2%) were transferred to the
special servicer after the September remittance report. Also, S&P
considers the ninth-largest loan in the pool, the Esquire
Portfolio loan ($31.0 million, 1.5%), to be credit-impaired.
Transaction Summary
As of the September 2009 remittance report, the collateral pool
consisted of 210 loans with an aggregate trust balance of
$2.07 billion, which represents approximately 99.4% of the trust
balance at issuance. One realized loss has occurred since
issuance ($165,840) on a $2.0 million loan. The master servicers
for the transaction, KeyCorp Real Estate Capital Markets Inc.,
Wachovia Bank N.A., Midland Loan Services Inc., and NCB FSB
provided financial information for 98.6% of the pool; 92.4% of the
financial information was full-year 2008 data or interim 2009
data. S&P calculated a weighted average DSC of 1.07x for the pool
based on the reported figures. S&P's adjusted DSC and LTV were
1.17x and 147.7%, respectively. S&P's adjusted DSC and LTV
figures excluded 12 of the 16 specially serviced loans and one
loan that S&P considers credit-impaired. S&P estimated losses
separately for these 13 loans ($168.6 million, 8.1%). The
servicer reported DSC figures for nine of these loans
($160.1 million, 7.7%). The weighted average DSC for the nine
loans is 0.58x. Sixty-three loans (45.4%) are on the master
servicers' watchlists, including five of the top 10 loans,
including the Meyberry House loan ($90.0 million, 4.4%), which was
on the watchlist before it was transferred to the special servicer
on Sept. 30, 2009. Fifty-six loans ($1.1 billion, 52.1%) have a
reported DSC below 1.10x, and 36 of these loans ($971.4 million,
46.9%) have a reported DSC of less than 1.0x.
Summary Of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$946.3 million (45.7%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 0.87x for the top 10 loans.
As of the September 2009 remittance report, five of the top 10
loans ($618.0 million, 29.9%) appeared on the master servicers'
watchlists and one ($95.0 million, 4.6%) was with the special
servicer. S&P's adjusted DSC and LTV for the top 10 loans are
1.03x and 168.1%, respectively, excluding the Meyberry House and
2600 Michelson loans, the two specially serviced loans, and the
Esquire Portfolio loan, the one credit-impaired loan.
The 2600 Michelson loan is the largest loan with the special
servicer and the fourth-largest loan in the pool. The loan has a
trust balance of $95.0 million (4.6%) and is secured by a 307,271-
sq.-ft. office building in Irvine, Calif. The loan is 30 days
delinquent and was transferred to the special servicer in August
2009 due to an imminent monetary default. The special servicer is
still considering its options. The sponsor of the loan is Maguire
Properties Inc., which is also the sponsor of the City Tower loan,
the third-largest loan ($115.0 million, 5.6%) in the pool. The
City Tower Loan appears on the master servicers' watchlists due to
low DSC. The reported occupancy and DSC for the six months ended
June 30, 2009, were 77.7% and 0.96x, respectively. The loan has a
current debt service reserve of $1.3 million, down from
$5.1 million at issuance.
The Meyberry House loan is the fifth-largest loan in the pool and
was transferred back to the special servicer on Sept. 30, 2009,
due to imminent default. This loan was previously sent to the
special servicer due to the depletion of the debt reserve. The
loan was returned to the master servicer on Jan. 2, 2009,
following a loan modification and three successive timely monthly
payments. The loan has a trust balance of $90.0 million (4.4%)
and is secured by an apartment building consisting of 180
multifamily units, eight professional units, and a 93-space garage
on the Upper East Side of Manhattan. The reported DSC for 2008
was 0.54x and the occupancy was 94.4%. At issuance, 45% of the
units at the property were unregulated market rental units, 42% of
the units were under rent-stabilization laws, and the remaining
units were vacant. The borrower planned to make significant
renovations to increase the net operating income at the property.
As of the June 30, 2009, rent roll, approximately 34% of the units
were still rent-stabilized. As of September 2009, the renovation
reserve was effectively depleted. At issuance, the renovation
reserve was at $5.4 million.
The Esquire Portfolio loan is the ninth-largest loan in the pool,
and S&P considers it a credit-impaired loan. The loan is current
and on the watchlist due to low DSC. The loan has a trust balance
of $31.0 million (1.5%). The loan is secured by 214 multifamily
units in Upper Manhattan. The year-end 2008 DSC was 0.15x and
occupancy was 96.2%. The borrower expected NOI to increase at the
property upon tenant turnover, as most of the units were rent
controlled or rent stabilized. As of the Aug. 18, 2009, rent
roll, approximately 94% of the units were still rent-stabilized or
rent-controlled. As of September 2009, two renovation reserves
totaled $4.9 million, down from $6.4 million at issuance. The
debt service reserve balance as of September 2009 was $350,000,
down from $1.0 million at issuance.
Standard & Poor's stressed the loans in the pool according to its
updated conduit/fusion criteria. The resultant credit enhancement
levels support the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Credit Suisse Commercial Mortgage Trust 2007-C4
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-3 BBB AAA/Watch Neg 30.16
A-AB BBB AAA/Watch Neg 30.16
A-4 BBB AAA/Watch Neg 30.16
A-1-A BBB AAA/Watch Neg 30.16
A-M BB AAA/Watch Neg 20.11
A-1-AM BB AAA/Watch Neg 20.11
A-J B+ AAA/Watch Neg 14.70
A-1-AJ B+ AAA/Watch Neg 14.70
B B+ AA+/Watch Neg 13.57
C B+ AA/Watch Neg 12.19
D B+ AA-/Watch Neg 11.05
E B A+/Watch Neg 10.17
F B A/Watch Neg 9.29
G B A-/Watch Neg 8.29
H B- BBB+/Watch Neg 7.28
J B- BBB/Watch Neg 6.03
K B- BBB-/Watch Neg 4.64
L CCC+ BB+/Watch Neg 3.64
M CCC BB/Watch Neg 3.26
N CCC BB-/Watch Neg 3.01
O CCC B+/Watch Neg 2.76
P CCC- B/Watch Neg 2.51
Q CCC- B-/Watch Neg 2.13
Ratings Affirmed
Credit Suisse Commercial Mortgage Trust 2007-C4
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.16
A-2 AAA 30.16
A-X AAA N/A
N/A - Not applicable.
CREDIT SUISSE: S&P Downgrades Ratings on 20 2008-C1 Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 20
classes of commercial mortgage-backed securities from Credit
Suisse Commercial Mortgage Trust Series 2008-C1 and removed them
from CreditWatch with negative implications. 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 its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. The downgrades of the subordinate
and mezzanine classes also reflect the credit support erosion S&P
anticipate will occur upon the eventual resolution of the
specially serviced loans, as well as S&P's analysis of the one
loan that S&P considers credit-impaired. 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 1.34x and a loan-
to-value ratio of 104.9%. 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 149.5%. The implied defaults and loss
severity under the 'AAA' scenario were 93.7% and 34.9%,
respectively. All of the DSC and LTV calculations noted above
exclude all five ($44.3 million, 5.0%) of the specially serviced
loans, as well as the one credit-impaired loan ($89.5 million,
10.2%). S&P separately estimated losses for these loans, which
are included in S&P's 'AAA' scenario implied default and loss
figures.
S&P affirmed its rating on the class A-X interest-only
certificates based on S&P's current criteria. S&P published a
request for comment proposing changes to its IO criteria on
June 1, 2009. After S&P finalizes its criteria review, S&P may
revise its IO criteria, which may affect outstanding ratings,
including the rating on the IO certificates that S&P affirmed.
Credit Concerns
Five loans ($44.3 million, 5.0%) in the pool are with the special
servicer, Midland Loan Services Inc. Four loans are more than 90
days delinquent ($27.9 million, 3.1%) and one loan is less than 30
days delinquent ($16.5 million, 1.9%). One specially serviced
loan has an appraisal reduction amount (ARA) in effect totaling
$1.8 million. Two of the specially serviced loans have balances
that range from 1.8% to 1.9% of the pool, and the remaining three
loans have balances that are less than 0.6% of the pool.
In addition to the specially serviced loans, S&P deemed the 1100
Executive Tower loan ($89.5 million, 10.2%) to be credit-impaired.
This is the third-largest loan in the pool and is discussed in
detail in the top 10 section below.
Transaction Summary
As of the September 2009 remittance report, the collateral pool
had an aggregate trust balance of $881.2 million, which is 99% of
the aggregate trust balance at issuance. The pool consists of 59
loans, down from 60 at issuance. The master servicer for this
transaction, KeyCorp Real Estate Capital Markets Inc., provided
financial information for 97.9% of the pool; 95.7% of the
financial information was full-year 2008 data or interim 2009
data. S&P calculated a weighted average DSC of 1.21x for the pool
based on the reported figures. S&P's adjusted DSC and LTV were
1.34x and 104.9%, respectively. S&P's adjusted DSC and LTV
figures exclude all five specially serviced loans, as well as the
one credit-impaired loan. S&P estimated losses separately for
these six loans ($133.8 million, 15.2%). Based on the servicer-
reported DSC figures, S&P calculated a weighted average DSC of
0.84x for these loans. The transaction has experienced one
principal loss of $726,203 to date. Twelve loans (34.0%) are on
the master servicer's watchlist, including four of the top 10
loans. Eight loans ($170.8 million, 19.4%) have a reported DSC
below 1.10x, and five of these loans ($115.2 million, 13.1%) have
a reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$598.4 million (67.9%). Using servicer-reported numbers, S&P
calculated a weighted average DSC for the top 10 loans of 1.20x.
Four of the top 10 loans ($255.4 million, 29.0%) appear on the
master servicer's watchlist. Excluding the one credit-impaired
loan, S&P's adjusted DSC and LTV for the top 10 loans are 1.33x
and 107.5%, respectively.
The 1100 Executive Tower loan ($89.5 million, 10.2%) is the third-
largest loan in the pool and the largest loan on the watchlist.
The loan was less than 30 days delinquent in its debt service
payments as of the September 2009 remittance report. The loan
appears on the master servicer's watchlist because its largest
tenant, Citicorp North America. Inc., which occupies 53.7% of the
net rentable area, will not be renewing its lease after the May
2010 expiration. The loan is secured by a first mortgage
encumbering the fee interest in a 16-story, 372,814-sq.-ft., class
A office building in Orange County, Calif. The property was
constructed in 1987 and renovated in 2004. As of the July 31,
2009, rent roll, the property was 85% occupied. The reported DSC
as of year-end 2008 was 0.78x. However, this figure includes free
rent for several new tenants that signed leases in late 2008,
which S&P considered in its analysis. Due to the pending
departure of the largest tenant, S&P deemed the loan to be credit-
impaired.
The Killeen Mall loan ($82.0 million, 9.3%) is the fourth-largest
loan in the pool and the second-largest loan on the watchlist.
The loan was current in its debt service payments as of the
September 2009 remittance report. The loan appears on the
servicer's watchlist because occupancy at the property has
declined and the DSC is below 1.10x. The loan is secured by a
first mortgage encumbering the fee interest in 386,759 sq. ft. of
a 558,992-sq.-ft. regional mall in Killeen, Texas, approximately
40 miles south of Waco, Texas. The property was built in 1981 and
renovated in 2005. Dillard's and JCPenney, which are anchor-owned
properties, anchor the asset. Sears, which is part of the
collateral, also anchors the property. The collateral also
includes space formerly occupied by a Steve & Barry's store (15%
of the NRA), which remains dark. This vacancy brought the
collateral's occupancy down to 79% as of the July 22, 2009, rent
roll, from 91% at issuance. For the seven months ended July 31,
2009, DSC was 1.08x.
The McHugh Marriott Hilton Portfolio loan is the fifth-largest
loan in the pool and the third-largest loan on the watchlist. The
loan has a trust balance of $50.4 million (5.7%) and a whole-loan
balance of $54.8 million. The loan was less than 30 days
delinquent in its debt service payments as of the September 2009
remittance report. The loan appears on the servicer's watchlist
due to the decline in DSC. The loan is secured by a first
mortgage encumbering the fee interest in nine cross-collateralized
hotel properties in Illinois (three properties, 33.4% of allocated
loan amount, 254 rooms), Missouri (three properties, 33.3% of
allocated loan amount, 249 rooms), and Indiana (three properties,
33.3% of allocated loan amount, 244 rooms). The portfolio
includes 747 rooms and comprises four Hampton Inns, three
Fairfield Inns, one Courtyard Inn, and one Hilton Garden Inn. All
of the properties have experienced declines in revenues, and three
properties were reporting DSCs below 1.10x for the trailing 12
months ended June 30, 2009. The portfolio's aggregate reported
DSC was 1.15x for the trailing 12 months ended June 30, 2009.
The Charlotte Multifamily Portfolio loan ($33.5 million, 3.8%) is
the seventh-largest loan in the pool and the fourth-largest loan
on the watchlist. The loan was current in its debt service
payments as of the September 2009 remittance report. The loan
appears on the servicer's watchlist because the DSC is below
1.10x. The loan is secured by a first mortgage encumbering five
cross-collateralized and cross-defaulted garden-style apartment
properties containing 744 units in and around Charlotte, N.C. The
properties were built between 1995 and 2004 and range in size from
120-190 units. The market in the Charlotte area is soft, and the
properties have experienced declining occupancy rates, as well as
decreases in rent. For the six months ended June 30, 2009, three
of the properties reported DSCs of 1.00x or below. For the six
months ended June 30, 2009, the reported portfolio DSC was 1.09x.
Standard & Poor's stressed the 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
Credit Suisse Commercial Mortgage Trust Series 2008-C1
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-AB AA AAA/Watch Neg 30.12
A-3 AA AAA/Watch Neg 30.12
A-1A AA AAA/Watch Neg 30.12
A-M A- AAA/Watch Neg 20.06
A-J BBB AAA/Watch Neg 13.51
B BBB- AA+/Watch Neg 12.50
C BB+ AA/Watch Neg 11.50
D BB AA-/Watch Neg 10.11
E BB- A+/Watch Neg 8.98
F B+ A/Watch Neg 8.22
G B+ A-/Watch Neg 7.22
H B BBB+/Watch Neg 5.58
J B- BBB/Watch Neg 4.83
K CCC+ BBB-/Watch Neg 3.69
L CCC BB+/Watch Neg 3.32
M CCC- BB/Watch Neg 2.94
N CCC- BB-/Watch Neg 2.56
O CCC- B+/Watch Neg 2.43
P CCC- B/Watch Neg 2.18
Q CCC- B-/Watch Neg 1.93
Ratings Affirmed
Credit Suisse Commercial Mortgage Trust Series 2008-C1
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.12
A-2 AAA 30.12
A-2FL AAA 30.12
A-X AAA N/A
N/A - Not applicable.
CRIIMI MAE: Fitch Downgrades Ratings on Two 1996-1 Notes
--------------------------------------------------------
Fitch Ratings has downgraded two classes issued by CRIIMI MAE
1996-1. The downgrades reflect losses experienced by the junior
class and that the quality of the remaining collateral consists of
approximately 83% commercial mortgage-backed securities bonds
rated 'CCC+' and below or unrated first loss CMBS bonds.
Fitch downgrades CRIIMI MAE 1996-1:
-- $48,668,368 class E notes to 'C' from 'CCC';
-- $5,329,741 class F notes to 'D' from 'C/DR5'.
Classes A-1, A-2, B, C, and D have been paid in full.
For the class E notes, Fitch expects that it is highly likely the
bond will experience a loss as it is dependent upon first loss
CMBS bonds to pay. The class F notes have already experienced
losses of approximately $6.7 million, and further losses are
anticipated as additional losses on the underlying collateral will
directly impact them.
In its review, Fitch analyzed the transaction based upon a
deterministic approach by using probability of default and
recovery assumptions from Fitch's portfolio credit model. For
each asset, the probability of default assumption is based on the
rating of the bond and term to maturity. The recovery assumption
is based on its seniority and tranche thickness within the
underlying transaction.
CRIIMI MAE 1996-C1 is collateralized by all or a portion of six
classes of fixed-rate CMBS in four separate underlying
transactions from the 1995 and 1996 vintages. The pool is
extremely concentrated, with approximately 12.1% of the original
collateral remaining since issuance. Each underlying transaction
has fewer than 30 loans remaining. Of the collateral, 82.9% is
currently rated 'CCC+' and below or not rated, and therefore, is
more susceptible to losses in the near-term. One bond (17.2%) is
rated 'AAA'.
CSMC SERIES: S&P Downgrades Ratings on Five 2009-8R RMBS Deals
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes from CSMC Series 2009-8R, a U.S. residential mortgage-
backed securities resecuritized real estate mortgage investment
conduit transaction. S&P initially rated certificates for loan
group 3 out of the eight independent groups within CSMC 2009-8R.
S&P lowered its ratings on classes 3-A-2, 3-A-11, 3-A-12, 3-A-13,
and 3-A-14 to 'B+' from 'BB'. At the same time, S&P affirmed its
'AAA' ratings on nine other classes of certificates from loan
group 3. The downgrades reflect the significant deterioration in
performance of the loans backing the underlying certificate.
Although this performance deterioration is severe, the credit
enhancement provided by the subordinated classes within loan group
3 is sufficient to maintain S&P's 'AAA' ratings on the other rated
certificates.
CSMC 2009-8R, which closed in June 2009, is collateralized by nine
underlying classes that support eight independent groups within
the re-REMIC. On the closing date, S&P rated only the
certificates for loan group 3 within CSMC 2009-8R. The loans
securing the underlying class backing the loan group 3
certificates consist predominantly of fixed-rate Alternative-A
(Alt-A) mortgage loans.
The loan group 3 certificates from CSMC 2009-8R are supported by
class A-1 from Countrywide Home Loans Alternative Loan Trust 2005-
40CB (currently rated 'B+'). This pool had experienced losses
amounting to 0.62% of the original pool balance as of the
September 2009 distribution report, and approximately 14.8% of the
current pool was delinquent. Based on the losses to date, the
current pool factor of 0.619 (61.9%), which represents the
outstanding pool balance as a proportion of the original balance,
and the pipeline of delinquent loans, S&P's current projected loss
for this pool is 4.36%. Due to this projected loss and the amount
of credit enhancement available within the underlying transaction,
certain classes of certificates within CSMC 2009-8R do not have
sufficient credit support to maintain their prior ratings.
Over the past two years, S&P has revised its RMBS default and loss
assumptions, and consequently S&P's projected losses, to reflect
the continuing decline in mortgage loan performance and the
housing market. (See articles listed under "Related Research" for
details.) The performance deterioration of most U.S. RMBS has
continued to outpace the market's expectations.
Ratings Lowered
CSMC Series 2009-8R
Rating
------
Class CUSIP To From
----- ----- -- ----
3-A-2 12641RAS9 B+ BB
3-A-11 12641RFG0 B+ BB
3-A-12 12641RFJ4 B+ BB
3-A-13 12641RFL9 B+ BB
3-A-14 12641RFN5 B+ BB
Ratings Affirmed
CSMC Series 2009-8R
Class CUSIP Rating
----- ----- ------
3-A-1 12641RAQ3 AAA
3-A-3 12641RAU4 AAA
3-A-4 12641RAW0 AAA
3-A-5 12641RAY6 AAA
3-A-6 12641RBA7 AAA
3-A-7 12641RBC3 AAA
3-A-8 12641RFA3 AAA
3-A-9 12641RFC9 AAA
3-A-10 12641RFE5 AAA
CUMBERLAND II: Moody's Downgrades Ratings on Class A Senior Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Cumberland II CLO Ltd.:
-- US$302,000,000 Class A Senior Secured Floating Rate Notes Due
2019 (current balance of $292,072,487), Downgraded to Aa1;
previously on September 21, 2005 Assigned Aaa.
In addition, Moody's has confirmed the ratings of these notes:
-- US$32,000,000 Class B Second Priority Deferrable Floating
Rate Notes Due 2019, Confirmed at Baa3; previously on March
18, 2009 Downgraded to Baa3 and Placed Under Review for
Possible Downgrade;
-- US$16,000,000 Class C Third Priority Deferrable Floating Rate
Notes Due 2019, Confirmed at Ba3; previously on March 18,
2009 Downgraded to Ba3 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. 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 C overcollateralization test.
In particular, the weighted average rating factor has increased
over the last year and is currently 2796 versus a test level of
2650 as of the last trustee report, dated September 4, 2009.
Based on the same report, defaulted securities currently held in
the portfolio total about $20 million, accounting for roughly 5%
of the collateral balance, and securities rated Caa1/CCC+ or lower
make up approximately 13% of the underlying portfolio. The Class
C overcollateralization test was reported at 103.36% versus a test
level of 104.9%.
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.
The rating actions also reflect Moody's revised assumptions with
respect to default probability (including certain stresses
pertaining to credit estimates) 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 second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Cumberland II CLO Ltd., issued in September 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.
CWALT INC: Moody's Corrects Ratings on 18 Tranches From Six Deals
-----------------------------------------------------------------
Moody's Investors Service has corrected the ratings of 18 tranches
from 6 transactions issued by CWALT. Previously, certain loss and
principal allocation features of the transactions were not
accurately accounted for. Ratings have been adjusted to reflect
the fact that after the depletion of the subordinated
certificates, principal distribution for certain tranches will
remain sequential while losses are first allocated to senior
support certificates. Moody's has also updated the expected loss
on the transactions to reflect continued deterioration in
performance.
The actions listed below reflect Moody's updated expected losses
on the transaction and the corrected sequential payment structure:
Complete rating actions are:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-59
-- Pool current expected loss: 26% of original balance
-- Cl. 1-A-1, Downgraded to Caa1; previously on Feb. 19, 2009
Downgraded to B2
-- Cl. 1-A-2B, Upgraded to A3; previously on Feb. 19, 2009
Downgraded to Ba1
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OA12
-- Pool current expected loss: 32% of original balance
-- Cl. A-1A, Upgraded to Aaa; previously on Feb. 19, 2009
Downgraded to Aa2
-- Cl. A-1C, Downgraded to Ca; previously on Feb. 19, 2009
Downgraded to Caa3
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OA16
-- Pool current expected loss: 37% of original balance
-- Cl. A-1B, Upgraded to Aaa; previously on Feb. 19, 2009
Downgraded to A1
-- Cl. A-1C, Downgraded to Caa1; previously on Feb. 19, 2009
Downgraded to B2
-- Cl. A-1D, Downgraded to Caa3; previously on Feb. 19, 2009
Downgraded to B2
-- Cl. A-2, Downgraded to Caa2; previously on Feb. 19, 2009
Downgraded to B2
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OA17
-- Pool current expected loss: 37% of original balance
-- Cl. 1-A1-B, Upgraded to Aa2; previously on Feb. 19, 2009
Downgraded to Ba3
-- Cl. 1-A1-D, Downgraded to Caa3; previously on Feb. 19, 2009
Downgraded to Caa1
-- Cl. 1-A2-B, Upgraded to Baa1; previously on Feb. 19, 2009
Downgraded to Ba3
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OA8
-- Pool current expected loss: 33% of original balance
-- Cl. 2-A-2, Upgraded to B3; previously on Feb. 19, 2009
Downgraded to Caa3
-- Cl. 2-A-4, Downgraded to Ca; previously on Feb. 19, 2009
Downgraded to Caa3
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-OH1
-- Pool current expected loss: 31% of original balance
-- Cl. A-1-A, Upgraded to Aaa; previously on Feb. 19, 2009
Downgraded to Ba2
-- Cl. A-1-B, Downgraded to B3; previously on Feb. 19, 2009
Downgraded to Ba3
-- Cl. A-1-C, Downgraded to Caa2; previously on Feb. 19, 2009
Downgraded to Ba3
-- Cl. A-1-D, Downgraded to B3; previously on Feb. 19, 2009
Downgraded to Ba3
-- Cl. A-2-A, Upgraded to Baa1; previously on Feb. 19, 2009
Downgraded to Caa3
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate, negative amortization, 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.
DENALI CAPITAL: Moody's Downgrades Ratings on Class A-2L Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of these notes issued by Denali Capital CLO VII, Ltd.:
-- US$42,000,000 Class A-2L Floating Rate Notes Due January
2022, Downgraded to A1; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade.
According to Moody's, the rating action taken on the Class A-2L
notes are a result of credit deterioration of 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 2833 versus a test level of 2640 as of the last
trustee report, dated September 22, 2009. Based on the same
report, defaulted securities currently held in the portfolio total
about $19.2 million, accounting for roughly 2.6% of the collateral
balance, and securities rated Caa1 or lower make up approximately
12.31% of the underlying portfolio.
The downgrade actions taken on the Class A-2L Notes also reflect
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
second lien loans will be below their historical averages,
consistent with Moody's research. Other assumptions used in
Moody's CLO monitoring are described in the publication "CLO
Ratings Surveillance Brief - Second Quarter 2009," dated 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, diversity score, and weighted average
recovery rate, may be different from the trustee's reported
numbers.
In addition, Moody's has upgraded the ratings of these notes:
-- US$41,000,000 Class A-3L Floating Rate Notes Due January
2022, Upgraded to Baa2; previously on March 23, 2009
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$22,500,000 Class B-1L Floating Rate Notes Due January
2022, Upgraded to Ba2; previously on March 23, 2009
Downgraded to Ba3 and Placed Under Review for Possible
Downgrade;
-- US$18,000,000 Class B-2L Floating Rate Notes Due January
2022, Upgraded to B1; previously on March 23, 2009 Downgraded
to B3 and Placed Under Review for Possible Downgrade.
Moody's notes that the upgrade actions on the Class A-3L, B-1L and
B-2L 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 A-3L, B-1L and B-2L
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.
Denali Capital CLO VII, Ltd., issued in May 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.
DENALI CAPITAL: Moody's Downgrades Ratings on Various Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Denali Capital CLO VI, Ltd.:
-- US$100,000,000 Class A-1LR Variable Funding Notes Due April
2020, Downgraded to Aa1; previously on March 22, 2006
Assigned Aaa;
-- US$277,000,000 Class A-1L Floating Rate Notes Due April 2020,
Downgraded to Aa1; previously on March 22, 2006 Assigned Aaa;
-- US$27,000,000 Class A-2L Floating Rate Notes Due April 2020,
Downgraded to A3; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$24,000,000 Class A-3L Floating Rate Notes Due April 2020,
Downgraded to Ba1; previously on March 23, 2009 Downgraded to
Baa3 and Placed Under Review for Possible Downgrade;
-- US$19,000,000 Class B-1L Floating Rate Notes Due April 2020,
Downgraded to Caa1; previously on March 23, 2009 Downgraded
to Ba3 and Placed Under Review for Possible Downgrade;
-- US$14,000,000 Class B-2L Floating Rate Notes Due April 2020,
Downgraded to Caa3; previously on March 23, 2009 Downgraded
to B3 and Placed Under Review for Possible Downgrade;
-- US$16,000,000 Class C-1 Combination Notes Due April 2020,
Downgraded to Baa3 (current rated balance of $11,836,618);
previously on March 4, 2009 A2 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. 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 2867 versus a test
level of 2678 as of the last trustee report, dated September 18,
2009. Based on the same report, defaulted securities currently
held in the portfolio total about $19.8 million, accounting for
roughly 4% of the collateral balance, and securities rated Caa1 or
lower make up approximately 12.93% of the underlying portfolio.
The rating actions also reflect 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 second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Denali Capital CLO VI, Ltd., issued in March 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.
EATON VANCE: Moody's Downgrades Ratings on Class A Senior Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of these notes issued by Eaton Vance CDO VIII, Ltd.:
-- US$583,500,000 Class A Senior Secured Floating Rate Notes Due
2022 (current balance of $553,500,000), Downgraded to Aa2;
previously on July 27, 2006 Assigned Aaa.
In addition, Moody's has confirmed the ratings of these notes:
-- US$48,000,000 Class B Second Priority Deferrable Floating
Rate Notes Due 2022, Confirmed at Baa3; previously on
March 17, 2009 Downgraded to Baa3 and Placed Under Review for
Possible Downgrade;
-- US$23,250,000 Class C Third Priority Deferrable Floating Rate
Notes Due 2022, Confirmed at Ba3; previously on March 17,
2009 Downgraded to Ba3 and Placed Under Review for Possible
Downgrade;
-- US$33,750,000 Class D Fourth Priority Deferrable Floating
Rate Notes Due 2022, Confirmed at B3; previously on March 17,
2009 Downgraded to B3 and Placed Under Review for Possible
Downgrade.
According to Moody's, the downgrade action taken on the Class A
Notes is a result of credit deterioration of the underlying
portfolio. Such credit deterioration is observed through an
increase in the dollar amount of defaulted securities and an
increase in the proportion of securities from issuers rated Caa1
and below. Based on the latest trustee report dated September 2,
2009, defaulted securities currently held in the portfolio total
about $36 million, accounting for roughly 5.1% of the collateral
balance, and securities rated Caa1 or lower make up approximately
12.8% of the underlying portfolio. Moody's also notes that the
weighted average rating factor was 2454, based on the same report.
The rating actions reflect 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 second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Moody's notes that the rating confirmations on the Class B Notes,
the Class C Notes, and the Class D 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 C Notes, the Class D Notes, and the Class E
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.
Eaton Vance CDO VIII, Ltd., issued in July 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.
EMPORIA PREFERRED: Moody's Confirms Ratings on Class B Notes
------------------------------------------------------------
Moody's Investors Service announced that it has confirmed the
ratings of these notes issued by Emporia Preferred Funding II,
Ltd.:
-- US$30,000,000 Class B Second Priority Senior Notes Due 2018,
Confirmed at Aa2; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade
In addition, Moody's has upgraded the rating of these notes:
-- US$22,000,000 Class C Third Priority Subordinated Deferrable
Notes Due 2018, Upgraded to Baa2; previously on March 23,
2009 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$22,000,000 Class D Fourth Priority Subordinated Deferrable
Notes Due 2018, Upgraded to Ba2; previously on March 23, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$14,500,000 Class E Fifth Priority Subordinated Deferrable
Notes Due 2018, Upgraded to Caa1; previously on March 23,
2009 Downgraded to Caa2 and Placed Under Review for Possible
Downgrade.
Moody's notes that the rating confirmation on the Class B Notes
and the rating upgrade on the Class C, D and E Notes consider
updated analysis incorporating certain rating stresses assumed by
Moody's and credit deterioration as discussed below, but reflect
Moody's conclusion that the impact of these factors on the ratings
of the 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.
Moody's rating analysis applies certain revised assumptions with
respect to default probability including certain stresses
pertaining to credit estimates 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 second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
According to Moody's, the rating actions taken on the notes also
consider the mild amount of credit deterioration in the underlying
portfolio. Moody's notes that as of the last trustee report,
dated September 2, 2009, the weighted average rating factor is
3314. Moody's also assessed the collateral pool's concentration
risk in debt obligations of companies in the insurance, finance,
real estate, and banking industries, which Moody's views to be
more strongly correlated in the current market environment.
Emporia Preferred Funding II, Ltd., issued in June 2006, is a
collateralized loan obligation backed primarily by a portfolio of
broadly syndicated senior secured loans and senior secured loans
of middle market issuers.
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.
FREEDOM 2000-1: 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 Freedom 2000-1 CDO, Ltd (formerly
Cigna CDO 2000-1):
-- US$37,000,000 Senior Secured Class B Floating Rate Notes due
2012, (current balance of $10,697,815), Downgraded to Ca;
previously on June 7, 2006 Downgraded to Caa1
-- US$12,250,000 Senior Secured Class C Floating Rate Notes due
2012, (current balance of $17,904,815), Downgraded to C;
previously on October 8, 2003 Downgraded to Ca
Moody's notes that the Trustee Report as of the September 18,
2009, discloses that the majority of the collateral assets held by
the Issuer have been sold and only one asset with principal
balance of $1mm still remains in the portfolio. The reported
eligible investments and cash is $6.117 million. The rating
actions taken reflect the severity of anticipated loss associated
with each class of Notes.
Freedom 2000-1 CDO, Ltd., issued on August 29, 2000, is a
collateralized bond obligation backed primarily by a portfolio of
senior unsecured bonds.
GLOBAL LEVERAGED: Moody's Downgrades Ratings on Five Classes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Global Leveraged Capital Credit
Opportunity Fund I:
-- US$265,000,000 Class A First Priority Senior Notes Due 2018
(current balance of $262,772,656), Downgraded to Aa1;
previously on December 20, 2006 Assigned Aaa;
-- US$39,000,000 Class B Second Priority Senior Notes Due 2018,
Downgraded to A2; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$18,500,000 Class E-1 Fifth Priority Subordinated
Deferrable Notes Due 2018, Downgraded to Caa3; previously on
March 23, 2009 Downgraded to Caa2 and Placed Under Review for
Possible Downgrade;
-- US$7,750,000 Class E-2 Fifth Priority Subordinated Deferrable
Notes Due 2018, Downgraded to Caa3; previously on March 23,
2009 Downgraded to Caa2 and Placed Under Review for Possible
Downgrade;
-- US$25,000,000 Class I Combination Notes Due 2018 (current
rated balance of $15,000,000), Downgraded to Ca; previously
on March 4, 2009 B2 Placed Under Review for Possible
Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$40,500,000 Class C Third Priority Subordinated Deferrable
Notes Due 2018, Confirmed at Ba1; previously on March 23,
2009 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- US$23,750,000 Class D Fourth Priority Subordinated Deferrable
Notes Due 2018, Confirmed at B1; previously on March 23, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions taken on the notes
reflect credit deterioration of 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 C, Class D, and Class E
principal coverage ratio tests. In particular, the weighted
average rating factor has increased over the last year and is
currently 4002 versus a test level of 3560 as of the last trustee
report, dated August 31, 2009. Based on the same report,
defaulted securities currently held in the portfolio total about
$53 million, accounting for roughly 11.7% of the collateral
balance, and securities rated Caa1 or lower make up approximately
18.5% of the underlying portfolio. The Class C principal coverage
ratio was reported at 119.19% versus a test level of 119.25%, the
Class D principal coverage ratio was reported at 111.46% versus a
test level of 113.00%, and the Class E principal coverage ratio
was reported at 104.00% versus a test level of 107.00%. 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.
The rating actions also reflect Moody's revised assumptions with
respect to default probability including certain stresses
pertaining to credit estimates 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
Moody's has also downgraded the rating of these notes:
-- SGD13,200,000 Class P-2 Principal Protected Notes Due 2018,
Downgraded to A2; previously on December 20, 2006 Assigned
Aa3.
The rating action on the Class P-2 notes reflects the change to
Moody's rating of the Class P-2 SGD Strip, which consists of
SGD13,200,000 in face value of a Singapore dollar denominated
stripped zero coupon bond due December 20, 2018, issued by Merrill
Lynch & Co., Inc. Moody's downgraded the senior unsecured rating
of Merrill Lynch & Co., Inc. to A2 on March 25, 2009.
Global Leveraged Capital Credit Opportunity Fund I, issued in
December of 2006, is a collateralized loan obligation backed
primarily by a portfolio of senior secured loans of middle market
issuers.
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.
GRAND HORN: Moody's Downgrades Ratings on Class B Senior Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Grand Horn CLO Ltd.:
-- US$28,500,000 Class B Senior Floating Rate Notes Due 2022,
Downgraded to Aa3; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade.
The downgrade action taken on the Class B Notes primarily reflects
Moody's revised assumptions with respect to default probability
(including certain stresses pertaining to credit estimates) 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 will be
below their historical averages, consistent with Moody's research.
Other assumptions used in Moody's CLO monitoring are described in
the publication "CLO Ratings Surveillance Brief - Second Quarter
2009," dated 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, diversity
score, and weighted average recovery rate, may be different from
the trustee's reported numbers.
According to Moody's, the rating actions taken on the notes also
consider mild credit deterioration of the underlying portfolio.
Such credit deterioration is observed through 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 2720 as of the last trustee report,
dated August 31, 2009. Based on the same report, defaulted
securities currently held in the portfolio total about
$21.8 million, accounting for roughly 4.5% of the collateral
balance, and securities rated Caa1 or lower make up approximately
11.4%of the underlying portfolio.
In addition, Moody's has upgraded the ratings of these notes:
-- US$27,500,000 Class C Mezzanine Floating Rate Deferrable
Notes Due 2022, Upgraded to Baa2; previously on March 13,
2009 Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$20,250,000 Class D Mezzanine Floating Rate Deferrable
Notes Due 2022, Upgraded to Ba2; previously on March 13, 2009
Downgraded to Ba3 and Placed Under Review for Possible
Downgrade.
Finally, Moody's has confirmed the ratings of these notes:
-- US$19,000,000 Class E Mezzanine Floating Rate Deferrable
Notes Due 2022, Confirmed at B3; previously on March 13, 2009
Downgraded to B3 and Placed Under Review for Possible
Downgrade.
Moody's notes that the upgrade actions on the Class C, Class D,
and the rating confirmation on the Class E Notes have also
incorporated the aforementioned stresses and 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 C, Class D, and Class E 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.
Grand Horn CLO Ltd., issued in December 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.
GREENWICH CAPITAL: Fitch Downgrades Ratings on 15 2007-GG11 Certs.
------------------------------------------------------------------
Fitch Ratings has downgraded 15 classes of Greenwich Capital
Commercial Funding Corp. 2007-GG11, commercial mortgage pass-
through certificates. In addition, Fitch has assigned,
maintained, or revised Rating Outlooks and Loss Severity ratings
as applicable. A detailed list of rating actions follows at the
end of this release.
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 of 6.4% for this transaction should
market conditions not recover. The rating actions are based on
losses of 4.3%, including 100% of the term losses and 25% of the
losses anticipated to occur at maturity; the 4.3% 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 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for certain
loans representing 70.5% of the pool and, in some cases, revised
based on additional information and/or property characteristics.
Approximately 21.1% of the mortgages mature within the next five
years: 9% in 2012 and 12.1% in 2013. All losses associated with
these loans are fully recognized in the rating actions.
Fitch identified 25 Loans of Concern (22.3%) within the pool, two
of which (0.7%) are specially serviced. Three of the loans
(11.8%) within the top 15 are expected to default during the term
and experience loss severities between 5% and 20%. The largest
three contributors to loss across the transaction are Bush
Terminal (9.3%), 9000 Sunset Boulvevard (3%) and the Hyatt Regency
Milwaukee (1.6%) loans.
The Bush Terminal loan is collateralized by a 6 million square
foot industrial warehouse development located in Brooklyn, NY.
The purpose of this loan was to help fund the re-development of
the property and convert a portion of the space from industrial to
office (690,000 sf) and loft/showroom space (2.5 million sf) in
order to achieve higher rents. As part of this conversion plan,
$25 million was reserved at origination. As of September 2009,
approximately $20 million remains available in this reserve. Upon
an event of default, these funds may be used to fund debt service,
at the servicer's discretion. Additionally, the borrowers
received $100 million in equity cash-out, net of reserves.
Occupancy at the property, as of February 2008 had dropped to 73%
as the conversion plan continues to move forward and resulted in
increased vacancy while space is being redesigned. The YE 2008
debt service coverage ratio was .79 times, which can also be
attributed, in part, to the conversion. While upon final
conversion, the property may achieve higher rents, given the
current economic climate the borrowers may have a more difficult
time re-leasing the newly converted space and be forced to come
out of pocket to keep debt service current, more than anticipated
at issuance. Therefore, Fitch modeled the loan as a term default.
The 9000 Sunset Boulevard loan is secured by an office building of
the same name, located in Los Angeles, CA. The 140,000 sf foot
building was built in 1963 and renovated in 2000. Occupancy has
declined from 100% at issuance to current estimated levels of
approximately 96%, with approximately 50% of space rolling over
during the next 24 months. At closing the loan was structured
with a $15 million holdback to be released in two stages. The
borrower satisfied the conditions for the first release of
$7.5 million but not yet for the second. In the event that
certain coverage and leverage hurdles are not satisfied by
November 2012, the holdback reserve proceeds will be held as cash
collateral for the loan. Due to the availability of these funds,
Fitch assumed a maturity default in this analysis.
The third largest contributor to loss across the transaction is
the Hyatt Regency Milwaukee. The loan is secured by a 384 room
Hyatt Regency that was originally built in 1980. The property has
undergone significant renovations since 2006 including extensive
work on the exterior, lobby, restaurant, and guest rooms. It is
estimated that the borrower has spent approximately $18.4 million
($38,000 per room) on renovations thus far. Due to the fact that
the rooms were re-done, there have been rooms down, which have
resulted in a lower occupancy rate for the property.
Additionally, the property has also been affected by a general
decline in performance being experienced across the hospitality
sector due to economic conditions. Fitch modeled this loan as a
maturity default.
Fitch has downgraded, removed from Rating Watch Negative and
assigned Rating Outlooks and LS Ratings to these classes:
-- $211.6 million class A-J to 'AA/LS3' from 'AAA'; Outlook
Negative;
-- $20.2 million class B at to 'AA/LS5; from 'AA+'; Outlook
Negative;
-- $26.9 million class C to 'A/LS5; from 'AA'; Outlook Negative;
-- $20.2 million class D to 'A/LS5' from 'AA-'; Outlook
Negative;
-- $33.6 million class E to 'BBB/LS5' from 'A+'; Outlook
Negative;
-- $13.4 million class F to 'BBB-/LS5' from 'A'; Outlook
Negative;
-- $33.6 million class G to 'BB/LS5' from 'A-'; Outlook
Negative;
-- $23.5 million class H to 'BB/LS5' from 'BBB+'; Outlook
Negative;
-- $26.9 million class J to 'B/LS5' from 'BBB'; Outlook
Negative;
-- $36.9 million class K to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $6.7 million class L to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $10.1 million class M to 'B-/LS5' from 'BB'; Outlook
Negative;
-- $10.1 million class N to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $6.7 million class O to 'B-/LS5' from 'B+'; Outlook Negative;
-- $3.4 million class P to 'B-/LS5' from 'B'; Outlook Negative;
-- $6.7 million class Q to 'B-/LS5' from 'B-'; Outlook Negative.
Additionally, Fitch has affirmed and assigned LS ratings to these
classes as indicated:
-- $40.8 million class A-1 at 'AAA/LS-1'; Outlook Stable;
-- $505.3 million class A-2 at 'AAA/LS-1'; Outlook Stable;
-- $37.4 million class A-3 at 'AAA/LS-1'; Outlook Stable;
-- $47 million class A-AB at 'AAA/LS-1'; Outlook Stable;
-- $995.6 million class A-4 at 'AAA/LS-1'; Outlook Stable;
-- $249.8 million class A-1-A at 'AAA/LS-1'; Outlook Stable;
-- $268.7 million class AM at 'AAA/LS-3'; Outlook Stable;
-- Interest only class XP at 'AAA'; Outlook Stable;
-- Interest only class XC at 'AAA'; Outlook Stable.
Fitch does not rate the $47 million class S.
GREENWICH CAPITAL: S&P Downgrades Ratings on 2006-FL4 Certificates
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class H and J commercial mortgage pass-through certificates from
Greenwich Capital Commercial Funding Corp.'s series 2006-FL4 to
'D'. Concurrently, S&P placed its ratings on five other classes
from this transaction on CreditWatch with negative implications.
The downgrades to 'D' reflect ongoing interest shortfalls
resulting primarily from the appraisal subordinate entitlement
reduction amount for the specially serviced Northwest Plaza
Shopping Center asset, which is classified as real estate owned.
S&P expects the shortfalls from this asset to recur, and S&P does
not believe that these shortfalls will be recovered in the near
term.
The CreditWatch placements of the class F and G certificates
reflect interest shortfalls associated with special servicing fees
resulting primarily from the transfer of the Greenwich Residential
loan to special servicing. S&P also placed its ratings on the
class C, D, and E certificates on CreditWatch negative due to the
potential for liquidity interruption.
S&P will resolve the CreditWatch placements upon further analysis
of the transaction and dialogue with the special servicers,
Wachovia Bank N.A. and Situs Asset Management. The interest
shortfalls on the class F and G certificates could be reversed if
the subordinate note held outside the trust absorbs the special
servicing fee on the Greenwich Residential loan, provided that the
borrower continues to fund the whole loan. However, classes C, D,
E, F, and G remain susceptible to interest shortfalls if updated
appraisals for certain specially serviced assets prompt revisions
to the existing appraisal reduction amount or the implementation
of new ARAs. Two of the loans are secured by properties that are
not generating positive cash flow. If the borrowers fail to fund
debt service in the future, interest shortfalls will likely occur.
Details of the five specially serviced loans, as well as the REO
asset, are:
The Northwest Plaza Shopping Center asset, which became REO on
Sept. 1, 2009, has a whole-loan exposure of $29.3 million, which
consists of a $24.7 million senior pooled component (5% of the
pooled trust balance as of the Sept. 9, 2009, trustee remittance
report) and a $4.6 million subordinate nonpooled component that is
raked to the "NW" certificates (not rated). The asset consists of
a 1.7 million-sq.-ft. super-regional mall and an attached 12-
story, 152,600-sq.-ft. class B office building in St. Ann, Mo.,
that were 48% and 56% occupied as of February 2009, respectively.
This loan was transferred to Wachovia on Oct. 8, 2008, due to
imminent default. It is S&P's understanding that the borrower had
planned to redevelop and reposition the mall but was unable to
fund the development. A $21.8 million ARA, based on a Dec. 16,
2008, appraisal value of $10.0 million, is in effect. Wachovia
indicated that it is exploring various liquidation options. The
special servicer ordered an updated appraisal last month. If the
updated appraisal value comes in below the prior December 2008
appraisal value, the master servicer may adjust the existing ARA
upward.
The Greenwich Residential loan has a $25.9 million senior trust
balance (5% of the pooled trust balance) and a $40.9 million
whole-loan balance. The special servicer for this loan, Situs,
indicated that the borrower is currently making debt service
payments on the senior trust balance only. This loan is secured
by a 31-unit condominium conversion complex in Greenwich, Conn.
The loan was transferred to the special servicer on July 22, 2009,
due to imminent maturity default. The loan had an Aug. 1, 2009,
maturity with three remaining six-month extension options. The
extension option under the terms of the loan agreement required a
$20.0 million principal paydown. The borrower did not fund this
amount, which resulted in a default. The borrower reported
negative cash flow at the property as of Dec. 31, 2008. Situs and
the borrower are currently discussing workout terms. The August
2009 appraisal valued the property at a level that is close to the
senior trust balance.
The Mondrian-Scottsdale loan has a $26.0 million whole-loan
balance that consists of a $23.4 million senior pooled component
(5% of the pooled trust balance) and a $2.6 million subordinate
nonpooled component that provides the sole source of cash flow for
the "MON" raked certificates. In addition, the equity interests
in the borrower of the whole loan secure a $14.0 million mezzanine
loan. This loan, secured by a 194-room full-service boutique
hotel in Scottsdale, Ariz., was transferred to the special
servicer on May 20, 2009, due to imminent maturity default. The
90-plus-days delinquent loan did not meet the debt yield test for
the borrower to exercise its June 1, 2009, maturity extension
option, one of the two remaining options available. The borrower
reported negative cash flow at the property, and 51% occupancy for
the year ended Dec. 31, 2008. The July 2009 appraisal valued the
property at a level that is below the balance of the senior pooled
component. Wachovia is exploring various workout strategies with
the borrower; however, a receivership and foreclosure may be
imminent.
The Wyndham Hotel Orange County loan has a whole-loan balance of
$31.0 million (3% of the pooled trust balance), which consists of
a $15.8 million senior pooled component, a $1.0 million
subordinate nonpooled component that is raked to the "WYN"
certificates (not rated), and a $14.2 million nontrust junior
participation interest. The 90-plus-days delinquent loan, secured
by a 238-room, full-service hotel in Costa Mesa, Calif., was
transferred to the special servicer on May 27, 2009, due to a
payment default. The reported DSC was 0.71x and occupancy was 73%
for the year ended Dec. 31, 2008. The June 2009 appraisal valued
the property at a level that is slightly above the balance on the
senior pooled component. Wachovia has initiated foreclosure
proceedings.
The 2600 West Olive Avenue loan has a $36.7 million whole-loan
balance that consists of a $15.7 million senior pooled component
(3% of the pooled trust balance), a $6.4 million subordinate
nonpooled component that supports the "2600" raked certificates
(not rated), as well as a $14.6 million nontrust junior
participation interest. This loan, secured by a 148,300-sq.-ft.
class A office building in Burbank, Calif., was transferred to the
special servicer on March 25, 2009, due to imminent default after
the borrower submitted a proposal to modify the loan, which
included a request for a $10.0 million principal charge-off and a
five-year term extension. Wachovia exhausted all workout options
and has initiated foreclosure. The loan is currently 90-plus-days
delinquent and has triggered a cash trap event. The reported DSC
was 0.34x for the year ended Dec. 31, 2008, and 50% occupancy as
of July 31, 2009. The loan matures on Dec. 1, 2009, and has one
12-month extension option remaining. The April 2009 appraisal
valued the property at a level that is above the balance on the
senior pooled component.
The Galleria Sheraton-Metairie loan has a whole-loan balance of
$17.0 million that consists of an $8.5 million senior pooled
component (2% of the pooled trust balance), a $2.0 million
subordinate nonpooled component that supports the "GSM" raked
certificates, and a $6.5 million nontrust junior participation
interest. This loan, which is 90-plus-days delinquent, is secured
by a seven-story, 182-room hotel in Metairie, La. This loan was
transferred to the special servicer on June 2, 2009, after the
borrower failed to pay off the loan upon its June 1, 2009,
maturity.
The reported DSC was 0.25x and occupancy was 73% for the year
ended Dec. 31, 2008. Situs is currently exploring workout options
and has ordered an updated appraisal.
S&P will continue to monitor and discuss the workout strategies of
these assets with the special servicers. Based on S&P's analysis
of this information, S&P will take rating actions as S&P deem
necessary.
Ratings Lowered
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2006-FL4
Rating
------
Class To From
----- -- ----
H D CCC+
J D CCC-
Ratings Placed On Creditwatch Negative
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2006-FL4
Rating
------
Class To From
----- -- ----
C BBB+/Watch Neg BBB+
D BBB-/Watch Neg BBB-
E BB/Watch Neg BB
F BB-/Watch Neg BB-
G B/Watch Neg B
GUAM WATERWORKS: Fitch Affirms 'BB' Rating on $97.4 Mil. Bonds
--------------------------------------------------------------
In the course of routine surveillance, Fitch affirms its 'BB'
rating on Guam Waterworks Authority's $97.4 million in outstanding
water and wastewater system revenue bonds, series 2005. The
Rating Outlook is revised to Stable from Positive.
The revision in GWA's Rating Outlook to Stable reflects a weaker
financial position than previous estimates. Both audited 2008 and
unaudited 2009 results point to annual debt service coverage for
the year falling below 1.0 times, based on the bond resolution's
methodology for calculating net revenues. GWA has made all debt
service payments for both fiscal 2008 and 2009 as scheduled
without drawing on its debt service reserve fund. However, this
has resulted in a reduction in GWA's cash position and the
inability to accumulate sufficient operations and replacement
reserves as required under the bond indenture. Financial results
should improve significantly beginning in fiscal 2010 as GWA
recently received rate adjustments totaling over 20% and approval
for additional hikes through fiscal 2013 from the Public Utilities
Commission. GWA also intends to pursue interim financing within
the next few months which will be used to fully fund the operating
and replacement reserves.
The 'BB' rating reflects the system's marginal financial
performance, sizeable amount of capital costs and rate pressure
related to system regulatory compliance and basic infrastructure
needs, and management's efforts to improve operations.
Historically, the system has been plagued with weak financial
performance and violations of the federal Clean Water Act and Safe
Drinking Water Act, which necessitated involvement at the federal
regulatory level. However, since 2002 when the authority's
governance was changed from an appointed board to an elected
governing board, significant strides have been made toward
returning the system to regulatory compliance and ensuring stable
operations. Nevertheless, capital costs for necessary repairs
remain significant and will continue to pressure operations.
Maintenance of the rating will be dependent on the continued
timeliness of rate recovery and the authority's ability to
effectively execute its capital improvement program (CIP) while
maintaining adequate financial performance, which includes meeting
bond covenants.
At the time of Fitch's last review in January 2009, unaudited
figures for fiscal 2008 pointed to ADS coverage of just under 1.3x
while fiscal 2009 projections estimated slightly better results.
However, excluding various non-operating revenues in accordance
with the bond requirements (i.e. interest earnings from
construction funds and allowance for funds used during
construction), ADS coverage for fiscal 2008 was just 0.7x and
fiscal 2009 ADS coverage is estimated to be even lower at 0.6x.
The difference in fiscal 2009 figures from previous estimates was
from a combination of weak revenues during the year (largely the
effect of faulty meters) and rising energy costs. As part of the
U.S. EPA's 2003 stipulated order (the SO), GWA was required to
replace existing meters. However, by early fiscal 2009 around 10%
of residential accounts were showing no readings and at one point
the amount of zero-reads was much higher. GWA staff has made
progress in repairing or replacing faulty meters and is working
with the manufacturer to address the issue, but ongoing challenges
persist and it likely will be some time before there is complete
resolution.
If the GWA cannot fix and maintain these new meters, capital costs
to GWA for replacement of all meters are estimated to be as much
as $7 million. It is unclear at this point whether or not GWA
would be able to recoup any of these costs from the current
vendor. If GWA is forced to fund these capital costs it would add
to GWA's already significant capital needs that are required under
the SO over the medium term, let alone outlays that will be needed
for the military build-up scheduled to occur within the next few
years.
In an effort to recover approved revenues for fiscal 2009, GWA has
received authorization by the PUC to back-charge customers for
usage upon learning of a faulty meter and replacement with a
working one. Under such a circumstance, the user is billed for
the amount of usage for the period the meter was operating
improperly based on the average two-month consumption level after
a working meter is installed. On the expenditure side, in an
effort to recoup higher than budgeted power and purchased water
costs, the PUC granted GWA a 6.6% base rate adjustment effective
April 2009. It is expected that the PUC will review actual power
and water costs annually and allow GWA to assess a surcharge to
recover any unbudgeted costs.
Other recent actions by the PUC should also assist GWA's financial
operations. The PUC approved a series of base rate adjustments,
including a 14.0% hike effective August 2009. The adjustment was
the first of four hikes approved by the PUC in support of GWA's
five-year financial plan. Additional hikes of 8.0% (for fiscal
2011), 4.9% (2012), and 8.0% (2013), while approved by the PUC,
are subject to final review prior to enactment. With these
adjustments, GWA forecasts -- and GWA's rate consultant R.W. Beck
concurs -- that it comfortably will be able to meet its rate
covenant going forward and that it should be able to reach its
1.75x ADS target coverage as well.
HARBORVIEW MORTGAGE: Moody's Corrects Ratings on 2006-12 Tranches
-----------------------------------------------------------------
Moody's Investors Service has corrected the ratings of 4 tranches
from HarborView Mortgage Loan Trust 2006-12. Previously, certain
loss and principal allocation features of the transaction were not
accurately accounted for. Ratings have been adjusted to reflect
the fact that after the depletion of the subordinated
certificates, principal distribution for certain tranches will
remain sequential while losses are first allocated to senior
support certificates. Moody's has also updated the expected loss
on the transaction to reflect continued deterioration in
performance.
The actions listed below reflect Moody's updated expected losses
on the transaction and the corrected sequential payment structure:
Issuer: HarborView Mortgage Loan Trust 2006-12
-- Pool current expected loss: 38% of original balance
-- Cl. 2A-1A1, Upgraded to Aa1; previously on Feb. 20, 2009
Downgraded to B2
-- Cl. 2A-1A2, Upgraded to Ba1; previously on Feb. 20, 2009
Downgraded to Caa1
-- Cl. 2A-1A3, Downgraded to Caa3; previously on Feb. 20, 2009
Downgraded to Caa1
-- Cl. 2A-2A, Downgraded to B3; previously on Feb. 20, 2009
Downgraded to B1
The collateral backing the transaction consists primarily of
first-lien, adjustable-rate, negative amortization, 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.
HELIUM CAPITAL: S&P Withdraws 'CCC-' Ratings on Two Classes
-----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CCC-' ratings on
two classes of notes issued by Helium Capital Ltd.'s series 69 and
70. Both deals are synthetic collateralized debt obligation
transactions backed by high-grade residential mortgage-backed
securities.
The withdrawals follow the redemption and cancellation of the
notes pursuant to the Sept. 30, 2009, mandatory redemption notice.
Ratings Withdrawn
Helium Capital Ltd.
AUD15,000,000 variable return notes due 2052 series 69
Rating
------
To From
-- ----
Variable return note NR CCC-
Helium Capital Ltd.
AUD15,000,000 variable return notes due 2052 series 70
Rating
------
To From
-- ----
Variable return note NR CCC-
NR - Not rated.
HILLMARK FUNDING: Moody's Downgrades Ratings on Three Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by HillMark Funding Ltd.:
-- US$368,000,000 Class A-1 Senior Secured Floating Rate Notes
due 2021, Downgraded to Aa1; previously on November 16, 2006
Assigned Aaa;
-- US$24,500,000 Class A-2 Senior Secured Floating Rate Notes
due 2021, Downgraded to A2; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- US$15,250,000 Class D Secured Deferrable Floating Rate Notes
due 2021 (current balance US$9.3MM), Downgraded to Caa2;
previously on March 17, 2009 Downgraded to B3 and Placed
Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$28,000,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2021, Confirmed at Baa3; previously on March 17,
2009 Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$25,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2021, Confirmed at B1; previously on March 17, 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.
Moderate credit deterioration is observed through 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, defaulted securities currently held in the portfolio
total about $28 million, accounting for roughly 5.8% of the
collateral balance, as of the last trustee report, dated
September 9, 2009. Based on the same report, securities from
issuers rated Caa1 or lower by Moody's or CCC+ or lower by S&P
make up approximately 12.8% of the underlying portfolio.
The rating actions also reflect 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
HillMark Funding Ltd., issued in November 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.
INDUSTRIAL DEVELOPMENT: Fitch Assigns 'BB+' Rating on Bonds
-----------------------------------------------------------
Fitch Ratings has assigned a 'BB+' rating to the $80.41 million
Industrial Development Authority of the County of Pima (Arizona)
pollution control revenue bonds, series A (Tucson Electric Power
Co. San Juan Project). The bonds are tax-exempt, senior unsecured
obligations. Net proceeds from the bond issuance will be used to
repay $80.41 million of outstanding City of Farmington, New Mexico
pollution control revenue bonds, 1997 series A (Tucson Electric
Power Co. San Juan Project). The Rating Outlook is Stable.
The ratings and Outlook reflect TEP's high debt leverage,
covenants in the utility's bank facilities that restrict debt-
leverage relative to EBITDA and prospective mortgage debt
issuance and the need for amendments to its bank facilities in
2008 to comply with the debt-leverage ratio covenant included
therein. A relatively high degree of variable rate debt,
structural subordination of its senior unsecured debt to more
than $900 million of outstanding capital lease and secured debt
obligations, sluggish service territory economy and frozen non-
fuel rates are additional sources of concern for investors.
The ratings and Outlook also consider expected improvement in
TEP's post-2008 credit ratios as the result of a settlement
approved by the Arizona Corporation Commission in the utility's
last general rate case. The ruling increased base rates in
December 2008 and adopted a purchase power and fuel adjustment
clause effective Jan. 1, 2009. The ratings also recognize TEP's
competitive rates, relatively low-cost generating resource mix, a
long history of above industry average service territory growth
and significant debt reduction in recent years.
INDYMAC IMSC: Moody's Corrects Ratings on Six 2007-HOA1 Tranches
----------------------------------------------------------------
Moody's Investors Service has corrected the ratings of 6 tranches
from IndyMac IMSC Mortgage Loan Trust 2007-HOA1. Previously,
certain loss and principal allocation features of the transaction
were not accurately accounted for. Ratings have been adjusted to
reflect the fact that after the depletion of the subordinated
certificates, principal distribution for certain tranches will
remain sequential while losses are first allocated to senior
support certificates. Moody's has also updated the expected loss
on the transaction to reflect continued deterioration in
performance.
The actions listed below reflect Moody's updated expected losses
on the transaction and the corrected sequential payment structure.
Complete rating actions are:
Issuer: IndyMac IMSC Mortgage Loan Trust 2007-HOA1
-- Pool current expected loss: 30% of original balance
-- Cl. A-1-1, Downgraded to B2; previously on Feb. 20, 2009
Downgraded to Ba1
-- Cl. A-1-2, Current Rating at Aa3 and on Review for Possible
Downgrade; previously on May 20, 2009 Aa3 Placed Under Review
for Possible Downgrade
-- Cl. A-1-2, Underlying Rating: Downgraded to Caa3; previously
on Feb. 20, 2009 Downgraded to Caa1
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3
Placed Under Review for Possible Downgrade on May 20, 2009)
-- Cl. A-2-1, Upgraded to B2; previously on Feb. 20, 2009
Downgraded to Caa1
-- Cl. A-2-3, Current Rating at Aa3 and on Review for Possible
Downgrade; previously on May 20, 2009 Aa3 Placed Under Review
for Possible Downgrade
-- Cl. A-2-3, Underlying Rating: Downgraded to C; previously on
Feb. 20, 2009 Downgraded to Caa1
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3
Placed Under Review for Possible Downgrade on May 20, 2009)
-- Cl. A-2-4, Downgraded to C; previously on Feb. 20, 2009
Downgraded to Caa1
-- Cl. A-3, Current Rating at Aa3 and on Review for Possible
Downgrade; previously on May 20, 2009 Aa3 Placed Under Review
for Possible Downgrade
-- Cl. A-3, Underlying Rating: Downgraded to C; previously on
Feb. 20, 2009 Downgraded to Ca
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3
Placed Under Review for Possible Downgrade on May 20, 2009)
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate, negative amortization, 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.
ING INVESTMENT: 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 ING Investment Management CLO V,
Ltd.:
-- US$80,000,000 Class A-1b Floating Rate Notes due 2022,
Downgraded to Aa1; previously on March 4, 2009 Aaa Placed
Under Review for Possible Downgrade;
-- US$25,000,000 Class A-2 Floating Rate Notes due 2022,
Downgraded to A1; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$26,000,000 Class B Deferrable Floating Rate Notes due
2022, Confirmed at Baa3; previously on March 13, 2009
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$21,000,000 Class C Deferrable Floating Rate Notes due
2022, Confirmed at Ba3; previously on March 13, 2009
Downgraded to Ba3 and Placed Under Review for Possible
Downgrade;
-- US$10,000,000 Class D Deferrable Floating Rate Notes due
2022, Confirmed at B3; previously on March 13, 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. 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 2820 versus a test
level of 2720 as of the last trustee report, dated July 23, 2009.
Based on the same report, defaulted securities currently held in
the portfolio total about $16.8 million, accounting for roughly
3.4% of the collateral balance, and securities rated Caa1 or lower
make up approximately 7.7% of the underlying portfolio.
The rating actions also reflect 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 second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
ING Investment Management CLO V, Ltd., issued in August 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.
JASPER CLO: 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 Jasper CLO Ltd.:
-- US$521,500,000 Class A Floating Rate Senior Secured
Extendable Notes Due 2017 (current balance of $512,409,606),
Downgraded to Aa3; previously on June 29, 2005 Assigned Aaa;
-- US$35,000,000 Class B Floating Rate Senior Secured Extendable
Notes Due 2017, Downgraded to Baa1; previously on March 4,
2009 Aa2 Placed Under Review for Possible Downgrade;
-- US$35,000,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2017, Downgraded to Ba3;
previously on March 18, 2009 Downgraded to Baa3 and Placed
Under Review for Possible Downgrade;
-- US$33,500,000 Class D-1 Floating Rate Senior Secured
Deferrable Interest Extendable Notes Due 2017 (current
balance of $31,629,544), Downgraded to Caa1; previously on
March 18, 2009 Downgraded to Ba3 and Placed Under Review for
Possible Downgrade;
-- US$5,000,000 Class D-2 Fixed Rate Senior Secured Deferrable
Interest Extendable Notes Due 2017 (current balance of
$4,721,958), Downgraded to Caa1; previously on March 18, 2009
Downgraded to Ba3 and Placed Under Review for Possible
Downgrade;
-- US$10,000,000 Class 1 Extendable Composite Securities Due
2017, Downgraded to Caa1 (current rated balance of
$4,750,032); previously on March 4, 2009 Baa3 Placed Under
Review for Possible Downgrade;
-- US$5,000,000 Class 2 Extendable Composite Securities Due
2017, Downgraded to Ba2 (current rated balance of
$3,471,740); previously on March 4, 2009 A2 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. 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 A/B, Class C and Class D
Overcollateralization Ratio Tests. In particular, the weighted
average rating factor has increased over the last year and is
currently 3009 versus a test level of 2830 as of the last trustee
report, dated September 10, 2009. Based on the same report,
defaulted securities currently held in the portfolio total about
$72.2 million, accounting for roughly 10.8% of the collateral
balance, and securities rated Caa1 or lower make up approximately
16.47% of the underlying portfolio. The Class A/B
overcollateralization ratio was reported at 112.092% versus a test
level of 112.7%, the Class C overcollateralization ratio was
reported at 105.356% versus a test level of 108%, and the Class D
overcollateralization ratio was reported at 99.255% versus a test
level of 105%. Moody's also observes that the transaction is
exposed to a number of mezzanine and junior CLO tranches in the
underlying portfolio. The majority of these CLO tranches are
currently assigned speculative-grade ratings and carry depressed
market valuations that may herald poor recovery prospects in the
event of default.
The rating actions also reflect Moody's revised assumptions with
respect to default probability (including certain stresses
pertaining to credit estimates) 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. 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. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Jasper CLO 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.
JER CRE: Moody's Downgrades Ratings on 13 Classes of Notes
----------------------------------------------------------
Moody's Investors Service affirmed one class and downgraded 13
classes of Notes of JER CRE CDO 2006-2 Limited. The downgrades
are due to Moody's projected losses on underlying commercial
mortgage backed securities. Additionally, the deal is failing
eight overcollateralization tests due to the high number of
defaulted and impaired CMBS securities. These test failures have
resulted in the diversion of cash to pay down principal on the
Class A notes and have caused the reinvestment feature of the deal
to cease. As such, Classes C-FL, C-FX, D-FL, D-FX, E-FL, E-FX, F-
FL, G-FL, H-FL, J-FX, K, and L are not currently receiving any
interest proceeds.
Moody's review of JER CRE CDO 2006-2, Ltd. was prompted by the
high number of impaired and defaulted CMBS securities noted in the
August 20, 2009 trustee report. The Notes are currently
collateralized by 98 classes of CMBS securities (72.9% of the
pool) from 21 separate transactions issued between 2004 and 2007.
Additionally, there are six classes (4.3%) of commercial real
estate collateralized debt obligations from two separate
transactions, two whole loans (3.7%), and eight mezzanine loans
(19.1%). As of the August 20, 2009 distribution date, 75 CMBS
(49.8% of the pool) were listed as impaired and 15 CMBS (6.3%)
were listed as defaulted.
Since Moody's last review, among the Moody's rated CMBS and CRE
CDO securities (currently 59.9% of the pool), there have been 20
downgrades and no upgrades. As part of Moody's current review,
credit estimates were performed on all non-Moody's rated loans and
securities (40.0%).
The aggregate collateral balance has decreased to $1.18 billion
from $1.20 billion at issuance, due to approximately $11.3 million
in losses from underlying CMBS transactions. Additionally, the
Class A Notes have paid down by approximately $14.3 million.
Moody's currently estimates an additional $415 million in expected
losses to the Notes due to losses on defaulted and/or specially
serviced loans collateralizing the underlying CMBS.
In Moody's review of the deal, Moody's undercollateralized the
Notes by $415 million after determining potential losses on
collateral tranches. This, along with the failure of eight
overcollateralization tests, led Moody's to conclude that there is
material change in the expect losses of the rated Notes since
Moody's last review.
Moody's uses a weighted average rating factor as an overall
indicator of the credit quality of a CRE CDO transaction. Based
on Moody's analysis, the current WARF is 7,703 compared to 7,617
at last review and 6,603 at issuance. In Moody's current review,
Moody's modeled a WARF of 5,794, which is the WARF after excluding
certain defaulted and impaired collateral. Moody's also reviewed
the ratings or performed credit estimates on all the collateral
supporting the Notes. The distribution of ratings and credit
estimates, excluding certain defaulted and impaired assets, is:
Ba1-Ba3 (7.5% compared to 6.7% at last review), B1-B3 (22.6%
compared to 32.9%), Caa1-NR (69.9% compared to 60.3%).
Moody's review incorporated updated asset correlation assumptions
for the commercial real estate sector consistent with one of
Moody's CDO rating models, CDOROM v2.5, which was released on
February 3, 2009. These correlations were updated in light of the
systemic seizure of credit markets and to reflect higher inter-
and intra-industry asset correlations. The updated asset
correlations, depending on vintage and issuer diversity, used for
CUSIP collateral (i.e. CMBS, CRE CDOs or real estate investment
trust debt) within CRE CDOs range from 30% to 60%, compared to 15%
to 35% previously.
For non-CUSIP collateral (treated in CDOROM v2.5 as secured
corporate debt), the updated asset correlations are approximately
30% compared to 15% previously. The updated asset correlations
for non-CUSIP collateral reflect a reduction in the maximum over-
concentration stress by half in CDOROM v2.5 due to the diversity
of tenants, property types and geographic locations inherent in
the collateral pools.
Default probability is typically captured in the collateral WARF.
For CUSIP collateral, the additional default probability stress
sometimes applied to re-securitization collateral was not applied
to CMBS collateral reviewed recently as part of Moody's first
quarter 2009 CMBS ratings sweep. Based on Moody's current
expectations of commercial real estate performance, the CMBS
ratings are believed to be relatively stable for the next 12 to 18
months. However, for pre-2006 CMBS collateral, the default
probability re-securitization stress was applied to capture the
potential ratings volatility of the underlying collateral.
For non-CUSIP collateral, the additional default probability
stress applied to corporate debt was eliminated as Moody's expect
the underlying non-CUSIP collateral to experience lower default
rates and higher recovery rates compared to corporate debt due to
the nature of the secured real estate collateral.
In addition to the asset correlations and default probability
assumptions for cash CRE CDOs, Moody's assumed a single delayed
default timing scenario in CDOEdge v3.2, one of its CRE CDO rating
models, to better reflect Moody's expectation of how the
underlying real estate will perform in this recession.
Previously, six default timing scenarios were used to analyze the
expected loss at each tranche.
The rating actions is:
-- Class A-FL, $345,839,799, Floating Rate Notes Due 2045,
downgraded to Baa1 from A2; previously on 3/19/2009
downgraded to A2 from Aaa
-- Class B-FL, $120,055,000, Floating Rate Notes Due 2045,
downgraded to Ba2 from Baa2; previously on 3/19/2009
downgraded to Baa2 from Aa2
-- Class C-FL, $43,028,000, Floating Rate Deferrable Interest
Notes Due 2045, downgraded to B3 from Ba3; previously on
3/19/2009 downgraded to Ba3 from A1
-- Class C-FX, $17,000,000, Fixed Rate Deferrable Interest Notes
Due 2045, downgraded to B3 from Ba3; previously on 3/19/2009
downgraded to Ba3 from A1
-- Class D-FL, $28,022,000, Floating Rate Deferrable Interest
Notes Due 2045, downgraded to Caa1 from B1; previously on
3/19/2009 downgraded to B1 from A2
-- Class D-FX, $20,000,000, Fixed Rate Deferrable Interest Notes
Due 2045, downgraded to Caa1 from B1; previously on 3/19/2009
downgraded to B1 from A2
-- Class E-FL, $20,014,000, Floating Rate Deferrable Interest
Notes Due 2045, downgraded to Caa3 from B3; previously on
3/19/2009 downgraded to B3 from A3
-- Class E-FX, $10,000,000, Fixed Rate Deferrable Interest Notes
Due 2045, downgraded to Caa3 from B3; previously on 3/19/2009
downgraded to B3 from A3
-- Class F-FL, $40,818,000, Floating Rate Deferrable Interest
Notes Due 2045, downgraded to Caa3 from Caa1; previously on
3/19/2009 downgraded to Caa1 from Baa1
-- Class G-FL, $36,017,000, Floating Rate Deferrable Interest
Notes Due 2045, downgraded to Caa3 from Caa2; previously on
3/19/2009 downgraded to Caa2 from Baa2
-- Class H-FL, $13,206,000, Floating Rate Deferrable Interest
Notes Due 2045, downgraded to Caa3 from Caa2; previously on
3/19/2009 downgraded to Caa2 from Baa2
-- Class J-FX, $60,027,000, Fixed Rate Deferrable Interest Notes
Due 2045, affirmed at Caa3; previously on 3/19/2009
downgraded to Caa3 from Baa3
-- Class K, $78,036,000, Fixed Rate Deferrable Interest Notes
Due 2051, downgraded to Ca from Caa3; previously on 3/19/2009
downgraded to Caa3 from Ba2
-- Class L, $72,033,000, Fixed Rate Deferrable Interest Notes
Due 2051, downgraded to C from Caa3; previously on 3/19/2009
downgraded to Caa3 from B2
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions both on 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.
JP MORGAN: Fitch Downgrades Ratings on 15 Classes of Certs.
-----------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 15 classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp., mortgage pass-through certificates. In
addition, Fitch has assigned Loss Severity ratings.
The downgrades are the result of loss expectations for current
specially serviced loans and reflect Fitch's prospective views
regarding commercial real estate market value and cash flow
declines. Fitch forecasts potential losses of 9.02% for this
transaction, should market conditions not recover. The rating
actions are based on losses of 7.3% 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 Rating 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 2007 and property values decline 35% from issuance.
These loss estimates were reviewed in more detail for loans
representing 55% of the pool and, in certain cases, revised based
on additional information and/or property characteristics.
Approximately 20.4% of the mortgages are scheduled to mature
within the next five years: 2.9% in 2011, and 17.5% in 2012. In
2017, 66.8% is scheduled to mature.
Fitch identified 26 Loans of Concern (23%) within the pool, five
of which (1.9%) are specially serviced. None of the specially
serviced loans are within the transaction's top 15 loans (42.3%).
Of the specially serviced loans, one (1% of the pool) is current.
Five (11.5%) of the transaction's top 15 loans are Fitch Loans of
Concern.
Based on its analysis, Fitch expects 14 of the top 15 loans
(40.9%) to default during the term or at maturity, with loss
severities ranging from approximately 1% to 11%. The largest
contributors to loss on a pool level basis (by outstanding
balance) are: Overlook III (2.7%), Ten Penn Center (2.2%), and
Sheraton Gunter (1.6%).
Overlook II is a 438,709 square foot office building located in
Atlanta, GA. The sponsor is Parameter Realty Fund III, Inc. The
major tenants at the property consist of Citicorp Credit Services
(14%), Club Management Enterprises, LLC (8%), and Nations Builders
Insurance (6%). Performance has declined due to increased
expenses and a slight decline in occupancy since issuance. The
servicer-reported debt-service coverage ratio as of year-end
December 2008 was 1.17 times down from 1.21x and 1.29x at
issuance. Occupancy as of June 2009 was 76% and 85% including the
master lease. Fitch's analysis of the loan resulted in a higher
probability of default at maturity based on the high loan to
value.
Ten Penn Center is a 670,857 square foot office property located
in Philadelpia, PA. The sponsor is Ten Penn Center Assocates,
L.P. The major tenants at the property consist of Janney
Montgomery Scott, LLC (23%) and Sedgwick Claims Management
Services (7.5%). At issuance, the property was 67% occupied and
projected to have negative cash flow for the first three years of
the loan term. The property has not reached stabilization
expectations. As of YE 2008, the servicer reported DSCR was
0.74x, and the Fitch stressed DSCR at issuance was 1.11x. As of
June 2009, the property was 74.6% occupied down from 85% YE 2007
but up from 67% at issuance. Fitch's analysis of the loan
resulted in a higher probability of default during the loan term
based on declining performance.
Sheraton Gunter is a full-service, 322 room hotel with meeting
space located in the heart of downtown San Antonio, TX. The loan
sponsor is Michael S. Gallegos. Although 2008 income increased,
property performance continues to decline due to current market
conditions within the hotel sector combined with increased
expenses at the property. As of YE 2008, the servicer reported
DSCR was 1.15x down from 1.47x YE 2007 and 1.61x at issuance. Per
the July 2009 STR report, the property is currently lagging it's
competitive set with occupancy at 69% compared to 79%, average
daily rate at $105 compared to $116 and revenue per available room
at $71 compared to $92. Fitch's analysis of the loan resulted in
a higher probability of default during the loan term based on
declining performance.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Loss Severity ratings to these classes:
-- $197.2 million class A-J to 'BBB/LS4' from 'AAA'; Outlook
Negative;
-- $21.9 million class B to 'BBB-/LS5' from 'AA+'; Outlook
Negative;
-- $28.2 million class C to 'BB/LS5' from 'AA'; Outlook
Negative;
-- $21.9 million class D to 'BB/LS5' from 'AA-'; Outlook
Negative;
-- $12.5 million class E to 'BB/LS5' from 'A+'; Outlook
Negative;
-- $25.0 million class F to 'B/LS5' from 'A'; Outlook Negative;
-- $28.2 million class G to 'B-/LS5' from 'A-'; Outlook
Negative;
-- $28.2 million class H to 'B-/LS5' from 'BBB+'; Outlook
Negative;
-- $28.2 million class J to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $28.2 million class K to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $9.4 million class L to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $9.4 million class M to 'B-/LS5' from 'BB'; Outlook Negative;
-- $6.3 million class N to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $6.3 million class P to 'B-/LS5' from 'B+'; Outlook Negative;
-- $6.3 million class Q to 'B-/LS5' from 'B'; Outlook Negative.
In addition, Fitch affirms and assigns LS ratings to these
classes:
-- $11.9 million class A-1 at 'AAA/LS2'; Outlook Stable;
-- $444.9 million class A-2 at 'AAA/LS2'; Outlook Stable;
-- $346.2 million class A-3 at 'AAA/LS2'; Outlook Stable;
-- $601.7 million class A-4 at 'AAA/LS2''; Outlook Stable;
-- $54.2 million class A-SB at 'AAA/LS2'; Outlook Stable;
-- $286.5 million class A-1A at 'AAA/LS2'; Outlook Stable;
-- Interest-only class X at 'AAA/LS2'; Outlook Stable;
-- $250.5 million class A-M at 'AAA'/LS3; Outlook Stable;
-- $3.1 million class T at 'B-/LS5'; Outlook Negative.
Fitch does not rate the $40.7 million class NR.
JP MORGAN: Fitch Downgrades Ratings on 2006-LDP9 Certificates
-------------------------------------------------------------
Fitch Ratings downgrades and revises the Rating Outlooks on 22
classes of commercial mortgage pass-through certificates from J.P.
Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9. 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
8.4% for this transaction, should market conditions not recover.
The rating actions are based on losses of 5.5%, 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 67.3% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Approximately 24% of the mortgages mature in the next five four
years, and 73% of the pool is scheduled to mature in 2017.
Fitch identified 29 Loans of Concern (13.7%) within the pool, 16
of which (3.3%) are specially serviced. One of the specially
serviced loans, Tysons Galleria, remains current while the rest
are delinquent. One of the Fitch Loans of Concern (7.8%) is
within the transaction's top 15 loans by unpaid principal balance.
Two of the loans within the top 15 (6.1%) are expected to default
during their term with loss severities ranging from 18.7% through
18.8%. Seven of the top 15 loans (20.5%) are expected to default
at maturity, with loss severities ranging from 11.1 to 19.1%. The
largest contributors to loss are: Galleria Towers (4.9% of the
pool), 131 South Dearborn (4.8% of the pool), The Belnord (7.8% of
the pool) and the Americold Portfolio (4% of the pool).
The Galleria Towers loan is secured by three office buildings
located in the North Dallas office market. The loan is sponsored
by Joel and Margaret Kestenbaum. The loan continues to be current
with combined occupancy, as of year end 2008, at 94%. The
servicer reported DSCR for YE 2008 and issuance was 1.30 times (x)
and 1.28x, respectively. Given the high leverage nature of the
loan and its interest-only structure, Fitch expects a default at
maturity, and the loan to incur losses of approximately 20%.
The 131 South Dearborn loan is secured by 1,504,364 sf office
property located in Chicago, IL. The loan is sponsored by Robert
M. Gans. The loan continues to be current with occupancy, as of
June 2009, at 95%. The servicer reported DSCR for YE 2008 and
issuance was 1.18x and 1.28x, respectively. Given the high
leverage nature of the loan and its interest-only structure, Fitch
expects a default at maturity, and the loan to incur losses of
approximately 20%.
The Belnord loan is secured by a 215 unit residential rental
property located in the Upper West Side neighborhood of New York
City. In addition to the residential rentals, the property also
includes 60,514 sf of retail space. The loan is sponsored by Gary
Barnett. The property consists of both rent controlled /
stabilized and market rent units. At issuance, the borrower
estimated that units would be converted from rent controlled /
stabilized to market rents benefiting from the upside in revenue.
Although recent leases show that achieved market rents are
slightly below expectations, the process of converting rent
controlled / stabilized units to market rent has fallen behind
schedule. The YE 2008 DSCR and occupancy was 96% and 0.64x
compared to issuance of 98% and 0.47x, respectively. The loan was
structured with a $50 million reserve for debt service shortfall,
of which $28 million remains outstanding. Fitch expects that, at
current operating levels, the debt service is sufficient to cover
shortfalls for the next three to four years. Fitch expects a
default at maturity and the loan to incur losses of approximately
10%.
The Americold Portfolio is secured by four cold storage
warehouse/distribution facilities totaling 3,328,621 sf
(51,654,912 cubic feet) located across four states. More
specifically, the properties are located in Carthage, MO (66% of
portfolio NRA); Fort Worth, TX (14.3% of portfolio NRA); West
Point, MS (10.3% of portfolio NRA) and Garden City, KS (9.5% of
portfolio NRA). The loan is sponsored by Vornado Realty Trust,
Crescent Real Estate Equities and the Yucaipa Companies. The loan
continues to be current. The servicer reported DSCR for YE 2008
and issuance was 0.98x and 1.85x, respectively. The drop in DSCR
is attributed to the loss of a major tenant, Sarah Lee, who has
ceased renting space in the Fort Worth property. Given the high
leverage nature of the loan and its interest-only structure, Fitch
expects a default at maturity, and the loan to incur losses of
approximately 20%.
Fitch downgrades and assigns Outlooks, Loss Severity (LS), and
Recovery Ratings to these classes as indicated:
-- $318.5 million class A-J to 'BBB/LS3' from 'AAA; Outlook
Negative;
-- $106.3 million class A-JS to 'BBB/LS3' from 'AAA; Outlook
Negative;
-- $72.8 million class B to 'BB/LS5' from 'AA'; Outlook
Negative;
-- $24.3 million class B-S to 'BB/LS5' from 'AA'; Outlook
Negative;
-- $22.8 million class C to 'BB/LS5' from 'AA-'; Outlook
Negative;
-- $7.6 million class C-S to 'BB/LS5' from 'AA-'; Outlook
Negative;
-- $50 million class D to 'B/LS5' from 'A'; Outlook Negative;
-- $16.7 million class D-S to 'B/LS5' from 'A'; Outlook
Negative;
-- $40.9 million class E to 'B/LS5' from 'A-'; Outlook Negative;
-- $13.7 million class E-S to 'B/LS5' from 'A-'; Outlook
Negative;
-- $40.9 million class F to 'B/LS5' from 'BBB+'; Outlook
Negative;
-- $13.7 million class F-S to 'B/LS5' from 'BBB+'; Outlook
Negative;
-- $36.4 million class G to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $12.1 million class G-S to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $45.5 million class H to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $15.2 million class H-S to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $18.2 million class J to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $18.2 million class K to 'B-/LS5' from 'BB'; Outlook
Negative;
-- $12.1 million class L to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $12.1 million class M to 'B-/LS5' from 'B+'; Outlook
Negative;
-- $6.1 million class N to 'CCC/RR6' from 'B';
-- $6 million class P to 'CCC/RR6' from 'B-'.
In addition, Fitch affirms and revises Outlooks for these classes:
-- $33.5 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $126.2 million class A-1S at 'AAA/LS1'; Outlook Stable;
-- $139.8 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $375 million class A-2S at 'AAA/LS1'; Outlook Stable;
-- $200 million class A-2SFL at 'AAA/LS1'; Outlook Stable;
-- $1,652 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $145.3 million class A-3SFL at 'AAA/LS1'; Outlook Stable;
-- $691.1 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- Interest only class X at 'AAA'; Outlook Stable;
-- $318.5 million class A-M at 'AAA/LS3'; Outlook Stable;
-- $121.4 million class A-MS at 'AAA/LS3'; Outlook Stable.
Fitch does not rate class NR.
JP MORGAN: Moody's Downgrades Ratings on 13 2006-A3 Tranches
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 13
tranches from JP Morgan Mortgage Trust 2006-A3. The downgrades
are triggered by the rapid increases in delinquencies and loss
severities on the underlying collateral, since the last rating
action.
The collateral backing this securitization consists primarily of
first-lien, adjustable rate, jumbo mortgage loans. The actions
listed above reflect Moody's updated expected losses on the jumbo
sector announced in a press release on March 19th, 2009, and are
part of Moody's on-going review process. For details regarding
Moody's approach to estimating losses on Jumbo pools originated in
2005, 2006, 2007, and 2008, refer to the methodology publication
"Prime Jumbo RMBS Loss Projection Update: March 2009" available on
moodys.com. 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.
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 takes into account credit enhancement
provided by seniority, cross-collateralization, time tranching,
and other structural features within the senior note waterfalls.
A complete list of downgrades is listed below and reflects Moody's
updated expected losses on this transaction:
Issuer: J.P. Morgan Mortgage Trust 2006-A3
-- Groups 1 through 5 current expected loss: 10.49% of original
securitized balance
-- Groups 6 and 7 current expected loss: 2.82% of original
securitized balance
-- Cl. 1-A-1, Downgraded to Caa2; previously on Jun 24, 2009
Downgraded to Caa1
-- Cl. 2-A-1, Downgraded to Caa1; previously on Jun 24, 2009
Downgraded to B3
-- Cl. 2-A-2, Downgraded to Caa2; previously on Jun 24, 2009
Downgraded to Caa1
-- Cl. 2-A-3, Downgraded to Caa2; previously on Jun 24, 2009
Downgraded to Caa1
-- Cl. 3-A-2, Downgraded to Caa1; previously on Jun 24, 2009
Downgraded to B3
-- Cl. 3-A-4, Downgraded to B3; previously on Jun 24, 2009
Downgraded to Baa2
-- Cl. 3-A-5, Downgraded to Ca; previously on Jun 24, 2009
Downgraded to Caa2
-- Cl. 5-A-1, Downgraded to B3; previously on Jun 24, 2009
Downgraded to Baa3
-- Cl. 5-A-2, Downgraded to Caa1; previously on Jun 24, 2009
Downgraded to Ba3
-- Cl. 6-A-1, Downgraded to Ba2; previously on Jun 24, 2009
Downgraded to Aa3
-- Cl. 6-A-2, Downgraded to Ca; previously on Jun 24, 2009
Downgraded to Baa2
-- Cl. 7-A-1, Downgraded to B3; previously on Jun 24, 2009
Downgraded to A3
-- Cl. 7-A-2, Downgraded to Ca; previously on Jun 24, 2009
Downgraded to Baa2
JP MORGAN: S&P Downgrades Ratings on Three 2008-R2 Certificates
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes of certificates from J.P. Morgan Mortgage Trust Series
2008-R2, a U.S. residential mortgage-backed securities
resecuritized real estate mortgage investment conduit transaction.
S&P lowered its rating on class 1-A-1 to 'BB' from 'AAA', on class
1-A-2 to 'CCC' from 'BBB-', and on class 2-A to 'CCC' from 'AAA'.
The downgrades reflect the significant deterioration in
performance of the loans backing the underlying certificates.
This performance deterioration is so severe that the credit
enhancement for the applicable underlying classes, as well as
within JPMMT 2008-R2, is insufficient to maintain S&P's ratings on
the re-REMIC classes.
JPMMT 2008-R2, which closed in August 2008, is collateralized by
five underlying RMBS classes that support two independent groups
within the re-REMIC as S&P discuss below.
The re-REMIC classes 1-A-1 and 1-A-2 are supported by the 1-A1
class from WaMu Mortgage Pass-Through Certificates Series 2007-HY1
Trust (currently rated 'CCC'). This trust consists predominantly
of interest-only, adjustable-rate prime mortgage loans. This pool
had experienced losses of 1.43% as of the September 2009
distribution report, and currently has approximately 24.0% in
delinquent loans as a percentage of the current pool balance.
Based on the losses to date, the current pool factor of 0.716
(71.6%), which represents the outstanding pool balance as a
proportion of the original balance, and the pipeline of delinquent
loans, S&P's current projected loss for this pool is 11.10%.
The re-REMIC classes 1-A-1 and 1-A-2 are also supported by the 1-
A1 class from WaMu Mortgage Pass-Through Certificates Series 2007-
HY6 Trust (currently rated 'CCC'), which is backed predominantly
by interest-only, adjustable-rate Alternative-A mortgage loans.
This pool had experienced losses of 1.60% as of the September 2009
distribution report, and currently has approximately 28.68% in
delinquent loans. Based on the losses to date, the current pool
factor of 0.729 (72.9%), and the pipeline of delinquent loans,
S&P's current projected loss for this pool is 16.68%.
The third underlying class supporting classes 1-A-1 and 1-A-2 from
JPMMT 2008-R2 is the 2-A1 class from WaMu Mortgage Pass-Through
Certificates Series 2007-HY7 Trust (currently rated 'CC'), which
is backed predominantly by interest-only, adjustable-rate Alt-A
mortgage loans. This pool had experienced losses of 1.96% as of
the September 2009 distribution report, and currently has
approximately 31.68% in delinquent loans. Based on the losses to
date, the current pool factor of 0.739 (73.9%), and the pipeline
of delinquent loans, S&P's current projected loss for this pool is
19.72%.
The severity of performance deterioration for all three classes
supporting the 1-A-1 and 1-A-2 classes from JPMMT 2008-R2 has
resulted in credit enhancement that is insufficient to maintain
the current ratings on these re-REMIC classes.
Class 2-A from JPMMT 2008-R2 is supported by classes 1A-2 and 1A-3
from GSR Mortgage Loan Trust 2005-9F (both classes are currently
rated 'CCC'). The collateral securing this trust consists
predominantly of interest-only, fixed-rate prime mortgage loans.
This pool had experienced losses of 0.37% as of the September 2009
distribution report, and currently has approximately 12.2% in
delinquent loans. Based on the losses to date, the current pool
factor of 0.706 (70.6%), and the pipeline of delinquent loans,
S&P's current projected loss for this pool is 5.12%, which exceeds
the level of credit enhancement available to cover losses.
Over the past two years, S&P has revised its RMBS default and loss
assumptions, and consequently S&P's projected losses, to reflect
the continuing decline in mortgage loan performance and the
housing market. The performance deterioration of most U.S. RMBS
has continued to outpace the market's expectations.
Ratings Lowered
J.P. Morgan Mortgage Trust Series 2008-R2
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 46632TAA3 BB AAA
1-A-2 46632TAB1 CCC BBB-
2-A 46632TAC9 CCC AAA
KINGSLAND II: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Kingsland II, Ltd.:
-- US$50,000,000 Class A-1a Senior Secured Revolving Floating
Rate Notes (current balance of $49,732,228), Downgraded to
Aa2 and Placed Under Review for Possible Downgrade;
previously on April 18, 2006 Assigned Aaa;
-- US$205,150,000 Class A-1b Senior Secured Floating Rate Notes
(current balance of $204,051,332), Downgraded to Aa2 and
Placed Under Review for Possible Downgrade; previously on
April 18, 2006 Assigned Aaa;
-- US$62,000,000 Class A-1c Senior Secured Floating Rate Notes
(current balance of $61,667,963), Downgraded to A1;
previously on April 18, 2006 Assigned Aaa;
-- US$8,000,000 Class A-2 Senior Secured Floating Rate Notes,
Downgraded to Baa1; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$29,200,000 Class B Senior Secured Deferrable Floating Rate
Notes, Downgraded to Ba2; previously on March 17, 2009
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$27,525,000 Class C Senior Secured Deferrable Floating Rate
Notes, Downgraded to Caa2; previously on March 17, 2009
Downgraded to B1 and Placed Under Review for Possible
Downgrade;
-- US$6,000,000 Class D Secured Deferrable Floating Rate Notes,
Downgraded to Caa3; 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. 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 Class C overcollateralization test and
the Class D overcollateralization test. In particular, the
weighted average rating factor has increased over the last year
and is currently 2679 versus a test level of 2526 as of the last
trustee report, dated September 7, 2009. Based on the same
report, defaulted securities currently held in the portfolio total
about $21 million, accounting for roughly 6% of the collateral
balance, and securities rated Caa1 or lower make up approximately
13% of the underlying portfolio. The Class C
overcollateralization ratio was reported at 102.60% versus a test
level of 103.7% and the Class D overcollateralization ratio was
reported at 101.01% versus a test level of 102.5%.
The rating actions also reflect 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. According to the
latest trustee report, exposure to corporate bonds, most of which
are non-investment grade, is currently 17%. Other assumptions
used in Moody's CLO monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated 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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
In addition, the ratings on the Class A-1a and the Class A-1b
Notes reflect the current insurance financial strength rating of
Assured Guaranty Corp., which was downgraded to Aa2 and Placed
Under Review for Possible Downgrade on May 20, 2009. The above
action is a result of, and is consistent with, Moody's modified
approach to rating structured finance securities wrapped by
financial guarantors as described in the press release dated
November 10, 2008, titled "Moody's modifies approach to rating
structured finance securities wrapped by financial guarantors."
Kingsland II, Ltd., issued in April of 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans and senior unsecured bonds.
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.
KNIGHTSBRIDGE CLO: Moody's Upgrades Ratings on 2007-1 Notes
-----------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Knightsbridge CLO 2007-1 Ltd.:
-- US$35,000,000 Class C Senior Secured Deferrable Floating Rate
Notes Due 2022, Upgraded to Baa1; previously on March 23,
2009 Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$22,000,000 Class D Secured Deferrable Floating Rate Notes
Due 2022, Upgraded to Ba1; previously on March 23, 2009
Downgraded to Ba3 and Placed Under Review for Possible
Downgrade;
-- US$22,000,000 Class E Secured Deferrable Floating Rate Notes
Due 2022, Upgraded to B1; previously on March 23, 2009
Downgraded to B3 and Placed Under Review for Possible
Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$20,000,000 Class A-2 Senior Secured Floating Rate Notes
Due 2022, Confirmed at Aa1; previously on March 4, 2009 Aa1
Placed Under Review for Possible Downgrade;
-- US$30,000,000 Class B Senior Secured Floating Rate Notes Due
2022, Confirmed at Aa2; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade.
Moody's notes that the upgrade actions on the Class C, Class D,
and Class E Notes and the rating confirmations on the Class A-2
and Class B Notes consider updated analysis incorporating certain
rating stresses assumed by Moody's and credit deterioration, but
reflect Moody's conclusion that the impact of these factors on the
ratings of the 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.
Moody's rating analysis applies certain revised assumptions with
respect to default probability (including certain stresses
pertaining to credit estimates) 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 second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Moody's also notes that there is mild credit deterioration in the
underlying portfolio. Such credit deterioration is observed
through a slight increase in the dollar amount of defaulted
securities and an increase in the proportion of securities from
issuers rated Caa1 and below. In particular, defaulted securities
currently held in the portfolio total about $14.6 million,
accounting for roughly 3.0% of the collateral balance and
securities rated Caa1 or lower make up approximately 9.5% of the
underlying portfolio as of the last trustee report, dated
September 1, 2009.
Knightsbridge CLO 2007-1 Ltd., issued in December of 2007, is a
collateralized loan obligation backed primarily by a portfolio of
middle market issuers.
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: Fitch Corrects Rating on Class S to 'C/RR6'
--------------------------------------------------------------
Fitch Ratings made a correction of a release originally issued
Oct. 1, 2009. It corrects the rating for Class S to 'C/RR6' from
'CC/RR6'.
Fitch downgrades and removes from Rating Watch Negative 16 classes
and assigns Rating Outlooks to all rated classes of commercial
mortgage pass-through certificates from LB-UBS Commercial Mortgage
Trust, series 2006-C7.
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
7.2% for this transaction, should market conditions not recover.
The rating actions are based on losses of 6.5%, 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 67.9% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Approximately 63.8% of the losses were on loans reviewed in
detail. Approximately 71.1% of the recognized losses were from
loans reviewed in detail.
Approximately 23.6% of the mortgages mature within the next five
years: 23.1% in 2011 and 0.6% in 2013. In 2016, 67.2% of the pool
is scheduled to mature. Six of the largest 15 loans are scheduled
to mature before 2012.
Fitch identified 39 Loans of Concern (11.6%) within the pool, 19
of which (5.9%) are specially serviced. Of the specially serviced
loans, seven (0.8% of the pool) are current. Three of the Fitch
Loans of Concern (6%) are within the transaction's top 15 loans,
and one (2.7%) is specially serviced.
Losses were assumed on seven of the loans within the top 15. All
seven (14%) of these loans are assumed to default during the term.
Loss severities associated with these loans range from
approximately 5% to 60%. The largest contributors to loss are:
Arizona Retail Portfolio (2.9%), Wolverine Portfolio (1.5%), and
Triangle Town Center Subordinate Tranche (1%).
The Arizona Retail Portfolio is secured by 14 shopping centers
located within the Phoenix, AZ MSA with a total of 600,178 sf.
The property was transferred to the Special Servicer on May 14,
2009. The most recent financial statements indicate a NOI DSCR of
0.77 times (x). Current physical occupancy is approximately 73%,
with extensive tenant delinquency, unknown concessions, and
significant tenant default risk. The principals of the borrower
(also the guarantors of this loan) are named in a number of
lawsuits filed by various banks and Phoenix investors on various
real estate transactions. The Special Servicer has filed for
receivership and foreclosure. Fitch assumed the loan to default
during the loan term.
The Wolverine Portfolio is secured by 10 mobile home communities
located in three states (MI, FL, and OH) and consists of 1,649
pads. Occupancy is 85.8%, which is consistent with issuance
(85.4%). The servicer reported YE 2008 DSCR was 1.11x. Fitch
assumed the loan to default during the loan term due to the low
DSCR and future conversion from interest-only to amortizing.
The Triangle Town Center subordinate tranche represents a portion
of the B-note secured by a 1.4 million sf regional mall located in
Raleigh, NC. The property's total occupancy is 99%, which is up
from 94.5% at issuance. Anchors include Dillards, Belk, Hechts,
Sears, and Saks. The servicer reported YE 2008 DSCR was 1.62x on
the A-note and 1.04x on the B-note (trust portion). Fitch assumed
the trust portion of the loan to default during the loan term due
to the low DSCR.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Loss Severity ratings, Recovery Ratings and Outlooks to these
classes as indicated:
-- $294.4 million class A-J to 'BBB-/LS3' from 'AAA'; Outlook
Negative;
-- $22.6 million class B to 'BB/LS5' from 'AA+'; Outlook
Negative;
-- $30.2 million class C to 'BB/LS5' from 'AA'; Outlook
Negative;
-- $30.2 million class D to 'BB/LS5' from 'AA-'; Outlook
Negative;
-- $26.4 million class E to 'B/LS5' from 'A'; Outlook Negative;
-- $26.4 million class F to 'B-/LS5' from 'A-'; Outlook
Negative;
-- $26.4 million class G to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $30.2 million class H to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $26.4 million class J to 'CCC/RR6' from 'BB+';
-- $26.4 million class K to 'CCC/RR6' from 'BB-';
-- $7.5 million class L to 'CC/RR6' from 'B';
-- $3.8 million class M to 'CC/RR6' from 'B-';
-- $11.3 million class N to 'CC/RR6' from 'CCC/RR1';
-- $3.8 million class P to 'CC/RR6' from 'CCC/RR2';
-- $3.8 million class Q to 'CC/RR6' from 'CC/RR3'.
Fitch affirms and revises the Recovery Rating for this class:
-- $3.8 million class S affirmed at 'C/RR6' (revised from
'C/RR5').
Fitch also affirms these classes and assigns LS ratings and
Outlooks as indicated:
-- $26.3 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $624 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $54 million class A-AB at 'AAA/LS1'; Outlook Stable;
-- $968.1 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $427.6 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $302 million class A-M at 'AAA/LS3'; Outlook Stable;
-- Interest-only class X-CP at 'AAA'; Outlook Stable;
-- Interest-only class X-CL at 'AAA'; Outlook Stable;
-- Interest-only class X-W at 'AAA'; Outlook Stable.
Fitch does not rate the $30.2 million class T.
LB-UBS COMMERCIAL: Fitch Downgrades Ratings on 16 2006-C7 Certs.
----------------------------------------------------------------
Fitch Ratings downgrades and removes from Rating Watch Negative 16
classes and assigns Rating Outlooks to all rated classes of
commercial mortgage pass-through certificates from LB-UBS
Commercial Mortgage Trust, series 2006-C7. 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
7.2% for this transaction, should market conditions not recover.
The rating actions are based on losses of 6.5%, 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 67.9% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Approximately 63.8% of the losses were on loans reviewed in
detail. Approximately 71.1% of the recognized losses were from
loans reviewed in detail.
Approximately 23.6% of the mortgages mature within the next five
years: 23.1% in 2011 and 0.6% in 2013. In 2016, 67.2% of the pool
is scheduled to mature. Six of the largest 15 loans are scheduled
to mature before 2012.
Fitch identified 39 Loans of Concern (11.6%) within the pool, 19
of which (5.9%) are specially serviced. Of the specially serviced
loans, seven (0.8% of the pool) are current. Three of the Fitch
Loans of Concern (6%) are within the transaction's top 15 loans,
and one (2.7%) is specially serviced.
Losses were assumed on seven of the loans within the top 15. All
seven (14%) of these loans are assumed to default during the term.
Loss severities associated with these loans range from
approximately 5% to 60%. The largest contributors to loss are:
Arizona Retail Portfolio (2.9%), Wolverine Portfolio (1.5%), and
Triangle Town Center Subordinate Tranche (1%).
The Arizona Retail Portfolio is secured by 14 shopping centers
located within the Phoenix, AZ MSA with a total of 600,178 sf.
The property was transferred to the Special Servicer on May 14,
2009. The most recent financial statements indicate a NOI DSCR of
0.77 times (x). Current physical occupancy is approximately 73%,
with extensive tenant delinquency, unknown concessions, and
significant tenant default risk. The principals of the borrower
(also the guarantors of this loan) are named in a number of
lawsuits filed by various banks and Phoenix investors on various
real estate transactions. The Special Servicer has filed for
receivership and foreclosure. Fitch assumed the loan to default
during the loan term.
The Wolverine Portfolio is secured by 10 mobile home communities
located in three states (MI, FL, and OH) and consists of 1,649
pads. Occupancy is 85.8%, which is consistent with issuance
(85.4%). The servicer reported YE 2008 DSCR was 1.11x. Fitch
assumed the loan to default during the loan term due to the low
DSCR and future conversion from interest-only to amortizing.
The Triangle Town Center subordinate tranche represents a portion
of the B-note secured by a 1.4 million sf regional mall located in
Raleigh, NC. The property's total occupancy is 99%, which is up
from 94.5% at issuance. Anchors include Dillards, Belk, Hechts,
Sears, and Saks. The servicer reported YE 2008 DSCR was 1.62x on
the A-note and 1.04x on the B-note (trust portion). Fitch assumed
the trust portion of the loan to default during the loan term due
to the low DSCR.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Loss Severity ratings, Recovery Ratings and Outlooks to these
classes as indicated:
-- $294.4 million class A-J to 'BBB-/LS3' from 'AAA'; Outlook
Negative;
-- $22.6 million class B to 'BB/LS5' from 'AA+'; Outlook
Negative;
-- $30.2 million class C to 'BB/LS5' from 'AA'; Outlook
Negative;
-- $30.2 million class D to 'BB/LS5' from 'AA-'; Outlook
Negative;
-- $26.4 million class E to 'B/LS5' from 'A'; Outlook Negative;
-- $26.4 million class F to 'B-/LS5' from 'A-'; Outlook
Negative;
-- $26.4 million class G to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $30.2 million class H to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $26.4 million class J to 'CCC/RR6' from 'BB+';
-- $26.4 million class K to 'CCC/RR6' from 'BB-';
-- $7.5 million class L to 'CC/RR6' from 'B';
-- $3.8 million class M to 'CC/RR6' from 'B-';
-- $11.3 million class N to 'CC/RR6' from 'CCC/RR1';
-- $3.8 million class P to 'CC/RR6' from 'CCC/RR2';
-- $3.8 million class Q to 'CC/RR6' from 'CC/RR3';
-- $3.8 million class S to 'CC/RR6' from 'CC/RR5'.
Fitch also affirms these classes and assigns LS ratings and
Outlooks as indicated:
-- $26.3 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $624 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $54 million class A-AB at 'AAA/LS1'; Outlook Stable;
-- $968.1 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $427.6 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $302 million class A-M at 'AAA/LS3'; Outlook Stable;
-- Interest-only class X-CP at 'AAA'; Outlook Stable;
-- Interest-only class X-CL at 'AAA'; Outlook Stable;
-- Interest-only class X-W at 'AAA'; Outlook Stable.
Fitch does not rate the $30.2 million class T.
LB-UBS COMMERCIAL: S&P Corrects Ratings on Seven 'SP' Securities
----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on seven
"SP" raked classes of commercial mortgage-backed securities from
LB-UBS Commercial Mortgage Trust 2005-C7. Due to an
administrative error, S&P did not publish ratings on the "SP"
raked certificates at issuance.
The Station Place I loan has a current whole-loan balance of
$231.6 million, which is split into a $168.6 million senior
component and a $63 million junior component. A pari passu
portion ($27.2 million) of the senior component is pooled in the
trust. The junior component is not pooled and is the sole source
of cash flow for the "SP" raked certificates. The equity
interests in the borrower of the whole loan secure additional
mezzanine debt totaling up to $40 million. The whole loan,
secured by an 11-story, 707,483-sq.-ft. class A office building in
Washington, D.C., partially amortizes with a scheduled maturity
date of Oct. 11, 2025. The building is 100% occupied, unchanged
since issuance, with the Securities and Exchange Commission
occupying almost 100% of the building on a lease that expires
April 25, 2019.
The most recent servicer reported net cash flow debt service
coverage of 1.45x as of year-end 2008, down from 1.57x at
issuance. As noted above, the SEC still occupies the property,
and S&P is in dialogue with the servicer regarding the specifics
of the DSC decline. As additional information becomes available,
S&P will review it and take rating actions as appropriate.
Ratings Corrected
LB-UBS Commercial Mortgage Trust 2005-C7
Commercial mortgage pass through certificates
Class Rating
----- ------
SP-1 AAA
SP-2 AA
SP-3 A
SP-4 A-
SP-5 BBB
SP-6 BBB-
SP-7 BB+
LEHMAN XS: Moody's Downgrades Ratings on 13 Tranches
----------------------------------------------------
Moody's Investors Service has downgraded the ratings of 13
tranches from 4 transactions issued by Lehman. Moody's has also
updated the expected losses on the transactions to reflect
continued deterioration in performance.
Certain downgraded certificates have a sequential pay structure
feature whereby they are entitled to receive more than their pro-
rata share of principal payments. Given the recent increase in
the pace of credit support erosion relative to the paydown of the
bonds, there is an increased likelihood that the downgraded bond
may not be completely paid off before subordinate bonds are
completely written down. Upon depletion of the subordinate bonds,
losses could be allocated to the front-pay sequential bonds, if
they are still outstanding at that time.
In its analysis of these bonds, Moody's has considered the current
available level of credit enhancement as well as incorporated
additional cashflow stress scenarios to assess the impact on the
bonds.
The actions listed below reflect Moody's updated expected losses
on the transaction:
Complete rating actions are:
Issuer: Lehman XS Trust Series 2006-12N
-- Pool current expect loss: 32% of original balance
-- Cl. 1-A1A2, Downgraded to Baa3; previously on Feb. 20, 2009
Downgraded to A1
-- Cl. 1-A1B, Downgraded to Ba1; previously on Feb. 20, 2009
Downgraded to A1
Issuer: Lehman XS Trust Series 2006-16N
-- Pool current expect loss: 38% of original balance
-- Cl. 1-A1A, Downgraded to Ba1; previously on Feb. 20, 2009
Downgraded to A3
-- Cl. 1-A1B, Downgraded to Ba2; previously on Feb. 20, 2009
Downgraded to A3
Issuer: Lehman XS Trust Series 2006-GP2
-- Pool current expect loss: 36% of original balance
-- Cl. 1-A1A, Downgraded to B3; previously on Feb. 20, 2009
Downgraded to A3
-- Cl. 1-A1B, Downgraded to Caa1; previously on Feb. 20, 2009
Downgraded to A3
-- Cl. 1-A4, Downgraded to Ca; previously on Feb. 20, 2009
Downgraded to Caa3
-- Cl. 1-A5A, Downgraded to Caa2; previously on Feb. 20, 2009
Downgraded to B3
-- Cl. 1-A5B, Downgraded to Ca; previously on Feb. 20, 2009
Downgraded to Caa3
-- Cl. 3-A1, Downgraded to Caa3; previously on Feb. 20, 2009
Downgraded to B3
Issuer: Lehman XS Trust Series 2006-GP3
-- Pool current expect loss: 38% of original balance
-- Cl. 3-A1A, Downgraded to B3; previously on Feb. 20, 2009
Downgraded to Baa3
-- Cl. 3-A1B, Downgraded to Caa1; previously on Feb. 20, 2009
Downgraded to Baa3
-- Cl. 3-A5A, Downgraded to Caa3; previously on Feb. 20, 2009
Downgraded to B3
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate, negative amortization, 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.
MASSACHUSETTS HEALTH: Fitch Downgrades Ratings on Bonds to 'BB'
---------------------------------------------------------------
Fitch Ratings downgrades $26.7 million of Massachusetts Health and
Educational Facilities Authority (Northern Berkshire Healthcare;
NBH) revenue bonds, series 2004 to 'BB' from 'BB+'. Fitch has
placed the bonds on Rating Watch Negative.
The rating downgrade is based on declining volume trends at NBH's
acute care, skilled care, and senior living businesses'
dramatically reduced earnings and weakened liquidity position that
is expected to result in financial covenant violations for the
fiscal year (FY) ending Sept. 30, 2009.
The Ratings Watch Negative reflects the organization's poor
operating performance that is expected to persist until the
disposition of underperforming assets is complete. If
profitability continues to deteriorate and causes further
liquidity reductions, a lower rating may be warranted. A return
to Stable Outlook may be warranted if NBH is able to successfully
divest itself from its non-core and underperforming businesses.
The main factor supporting the 'BB' rating is NBH's favorable
inpatient market position in a relatively isolated area with a
market share that remains above 70%. The nearest competitor is
Berkshire Medical Center (rated 'BBB+' by Fitch), which is
approximately 25 miles away. Other positive factors include
management's strategic decision to exit the senior care business
which has become a financial drain on the system.
After remaining stable from FY 2006-2008, acute care discharges
and inpatient patient days dropped 10.2% and 11.7%, respectively,
during the nine month period ending June 30, 2009. For the same
nine-month period, patient days at its 184 staffed bed Sweet Brook
skilled nursing facility declined 9.6% with occupancy dropping to
91.3%. Occupancy may be somewhat overstated since NBH took 18 SNF
beds out of service in the current FY for renovations.
Additionally, occupancy at NBH's 70 unit Sweetwood independent
living facility fell to 84% in FY 2008, from 95% in FY 2007.
Occupancy slipped further to 70% at the end of June 30, 2009.
Inpatient volume declines at NBH's acute care hospital may be
attributed to shifts in the treatment of patients to observation
status. For instance, while inpatient days dropped 10.2% during
the first six months of FY 2009, observation days jumped 76.8% to
1,068 days from 604 days. Sweet Brook's occupancy is being
impacted by competitive pressures from other SNF providers and
alternative sources of skilled care such as home health and
assisted living. Sweetwood's occupancy declined due to the
inability to re-fill vacated units as the local real estate market
is experiencing difficulties.
After steadily improving from FY 2006 through 2008, profitability
eroded rapidly in the current fiscal year. For the nine month
period ending June 30, 2009, income from operations was a negative
$2.8 million due to the aforementioned volume reductions,
decreased reimbursement from observation patients, lower third-
party payor settlements, $1 million reduction in an operating
grant from the state of MA, increased benefits expense from rising
employee health insurance costs, and higher salaries and wages at
an expanded physician practice. NBH's cash position is also under
pressure from the profit erosion and investment losses. After
$2.3 million of unrealized investment losses in FY 2008 and more
in the current fiscal year, NBH liquidated all equity investments
in an effort to protect its cash position. As a result, NBH
experienced a $3.8 million realized investment loss during the
interim FY 2009 period. Unrestricted cash and investments dropped
to $10.1 million as of June 30, 2009, from $15.2 million at the
end of FY 2008. The $10.1 million amounts to a weak 45 days
operating expenses and is likely going to result in a covenant
violation at the end of FY 2009. Furthermore, management
reinvested 40% of its assets back into equity mutual funds and 40%
into fixed-income mutual funds during the third quarter of FY
2009.
Management is being proactive in attempting to turn operations
around. Management initiated a $3.5 million savings plan during
December 2008 and brought in a new chief financial officer on
March 2, 2009. Preliminary results indicate a reduction in
general expenses through elimination of open positions and staff
layoffs. As for Sweet Brook and Sweetwood, NBH is in the process
of disposing these operations through an asset sale with the
intension to focus on its core acute care operations. Management
expects to complete the transaction by the end of the year with
the desire to garner enough sale proceeds to redeem outstanding
debt and to satisfy entrance fee refund liabilities. In the
meantime, both Sweet Brook and Sweetwood have new management teams
and are working with professional consultants on occupancy and
other performance issues.
NBH is located in North Adams, MA with North Adams Regional
Hospital (70 staffed bed hospital), Sweetwood Continuing Care
Retirement Community (70 independent living units), and Sweet
Brook Care Centers (184 bed skilled nursing facility) as the main
revenue generating components. Operating revenue of the health
system were $85.1 million in FY 2008. NBH covenants to provide
quarterly disclosure to bondholders, which includes a consolidated
and consolidating balance sheet, income statement, utilization
statistics, and management discussion and analysis (does not
include a cash flow statement). Financial disclosure is
disseminated through the nationally recognized municipal
securities information repositories.
MASTR ADJUSTABLE: Moody's Downgrades Ratings on Five Tranches
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 5 tranches
from MASTR Adjustable Rate Mortgages Trust 2007-3. The actions
are triggered by rapidly increasing delinquencies, higher
severities, slower prepayments and mounting losses in the
underlying collateral.
The actions listed below reflect Moody's updated expected losses
on the transaction:
Complete rating actions are:
Issuer: MASTR Adjustable Rate Mortgages Trust 2007-3, Group 1-1 1-
2
-- Pool current expect loss: 42% of original balance
-- Cl. 1-1A1, Downgraded to Ca; previously on Feb. 20, 2009
Downgraded to B2
-- Cl. 1-1A2, Current Rating at Aa3 and on Review for Possible
Downgrade; previously on May 20, 2009 Aa3 Placed Under Review
for Possible Downgrade
-- Cl. 1-1A2, Underlying Rating: Downgraded to C; previously on
Feb. 20, 2009 Downgraded to Ca
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3
Placed Under Review for Possible Downgrade on May 20, 2009)
-- Cl. 1-2A1, Downgraded to Caa3; previously on Feb. 20, 2009
Downgraded to B2
-- Cl. 1-2A2, Current Rating at Aa3 and on Review for Possible
Downgrade; previously on May 20, 2009 Aa3 Placed Under Review
for Possible Downgrade
-- Cl. 1-2A2, Underlying Rating: Downgraded to C; previously on
Feb. 20, 2009 Downgraded to Ca
-- Financial Guarantor: Financial Security Assurance Inc. (Aa3
Placed Under Review for Possible Downgrade on May 20, 2009)
-- Cl. 1-AIO, Downgraded to Ca; previously on Feb. 20, 2009
Downgraded to B2
The collateral backing this transaction consists primarily of
first-lien, adjustable-rate, negative amortization, 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.
MBIA INSURANCE: S&P Downgrades Ratings on 11 Bond Issues to 'BB+'
-----------------------------------------------------------------
Ratings Services lowered its ratings on 11 bond issues supported
by MBIA Insurance Corp. to 'BB+' from 'BBB'.
The ratings on the 11 affected issues are based on the credit
support provided by MBIA ('BB+' insurer financial enhancement
rating) in the form of related financial guarantee insurance
policies, which guarantee the timely payment of interest and
principal according to the respective transaction's terms. S&P
has not assigned a Standard & Poor's underlying rating to any of
the 11 affected issues. Under S&P's criteria, the issue credit
rating on a fully insured bond issue is the higher of the rating
on the bond insurance provider or the SPUR.
The rating actions follow the Sept. 28, 2009, lowering of S&P's
insurer financial enhancement rating on MBIA to 'BB+' from 'BBB'.
Ratings Lowered
CFB Venture Fund I Inc.
US$7.515 mil sr struc med-term nts ser 1998B due 09/01/2012
Rating
------
CUSIP To From
----- -- ----
12520*AB2 BB+ BBB
Stonehenge Capital Fund Alabama LLC
US$19.493 mil gtd med-term nts ser 2004-B due 03/01/2014
Rating
------
CUSIP To From
----- -- ----
86185#AA0 BB+ BBB
Stonehenge Capital Fund Alabama II LLC
US$17.766 mil capco nts med-term nts ser 2008B due 03/01/2019
Rating
------
CUSIP To From
----- -- ----
-- BB+ BBB
US$1.564 mil capco medium term notes med-term nts ser 2008-C
due 03/01/2019
Rating
------
CUSIP To From
----- -- ----
-- BB+ BBB
Stonehenge Capital Fund Colorado LLC
US$22.058 mil sr struct med-term nts ser 2002-B due 03/01/2013
Rating
------
CUSIP To From
----- -- ----
86183@AA4 BB+ BBB
Stonehenge Capital Fund New York LLC
US$6.81 mil sr struct med-term nts ser 2000B due 12/15/2010
Rating
------
CUSIP To From
----- -- ----
861832AA1 BB+ BBB
US$52.867 mil sr struct med-term nts ser 2000B-2 due 12/15/2011
Rating
------
CUSIP To From
----- -- ----
861832A*4 BB+ BBB
US$13.554 mil gtd med-term nts ser 2004-B due 12/15/2015
Rating
------
CUSIP To From
----- -- ----
861832A@2 BB+ BBB
US$11.469 mil sr struct med-term nts ser 2005B due 12/15/2016
Rating
------
CUSIP To From
----- -- ----
861832A#0 BB+ BBB
Stonehenge Capital Fund Texas L.P.
US$23.413 mil sr struct med-term nts ser 2005B due 08/01/2011
Rating
------
CUSIP To From
----- -- ----
-- BB+ BBB
Stonehenge Capital Fund Texas II L.P.
US$27.377 mil med-term nts ser 2008-B due 08/01/2015
Rating
------
CUSIP To From
----- -- ----
-- BB+ BBB
MBIA INSURANCE: S&P Downgrades Ratings on 17 US ABS Classes
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 17 U.S.
asset-backed securities classes that benefit from monoline
insurance policies from MBIA Insurance Corp.
The downgrades follow the Sept. 28, 2009, lowering of S&P's
financial strength rating on MBIA Insurance Corp. (BB+/Negative/
--). The downgrades affected ratings on 16 manufactured housing
classes and one rental car class from 12 transactions.
MBIA provides a full financial guarantee insurance policy, which
guarantees full payments of principal and interest to the
noteholders for each affected class. Under S&P's criteria, the
issue credit rating on a fully credit-enhanced bond issue is the
higher of the rating on the credit enhancer or Standard & Poor's
underlying rating on the class. A SPUR is S&P's opinion of the
stand-alone creditworthiness of an obligation -- that is, the
capacity to pay debt service on a debt issue according to its
terms -- without considering an otherwise applicable bond
insurance policy.
Ratings Lowered
Cendant Rental Car Funding (AESOP) LLC
Rating
------
Collateral Series Class To From
---------- ------ ----- -- ----
Rental car 2005-1 A-3 BB+ BBB
GreenPoint Credit Manufactured Housing Contract Trust
Rating
------
Collateral Series Class To From
---------- ------ ----- -- ----
Manufactured housing 1998-1 IA BB+ BBB
Manufactured housing 1998-1 IIA BB+ BBB
Manufactured housing 1999-1 A-5 BB+ BBB
Manufactured housing 1999-2 A-2 BB+ BBB
GreenPoint Credit Manufactured housing Contract Trust Ser 1999-3
Rating
------
Collateral Series Class To From
---------- ------ ----- -- ----
Manufactured housing 1999-3 IA5 BB+ BBB
Manufactured housing 1999-3 IA6 BB+ BBB
Manufactured housing 1999-3 IA7 BB+ BBB
Manufactured housing 1999-3 IIA2 BB+ BBB
GreenPoint Credit Manuf Hsg Contract Trust Series 1999-4
Rating
------
Collateral Series Class To From
---------- ------ ----- -- ----
Manufactured housing 1999-4 A-2 BB+ BBB
GreenPoint Credit Manufactured Hsg Contract Trust Ser 2000-2
Rating
------
Collateral Series Class To From
---------- ------ ----- -- ----
Manufactured housing 2000-2 A-2 BB+ BBB
Manufactured housing Contract Trust Pass-Thru Cert
Rating
------
Collateral Series Class To From
---------- ------ ----- -- ----
Manufactured housing 2000-3 IIA-2 BB+ BBB
Manufactured housing 2000-5 A-3 BB+ BBB
Manufactured housing 2000-7 A-2 BB+ BBB
Manufactured Housing Contract Certificates Series 1999-6
Rating
------
Collateral Series Class To From
---------- ------ ----- -- ----
Manufactured housing 1996-6 A-2 BB+ BBB
Security Pacific Acceptance Corp. 1995-1
Rating
------
Collateral Series Class To From
---------- ------ ----- -- ----
Manufactured housing 1995-1 A-4 BBB- BBB
Manufactured housing 1995-1 A-5 BBB- BBB
MBIA INSURANCE: S&P Downgrades Ratings on Tranches to 'BB+'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
U.S. nontraditional asset securitization tranches insured by MBIA
Insurance Corp. to 'BB+' from 'BBB'. S&P placed its ratings on
two of the downgraded classes from one of these transactions,
Dominos Pizza Master Issuer LLC's series 2007-1, on CreditWatch
with negative implications.
The rating actions follow the Sept. 28, 2009, lowering of the
financial strength rating on MBIA to 'BB+' from 'BBB' (for more
information, see the related research update, "MBIA Insurance
Corp. And MBIA Inc. Ratings Lowered; National Public Finance
Guarantee Corp. 'A' Ratings Affirmed," on RatingsDirect).
Dominos Pizza Master Issuer LLC's series 2007-1, a whole business
securitization, relies on its controlling parties (AMBAC and MBIA)
to manage the transition of servicing to the backup servicer in
the event of a corporate bankruptcy. S&P believes the transaction
is exposed to greater servicer transition risk due to the weakened
state of the monoline insurers, and S&P's ratings on this
securitization will remain on CreditWatch negative until the
increased risk can be addressed.
Rating And Creditwatch Actions
Aircraft Certificate Owner Trust 2003-A
US$1,365 million fixed-rate aircraft certificate backed notes
and owner trust certificates
Rating
------
Class To From Bal. (mil. $)
----- -- ---- -------------
D BB+ BBB 424.710
E BB+ BBB 497.396
Dominos Pizza Master Issuer LLC
US$1,850 million funding senior notes series 2007-1
Rating
------
Class To From Bal. (mil. $)
----- -- ---- -------------
A-1 BBB-/Watch Neg BBB 150.000
A-2 BBB-/Watch Neg BBB 1,600.000
Net Lease Funding 2005 LP
US$275 million triple-net-lease mortgage notes series 2005
Rating
------
Class To From Bal. (mil. $)
----- -- ---- -------------
A-2 BB+ BBB 217.000
Sierra Timeshare 2006-1 Receivables Funding LLC
US$615 million vacation timeshare loan-backed notes series 2006-1
Rating
------
Class To From Bal. (mil. $)
----- -- ---- -------------
A-1 BBB- BBB 325.000
A-2 BBB- BBB 225.000
Sierra Timeshare 2007-2 Receivables Funding LLC
US$455million vacation timeshare loan-backed notes series 2007-2
Rating
------
Class To From Bal. (mil. $)
----- -- ---- -------------
A-1 BBB- BBB 80.000
A-2 BBB- BBB 375.000
MERIDIAN FUNDING: S&P Downgrades Ratings on Five Notes to 'BB+'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
series of medium-term notes issued by Meridian Funding Co. LLC to
'BB+' from 'BBB'.
The downgrades follow the Sept. 28, 2009, lowering of S&P's rating
on MBIA Insurance Corp. to 'BB+' from 'BBB'.
The rating on each of the MTN series is based on a separate
insurance policy provided by MBIA, which unconditionally and
irrevocably covers the full and timely payment of principal and
interest on the MTNs according to their respective terms.
If S&P downgrade MBIA below 'B+', S&P will likely withdraw its
rating on each of the Meridian MTN series pursuant to its
criteria, "General Criteria: Methodology: The Interaction Of Bond
Insurance And Credit Ratings," which was published Aug. 24, 2009,
on RatingsDirect.
Ratings Lowered
Meridian Funding Co. LLC
Rating
------
Series To From
------ -- ----
1999-C BB+ BBB
2000-B BB+ BBB
2006-A BB+ BBB
2006-B BB+ BBB
2007-B BB+ BBB
MERIT SECURITIES: S&P Withdraws 'CC' Rating on Custody Receipts
---------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CC' rating on the
Custody Receipts Related to $121,614,501 of Merit Securities Corp.
Series 12-1 Class 1-A3 Bonds due 2033.
The rating on the custody receipts was solely dependent on the
rating on the insurance provider, Ambac Assurance Corp. ('CC').
The rating action reflects S&P's Aug. 24, 2009, criteria update,
where, among other things, S&P clarified its policy for
withdrawing ratings on insured bonds that do not have a Standard &
Poor's underlying rating if the relevant bond insurer's rating is
lowered below 'B+'.
MERRILL LYNCH: Fitch Downgrades Ratings on 12 2008-C1 Certificates
------------------------------------------------------------------
Fitch Ratings has downgraded 12 classes of Merrill Lynch Mortgage
Trust series 2008-C1 commercial mortgage pass-through
certificates. In addition, Fitch has assigned, maintained, or
revised Rating Outlooks and Loss Severity ratings as applicable.
A detailed list of rating actions follows at the end of this
release.
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 of 6.4% for this transaction should
market conditions not recover. The rating actions are based on
losses of 3.8%, including 100% of the term losses and 25% of the
losses anticipated to occur at maturity; the 3.8% 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 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 66.0% of the pool and, in some cases, revised
based on additional information and/or property characteristics.
Approximately 29.0% of the mortgages mature within the next five
years: 21.6% in 2012 and 7.4% in 2014. All losses associated with
these loans are fully recognized in the rating actions.
Fitch identified 18 Loans of Concern (15.9%) within the pool, 11
of which (10.1%) are specially serviced. Ten of the specially
serviced loans (9.9%) are related to the bankruptcy of the loans'
sponsor, DBSI, Inc., which filed for bankruptcy in November 2008.
All but two of the loans related to DBSI are in the final stages
of replacing the sponsor and ultimately being reinstated as
performing loans with the master servicer, with no losses
expected.
Only one of the loans (1.5%) within the top 15 is expected to
default during the term and experience a loss severity of
approximately 20%. The largest contributors to loss across the
transaction are the Biewend Building (5.2%) and the Village at Old
Trace (1.3%).
The Biewend Building loan is collateralized by a 154,528 square
foot Medical Office building on the campus of Tufts-New England
Medical Center in downtown Boston. The property is 100% leased to
New England Medical Center, a nonprofit acute care hospital and
the principal teaching hospital for Tufts University School of
Medicine. The building was constructed in 1924 and was last
renovated from 1999-2003. The most recent debt service coverage
ratio for the property is 1.37 times as of YE 2008. The sponsor
for the loan is NNN Realty Advisors, Inc. The loan is not
expected to default during the term, but Fitch expects that the
loan will default upon maturity and incur losses of approximately
20%, based upon a projected value decline of 35% over the term of
the loan.
The Village at Old Trace is secured by a 52,681 sf retail center
located in Marietta, GA. Occupancy as of January 2009 was 65%.
The loan is 90+ days delinquent and is currently being specially
serviced. The loan's sponsor DBSI filed for bankruptcy in
November 2008. However, unlike the majority of the other DBSI
loans in the transaction, this loan is not performing and may not
be reinstated with the master servicer. A receiver was put in
place on Sept. 28, 2009, as the special servicer determines a
course of action for the loan resolution. The loan has
experienced an appraisal reduction, based upon a recently received
valuation. Fitch expects that this loan will incur losses of
approximately 48% upon its additional stresses.
Fitch has downgraded, removed from Rating Watch Negative and
assigned Rating Outlooks and LS ratings to these classes:
-- $8.3 million class E to 'A/LS5' from 'A+'; Outlook Negative;
-- $9.5 million class F to 'BBB/LS5' from 'A'; Outlook Negative;
-- $9.5 million class G to 'BBB/LS5' from 'A-'; Outlook
Negative;
-- $10.7 million class H to 'BB/LS5 ' from 'BBB+'; Outlook
Negative;
-- $11.9 million class J to 'BB/LS5' from 'BBB'; Outlook
Negative;
-- $10.7 million class K to 'B/LS5' from 'BBB-'; Outlook
Negative;
-- $8.3 million class L to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $3.4 million class M to 'B-/LS5' from 'BB'; Outlook Negative;
-- $3.6 million class N to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $3.6 million class P to 'CCC/RR6' from 'B+';
-- $2.4 million class Q to 'CCC/RR6' from 'B';
-- $3.6 million class S to 'CCC/RR6' from 'B-'.
Additionally, Fitch has affirmed, maintained the Rating Outlooks
and assigned LS ratings to these classes as indicated:
-- $14.1 million class A-1 at 'AAA/LS-1'; Outlook Stable;
-- $55.6 million class A-2 at 'AAA/LS-1'; Outlook Stable;
-- $65.6 million class A-3 at 'AAA/LS-1'; Outlook Stable;
-- $32.4 million class A-SB at 'AAA/LS-1'; Outlook Stable;
-- $326.4 million class A-4 at 'AAA/LS-1'; Outlook Stable;
-- $43.5 million class A-1A at 'AAA/LS-1'; Outlook Stable;
-- $122.3 million class A-1AF at 'AAA/LS-1'; Outlook Stable;
-- $71.2 million class AM at 'AAA/LS-3'; Outlook Stable;
-- $6.32 million class AM-A at 'AAA/LS-3'; Outlook Stable;
-- $17.5 million class AM-AF at 'AAA/LS-3'; Outlook Stable;
-- $41.8 million class AJ at 'AAA/LS-3'; Outlook Negative;
-- $3.7 million class AJ-A at 'AAA/LS-3'; Outlook Negative;
-- $10.3 million class AJ-AF at 'AAA/LS-3'; Outlook Negative;
-- $19.5 million class B at 'AA+/LS-5'; Outlook Negative;
-- $11.9 million class C at 'AA/LS-5'; Outlook Negative;
-- $8.3 million class D at 'AA-/LS-5'; Outlook Negative;
-- Interest only class X at 'AAA'; Outlook Stable.
The $53.6 million class T is not rated by Fitch.
MERRILL LYNCH: Moody's Affirms Ratings on 2002-Canada 8 Notes
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings of nine classes and
upgraded four classes of Merrill Lynch Financial Assets Inc.,
Commercial Mortgage Pass-Through Certificates, Series 2002-Canada
8. The upgrades are due to increased subordination levels, a
higher level of defeasance and overall stable pool performance.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities transactions.
As of the September 14, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 42%
to $270.6 million from $468.3 million at securitization. The
Certificates are collateralized by 51 mortgage loans ranging in
size from less than 1% to 9% of the pool, with the top ten non-
defeased loans representing 51% of the pool. Four loans,
representing 10% of the pool, have defeased and are collateralized
by Canadian Government securities.
Five loans, representing 6% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
The pool has not experienced any losses since securitization and
currently there are no loans in special servicing.
Moody's was provided with partial or full-year 2008 operating
results for 87% of the pool, excluding the defeased loans.
Moody's weighted average loan to value ratio is 72% compared to
74% at Moody's prior full review.
Moody's stressed DSCR for the pool, excluding the defeased loans,
is 1.55X compared to 1.51X at last review. Moody's stressed DSCR
is based on Moody's net cash flow and a 9.25% stressed rate
applied to the loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, where a higher number represents greater
diversity. Loan concentration has an important bearing on
potential rating volatility, including the risk of multiple-notch
downgrades under adverse circumstances. The credit neutral Herf
score is 40. The pool, excluding defeased loans, has a Herf of 23
compared to 26 at last review.
The top three loans represent 21% of the pool. The largest loan
is the Crosswinds Apartments Loan ($23.1 million - 8.6%), which is
secured by a 347-unit, 26-story apartment building located in
Ottawa, Ontario. The property was 99% occupied as of January
2009, essentially the same as at last review. Performance has
improved since last review due to higher rental revenues and
stable operating expenses. Moody's LTV and stressed DSCR are 85%
and 1.08X, respectively, compared to 91% and 0.99X at last review.
The second largest loan is the Galeries Des Sources Loan
($19.1 million -- 7.1%), which is secured by a 330,500 square foot
community shopping center located in Dollard-Des-Ormeaux, Quebec,
a suburb of Montreal. The anchor tenants include Petro Canada,
Canadian Tire and Super C. The property was 100% occupied as of
December 2008, the same as at last review. Performance has been
stable. Moody's LTV and stressed DSCR are 80% and 1.38X,
respectively, compared to 84% and 1.33X at last review.
The third largest loan is the Shaughnessy Station Loan
($14.1 million -- 5.2%), which is secured by a 121,000 square foot
anchored retail/office strip center located in Port Coquitlam, a
suburb of Vancouver. The property was 92% occupied as of February
2009 compared to 94% at last review. The major tenant is Canadian
Tire (39% of NRA; lease expiration October 2011). Performance has
been stable. Moody's LTV and stressed DSCR are 76% and 1.42X,
respectively, compared to 79% and 1.37X at last review.
Moody's rating action is:
-- Class A-1, $13,081,708, affirmed at Aaa; previously affirmed
at Aaa on 2/19/2008
-- Class A-2, $188,450,000, affirmed at Aaa; previously affirmed
at Aaa on 2/19/2008
-- Class X-1, Notional, affirmed at Aaa; previously affirmed at
Aaa on 2/19/2008
-- Class X-2, Notional, affirmed at Aaa; previously affirmed at
Aaa on 2/19/2008
-- Class B, $11,700,000, affirmed at Aaa; previously affirmed at
Aaa on 2/19/2008
-- Class C, $12,880,000, upgraded to Aa1 from Aa2; previously
upgraded to Aa2 from Aa3 on 2/19/2008
-- Class D, $12,888,000, upgraded to A2 from A3; previously
upgraded to A3 from Baa1 on 2/19/2008
-- Class E, $4,684,000, upgraded to Baa1 from Baa2; previously
upgraded to Baa2 from Baa3 on 2/19/2008
-- Class F, $4,683,000, upgraded to Baa3 from Ba1; previously
affirmed at Ba1 on 2/19/2008
-- Class G, $4,683,000, affirmed at Ba2; previously affirmed at
Ba2 on 2/19/2008
-- Class H, $1,171,000, affirmed at Ba3; previously affirmed at
Ba3 on 2/19/2008
-- Class J, $4,683,000, affirmed at B2; previously affirmed at
B2 on 2/19/2008
-- Class K, $3,513,000, affirmed at B3; previously affirmed at
B3 on 2/19/2008
MERRILL LYNCH: Moody's Affirms Ratings on 2003-Canada 10 Notes
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 13 classes and
downgraded two classes of Merrill Lynch Financial Assets Inc.,
Commercial Mortgage Pass-Through Certificates, Series 2003-Canada
10. Although the performance of the overall pool is stable, the
downgrades are due to Moody's concerns about the performance of
the largest loan on the master servicer's watchlist, the Lawrence
Terrace Loan, which represents 4.7% of the pool balance. The
rating action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the September 14, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 18%
to $377.2 million from $460.4 million at securitization. The
Certificates are collateralized by 55 mortgage loans ranging in
size from less than 1% to 6% of the pool, with the top 10 non-
defeased loans representing 34% of the pool. The pool includes
two loans with investment-grade underlying ratings, representing
13% of the pool. Seven loans, representing 22% of the pool, have
defeased and are collateralized by Canadian Government securities.
Five loans, representing 8% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
The pool has not experienced any losses since securitization and
currently there are no loans in special servicing.
Moody's was provided with full-year 2008 operating results for 85%
of the pool, excluding the defeased loans. Moody's weighted
average loan to value ratio is 67%, essentially the same as at
Moody's prior full review.
Moody's stressed DSCR for the pool, excluding the defeased loans,
is 1.79X compared to 1.72X at last review. Moody's stressed DSCR
is based on Moody's net cash flow and a 9.25% stressed rate
applied to the loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, where a higher number represents greater
diversity. Loan concentration has an important bearing on
potential rating volatility, including the risk of multiple-notch
downgrades under adverse circumstances. The credit neutral Herf
score is 40. The pool, excluding defeased loans, has a Herf of 24
compared to 25 at last review.
The largest loan with an underlying rating is the Sheridan Center
Loan ($30.2 million -- 8.0%), which is secured by a 540,000 square
foot value oriented mixed-use retail and office center located
approximately 13 miles west of Toronto in Mississauga, Ontario.
The retail portion (60% of the property's net rentable area)
consists of a community center anchored by Zellers and Dominion.
The largest tenant in the office portion is Royal & Sun Alliance,
which occupies 38% of the premises through 2018. The center was
98% occupied as of December 2008, essentially the same as at last
review. Moody's current underlying rating and stressed DSCR are
A1 and 1.84X, respectively, the same as at last review.
The second loan with an underlying rating is the Richmond Center
North Loan ($19.6 million - 5.2%), which is secured by the
borrower's interest in a 716,000 square foot regional mall
(309,000 square feet of collateral) located approximately seven
miles south of Vancouver in Richmond, British Columbia. The
center is anchored by The Bay. The center was 100% occupied as of
December 2008, essentially the same as at last review. Moody's
current underlying rating and stressed DSCR are Aaa and 2.78X,
respectively, compared to Aaa and 2.90X at last review.
The top three conduit loans represent 16% of the pool. The
largest conduit loan is the RioCan Fairgrounds Loan ($23.7 million
- 6.3%), which is secured by a 250,000 square foot power center
located approximately 50 miles northwest of Toronto in
Orangeville, Ontario. Major tenants include Wal-Mart, Price
Chopper and Galaxy Theatres. The center was 99% leased as of
February 2009, essentially the same as at last review. The loan
sponsor is RioCan Real Investment Trust, a publicly traded REIT.
Moody's LTV and stressed DSCR are 71% and 1.44X, respectively,
compared to 72% and 1.43X at last review.
The second largest conduit loan is The Junction (Phase 1) Loan
($19.3 million - 5.1%), which is secured by a 194,000 square foot
power center located in Mission, British Columbia. Major tenants
include Save-On-Foods and Famous Players. The property was 99%
occupied as of January 2009, the same as at last review. The loan
sponsors are RioCan and Kimco Realty. Moody's LTV and stressed
DSCR are 68% and 1.48X, respectively, compared to 71% and 1.40X at
last review.
The third largest conduit loan is the Lawrence Terrace Loan
($17.8 million - 4.7%), which is secured by a 410-unit mid-rise
apartment complex located in Toronto, Ontario. The property was
constructed in 1964. Property performance has declined since
securitization due to increased operating expenses. The most
recent property inspection report (September 2008) indicates
several areas of deferred maintenance, including the underground
parking structure. Current financial information for this loan is
not available. The loan is on the master servicer's watchlist due
to low debt service coverage. Given the property's age, poor
physical condition, lack of current financials and decline in
performance since securitization, Moody's considers this loan to
be a high default risk. Moody's LTV and stressed DSCR are 145%
and 0.71X, respectively, compared to 118% and 0.78X at last
review.
Moody's rating action is:
-- Class A-1, $69,727,014, affirmed at Aaa; previously affirmed
at Aaa on 10/16/2008
-- Class A-2, $243,600,000, affirmed at Aaa; previously affirmed
at Aaa on 10/16/2008
-- Class XC-1, Notional, affirmed at Aaa; previously affirmed at
Aaa on 10/16/2008
-- Class XC-2, Notional, affirmed at Aaa; previously affirmed at
Aaa on 10/16/2008
-- Class B, $10,300,000, affirmed at Aaa; previously affirmed at
Aaa on 10/16/2008
-- Class C, $13,300,000, affirmed at Aaa; previously upgraded to
Aaa from Aa2 on 10/16/2008
-- Class D-1, $13,199,000 affirmed at A2; previously upgraded to
A2 from Baa1 on 10/16/2008
-- Class D-2, $1,000, affirmed at A2; previously upgraded to A2
from Baa1 on 10/16/2008
-- Class E-1, $5,199,000, affirmed at Baa2; previously upgraded
to Baa2 from Baa3 on 10/16/2008
-- Class E-2, $1,000, affirmed at Baa2; previously upgraded to
Baa2 from Baa3 on 10/16/2008
-- Class F, $4,054,000, affirmed at Ba1; previously affirmed at
Ba1 on 10/16/2008
-- Class G, $4,029,000, affirmed at Ba2; previously affirmed at
Ba2 on 10/16/2008
-- Class H, $2,302,000, affirmed at Ba3; previously affirmed at
Ba3 on 10/16/2008
-- Class J, $3,913,000, downgraded to B3 from B2; previously
affirmed at B2 on 10/16/2008
-- Class K, $1,612,000, downgraded to Caa1 from B3; previously
affirmed at B3 on 10/16/2008
MERRILL LYNCH: Moody's Affirms Ratings on 13 2005-Canada 16 Notes
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 13 classes and
downgraded four classes of Merrill Lynch Financial Assets, Inc.,
Commercial Mortgage Pass-Through Certificates 2005-Canada 16. The
downgrades are due to higher expected losses for the pool
resulting from increased credit quality dispersion and refinancing
risk associated with loans approaching maturity. Nine loans
representing 9% of the pool mature within the next 12 months. Two
of these loans, representing 3% of the pool, have a Moody's
stressed debt service coverage ratio below 1.00X. The action is
the result of Moody's on-going surveillance of commercial mortgage
backed securities transactions.
As of the September 14, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 9% to
$418.5 million from $458.7 million at securitization. The
Certificates are collateralized by 48 loans ranging in size from
less than 1% to 10% of the pool, with the top ten non-defeased
loans representing 63% of the pool. The pool includes four loans
with investment grade underlying ratings, representing 29% of the
pool. One loan, representing 8% of the pool, has defeased and is
secured by Canadian government securities.
The pool has not experienced any losses since securitization and
currently there are no loans in special servicing. Five loans,
representing 9% of the pool, are on the master servicer's
watchlist. The watchlist includes loans which meet certain
portfolio review guidelines established as part of the Commercial
Mortgage Securities Association's monthly reporting package. As
part of Moody's ongoing monitoring of a transaction, Moody's
reviews the watchlist to assess which loans have material issues
that could impact performance.
Moody's was provided with full-year 2008 operating results for 81%
of the pool, excluding the defeased loan. Moody's weighted
average loan to value ratio for the conduit component is 86%
compared to 83% at Moody's prior full review.
Moody's stressed DSCR is 1.21X compared to 1.19X at
securitization. Moody's stressed DSCR is based on Moody's net
cash flow and a 9.25% stressed rate applied to the loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, where a higher number represents greater
diversity. Loan concentration has an important bearing on
potential rating volatility, including the risk of multiple-notch
downgrades under adverse circumstances. The credit neutral Herf
score is 40. The pool has a Herf of 19, the same as at last
review.
The largest loan with an underlying rating is the EPR Loan
($41.0 million -- 10%), which represents a pari passu interest in
a $82.0 first mortgage loan secured by four retail centers
totaling 985,000 square feet. Each center is anchored by a
multiplex cinema operated by AMC Cinemas. The portfolio was 99%
occupied as of June 2009 compared to 96% at last review. The loan
is structured with a 20-year amortization schedule and has
amortized by approximately 6% since last review. Moody's current
underlying rating and stressed DSCR are Aaa and 3.00X,
respectively, compared to Aaa and 2.71X at last review.
The second largest loan with an underlying rating is the Riocan
Mega Centre Notre Dame Loan ($32.6 million -- 8%), which is
secured by an 182,000 square foot anchored retail center located
in Montreal, Quebec. The center was 100% occupied as of February
2009, the same as last review. The loan is full recourse to
RioCan REIT, the largest real estate investment trust in Canada.
Moody's current underlying rating and stressed DSCR are Baa3 and
1.08X, respectively, compared to Baa3 and 0.94X at last review.
The third largest loan with an underlying rating is the Calloway
St. Catharines Loan ($28.3 million -- 7%), which is secured by a
358,000 square foot retail center located in suburban Toronto,
Ontario. The center is 96% occupied as of March 2009 compared to
92% at last review. Moody's current underlying rating and
stressed DSCR are A2 and 1.42X, respectively, compared to A2 and
1.38X at last review.
The fourth largest loan with an underlying rating is the U-Haul
Canada Portfolio ($10.4 million -- 3%), which is secured by a
portfolio of five self-storage facilities totaling 188,700 units.
The portfolio was 94% leased as of March 2007 compared to 88% at
securitization. Moody's valuation of this loan reflects a
stressed cash flow because current financial information is not
available. Moody's current underlying rating and stressed DSCR
are Baa1 and 1.63X, respectively, compared to A3 and 2.25X at last
review.
The top three non-defeased conduit loans represent 19% of the
pool. The largest conduit loan is the Grant Park Shopping Center
Loan ($31.2 million -- 7.5%), which is secured by a 368,000 square
foot enclosed retail center located in Winnipeg, Manitoba. The
center was 98% occupied as of September 2009, the same as at last
review. Moody's LTV and stressed DSCR are 74% and 1.36X,
respectively, compared to 76% and 1.32X at last review.
The second largest conduit loan is the Kitchener Food Basics Loan
($27.0 million -- 6.5%), which is secured by a 169,000 square foot
retail center located in Kitchener, Ontario. The center was 98%
occupied as of March 2009 compared to 100% at last review.
Performance has been stable since last review, but Moody's
valuation incorporates a stressed cash flow due to concerns about
retail properties in the current environment. Moody's LTV and
stressed DSCR are 97% and 0.95X, respectively, compared to 94% and
0.96X at last review.
The third largest conduit loan is the Rono Distribution Centre
Loan ($22.6 million -- 5.4%), which is secured by a 790,000 square
foot industrial building located in suburban Montreal, Quebec.
The property is 100% leased to Rona Inc. through August 2019.
Performance has been stable since last review but Moody's
valuation incorporates a stressed cash flow and increased
capitalization rate due to Moody's concerns about single tenant
properties in the current environment. Moody's LTV and stressed
DSCR are 78% and 1.24X, respectively, compared to 71% and 1.25X at
last review.
Moody's rating action is:
-- Class A-1, $188,746,284, affirmed at Aaa; previously affirmed
at Aaa on 7/26/2007
-- Class A-2, $183,800,000, affirmed at Aaa; previously affirmed
at Aaa on 7/26/2007
-- Class XP-1, Notional, affirmed at Aaa; previously affirmed at
Aaa on 7/26/2007
-- Class XP-2, Notional, affirmed at Aaa; previously affirmed at
Aaa on 7/26/2007
-- Class XC, Notional, affirmed at Aaa; previously affirmed at
Aaa on 7/26/2007
-- Class B, $8,000,000, affirmed at Aa2; previously affirmed at
Aa2 on 7/26/2007
-- Class C, $10,400,000, affirmed at A2; previously affirmed at
A2 on 7/26/2007
-- Class D-1, $9,759,000, affirmed at Baa2; previously affirmed
at Baa2 on 7/26/2007
-- Class D-2, $1,000, affirmed at Baa2; previously affirmed at
Baa2 on 7/26/2007
-- Class E-1, $2,293,000, affirmed at Baa3; previously affirmed
at Baa3 on 7/26/2007
-- Class E-2, $1,000, affirmed at Baa3; previously affirmed at
Baa3 on 7/26/2007
-- Class F, $3,442,000, affirmed at Ba1; previously affirmed at
Ba1 on 7/26/2007
-- Class G, $1,720,000, affirmed at Ba2; previously affirmed at
Ba2 on 7/26/2007
-- Class H, $1,147,000, downgraded from Ba3 to B1; previously
affirmed at Ba3 on 7/26/2007
-- Class J, $1,720,000, downgraded from B1 to B2; previously
affirmed at B1 on 7/26/2007
-- Class K, $1,720,000, downgraded from B2 to Caa1; previously
affirmed at B2 on 7/26/2007
-- Class L, $1,147,000, downgraded from B3 to Caa2; previously
affirmed at B3 on 7/26/2007
MERRILL LYNCH: Moody's Affirms Ratings on 2006-Canada 20 Notes
--------------------------------------------------------------
Moody's Investors Service confirmed the rating of one class,
affirmed seven classes and downgraded eight classes of Merrill
Lynch Financial Assets Inc., Commercial Mortgage Pass-Through
Certificates, Series 2006-Canada 20. On September 25, 2009,
Moody's placed nine classes on review for possible downgrade due
to concerns about potential losses from loans in special servicing
and loans with near-term maturities. Moody's confirmed Class C
because the current level of subordination provides sufficient
support for anticipated losses from loans in special servicing.
Moody's downgraded Class D through L due to higher expected losses
for the pool resulting from anticipated losses from loans in
special servicing, increased leverage from the remainder of the
pool, increased credit quality dispersion and a decline in loan
diversity. The rating action is the result of Moody's on-going
surveillance of commercial mortgage backed securities
transactions.
As of the September 14, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by 8% to
$546.9 million from $595.3 million at securitization. The
Certificates are collateralized by 64 mortgage loans ranging in
size from less than 1% to 7% of the pool, with the top ten loans
representing 53% of the pool. At securitization three loans,
representing 14% of the pool, had investment grade underlying
ratings. However, the performance of two of these loans has
declined and they are now analyzed as part of the conduit pool.
The third loan, representing 5% of the pool, still has an
underlying rating. One loan, representing 5% of the pool, has
defeased and is collateralized with Canadian Government
securities.
Five loans, representing 7% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance. Not all loans on the
watchlist are delinquent or have significant issues.
The pool has not experienced any losses to date. Currently there
are two loans in special servicing, representing 6% of the pool.
The largest specially serviced loan is the Marriott Pooled Senior
Loan ($26.1 million -- 5% of the pool), which is secured by five
Marriott flagged limited service hotels located in the Greater
Toronto area. The loan was transferred to special servicing in
August 2009 due to imminent default. As of the most recent
remittance date the loan is 30+ days delinquent. The second
specially serviced loan is the Summit Properties Loan
($8.1 million -- 2.0%), which is secured by a 122-unit multi-
family property in Leduc, Alberta. The property was transferred
to special servicing in June 2009 due to imminent default.
Moody's estimates an aggregate loss of $10.9 million (32% loss
severity on average) for the specially serviced loans.
Moody's was provided with full-year 2008 operating results for 94%
of the pool. Moody's weighted average loan to value ratio for the
total pool is 94% compared to 91% at securitization. In addition
to the overall increase in leverage, the pool has experienced
increased credit quality dispersion since securitization. Based
on Moody's analysis, 27% of the pool has an LTV in excess of 100%
compared to 16% at securitization.
Moody's stressed debt service coverage ratio for the total pool is
1.10X compared to 1.11X at securitization. Moody's stressed DSCR
is based on Moody's net cash flow and a 9.25% stressed rate
applied to the loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, where a higher number represents greater
diversity. Loan concentration has an important bearing on
potential rating volatility, including risk of multiple notch
downgrades under adverse circumstance. The credit neutral Herf
score is 40. The conduit pool has a Herf of 26 compared to 34 at
securitization.
The loan with an underlying rating is the Westview Village
Manufactured Home Loan ($28.2 million -- 5.2%), which is secured
by a manufactured housing community located in Edmonton, Alberta.
The property has 1,060 pads. The property was 100% occupied as of
May 2009, the same as at securitization. Property performance has
improved due to increased rental revenues and amortization.
Moody's underlying rating and stressed DSCR are A3 and 1.48X,
respectively, compared to Baa1 and 1.31X at securitization.
The first loan that previously had an underlying rating is the
Holiday Inn -- Midtown Montreal Loan ($27.1 million -- 5%), which
is secured by a 488-room, full-service hotel located in downtown
Montreal. Performance has declined as a result of decline in
occupancy and rate. Average occupancy and revenue per available
room for 2008 were 60% and $65, respectively, compared to 64% and
$74 at securitization. Occupancy is expected to further decrease
for the remainder of 2009 and 2010 based on expected further
declines in corporate and leisure travel. Moody's LTV and
stressed DSCR are 97% and 1.17X, respectively, compared to 67% and
1.70X at securitization.
The second loan that previously had an underlying rating at
securitization is the Marriott Pooled Senior Loan ($26.0 million -
- 4.8%), which is a 50% pari passu interest in a $52.1 million
mortgage. The loan is secured by five Marriot-flagged, limited
service hotels totaling 632 rooms located in the Greater Toronto
area. The portfolio's performance has been negatively impacted by
the current economic environment. The loan was transferred to
special servicing in August 2009 due to imminent default. The
loan matures on February 1, 2011. Moody's LTV and stressed DSCR
are 150% and 0.79X, respectively, compared to 71% and 1.70X at
securitization.
The three largest conduit loans represent 21% of the pool. The
largest conduit loan is the Station Tower Loan ($40.1 million --
7.3%), which is secured by a 214,000 Class A office building
located in Surrey, a suburb of Vancouver, British Colombia. The
property was 100% occupied as of April 2009, essentially the same
as at securitization. Moody's LTV and stressed DSCR are 84% and
1.09X, respectively, compared to 85% and 1.05X at securitization.
The second largest conduit loan is the Heritage Square Loan
($37.9 million -- 7%), which is secured by a 298,000 SF Class A
office building located in suburban Calgary, Alberta. The
property was 100% occupied in December 2008, essentially the same
as at securitization. Property performance has improved due to
increased base revenues and amortization. Moody's LTV and
stressed DSCR are 77% and 1.37X, respectively, compared to 95% and
1.08X at securitization.
The third largest conduit loan is the Carrefour Trois Rivieres/de
Recollets Loan ($36.3 million -- 6.6%), which is secured by two
anchored retail centers, totaling 468,225 square feet, located in
the city of Trois Rivieres. The weighted average occupancy was
90% as of May 2009 compared to 99% at securitization. The loan
matures on July 1, 2011. Moody's LTV and stressed DSCR are 97%
and 0.97X, respectively, compared to 86% and 1.04X at
securitization.
Moody's rating is:
-- Class A-1, $29,158,317, affirmed at Aaa; previously assigned
Aaa on 10/26/2006
-- Class A-2, $179,954,000, affirmed at Aaa; previously assigned
Aaa on 10/26/2006
-- Class A-3, $267,151,000, affirmed at Aaa; previously assigned
Aaa on 10/26/2006
-- Class XP-1, notional, affirmed at Aaa; previously assigned
Aaa on 10/26/2006
-- Class XP-2, notional, affirmed at Aaa; previously assigned
Aaa on 10/26/2006
-- Class XC, notional, affirmed at Aaa; previously assigned Aaa
on 10/26/2006
-- Class B, $14,882,000, affirmed at Aa2; previously assigned
Aa2 on 10/26/2006
-- Class C, $14,139,000, confirmed at A2; placed on review for
possible downgrade on 9/25/2009
-- Class D, $15,626,000, downgraded to Baa3 from Baa2; placed on
review for possible downgrade on 9/25/2009
-- Class E, $4,465,000, downgraded to Ba2 from Baa3; placed on
review for possible downgrade on 9/25/2009
-- Class F, $5,209,000, downgraded to B1 from Ba1; placed on
review for possible downgrade on 9/25/2009
-- Class G, $2,232,000, downgraded to B3 from Ba2; placed on
review for possible downgrade on 9/25/2009
-- Class H, $2,232,000, downgraded to Caa1 from Ba3; placed on
review for possible downgrade on 9/25/2009
-- Class J, $1,488,000, downgraded to Caa2 from B1; placed on
review for possible downgrade on 9/25/2009
-- Class K, $1,488,000, downgraded to Caa3 from B2; placed on
review for possible downgrade on 9/25/2009
-- Class L, $2,232,000, downgraded to Ca from B3; placed on
review for possible downgrade on 9/25/2009
MERRILL LYNCH: Moody's Affirms Ratings on 12 2007-Canada 22 Notes
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 12 classes and
downgraded four classes of Merrill Lynch Financial Assets Inc.,
Commercial Mortgage Pass-Through Certificates, Series 2007-Canada
22. The downgrades are due to higher expected losses for the pool
resulting from increased leverage, increased credit dispersion and
anticipated losses from loans in special servicing. The rating
action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the September 14, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by 3% to
$422.1 million from $434.4 million at securitization. The
Certificates are collateralized by 66 mortgage loans ranging in
size from less than 1% to 6% of the pool, with the top ten loans
representing 59% of the pool. At securitization two loans,
representing 3% of the pool, had investment grade underlying
ratings. The performance of the larger loan, Clearspring Centre,
has declined and this loan is now analyzed as part of the conduit
pool. The smaller loan, representing less than 1% of the pool,
has an Aaa underlying rating, the same as at securitization. One
loan, representing less than 1% of the pool, has defeased and is
collateralized with Canadian Government securities.
Nine loans, representing 10% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance. Not all loans on the watch-
list are delinquent or have significant issues.
The pool has not experienced any losses to date. Currently two
loans, representing 2% of the pool, are in special servicing. The
largest specially serviced loan is the Bullock Drive Loan
($5.8 million -- 1.4% of the pool), which is secured by an 114,000
square foot industrial building located in Markham, Ontario. The
loan was transferred to special servicing in October 2008 for
delinquency. The building was 100% leased to Clearview Display,
which filed for bankruptcy in 2007. The servicer has recognized a
$1.9 appraisal reduction for this loan. The second specially
serviced loan is the Queen Mary Multi-family Loan ($3 million --
0.7%), which is secured by a 49-unit multi-family property located
in Montreal, Quebec. The loan was transferred to special
servicing in December 2008 for delinquency. The loan is now
current, although the special servicer has appointed a receiver to
manage the property. Moody's estimates an aggregate loss of
$3.3 million (38% loss severity on average) for the specially
serviced loans.
Moody's was provided with full-year 2008 operating results for 85%
of the pool. Moody's weighted average loan to value ratio for the
conduit pool is 99% compared to 93% at securitization. In
addition to increased leverage, the pool has experienced increased
credit quality dispersion since securitization. Based on Moody's
analysis, 42% of the pool has an LTV in excess of 100% compared to
6% at securitization.
Moody's stressed debt service coverage ratio for the conduit pool
is 1.03X compared to 1.06X at securitization. Moody's stressed
DSCR is based on Moody's net cash flow and a 9.25% stressed rate
applied to the loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, where a higher number represents greater
diversity. Loan concentration has an important bearing on
potential rating volatility, including risk of multiple notch
downgrades under adverse circumstance. The credit neutral Herf
score is 40. The conduit pool has a Herf of 14 compared to 15 at
securitization.
The loan which previously had an investment grade underlying
rating is the Clearspring Centre Loan ($12.4 million -- 3%), which
is secured by a 220,000 square foot grocery-anchored retail center
located in Steinbach, Manitoba. The center was 79% occupied as of
May 2009 compared to 94% at securitization. The decline in
occupancy is largely due to Saan Stores, which occupied 14% of the
net rentable area, vacating in 2008 prior to its 2011 lease
expiration. Moody's LTV and stressed DSCR are 87% and 1.12X,
respectively, compared to 69% and 1.46X at securitization.
The three largest conduit loans represent 37% of the pool. The
largest conduit loan is the Holiday Portfolio Loan ($85.6 million
-- 20%), which is a 50% pari passu interest in a $171.3 million
mortgage. The loan is secured by ten independent living
properties located throughout the provinces of Alberta, British
Columbia, Ontario, Quebec and Saskatchewan. As of December 2008,
the portfolio's weighted average occupancy was 98%, essentially
the same as at securitization. Although occupancy has been
stable, performance has declined due to higher operating expenses.
Moody's LTV and stressed DSCR are 110% and 0.86X, respectively,
compared to 93% and 0.98X at securitization.
The second largest conduit loan is the In-Storage Self Storage
Portfolio Loan ($45.7 million -- 11%) which is secured by seven
self-storage properties located throughout the provinces of
Alberta, Ontario, and Saskatchewan. As of December 2008, the
portfolio's weighted average occupancy was 80% compared to 84% at
securitization. Moody's LTV and stressed DSCR are 100% and 0.97X,
respectively, compared to 95% and 1.0X at securitization.
The third largest conduit loan is the Evton Midtown Office
Portfolio Loan ($24.1 million -- 6%), which is secured by three
office buildings, totaling 181,000 SF, located in Toronto,
Ontario. The properties were 97% leased as of December 2008
compared to 95% at securitization. Occupancy has declined to
appropriately 90% due to the lease expiration of In-Sync Consumer
Insight (6% of NRA), which vacated at its lease expiration in
September 2009. Moody's LTV and stressed DSCR are 97% and 0.97X,
respectively, compared to 86% and 1.04X.
Moody's rating is:
-- Class A-1, $37,834,648, affirmed at Aaa; previously assigned
Aaa on 6/20/2007
-- Class A-2, $167,659,000, affirmed at Aaa; previously assigned
Aaa on 6/20/2007
-- Class A-3, $163,471,000, affirmed at Aaa; previously assigned
Aaa on 6/20/2007
-- Class XP-1, Notional, affirmed at Aaa; previously assigned
Aaa on 6/20/2007
-- Class XP-2, Notional, affirmed at Aaa; previously assigned
Aaa on 6/20/2007
-- Class XC, Notional, affirmed at Aaa; previously assigned Aaa
on 6/20/2007
-- Class B, $8,687,000, affirmed at Aa2; previously assigned Aa2
on 6/20/2007
-- Class C, $10,860,000, affirmed at A2; previously assigned A2
on 6/20/2007
-- Class D, $12,488,000, affirmed at Baa2; previously assigned
Baa2 on 6/20/2007
-- Class E, $3,801,000, affirmed at Baa3; previously assigned
Baa3 on 6/20/2007
-- Class F, $2,823,000, affirmed at Ba1; previously assigned Ba1
on 6/20/2007
-- Class G, $2,389,000, affirmed at Ba2; previously assigned Ba2
on 6/20/2007
-- Class H, $1,304,000, downgraded to B1 from Ba3; previously
assigned Ba3 on 6/20/2007
-- Class J, $1,085,000, downgraded to B2 from B1; previously
assigned B1 on 6/20/2007
-- Class K, $1,521,000, downgraded to B3 from B2; previously
assigned B2 on 6/20/2007
-- Class L, $1,086,000, downgraded to Caa1 from B3; previously
assigned B3 on 6/20/2007
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 14 2006-1 Certs.
---------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 14 classes, and assigns Rating Outlooks to all rated
classes of commercial mortgage pass-through certificates from ML-
CFC Commercial Mortgage Trust, series 2006-1. 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
4.2% for this transaction, should market conditions not recover.
The rating actions are based on losses of 3.5%, 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 53.5% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Approximately 70.6% of the losses were on loans reviewed in
detail. Approximately 73.5% of the recognized losses were from
loans reviewed in detail.
Approximately 26.6% of the mortgages mature within the next five
years: 8.3% in 2010, 8.1% in 2011, 8.6% in 2012, 0.8% in 2013, and
0.8% in 2014. In 2016, 67.2% of the pool is scheduled to mature.
Three (21.1%) of the largest 15 loans are scheduled to mature
before 2012.
Fitch identified 25 Loans of Concern (19.9%) within the pool, 10
of which (5.4%) are specially serviced. Of the specially serviced
loans, one (0.5% of the pool) is current. Three of the Fitch
Loans of Concern (10.6%) are within the transaction's top 15
loans, and one (2%) is specially serviced.
Losses are expected on seven of the loans within the top 15: two
(4%) of these loans are expected to default during the term, while
losses on the remaining five loans (8.5%) are expected at
maturity. Loss severities associated with these loans range from
approximately 5% to 40%. The largest contributors to loss are:
Inglewood Park (2%), U-Store-It Portfolio (1%), and Prince George
Center II (2%).
The Inglewood Park loan is collateralized by a seven-building
office/industrial park located in Largo, Maryland totaling 536,197
square foot. The property was transferred to the Special Servicer
May 10, 2009, due to payment default. In January 2007, the
property was purchased for $69 million and the $43 million loan
was assumed by the current borrower. Property occupancy recently
dropped to 44% following the loss of several large tenants.
Workout discussions with the special servicer are in progress.
The U-Store-It Portfolio loan is collateralized by four
properties, containing 194,241 sf of self-storage space and 56,455
sf of commercial/warehouse space. The loan was transferred to the
special servicer on June 3, 2009. The properties are all located
in the Chicago, IL metropolitan statistical area. The single
tenant occupying the warehouse space vacated at the expiration of
its lease term (Dec. 31, 2008). Current occupancy is
approximately 66% (as of July 6, 2009). Workout discussions with
the special servicer are in progress.
The Prince George Center II loan is collateralized by an office
building located in Hyattsville, MD, totaling 394,578 sf.
Occupancy is currently 100%. The property has been 99.5% occupied
since issuance by the U.S. Treasury Department under a 20-year
lease with the General Services Administration (expiring 2012).
This issuer-reported year end 2008 debt service coverage ratio was
0.94 times (compared to 1.24x at issuance). The utilities expense
at the property increased by 40% as local deregulation recently
ended. The GSA tenant needs to approve any utility pass-back,
which has resulted in the decreased DSCR. Fitch's analysis
resulted in a higher probability of default during the loan term
due to the pending maturity of the major tenant and the recent
decline in cash flow.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Loss Severity ratings and Outlooks to these classes:
-- $82.1 million class A-J to 'AA/LS3' from 'AAA'; Outlook
Negative;
-- $100 million class AN-FL to 'AA/LS3' from 'AAA'; Outlook
Negative;
-- $50.9 million class B to 'A/LS4' from 'AA'; Outlook Negative;
-- $21.4 million class C to 'BBB/LS5' from 'AA-'; Outlook
Negative;
-- $29.5 million class D to 'BBB-/LS5' from 'A'; Outlook
Negative;
-- $16.1 million class E to 'BB/LS5' from 'A-'; Outlook
Negative;
-- $24.1 million class F to 'BB/LS5' from 'BBB'; Outlook
Negative;
-- $16.1 million class G to 'B/LS5' from 'BBB-'; Outlook
Negative;
-- $26.8 million class H to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $5.4 million class J to 'B-/LS5' from 'BB'; Outlook Negative;
-- $5.4 million class K to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $8 million class L to 'CCC/RR6' from 'B+';
-- $2.7 million class M to 'CCC/RR6' from 'B';
-- $8 million class N to 'CCC/RR6' from 'B-'.
Fitch affirms and revises the Recovery Rating for this class:
-- $5.4 million class P affirmed at 'CCC/RR6' (revised from
'CCC/RR1').
Fitch also affirms these classes and assigns LS ratings and
Outlooks:
-- $20.3 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $337.5 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $66.2 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $105.2 million class A-3FL at 'AAA/LS1'; Outlook Stable;
-- $75 million class A-3B at 'AAA/LS1'; Outlook Stable;
-- $121 million class A-SB at 'AAA/LS1'; Outlook Stable;
-- $489.5 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $229.8 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $214.2 million class A-M at 'AAA/LS3'; Outlook Stable;
-- Interest-only class X at 'AAA'; Outlook Stable.
Fitch does not rate the $26.8 million class Q.
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 14 2006-1 Certs.
---------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 14 classes, and assigns Rating Outlooks to all rated
classes of commercial mortgage pass-through certificates from ML-
CFC Commercial Mortgage Trust, series 2006-1. 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
4.2% for this transaction, should market conditions not recover.
The rating actions are based on losses of 3.5%, 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 53.5% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Approximately 70.6% of the losses were on loans reviewed in
detail. Approximately 73.5% of the recognized losses were from
loans reviewed in detail.
Approximately 26.6% of the mortgages mature within the next five
years: 8.3% in 2010, 8.1% in 2011, 8.6% in 2012, 0.8% in 2013, and
0.8% in 2014. In 2016, 67.2% of the pool is scheduled to mature.
Three (21.1%) of the largest 15 loans are scheduled to mature
before 2012.
Fitch identified 25 Loans of Concern (19.9%) within the pool, 10
of which (5.4%) are specially serviced. Of the specially serviced
loans, one (0.5% of the pool) is current. Three of the Fitch
Loans of Concern (10.6%) are within the transaction's top 15
loans, and one (2%) is specially serviced.
Losses are expected on seven of the loans within the top 15: two
(4%) of these loans are expected to default during the term, while
losses on the remaining five loans (8.5%) are expected at
maturity. Loss severities associated with these loans range from
approximately 5% to 40%. The largest contributors to loss are:
Inglewood Park (2%), U-Store-It Portfolio (1%), and Prince George
Center II (2%).
The Inglewood Park loan is collateralized by a seven-building
office/industrial park located in Largo, Maryland totaling 536,197
square foot. The property was transferred to the Special Servicer
May 10, 2009, due to payment default. In January 2007, the
property was purchased for $69 million and the $43 million loan
was assumed by the current borrower. Property occupancy recently
dropped to 44% following the loss of several large tenants.
Workout discussions with the special servicer are in progress.
The U-Store-It Portfolio loan is collateralized by four
properties, containing 194,241 sf of self-storage space and 56,455
sf of commercial/warehouse space. The loan was transferred to the
special servicer on June 3, 2009. The properties are all located
in the Chicago, IL metropolitan statistical area (MSA). The
single tenant occupying the warehouse space vacated at the
expiration of its lease term (Dec. 31, 2008). Current occupancy
is approximately 66% (as of July 6, 2009). Workout discussions
with the special servicer are in progress.
The Prince George Center II loan is collateralized by an office
building located in Hyattsville, MD, totaling 394,578 sf.
Occupancy is currently 100%. The property has been 99.5% occupied
since issuance by the U.S. Treasury Department under a 20-year
lease with the General Services Administration (GSA) (expiring
2012). This issuer-reported year end 2008 debt service coverage
ratio was 0.94 times (compared to 1.24x at issuance). The
utilities expense at the property increased by 40% as local
deregulation recently ended. The GSA tenant needs to approve any
utility pass-back, which has resulted in the decreased DSCR.
Fitch's analysis resulted in a higher probability of default
during the loan term due to the pending maturity of the major
tenant and the recent decline in cash flow.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Loss Severity ratings and Outlooks to these classes:
-- $82.1 million class A-J to 'AA/LS3' from 'AAA'; Outlook
Negative;
-- $100 million class AN-FL to 'AA/LS3' from 'AAA'; Outlook
Negative;
-- $50.9 million class B to 'A/LS4' from 'AA'; Outlook Negative;
-- $21.4 million class C to 'BBB/LS5' from 'AA-'; Outlook
Negative;
-- $29.5 million class D to 'BBB-/LS5' from 'A'; Outlook
Negative;
-- $16.1 million class E to 'BB/LS5' from 'A-'; Outlook
Negative;
-- $24.1 million class F to 'BB/LS5' from 'BBB'; Outlook
Negative;
-- $16.1 million class G to 'B/LS5' from 'BBB-'; Outlook
Negative;
-- $26.8 million class H to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $5.4 million class J to 'B-/LS5' from 'BB'; Outlook Negative;
-- $5.4 million class K to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $8 million class L to 'CCC/RR6' from 'B+';
-- $2.7 million class M to 'CCC/RR6' from 'B';
-- $8 million class N to 'CCC/RR6' from 'B-'.
Fitch affirms and revises the Recovery Rating for this class:
-- $5.4 million class P affirmed at 'CCC/RR6' (revised from
'CCC/RR1').
Fitch also affirms these classes and assigns LS ratings and
Outlooks:
-- $20.3 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $337.5 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $66.2 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $105.2 million class A-3FL at 'AAA/LS1'; Outlook Stable;
-- $75 million class A-3B at 'AAA/LS1'; Outlook Stable;
-- $121 million class A-SB at 'AAA/LS1'; Outlook Stable;
-- $489.5 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $229.8 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $214.2 million class A-M at 'AAA/LS3'; Outlook Stable;
-- Interest-only class X at 'AAA'; Outlook Stable.
Fitch does not rate the $26.8 million class Q.
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 16 Certificates
--------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 16 classes of ML-CFC Commercial Mortgage Trust's
commercial mortgage pass-through certificates. In addition, Fitch
assigns Loss Severity ratings.
The downgrades are the result of loss expectations for current
specially serviced loans and reflect Fitch's prospective views
regarding commercial real estate market value and cash flow
declines. Fitch forecasts potential losses of 6.9% for this
transaction, should market conditions not recover. The rating
actions are based on losses of 4.9% 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 Rating 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 52.3% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Approximately 14.4% of the mortgages within the next five years
are scheduled to mature in 2014. In 2017, 76.08% are scheduled to
mature.
Fitch identified thirty-one Loans of Concern (13.4%) within the
pool, 11 of which (5%) are specially serviced. Two (3.6%) of the
top 15 loans (45.4%) are specially serviced. Of the specially
serviced loans, one (1% of the pool) is current. Four (8.7%) of
the transaction's top 15 loans are Fitch Loans of Concern.
Based on its analysis, Fitch modeled 14 of the top 15 loans
(42.1%) as defaults during the term or at maturity, with loss
severities ranging from approximately 1% to 49%. The largest
contributors to loss on a pool level basis (by outstanding
balance) are: Empirian Portfolio Pool 2 (13.8%), Executive Hills
Portfolio (4.1%), Gray Apartment Portfolio (1.3%).
Empirian Portfolio 2 consists of 73 cross-collateralized and
cross-defaulted loans secured by rental housing communities
totaling 6.982 units, located in 59 cities across eight states.
The portfolio continues to show improved performance with the
year-end (YE) 2008 debt-service coverage ratio (DSCR) at 1.51
times up from 1.41x at issuance. The Fitch stressed DSCR at
issuance was 0.99x. The portfolio was 93.6% occupied as of April
2009 compared to 92% at issuance. Fitch's analysis of the loan
resulted in a higher probability of default at maturity due to
Fitch's anticipated value decline and declining performance.
Executive Hills Portfolio consists of nine office properties (five
located in Overland Park, KS and four located in Kansas City, MO)
comprising 951,700 square feet. The top three tenants in the
portfolio are Burns & McDonnell (single-tenant (12%) whose lease
expires 2012, YRC Enterprise Services (6%), lease expiration of
2010, RH Donnelly (4%) lease expiration 2012. YE 2008 DSCR for
the entire portfolio was 1.50x down from 1.64x YE 2007 and 1.65x
at issuance. The decline in performance is due to increased
vacancies at three of the nine properties. Of the three, one
property is 100% vacant due to the single-tenant at the property
ceasing operations and vacating their space prior to lease
expiration, another property had a major tenant reduce their space
by 33% and the other had a major tenant which occupied 25% net
rentable area vacate prior to lease expiration. As of June 2009,
portfolio occupancy declined to 63.3% from 93% at issuance.
Fitch's analysis of the loans resulted in a higher probability of
default during the loan term based on declining performance given
the current above average portfolio vacancy.
The Gray Apartment Portfolio consists of two adjacent cross-
collateralized apartment properties located in Houston, TX. The
loan was transferred to special servicing in February 2009 due to
imminent default. Both properties sustained significant damage
from Hurricane Ike and insurance claims have not been settled.
The Park at Lakeside property needs to have the roofs replaced
which is estimated to cost in excess of $1.2 million. The roofs
have all been replaced at the Evergreen Pointe Apartment property
and a receiver is in the process of turning and leasing units.
Fitch expects losses upon liquidation.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Loss Severity ratings and Outlooks to these classes:
-- $109.4 million class AJ to 'A/LS3' from 'AAA'; Outlook
Negative;
-- $100.6 million class AJ-A to 'A/LS3' from 'AAA'; Outlook
Negative;
-- $12.2 million class B to 'A/LS5' from 'AA+'; Outlook
Negative;
-- $39.6 million class C to 'BBB-/LS5' from 'AA'; Outlook
Negative;
-- $27.4 million class D to 'BB/LS5' from 'AA-'; Outlook
Negative;
-- $9.1 million class E to 'BB/LS5' from 'A+'; Outlook Negative;
-- $18.3 million class F to 'BB/LS5' from 'A'; Outlook Negative;
-- $21.3 million class G to 'BB/LS5' from 'A-'; Outlook
Negative;
-- $33.5 million class H to 'B/LS5' from 'BBB+'; Outlook
Negative;
-- $24.4 million class J to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $15.2 million class K to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $15.2 million class L to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $9.1 million class M to 'B-/LS5' from 'BB'; Outlook Negative;
-- $3 million class N to 'B-/LS5' from 'BB-'; Outlook Negative;
-- $3 million class P to 'B-/LS5' from 'B+'; Outlook Negative
-- $6.1 million class Q to 'B-/LS5' from 'B'; Outlook Negative.
In addition, Fitch affirms and assigns LS ratings to these classes
as indicated:
-- $26.7 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $811.5 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $122.5 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $72.7 million class A-SB at 'AAA/LS1'; Outlook Stable;
-- $655.8 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $126.9 million class AM at 'AAA/LS3'; Outlook Stable;
-- $116.6 million class AM-A at 'AAA/LS3'; Outlook Stable;
-- Interest only class X at 'AAA'; Outlook Stable;
-- $3 million class S at 'B-/LS5''; Outlook Negative.
Fitch does not rate the $36.5 million class T.
MORGAN STANLEY: Fitch Downgrades Ratings on Three 1997-RR Notes
---------------------------------------------------------------
Fitch Ratings has downgraded three classes issued by Morgan
Stanley 1997-RR. The downgrades reflect losses experienced by the
junior classes and that the quality of the remaining collateral
consists of approximately 55% commercial mortgage-backed
securities bonds rated below 'B-' or unrated first loss CMBS
bonds.
Fitch downgrades Morgan Stanley 1997-RR:
-- $87,421,138 class F notes to 'C' from 'CCC';
-- $11,875,342 class G-1 notes to 'D' from 'C/DR6';
-- $7,305,669 class G-2 notes to 'D' from 'C/DR6'.
Classes A, B, C, D, E, and IO have been paid in full while classes
H-1 and H-2 have been reduced to zero due to realized losses.
For the class F notes, Fitch expects that it is highly likely the
bond will experience a loss as it is dependent upon first loss
CMBS bonds to pay. Classes G-1 and G-2 have already experienced
losses totaling $21.1 million and further losses are anticipated
as additional losses on the underlying collateral will directly
impact them.
In its review, Fitch analyzed the transaction based upon a
deterministic approach by using probability of default and
recovery assumptions from Fitch's portfolio credit model. For
each asset, the probability of default assumption is based on the
rating of the bond and term to maturity. The recovery assumption
is based on its seniority and tranche thickness within the
underlying transaction.
MS 1997-RR is backed by CMBS B-pieces (the most junior bonds of
CMBS transactions) and closed on Nov. 26, 1997. It is
collateralized by all or a portion of 15 classes of fixed-rate
CMBS in nine separate underlying transactions from the 1996 and
1997 vintages. The pool is concentrated with less than 22% of the
original collateral remaining since issuance. Of the collateral,
55.2% is currently rated below 'B-' or not rated, and therefore,
is more susceptible to losses in the near-term. Three bonds
(26.4%) are rated 'AA+' or 'AAA'.
According to the Sept. 30, 2009 trustee report, $2.9 million out
of $204.9 million of the underlying CMBS transactions are
currently 30 days or more delinquent.
MORGAN STANLEY: Fitch Downgrades Ratings on 14 2008-TOP29 Certs.
----------------------------------------------------------------
Fitch Ratings has downgraded 14 classes of Morgan Stanley Capital
I Trust, series 2008-TOP29 commercial mortgage pass-through
certificates. In addition, Fitch has assigned Rating Outlooks and
Loss Severity ratings 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. Fitch forecasts potential losses of 4.3% for this
transaction, should market conditions not recover. The rating
actions are based on losses of 2.6%, 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 62.8% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Approximately 9% of the mortgages are scheduled to mature or
anticipated to repay within the next five years: 3.2% in 2012,
1.1% in 2013, and 5.1% in 2014. In 2017 and 2018, 89.7% of the
pool is scheduled to mature or anticipated to repay.
Fitch identified seven Loans of Concern (11.6%) within the pool,
two of which (8.6%) are in the transaction's top 15 loans, which
comprise 60% of the total pool's unpaid principal balance. As of
the September remittance, there were no specially serviced loans
in the transaction.
Through its analysis Fitch determined that two of the top 15 loans
(8.6% of the pool) have a higher probability of defaulting during
the term, with loss severities ranging from approximately 8% to
23%. Of the top 15 loans, the largest contributors to maturity
and term losses are: Shadow Lake Towne Center (6.8%), Brick Walk
(1.8%), and Hilton - Indianapolis (4.1%).
The Shadow Lake Towne Center loan (6.8%) is secured by 636,297
square feet (sf) of a 769,183 sf regional lifestyle center located
in Papillion, NE. Anchor tenants at the property include JCPenney
(on a 102,593 sf ground lease through 2027, rated 'BBB-' by
Fitch); Gordmans (7.8% through 2020); and Dick's Sporting Goods
(7.8% through 2018). Major tenants at the center include T.J.
Maxx, Bed Bath & Beyond, Best Buy, Borders, PetSmart, and Office
Max. Additionally, a non-collateral, 80,000 sf HyVee supermarket
shadow anchors the property.
At issuance, the Shadow Lake Towne Center property had not yet
stabilized following its September 2007 completion, and the
lender's underwriting included approximately $2.6 million of
annual income attributable to a master lease on certain vacant
space, which expired May 31, 2009. The YE 2008 and mid-year 2009
servicer-reported debt service coverage ratios (DSCRs) of 1.40
times (x) and 1.57x, respectively, also include income from the
master lease. The reported coverages would drop to approximately
0.90x and 1.11x, respectively, if revenues from the master lease
were excluded. As of June 30, 2009, the property was 84.3%
occupied and 88.9% leased, compared to 84.8% occupancy at
issuance. Stabilization at 95% occupancy was expected to have
occurred by first-quarter 2008, indicating that the property is
behind its schedule and is now considered a Fitch Loan of Concern.
Fitch's analysis of the loan resulted in a higher probability of
default during the term due to the expiration of the master lease
and low occupancy.
The Brick Walk loan (1.8%) is secured by a 90,326 sf mixed use
office and retail property located in Fairfield, CT. Situated
along Post Road, the property is located within two blocks of the
Fairfield Metro North train station and is approximately one-third
of a mile from I-95. The rent roll consists of over 60 tenants,
the largest of which include Cardiac Specialists of Fairfield, PC
(11.6% through 2013); Morgan Stanley (6.9% on three separate
leases expiring 2011-2012, rated 'A' by Fitch); and Jade Ventures
LLC (3.5% through 2018). Rollover is somewhat concentrated in the
early years of the loan, with leases corresponding to
approximately 36% of the space expiring through 2011, and an
additional 29.1% of the space expiring in These two years.
As of YE 2008, the servicer-reported DSCR for the Brick Walk loan
was 1.08x, compared to 0.98x at YE 2007 and 1.47x underwritten by
the lender. Fitch did not sample the loan at issuance. However,
based upon an examination of the lender's underwriting, it appears
that revenues at the property are in line with the lender's
expectation at issuance; while actual reported 2008 expenses were
approximately 65% higher than underwritten. A majority of the
higher expense items are attributable to variable line items such
as payroll, professional fees, and general & administrative. The
loan has been designated a Fitch Loan of Concern based on higher
than expected expenses and high upcoming rollover of approximately
36% through 2011. Fitch's analysis assigned a higher probability
of term default to the loan.
The Hilton - Indianapolis loan (4.1%) is collateralized by a 332-
key full-service hotel property located in Indianapolis, IN. The
property is situated one block from the State Capitol, two blocks
from the Indiana State House, and within proximity of other demand
generators including the RCA Dome, Circle Center Mall, Indiana
Convention Center, Indiana University - Indianapolis, and Purdue
University.
Based on a June 2009 STAR Report provided by the servicer,
performance at the property remains in line with issuance, with
occupancy, average daily rate and revenue per available room of
75.9%, $128.52, and $97.51, respectively. The YE 2008 servicer-
reported DSCR was 1.50x, compared to a Fitch stressed DSCR of
0.97x at issuance. Based on the high loan per key of $152,771 and
declining fundamentals in the hotel sector, Fitch's analysis
determined the loan has a higher probability of default at
maturity.
Fitch downgrades and assigns LS ratings and Rating Outlooks to
these classes:
-- $72.5 million class A-J1 to 'AA/LS3' from 'AAA'; Outlook
Negative;
-- $20.1 million class B to 'A/LS4' from 'AA'; Outlook Negative;
-- $10.8 million class C to 'A/LS5' from 'AA-'; Outlook
Negative;
-- $21.6 million class D to 'BBB/LS4' from 'A'; Outlook
Negative;
-- $12.3 million class E to 'BBB/LS5' from 'A-'; Outlook
Negative;
-- $13.9 million class F to 'BB/LS5' from 'BBB+'; Outlook
Negative;
-- $13.9 million class G to 'BB/LS5' from 'BBB'; Outlook
Negative;
-- $10.8 million class H to 'B/LS5' from 'BBB-'; Outlook
Negative;
-- $1.5 million class J to 'B/LS5' from 'BB+'; Outlook Negative;
-- $4.6 million class K to 'B-/LS5' from 'BB'; Outlook Negative;
-- $1.5 million class L to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $1.5 million class M to 'B-/LS5' from 'B+'; Outlook Negative;
-- $4.6 million class N to 'B-/LS5' from 'B'; Outlook Negative;
-- $4.6 million class O to 'B-/LS5' from 'B-'; Outlook Negative.
Additionally, Fitch affirms and assigns LS ratings and Rating
Outlooks, as applicable, to these classes:
-- $39.7 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $36.1 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $64.8 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $49.2 million class A-AB at 'AAA/LS1'; Outlook Stable;
-- $629.6 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $75 million class A-4FL at 'AAA/LS1'; Outlook Stable;
-- $123.4 million class A-M at 'AAA/LS3'; Outlook Stable;
-- Interest-only class X at 'AAA'; Outlook Stable.
The $15.4 million class P is not rated by Fitch.
MORGAN STANLEY: Fitch Takes Rating Actions on 25 2006-IQ12 Certs.
-----------------------------------------------------------------
Fitch Ratings has taken various rating actions on 25 classes of
Morgan Stanley Capital I Trust 2006-IQ12, commercial mortgage
pass-through certificates, including downgrades to 12 classes. In
addition, Fitch has assigned Rating Outlooks and Loss Severity
ratings, as applicable. A detailed list of rating actions follows
at the end of this press release.
The downgrades are the result of Fitch's loss expectations on
specially serviced loans as well as prospective views regarding
commercial real estate market value and cash flow declines. Fitch
forecasts potential losses of 7.8% for this transaction, should
market conditions not recover. The rating actions are based on
losses of 6.2% 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 61.6% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Approximately 13.7% of the mortgages are scheduled to mature
within the next five years, of which 12.9% of the pool is maturing
in 2011. In 2016, 81% of the pool is scheduled to mature.
Fitch identified 78 Loans of Concern (24.4%) within the pool, 26
of which (12.1%) are specially serviced. Three of the specially
serviced loans (6.8% of the pool) are within the transaction's top
15 loans, which comprises 45.8% of the total pool's unpaid
principal balance.
Through its analysis, Fitch determined eight of the top 15 loans
(18.4% of the pool) have a higher probability of defaulting during
the term or at maturity, with loss severities ranging from less
than 10% to approximately 75%. Of the top 15 loans, the largest
contributors (by loan balance) to expected term losses are: Westin
O'Hare (3.8% of the pool balance), Harbour Centre (1.9%) and New
Horizon Apartments (1.1%). These three loans are in special
servicing.
Westin O'Hare is collateralized by a 525 key full-service hotel
located in Rosemont, IL adjacent to Chicago O'Hare International
Airport. The loan transferred to special servicing in June 2009
for imminent default as the borrower indicated they would no
longer fund the debt service shortfalls. The performance of the
hotel has declined significantly from issuance. The trailing
twelve month (TTM) occupancy, average daily rate and revenue per
available room as of July 2009 was 61.2%, $126 and $77,
respectively, compared to 71%, $185 and $131, respectively at
issuance. The annualized June 2009 servicer reported debt service
coverage ratio was 0.48 times compared to 1.46x at issuance.
Harbour Centre is secured by a 217,056 square foot office building
located in Aventura, FL. The loan transferred to special
servicing in April 2009 for imminent payment default. The
borrower is seeking to modify the loan as the property has lost
tenants since issuance with a recent reported occupancy as of June
2009 of approximately 70%, compared to 90% at issuance.
Approximately 28% of the leases are scheduled to expire prior to
YE 2011. The annualized June 2009 servicer-reported DSCR was
1.00x on an interest-only basis. The sponsor is Triple Net
Properties, LLC.
New Horizon Apartments (1.1%) is secured by a 912 unit multifamily
property located in Memphis, TN. The property is real estate
owned and is approximately 25% occupied as of August 2009 compared
to 86.5% at issuance. Fitch expects significant losses upon
disposition of this asset based on recent valuations.
Fitch downgrades, removes from Rating Watch Negative, and assigns
LS ratings, Recovery Ratings and Outlooks to these classes as
indicated:
-- $242.3 class A-J to 'BBB/LS3' from 'AAA'; Negative Outlook;
-- $17.1 million class B to 'BBB-/LS5' from 'AA+'; Negative
Outlook;
-- $44.4 million class C to 'BB/LS5' from 'AA'; Negative
Outlook;
-- $27.3 million class D to 'BB/LS5' from 'A+'; Negative
Outlook;
-- $13.7 million class E to 'BB/LS5' from 'A'; Negative Outlook;
-- $23.9 million class F to 'B/LS5' from 'A-'; Negative Outlook;
-- $23.9 million class G to 'B-/LS5' from 'BBB+'; Negative
Outlook;
-- $27.3 million class H to 'B-/LS5' from 'BBB'; Negative
Outlook;
-- $27.3 million class J to 'CCC/RR6' from 'BB+';
-- $34.1 million class K to 'CC/RR6' from 'B-';
-- $3.4 million class L to 'C/RR6' from 'CCC/RR2';
-- $6.8 million class M to 'C/RR6' from 'CC/RR4'.
Fitch affirms this class:
-- $13.7 million class N at 'C/RR6'.
Additionally, Fitch affirms these classes and Outlooks and assigns
LS ratings as indicated:
-- $32.6 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $511.5 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $70.2 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $225 million class A-NM at 'AAA/LS1'; Outlook Stable;
-- $44.5 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $88.2 million class A-AB at 'AAA/LS1'; Outlook Stable;
-- $897.6 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $173 million class A-M at 'AAA/LS3'; Outlook Stable;
-- $100 million class A-MFL at 'AAA/LS3'; Outlook Stable;
-- Interest-only class X-1 at 'AAA'; Outlook Stable;
-- Interest-only class X-2 at 'AAA'; Outlook Stable;
-- Interest-only class X-W at 'AAA'; Outlook Stable.
The $3.4 million class O, $6.8 million class P, $10.2 million
class Q and $20.4 million class S are not rated by Fitch.
MORGAN STANLEY: Fitch Takes Various Rating Actions on Notes
-----------------------------------------------------------
Fitch Ratings has taken various rating actions on notes issued by
Morgan Stanley 2004-RR. The downgrades to the junior classes
reflect the quality of the remaining collateral of which
approximately 55% are commercial mortgage-backed securities bonds
rated below 'B-' or are unrated first loss CMBS bonds. The
affirmations and upgrades, however, reflect that the investment
grade CMBS collateral covers 99% of the balance of these classes.
Fitch takes these rating actions on Morgan Stanley 2004-RR:
-- $2,590,386 class F-1 notes affirmed at 'AAA/LS4'; Outlook
Stable;
-- Interest-only class F-X notes affirmed at 'AAA'; Outlook
Stable;
-- $11,406,000 class F-2 notes upgraded to 'AAA/LS4' from 'AA';
Outlook Stable;
-- $7,241,000 class F-3 notes upgraded to 'AA+/LS5' from 'A';
Outlook Stable;
-- $8,236,000 class F-4 notes affirmed at 'BB/LS5'; Outlook to
Negative from Stable;
-- $13,613,000 class F-5 notes downgraded to 'CCC' from 'B';
-- $5,735,000 class F-6 notes downgraded to 'CCC' from 'B-';
-- $29,699,752 class F-7 notes downgraded to 'C' from 'CCC'.
The class F-1 notes have benefited from collateral amortization.
The notes have received 75.2% of their initial principal balance.
The affirmations and upgrades for classes F-1 through F-3 are
based upon the balance of the 'AAA' and 'AA+' rated collateral
which is sufficient to cover the balance of these classes. The
affirmation of class F-4 reflects the quality of the collateral
that would be available to cover the class after the more senior
classes are repaid.
For the class F-5 and F-6 notes, Fitch expects that it is possible
these bonds will experience a loss as they are dependent upon CMBS
bonds rated below 'B-' to pay. For the class F-7 notes, Fitch
expects that is highly likely that this bond will experience a
loss as they are dependent upon first loss CMBS bonds to pay.
In its review, Fitch analyzed the transaction based upon a
deterministic approach by using probability of default and
recovery assumptions from Fitch's portfolio credit model. For
each asset, the probability of default assumption is based on the
rating of the bond and term to maturity. The recovery assumption
is based on its seniority and tranche thickness within the
underlying transaction.
Classes F-1 through F-4 were assigned a Loss Severity rating. The
LS ratings indicate each tranche's potential loss severity given
default, as evidenced by the ratio of tranche size to the base-
case loss expectation for the collateral. For class F-1, the
original tranche size is the basis for comparison to account for
the repayments to date. The LS rating should always be considered
in conjunction with the probability of default indicated by a
class' long-term credit rating.
The certificates of MS 2004-RR, which closed June 17, 2004,
represent beneficial ownership interest in the trust, assets of
which are $78,984,222 of the class F certificates from Morgan
Stanley Capital I Inc., series 1997-RR (MS 1997-RR), which is
backed by CMBS B-pieces. The class F certificates are
collateralized by all or a portion of 15 classes of fixed-rate
CMBS in nine separate underlying transactions from the 1996 and
1997 vintages. The pool is concentrated with less than 22% of the
original collateral remaining since issuance. Of the collateral
55.2% is currently rated below 'B-' or not rated, and therefore,
is more susceptible to losses in the near-term. Three bonds
(26.4%) are rated 'AA+' or 'AAA'.
According to the Sept. 30, 2009 trustee report, $2.9 million out
of $204.9 million of the underlying CMBS transactions are
currently 30 days or more delinquent.
MORGAN STANLEY: Fitch Takes Rating Actions on 21 2007-TOP25 Notes
-----------------------------------------------------------------
Fitch Ratings has taken various rating actions on 21 classes of
Morgan Stanley Capital I Trust 2007-TOP25, including downgrades to
14 classes. 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
5.7% for this transaction, should market conditions not recover.
The rating actions are based on losses of 3.4%, 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 52.5% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Only 6.6% of the mortgages mature within the next five years.
Approximately 0.65% of the pool matures in 2011, and 6% in 2013.
Between 2016 and 2017, 81.7% of the pool matures.
Fitch identified 38 Loans of Concern (19.3%) within the pool, five
of which (5.1%) are specially serviced. Three of the Fitch Loans
of Concern (10.8%) are within the transaction's top 15 loans (44%)
by unpaid principal balance, one of which is 90 days delinquent.
Losses are expected on eight (27.5%) of the loans within the top
15: one (3.9%) of these loans is expected to default during the
term, while losses on the remaining seven loans (23.6%) are
expected at maturity. Loss severities associated with these loans
range from 2% to 55%.
The largest contributors to loss on a pool level basis (by
outstanding balance) are: Four Seasons Hotel (4.7%), Village
Square (3.9%), and Shops at Kildeer (2.2%).
The Four Seasons Hotel consists of a 285-room hotel in the Beverly
Hills region of Los Angeles, CA. Performance has declined,
largely due to reduced travel demand in connection with the weak
economy. The occupancy, average daily rate, and revenue per
available room as of June 2009 was 45.9%, $457.93, and $210.16,
respectively, compared with 78.5%, $429.23, and $336.91,
respectively, at issuance. Fitch's analysis resulted in a higher
probability of maturity default and a loss based on a 50% decline
in value.
Village Square consists of a 237,834 sf mixed-use development in
Las Vegas, NV. Approximately 167,000 sf of the center is
collateral to the loan, consisting of retail and office uses. The
loan transferred to special servicing in February 2009 after the
sponsor, Triple Five Nevada Development Company, indicated they
would be unable to pay future debt service obligations. The June
2009 rent roll indicates vacancy has increased substantially after
expiring tenants did not renew their leases: occupancy of the
office component declined to 63%, and the retail component
occupancy has fallen to 51%. Recent property valuation indicates
the debt amount exceeds recoverable value. The special servicer
continues to follow a dual track workout which considers a
possible modification or foreclosure.
The Shops at Kildeer consists of a 167,477 sf retail center in
Kildeer, IL, approximately 34 miles northwest of the Chicago CBD.
Major tenants at the center include Bed, Bath, and Beyond (21% of
NRA), Old Navy (14%), and World Market (10%). These tenants have
maturities in 2012, 2011, and 2012, respectively. Property
occupancy declined from 100% to 79% after Circuit City vacated
their space upon the company's bankruptcy and liquidation. The
property will face a high level of rollover over the next five
years, with 22% of the NRA expiring in 2011, 39% in 2012, 3% in
2013, and 13% in 2014. Fitch's analysis of the loan resulted in a
higher probability of default at maturity due to challenges the
sponsor will face with the upcoming rollover.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Outlooks and Loss Severity ratings to these classes as indicated:
-- $110.8 million class A-J to 'A/LS3' from 'AAA'; Outlook
Negative;
-- $27.2 million class B to 'BBB/LS4' from 'AA'; Outlook
Negative;
-- $11.7 million class C to 'BBB/LS5' from 'AA-'; Outlook
Negative;
-- $25.3 million class D to 'BB/LS5' from 'A'; Outlook Negative;
-- $11.7 million class E to 'BB/LS5' from 'A-'; Outlook
Negative;
-- $13.6 million class F to 'B/LS5' from 'BBB+'; Outlook
Negative;
-- $13.6 million class G to 'B-/LS5' from 'BBB'; Outlook
Negative;
-- $11.7 million class H to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $3.9 million class J to 'CCC/RR6' from 'BB+';
-- $3.9 million class K to 'CC/RR6' from 'BB';
-- $5.8 million class L to 'CC/RR6' from 'BB-';
-- $3.9 million class M to 'CC/RR6' from 'B+';
-- $1.9 million class N to 'CC/RR6' from 'B';
-- $3.9 million class O to 'CC/RR6' from 'B-'.
Fitch also affirms these classes and Outlooks as indicated:
-- $44.7 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $77.7 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $62.3 million class A-AB at 'AAA/LS1'; Outlook Stable;
-- $784.4 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $142.3 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $155.5 million class A-M at 'AAA/LS3'; Outlook Stable;
-- Interest-only class X at 'AAA'; Outlook Stable;
Fitch does not rate class P.
MORGAN STANLEY: Fitch Takes Rating Actions on 16 2007-HQ12 Notes
----------------------------------------------------------------
Fitch Ratings has taken various rating actions on 16 classes of
Morgan Stanley Capital Trust I, 2007-HQ12. In addition, Fitch has
assigned Rating Outlooks and Loss Severity ratings 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
11.5% for this transaction, should market conditions not recover.
The rating actions are based on losses of 8.5%, including 100% of
the losses associated with term defaults and any losses associated
with maturities within the next five years. This transaction has
an above average concentration of loans maturing in the next five
years (53%), which results in significantly higher recognized
losses than other transactions in the 2007 vintage. The
transaction is also highly concentrated by loan size with the top
15 loans representing 72.4% of the transaction. 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 81.1% of the pool and, in certain cases, revised
based on additional information and/or property characteristics.
Approximately 53% of the mortgages mature within the next five
years: 8.6% in 2011, 37.6% in 2012, 3.1% in 2013, and 3.8% in
2014.
Fitch identified 26 Loans of Concern (44.6%) within the pool,
three of which (5.1%) are specially serviced. Of the specially
serviced loans, two (0.5% of the pool) are current. Five of the
Fitch Loans of Concern (36%) are within the transaction's top 15
loans (72.4%) by unpaid principal balance, one (4.6%) of which is
specially serviced.
Fitch's analysis resulted in expected losses on 11 (60.8%) of the
loans within the top 15: four (29%) of these loans are expected to
default in the term, while losses on the remaining seven loans
(31.8%) are expected at maturity. It is noted however that three
of the loans (14.8%) with expected maturity losses have loan
maturities within the next five years, and 100% of the losses have
been recognized. Loss severities associated with these loans
range from 2% to 35%.
The largest contributors to loss on a pool level basis (by
outstanding balance) are: Columbia Center (19.5%), Beacon Seattle
& D.C. Portfolio (8.2%), and Four Seasons San Francisco (4.6%).
Columbia Center consists of a 1.5 million square foot (sf), 76-
story office building located in the Seattle downtown CBD. The
property is the tallest office building in the Pacific Northwest.
The three largest tenants at the property are Amazon (11.7% of net
rentable area [NRA]), The United States Government (GSA) (9.8%)
(rated 'AAA' by Fitch), and Heller Ehman (7.7%). These tenants
have leases that expire in 2018, 2015, and 2011, respectively.
Rollover continues to be a concern as the property will experience
a high level of lease expirations over the next five years.
Approximately 14% of the NRA has or will expire through the full
year of 2009, 6% in 2010, and 19% in 2011, largely due to Amazon's
lease expiration in February 2011. Occupancy has declined to
74.5% as of first quarter 2009 (1Q09) from 89.3% at issuance. The
Seattle office market vacancy rate as of 2Q09 is 17%, and average
asking rents are $28.14 per square foot, compared with the
property's average in-place rent of $25 psf.
Fitch's analysis of the loan resulted in a higher probability of
default at maturity. Fitch expects the property will have
difficulty recovering the lost income associated with recent lease
rollover, as well as future tenant expirations. The loan matures
in May 2012.
The Beacon Seattle & D.C. Portfolio is secured by 16 properties,
the pledge of the mortgage and the borrower's ownership interest
in one property (Market Square), as well as the pledge of cash
flows from three properties (Reston Town Center, 1300 North
Seventeenth Street, and Washington Mutual Tower). On the
aggregate, the 20 properties comprise approximately 9,848,859 sf
of space. The largest three tenants in the portfolio are Booz
Allen Hamilton (7% of NRA), GSA - Department of Defense (6%), and
Polk GSA (4%). The top three tenants have multiple leases with
various maturities. Across the portfolio, occupancy was 94.0% as
of YE 2008, compared to 96.9% at issuance.
Fitch's analysis of the loan resulted in a higher probability of
default at maturity. The portfolio experiences a high level of
rollover over the next five years, with a total of 13% of the NRA
expiring through 2009, 17% in 2010, 10% in 2011, 7% in 2012, and
7% in 2013. The loan matures in May 2012.
The Four Seasons San Francisco consists of a 277-unit, full
service luxury hotel located in San Francisco. The loan is
sponsored by Millennium Partners. The loan transferred to special
servicing in July 2009 after the borrower indicated to the
servicer they would be unable to pay future debt service
obligations. The servicer is discussing workout options with the
borrower, including a possible modification of the loan; however,
no decisions have been made at this time.
Performance as of YE 2008 improved since issuance, with the
occupancy, average daily rate, and revenue per available room,
80%, $600, and $480, respectively, higher than the issuer
underwritten occupancy, ADR, and RevPAR of 79, $416, and $329,
respectively. The special servicer has indicated however that
Four Seasons is projecting an operating loss for 2009, mostly
driven by high operating expenses. Although the loan is in
special servicing, Fitch expects losses associated with the
workout to affect the loan at maturity due to the likelihood of a
modification. Fitch's analysis considered a 50% decline in value
in its determination of losses.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Outlooks and LS ratings to these classes:
-- $53 million class A-J to 'BBB-/LS4' from 'AAA'; Outlook
Negative;
-- $91.4 million class A-JFL to 'BBB-/LS4' from 'AAA'; Outlook
Negative;
-- $41.6 million class B to 'BB/LS5' from 'AA'; Outlook
Negative;
-- $22 million class C to 'B/LS5' from 'AA-'; Outlook Negative;
-- $24.5 million class D to 'B-/LS5' from 'A'; Outlook Negative;
-- $14.7 million class E to 'B-/LS5' from 'A-'; Outlook
Negative;
-- $24.5 million class F to 'B-/LS5' from 'BBB+'; Outlook
Negative;
-- $22 million class G to 'B-/LS5' from 'BBB'; Outlook Negative;
-- $22 million class H to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $14.7 million class J to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $4.9 million class K to 'B-/LS5' from 'BB'; Outlook Negative
-- $7.3 million class L to 'B-/LS5' from 'BB-'; Outlook Negative
-- $4.9 million class M to 'B-/LS5' from 'B+'; Outlook Negative
-- $4.9 million class N to 'B-/LS5' from 'B'; Outlook Negative
In addition, Fitch affirms, removes from Rating Watch Negative,
and assigns LS ratings and Outlooks to this class:
-- $4.9 million class O at 'B-/LS5'; Outlook Negative;
In addition, Fitch affirms, removes from Rating Watch Negative,
and assigns Recovery Ratings as indicated to these classes:
-- $4.9 million class P at 'CCC';
-- $4.9 million class Q at 'CCC/RR6'.
Fitch also affirms these classes and assigns LS ratings and
Outlooks:
-- $36.3 million class A-1 at 'AAA/LS2'; Outlook Stable;
-- $289.1 million class A-2 at 'AAA/LS2'; Outlook Stable;
-- $395 million class A-2FL at 'AAA/LS2'; Outlook Stable;
-- $131.5 million class A-3 at 'AAA/LS2'; Outlook Stable;
-- $66.4 million class A-4 at 'AAA/LS2'; Outlook Stable;
-- $83 million class A-5 at 'AAA/LS2' Outlook Stable;
-- $363.6 million class A-1A at 'AAA/LS2'; Outlook Stable;
-- Interest-only class X at 'AAA'; Outlook Stable;
-- $170.9 million class A-M at 'AAA/LS4'; Outlook Negative;
-- $25 million class A-MFL at 'AAA/LS4'; Outlook Negative.
Fitch does not rate class S.
MORGAN STANLEY: Moody's Affirms Ratings on Nine 2002-TOP7 Certs.
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of nine classes and
downgraded six classes of Morgan Stanley Dean Witter Capital I
Trust 2002-TOP7, Commercial Mortgage Pass-Through Certificates,
Series 2002-TOP7. The downgrades are due to higher expected
losses for the pool resulting from anticipated losses from loans
in special servicing and a decline in loan diversity. The rating
action is the result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the September 15, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 25%
to $723.8 million from $969.4 million at securitization. The
Certificates are collateralized by 129 mortgage loans ranging in
size from less than 1% to 8% of the pool, with the top ten loans
representing 31% of the pool. Three loans, representing 13% of
the pool, have investment grade underlying ratings. Twenty-five
loans, representing 23% of the pool, have defeased and are
collateralized by U.S. government securities.
Twenty-one loans, representing 14% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
Four loans have been liquidated from the trust since
securitization, resulting in an aggregate $3.5 million loss.
Three loans, representing 2% of the pool, are currently in special
servicing. The three specially serviced loans are secured by
office, industrial, and multifamily properties. Two of the loans
(2%) are located in the Detroit, Michigan metropolitan statistical
area. Moody's estimates an aggregate loss of approximately
$9.6 million (60% loss severity on average) for the specially
serviced loans. The special servicer has recognized an aggregate
appraisal reduction of $9.1 million for one of the specially
serviced loans.
Moody's was provided with year-end 2008 operating results for 96%
of the pool and partial-year 2009 operating results for 52% of the
pool. Moody's loan to value ratio for the conduit component is
68%, excluding specially serviced loans with estimated losses,
compared to 69% at Moody's last review.
Moody's stressed debt service coverage ratio, excluding specially
serviced loans, is 1.76X compared to 1.63X at last review.
Moody's stressed DSCR is based on Moody's net cash flow and a
9.25% stressed rate applied to the loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, where a higher number represents greater
diversity. Loan concentration has an important bearing on
potential rating volatility, including the risk of multiple-notch
downgrades under adverse circumstances. The credit neutral Herf
score is 40. The pool, excluding defeased loans and loans with
underlying ratings, has a Herf score of 48 compared to 64 at last
review.
The largest loan with an underlying rating is the Woodfield Mall
Loan ($59.4 million -- 8.2%), which represents a participation
interest in a $235.0 million first mortgage loan secured by the
borrower's interest in Woodfield Mall. The super-regional mall
contains 2.2 million square feet of gross leasable area of which
approximately 1.1 million square feet serves as security for the
loan. The center is located 25 miles northwest of downtown
Chicago, in Schaumburg, Illinois. Anchor stores include
Nordstrom, Macy's, Lord &Taylor, J.C. Penney and Sears.
Performance has been stable since last review despite a decline in
comparable in-line sales to $510 per square foot for 2008 from
$533 PSF at last review. The borrower is a joint venture between
the California Public Employees' Retirement System and General
Motors Pension Trust. The property is also encumbered by a B-Note
which is held outside the trust. Moody's current underlying
rating and stressed DSCR are Aaa and 1.82X, respectively, compared
to Aaa and 1.88X at last review.
The second loan with an underlying rating is the Renaissance
Terrace Apartments Loan ($18.1 million - 2.5%), which is secured
by a 285-unit luxury multifamily property located in North
Brunswick, New Jersey. The property was 93% occupied as of
December 2008 compared to 91% at last review. Performance has
been stable. Moody's current underlying rating and stressed DSCR
are Baa3 and 1.43X, respectively, compared to Baa3 and 1.35X at
last review.
The third loan with an underlying rating is the Route 9 Plaza Loan
($15.9 million -- 2.2%), which is secured by a 265,000 square foot
retail center located eight miles southeast of New Brunswick in
Old Bridge, New Jersey. The property was 99% occupied as of June
2009, essentially the same as at last review. The center is
anchored by Wal-Mart (51% NRA; lease expiration 1/2022) and Home
Depot (45% NRA; lease expiration 6/2031). Moody's current
underlying rating and stressed DSCR are Baa3 and 1.51X,
respectively, compared to Baa3 and 1.44X at last review.
The top three conduit loans represent 10% of the pool. The
largest conduit loan is Plaza di Northridge ($26.7 million --
3.7%), which is secured by a 159,000 square foot retail center
located in Northridge, California. The property was 75% occupied
as of February 2009 compared to 99% at last review. The decline
in occupancy is largely attributable to the closing of Linen 'N
Things, which declared bankruptcy in 2008 and closed all its
stores. Moody's LTV and stressed DSCR are 96% and 1.07X,
respectively, compared to 78% and 1.29X at last review.
The second largest conduit loan is Midtown Square Shopping Center
($25.6 million -- 3.5%), which is secured by 193,000 square feet
of a 557,000 square foot retail center located in Troy, Michigan.
The collateral is shadow anchored by Target, Home Depot and
Kohl's. The property was 98% occupied as of January 2009 compared
to 100% at last review. In the past two years expenses have
increased while revenues have been flat. Moody's LTV and stressed
DSCR are 98% and 1.05X, respectively, compared to 81% and 1.26X at
last review.
The third largest conduit loan is the 520-526 Route 17 Paramus
Loan ($18.2 million -- 2.5%), which is secured by a 120,000 square
foot retail center located in Bergen County, New Jersey. The
property is 100% leased to Home Depot under a lease expiring in
2020. Although property performance has been stable, Moody's
valuation incorporates a stressed cash flow due to Moody's
concerns about single tenant retail properties in the current
economic environment. Moody's LTV and stressed DSCR are 87% and
1.06X, respectively, compared to 74% and 1.24X at last review.
Moody's rating action is:
-- Class A-1, $ 19,278,912, affirmed at Aaa; previously affirmed
at Aaa on 2/2/2007
-- Class A-2, $572,335,000, affirmed at Aaa; previously affirmed
at Aaa on 2/2/2007
-- Class X-1, Notional, affirmed at Aaa; previously affirmed at
Aaa on 2/2/2007
-- Class B, $24,236,000, affirmed at Aaa; previously affirmed at
Aaa on 2/2/2007
-- Class C, $29,083,000, affirmed at Aa1; previously upgraded to
Aa1 from A1 on 2/2/2007
-- Class D, $7,271,000, affirmed at Aa3; previously upgraded to
Aa3 from A2 on 2/2/2007
-- Class E, $7,271,000, affirmed at A1; previously upgraded to
A1 from A3 on 2/2/2007
-- Class F, $12,118,000, affirmed at Baa1; previously upgraded
to Baa1 from Baa2 on 2/2/2007
-- Class G, $7,271,000, affirmed at Baa3; previously affirmed at
Baa3 on 2/2/2007
-- Class H, $10,906,000, downgraded to Ba2 from Ba1; previously
affirmed at Ba1 on 2/2/2007
-- Class J, $8,483,000, downgraded to B1 from Ba2; previously
affirmed at Ba2 on 2/2/2007
-- Class K, $7,271,000, downgraded to B3 from Ba3; previously
affirmed at Ba3 on 2/2/2007
-- Class L, $4,847,000, downgraded to Caa2 from B1; previously
affirmed at B1 on 2/2/2007
-- Class M, $4,847,000, downgraded to C from B2; previously
affirmed at B2 on 2/2/2007
-- Class N, $2,424,000, downgraded to C from B3; previously
affirmed at B3 on 2/2/2007
MORGAN STANLEY: S&P Downgrades Ratings on 14 2004-HQ4 Securities
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 14
classes of commercial mortgage-backed securities from Morgan
Stanley Capital I Trust 2004-HQ4 and removed them from CreditWatch
with negative implications. In addition, S&P affirmed its ratings
on seven other classes from the same transaction and removed five
of these ratings from CreditWatch with negative implications.
The downgrades follow S&P's analysis of the transaction using its
revised U.S. conduit and fusion CMBS criteria, which was the
primary driver of the rating actions. The downgrades of the
subordinate and mezzanine classes also reflect anticipated credit
support erosion upon the eventual resolution of the specially
serviced loans in the pool, as well as S&P's concerns about a loan
that S&P deem to be credit-impaired. 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 of 1.78x and a loan-to-value ratio
of 86.5%. S&P further stressed the loans' cash flows under S&P's
'AAA' scenario to yield a weighted average DSC of 1.25x and an LTV
of 106.2%. The implied defaults and loss severity under the 'AAA'
scenario were 40.0% and 34.1%, respectively. The weighted average
DSC and LTV calculations exclude three specially serviced loans
(3.4%), one loan S&P deem to be credit-impaired (0.5%), one loan
that did not report financial data (0.4%), and all defeased loans
(5.0%). S&P estimated losses separately for the nondefeased loans
and included them in S&P's implied default and loss severity
figures.
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
its ratings on the class X-1 and X-2 interest-only certificates
based on S&P's current criteria. S&P published a request for
comment proposing changes to S&P's IO criteria on June 1, 2009.
Once the criteria review is finalized, S&P may revise its current
IO criteria, which may affect outstanding ratings, including the
ratings on the IO certificates S&P affirmed.
Credit Concerns
Four assets ($49.2 million; 3.7%) in the pool are with the special
servicer, CWCapital Asset Management LLC. The payment status of
the assets is: two are 90-plus-days delinquent (2.0%), one is in
foreclosure (1.5%), and one has matured (0.2%).
In addition to the specially serviced loans, S&P determined one
loan ($51.3 million; 1.5%), a top 10 loan, to be credit-impaired.
The 201 Old Country Road loan ($27.9 million; 2.2%) is the
seventh-largest loan in the pool and is on the servicer's
watchlist for low DSC and low occupancy. In S&P's view, this loan
is at increased risk of default over its term. The loan is
secured by a three-story, 217,004-sq.-ft. office building in
Melville, Long Island, N.Y. The occupancy and DSC were 52% and
0.53x, respectively, for year-end 2008 and 52% and 0.18x,
respectively, for the three months ended March 31, 2009. The loan
payment status is current.
Transaction Summary
As of the September 2009 remittance report, the aggregate trust
balance was $1.29 billion (86 loans), compared with $1.4 billion
(92 loans) at issuance. Excluding $64.6 million (11%) in defeased
collateral, Wells Fargo Bank, the master servicer, reported
financial information for 99.6% of the pool. Ninety-seven percent
of the financial information was either full-year 2008 or partial-
year 2009 data. S&P calculated a weighted average DSC of 1.79x
for the pool based on the master servicer's reported figures.
S&P's adjusted DSC and LTV were 1.78x and 86.5%, respectively.
Standard & Poor's adjusted DSC and LTV calculations exclude three
loans with the special servicer, one loan that S&P deem to be
credit-impaired, one loan that did not report financial data, and
six defeased loans. S&P separately estimated losses for the three
specially serviced loans and the loan S&P considered credit-
impaired. Based on the servicer-reported DSC figures, S&P
calculated a weighted average DSC of 0.96x for these four loans.
The transaction has experienced principal losses to date of
$11,580. Fifteen loans are on the servicer's watchlist
($126.2 million; 9.8%). Six loans ($108.6 million, 8.4%) have
reported DSCs between 1.10x and 1.0x, and eight loans
($112.7 million, 8.7%) have reported DSCs of less than 1.0x.
Summary Of Top 10 Loans
The top 10 exposures secured by real estate have an aggregate
outstanding balance of $1.2 billion (60.4%). Using servicer-
reported information, S&P calculated a weighted average DSC of
2.04x. Two of the top 10 loans are on the master servicer's
watchlist, including the loan S&P deemed to be credit-impaired and
was discussed above. S&P's adjusted DSC and LTV figures for the
top 10 loans were 2.00x and 84.3%, respectively. These figures
exclude the credit-impaired 201 Old Country Road loan
($27.9 million; 0.5%).
The Preserve at Mobbly Bay loan ($23.4 million; 1.8%), the 10th-
largest loan in the pool, is the other top 10 loan on the master
servicer's watchlist and was placed there due to a low DSC and a
near-term maturity. The loan is secured by a 316-unit multifamily
property in Tampa, Fla. The occupancy and DSC for year-end 2008
were 91% and 0.98x, respectively. The loan matures on Oct. 1,
2009. The borrower has requested an extension of the loan.
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
Morgan Stanley Capital I Trust 2004-HQ4
Commercial mortgage pass-through certificates series 2004-HQ4
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
B A- AA+/Watch Neg 11.28
C BBB+ AA/Watch Neg 9.82
D BBB AA-/Watch Neg 8.76
E BB+ A/Watch Neg 6.90
F BB A-/Watch Neg 6.10
G BB- BBB+/Watch Neg 5.18
H B BBB/Watch Neg 4.25
J B- BBB-/Watch Neg 3.05
K CCC+ BB+/Watch Neg 2.65
L CCC BB/Watch Neg 2.25
M CCC- BB-/Watch Neg 1.86
N CCC- B+/Watch Neg 1.72
O CCC- B/Watch Neg 1.46
P CCC- B-/Watch Neg 1.19
Ratings Affirmed And Removed From Creditwatch Negative
Morgan Stanley Capital I Trust 2004-HQ4
Commercial mortgage pass-through certificates series 2004-HQ4
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-3 AAA AAA/Watch Neg 12.48
A-4 AAA AAA/Watch Neg 12.48
A-5 AAA AAA/Watch Neg 12.48
A-6 AAA AAA/Watch Neg 12.48
A-7 AAA AAA/Watch Neg 12.48
Ratings Affirmed
Morgan Stanley Capital I Trust 2004-HQ4
Commercial mortgage pass-through certificates series 2004-HQ4
Class Rating Credit enhancement (%)
----- ------ ----------------------
X-1 AAA N/A
X-2 AAA N/A
N/A - Not applicable.
MSIM PECONIC: 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 MSIM Peconic Bay, Ltd.:
-- US$60,000,000 Class A-1-B Floating Rate Notes Due 2019,
Downgraded to Aa3; previously on March 4, 2009 Aaa Placed
Under Review for Possible Downgrade;
-- US$14,000,000 Class B Floating Rate Notes Due 2019,
Downgraded to A2; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$16,000,000 Class E Floating Rate Notes Due 2019 (current
balance of $12,318,055), Downgraded to Caa3; previously on
March 13, 2009 Downgraded to B3 and Placed Under Review for
Possible Downgrade;
In addition, Moody's has confirmed the ratings of these notes:
-- US$19,500,000 Class C Floating Rate Notes Due 2019, Confirmed
at Baa3; previously on March 13, 2009 Downgraded to Baa3 and
Placed Under Review for Possible Downgrade;
-- US$20,000,000 Class D Floating Rate Notes Due 2019, Confirmed
at Ba3; previously on March 13, 2009 Downgraded to Ba3 and
Placed Under Review for Possible Downgrade.
The rating actions reflect 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
The rating actions taken on the notes are also a result of
moderate credit deterioration of 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.
Based on the trustee report dated September 7, 2009, defaulted
securities currently held in the portfolio total about $14.2
million, accounting for roughly 3.8% of the collateral balance,
and securities rated Caa1 or lower make up approximately 9.5% of
the underlying portfolio.
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.
MSIM Peconic Bay, Ltd., issued on August 16, 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.
N-45o FIRST: Moody's Affirms Ratings on Six Classes of Notes
------------------------------------------------------------
Moody's Investors Service affirmed the ratings of six classes and
upgraded one class of N-45o First CMBS Issuer Corp. 2000-2. The
upgrade is due to increased subordination due to payoffs and
principal amortization and overall stable pool performance which
outweighs a decline in loan diversity. The action is the result
of Moody's on-going surveillance of commercial mortgage backed
securities transactions.
As of the August 31, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 77%
to $58.4 million from $251.0 million at securitization. The
Certificates are collateralized by 13 mortgage loans ranging in
size from 1% to 16% of the pool, with the top ten loans
representing 92% of the pool.
There have been no realized losses since securitization and there
are currently no specially serviced or watchlisted loans. All the
loans are performing and exhibit strong stressed debt service
coverage ratios. All of the loans in the pool mature within the
next 13 months. Moody's concern over the refinance risk of these
loans is mitigated by the final rated distribution date of August
2026.
Moody's was provided with partial or full-year 2008 operating
results for 100% of the pool. Moody's weighted average loan to
value ratio is 52% compared to 53% at Moody's prior full review.
Moody's stressed DSCR is 2.19X, essentially the same as at last
review. Moody's stressed DSCR is based on Moody's net cash flow
and a 9.25% stressed rate applied to the loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, where a higher number represents greater
diversity. Loan concentration has an important bearing on
potential rating volatility, including the risk of multiple-notch
downgrades under adverse circumstances. The credit neutral Herf
score is 40. The pool, excluding loans with underlying ratings,
has a Herf score of 8 compared to 15 at last review.
The three largest loans represent 49% of the outstanding pool
balance. The largest loan is the CIBC Building and Barrington
Place Loan ($12.8 million -- 21.9%), which is secured by cross --
collateralized and cross -- defaulted loans on two office
properties located in Halifax, Nova Scotia. The CIBC Building is
a 204,810 square foot office property which was 95% leased as of
March 2009, essentially the same as at last review. Barrington
Place is an 184,000 square foot retail property which was 88%
leased as of March 2009 compared to 93% at last review. The loan
has amortized approximately 10% since last review. The loan
matures in February 2010. Moody's LTV and stressed DSCR are 51%
and 2.17X, respectively, essentially the same as at last review.
The second largest conduit loan is the 555, 604 and 664 rue
Deslauriers Loan ($9.6 million -- 16.4%), which is secured by a
529,000 square foot industrial property located in Saint-Laurent,
Quebec. As of April 2009 the property was 88% occupied compared
to 100% at last review. The loan has amortized by approximately
10% since last review. The loan matures in December 2009.
Moody's LTV and stressed DSCR are 61% and 1.73X, respectively,
compared to 59% and 1.78X at last review.
The third largest conduit loan is the 1250 rue Nobel Loan
($6.5 million -- 11.1%), which is secured by a 495,448 square foot
industrial property located in Boucherville, Quebec. The property
was 76% occupied as of March 2009 compared to 87% at last review.
The loan has amortized 9% since last review. The loan matures in
August 2010. Moody's LTV and stressed DSCR are 52% and 2.07X,
respectively, compared to 56% and 1.94X at last review.
Moody's rating actions is:
-- Class A, $20,716,499, affirmed at Aaa; previously affirmed at
Aaa on 11/20/2007
-- Class IO, Notional, affirmed at Aaa; previously affirmed at
Aaa on 11/20/2007
-- Class B, $5,648,000, affirmed at Aaa; previously affirmed at
Aaa on 11/20/2007
-- Class C, $6,902,000, affirmed at Aaa; previously upgraded to
Aaa from Aa2 on 11/20/2007
-- Class D, $7,530,000, affirmed at Aaa; previously upgraded to
Aaa from A2 on 11/20/2007
-- Class E, $8,785,000, upgraded to Aa2 from A2; previously
upgraded to A2 from Baa3 on 11/20/2007
-- Class F, $6,275,000, affirmed at Ba2; previously upgraded to
Ba2 from B1 on 11/20/2007
NEW CENTER: Moody's Withdraws 'Prime-2' Rating on ABCP
------------------------------------------------------
At the issuer's request, Moody's has withdrawn the Prime-2 rating
of the ABCP issued by New Center Asset Trust, a partially
supported, single seller ABCP program administered by GMAC LLC
(Ca/Not Prime). As of October 1, 2009, all outstanding ABCP had
been repaid in full. New Center Asset Trust will not issue any
further ABCP under its program.
Complete rating action is:
-- Up to $18.5 billion of Asset Backed Commercial Paper: Prime-2
withdrawn; previously affirmed Prime-1 on May 25, 2000
NORTH CAROLINA MEDICAL: Fitch Affirms 'BB+' Rating on Bonds
-----------------------------------------------------------
Fitch Ratings affirms the 'BB+' rating on approximately
$16 million of North Carolina Medical Care Commission's hospital
revenue bonds (Halifax Regional Medical Center), series 1998. The
Rating Outlook is Stable.
The rating on Halifax Regional Medical Center's reflects dominant
market share, weak profitability, modest debt position, and
satisfactory balance sheet indicators. Ongoing concerns include
high dependence on governmental payors, above average bad debt
expense, small revenue base, and weak demographic indicators.
HRMC maintains leading market share of about 66% in its primary
service area. The nearest acute care facility is Nash General
Hospital (roughly 11% market share) in Rocky Mount, NC,
approximately 35 miles away. HRMC has demonstrated mostly
positive utilization trends in recent years primarily from the
addition of several key physicians. Admissions and outpatient
surgeries increased 2% and 14% respectively, in fiscal year 2008
(FY08) but admissions fell by 2% for the 11 month period ending
Aug. 31, 2009. However, outpatient surgeries increased another 3%
in the current fiscal year and other outpatient statistics
indicate solid trends.
From fiscal years 2005-2008, days cash on hand increased to 76.5
days from 57 days and cash-to-debt increased to 101% from 50%.
Cash levels at Aug. 31, 2009 are stable at $16.1 million or 71
days operating expenses. Although liquidity is improved, Fitch
believes that the decrease in capital expenditures since fiscal
2004 could put pressure on the balance sheet as capital needs are
realized and projects get funded. However, HRMC has utilized
operating leases to replace equipment during the past three years
and management notes that its technology is up to date. HRMC
expects to spend about $2 million for routine capital expense in
FY10 and is considering a debt issue to fund about $3.5 million of
projects for operating room and outpatient related facilities.
HRMC's debt position is modest, with 2.8% maximum debt service as
a percent of revenue and 31.7% debt to capitalization indicating
sufficient debt capacity. Fitch will review the expected debt
issuance at that time and take appropriate action as necessary.
In fiscal 2008, HRMC posted a 1% operating margin, compared to
1.6% and 1% in fiscal 2007 and fiscal 2006, respectively.
However, through the 11 months ended Aug. 31 of fiscal 2009, the
operating margin dropped to -0.9%. EBITDA debt service coverage
was solid at 2.4 times (x) in fiscal 2008, but softened to 1.3x
through the interim 11-month period. The profitability declines
are mainly due to accelerating losses at HRMC's physician clinics.
In FY08, the clinics posted a $1.1 million loss on revenue of
merely $2.7 million. In the current FY, the losses increased to
$3.4 million on $4.9 million of revenue due to temporary
employment of radiologists, use of agency physicians to staff its
hospitalist program, and conservative reserving policy.
Management's response includes contracting with a new radiology
group for professional services as of Aug. 1, 2009 and eliminating
the use of temporary physicians by hiring its own hospitalists.
Management expects to dramatically reduce the physician related
losses to about $600,000 in FY10 due to these measures.
HRMC's profitability remains challenged by its concentrated payor
mix that included 53% Medicare and 19% Medicaid in for the current
FY and receipt of about $1.6 million of annual Medicaid
disproportionate share payments. Additionally, bad debt as a
percentage of revenues jumped to 17.6% for the 11 month period
ending Aug. 31, 2009, from an already high 15% in FY07. These
levels remain well above Fitch's non-investment grade median of
5.7%. Employment trends and income levels in Halifax County do
not compare favorably to the state of North Carolina. For
instance, unemployment levels in Halifax County are typically
above state averages. For 2008 and July 2009, the county
unemployment rates of 9.3% and 14.6%, respectively, are above the
state's 8.1% and 10.9% rates for the same periods. Halifax
County's 2007 annual income levels as measured by the U.S. Census
Bureau's median household income is weak at $29,236 or only 65% of
the state's levels.
The Stable Outlook reflects Fitch's expectation that future
profitability trends will be sufficient to maintain HRMC's ability
to fund strategic capital projects without diminishing its
adequate balance sheet metrics.
HRMC is a 206 licensed-bed community medical center (144 operated
beds) providing primary and secondary care services. The medical
center is located in Roanoke Rapids, approximately 75 miles
northeast of Raleigh. In fiscal 2008, HRMC had $98 million in
total operating revenue. Disclosure to Fitch has been adequate,
although only audited annual disclosure is required in the bond
documents. HRMC provides disclosure upon request to other third
parties. Fitch notes that quarterly disclosure includes a balance
sheet and income statements; however, a statement of cash flows
and management discussion and analysis is not provided.
OCTAGON INVESTMENT: Moody's Downgrades Ratings on Three Classes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Octagon Investment Partners VI,
Ltd.:
-- US$18,000,000 Class A-1LB Floating Rate Notes Due January 13,
2016, Downgraded to Aa1; previously on March 4, 2009 Aaa
Placed Under Review for Possible Downgrade;
-- US$20,000,000 Class A-2L Floating Rate Notes Due January 13,
2016, Downgraded to A2; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- US$6,000,000 Class B-2L Floating Rate Notes Due January 13,
2016, Downgraded to Caa1; previously on March 20, 2009
Downgraded to B3 and Placed Under Review for Possible
Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$12,000,000 Class A-3L Floating Rate Notes Due January 13,
2016 (current balance of $7,000,000), Confirmed at Baa3;
previously on March 20, 2009 Downgraded to Baa3 and Placed
Under Review for Possible Downgrade;
-- US$18,000,000 Class B-1L Floating Rate Notes Due January 13,
2016, Confirmed at Ba3; previously on March 20, 2009
Downgraded to Ba3 and Placed Under Review for Possible
Downgrade.
The rating actions reflect 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
According to Moody's, the rating actions taken on the notes also
consider moderate credit deterioration of the underlying
portfolio. Moody's notes that as of the last trustee report,
dated September 8, 2009, the weighted average rating factor is
2413, defaulted securities currently held in the portfolio total
about $15.7 million, accounting for roughly 5% of the collateral
balance, and securities rated Caa1 or lower make up approximately
7.8% 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 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.
PACIFICA CDO: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Pacifica CDO IV, Ltd.:
-- US$212,000,000 Class A-1L Floating Rate Notes Due February
2017 (current balance of $207,791,581), Downgraded to Aa1;
previously on December 29, 2004 Assigned Aaa;
-- US$21,000,000 Class A-2L Floating Rate Notes Due February
2017, Downgraded to A2; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- US$14,000,000 Class B-1L Floating Rate Notes Due February
2017, Downgraded to B1; previously on March 18, 2009
Downgraded to Ba3 and Placed Under Review for Possible
Downgrade;
-- US$10,000,000 Class B-2L Floating Rate Notes Due February
2017 (current balance of $10,365,452), Downgraded to Ca;
previously on March 18, 2009 Downgraded to B3 and Placed
Under Review for Possible Downgrade.
In addition, Moody's has confirmed the rating of these notes:
-- US$20,000,000 Class A-3L Floating Rate Notes Due February
2017, Confirmed at Baa3; previously on March 18, 2009
Downgraded to Baa3 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. 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 B-1L and Class B-2L
Overcollateralization Tests. In particular, the weighted average
rating factor has increased over the last year and is currently
2984 versus a test level of 2200 as of the last trustee report,
dated September 3, 2009. Based on the same report, defaulted
securities currently held in the portfolio total about
$11 million, accounting for roughly 3.8% of the collateral
balance, and securities rated Caa1 or lower make up approximately
15.1% of the underlying portfolio. The Class B-1L
Overcollateralization Test was reported at 103.49% versus a test
level of 105.00%, and the Class B-2L Overcollateralization Test
was reported at 99.56% versus a test level of 103.25%.
The rating actions also reflect 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 will be below their historical averages, consistent with
Moody's research. Other assumptions used in Moody's CLO
monitoring are described in the publication "CLO Ratings
Surveillance Brief - Second Quarter 2009," dated 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, diversity score, and weighted average recovery
rate, may be different from the trustee's reported numbers.
Pacifica CDO IV, Ltd., issued in 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.
PALISADES CDO: Fitch Downgrades Ratings on Five Classes of Notes
----------------------------------------------------------------
Fitch Ratings has downgraded five classes of notes issued by
Palisades CDO, Ltd.
Fitch's Global Structured Finance Collateralized Debt Obligation
(SF CDO) criteria were used to analyze the quality of the
underlying securities in Palisades. These rating actions are the
result of continued credit deterioration in the portfolio since
Fitch's last rating action. Approximately 54.6% of the portfolio
has been downgraded since the last review, with about 24.2% of the
portfolio downgraded since June 1, 2009. The downgrades to the
portfolio have left approximately 53.5% of the portfolio with a
Fitch derived rating below investment grade and 45.5% with a
rating in the 'CCC' rating category or lower, compared to 26.8%
and 16.7%, respectively, when Fitch took its last rating action.
The percentage of the portfolio considered defaulted has increased
to 33.6% according to the Aug. 31, 2009 trustee report, from 3.9%.
The class A/B overcollateralization test has been failing its
covenant since the Jan. 31, 2008 trustee report, diverting excess
spread after paying the class B-1 and B-2 (together, class B)
notes interest distributions and principal proceeds to redeem the
class A-1A and A-1B (together, class A-1) notes. As of the
Aug. 31, 2009 trustee report, the class A/B OC ratio was 70.9%
versus its trigger of 106.2%. However, the amount of credit
deterioration in the portfolio greatly outweighs the increase in
credit enhancement from amortization of the capital structure.
Additionally, the amount of excess spread going to redeem the
class A-1 notes is likely to decline as defaulted assets in the
portfolio cease making interest payments.
The class A-1 notes are assigned a Loss Severity rating of 'LS3'.
The LS ratings indicate each tranche's potential loss severity
given default, as evidenced by the ratio of tranche size to the
base-case loss expectation for the collateral, as explained in
Fitch's LS Rating criteria. The LS rating should always be
considered in conjunction with the probability of default for
tranches with a long-term credit rating in the 'B' rating category
or higher.
The class A-2 notes are downgraded to 'CC' to reflect Fitch's
opinion that, based on the percentage of defaulted securities and
the portfolio and the performance expectations for the remainder
of the portfolio, there is a high probability the notes will
default at or prior to maturity. The classes B notes are
downgraded to 'C' and the classes C-1 and C-2 notes are affirmed
at 'C' to indicate Fitch's belief that default is inevitable at or
prior to maturity.
Palisades is a SF CDO that closed on July 15, 2004, and is managed
by Western Asset Management Company. The portfolio is composed
primarily of residential mortgage-backed securities (RMBS
[79.3%]), asset-backed securities (13.2%) and commercial mortgage-
backed securities (5%).
Fitch has downgraded, affirmed, assigned LS ratings and Outlooks
as applicable:
Palisades CDO, Ltd.
-- $276,253,028 class A-1A notes downgraded to 'B/LS3' from 'A',
assigned Negative Outlook;
-- $4,528,738 class A-1B notes downgraded to 'B/LS3' from 'A',
assigned Negative Outlook;
-- $88,500,000 class A-2 notes downgraded to 'CC' from 'BBB-';
-- $78,000,000 class B-1 notes downgraded to 'C' from 'CCC';
-- $6,000,000 class B-2 notes downgraded to 'C' from 'CCC';
-- $12,844,000 class C-1 notes affirmed at 'C';
-- $13,266,501 class C-2 notes affirmed at 'C'.
The class A-1 notes are assigned a Negative Outlook due to the
concentration of RMBS assets in the portfolio, which are expected
to continue to face ratings volatility until the housing market
stabilizes. Fitch does not assign rating outlooks to classes
rated 'CCC' or below.
PAMCO III: Moody's Downgrades Ratings on Various 1998-1 Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by PAMCO III CLO Series 1998-1:
-- $141,250,000 Class B-1 Fixed Rate Second Senior Secured Notes
due 2010 (current balance of $51,875,621), Downgraded to
Caa3; previously on March 4, 2009 B2 Placed Under Review for
Possible Downgrade;
-- $121,250,000 Class B-2 Floating Rate Second Senior Secured
Notes due 2010 (current balance of $44,530,400), Downgraded
to Caa3; previously on March 4, 2009 B2 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. 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 3537 versus a test
level of 2950 as of the last trustee report, dated September 18,
2009. Based on the same report, defaulted securities currently
held in the portfolio total about $6.2 million, accounting for
roughly 5.2% of the collateral balance, and securities rated Caa1
or lower make up approximately 16.5% of the underlying portfolio.
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 the real estate industry which
represents 36% of the underlying portfolio. Additionally, the
largest obligor constitutes 36% of the collateral. Finally,
Moody's noted that the portfolio includes a material proportion of
securities that mature after the maturity date of the notes.
These investments potentially expose the notes to market value
risk in the event of liquidation at the time of the notes'
maturity.
The rating actions also reflect 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
PAMCO III CLO Series 1998-1, issued in May of 1998, 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.
PANGAEA CLO: Moody's Confirms Ratings on Three Classes of Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has confirmed the
ratings of these notes issued by Pangaea CLO 2007-1 Ltd.:
-- US$20,000,000 Class B Floating Rate Deferrable Senior
Subordinate Notes Due 2021, Confirmed at Baa3; previously on
March 13, 2009, Downgraded to Baa3 and Placed Under Review
for Possible Downgrade;
-- US$14,500,000 Class C Floating Rate Deferrable Senior
Subordinate Notes Due 2021, Confirmed at Ba3; previously on
March 13, 2009, Downgraded to Ba3 and Placed Under Review for
Possible Downgrade;
-- US$15,000,000 Class D Floating Rate Deferrable Subordinate
Notes Due 2021, Confirmed at B3; previously on March 13,
2009, Downgraded to B3 and Placed Under Review for Possible
Downgrade.
In addition, Moody's has downgraded the rating of these notes:
-- US$16,000,000 Class A-2 Floating Rate Senior Notes Due 2021,
Downgraded to A1; previously on March 4, 2009, Aa2 Placed
Under Review for Possible Downgrade.
According to Moody's, the actions have taken into consideration
revised assumptions with respect to default probability and the
calculation of the Diversity Score, as 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 second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
The downgrade action taken on the Class A-2 Notes also reflects
credit deterioration of the underlying portfolio. The 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 overcollateralization test. In
particular, the weighted average rating factor has increased over
the last year and is currently 3416 versus a test level of 3314 as
of the last trustee report, dated September 9, 2009. Based on the
same report, defaulted securities currently held in the portfolio
total about $11.2 million, accounting for roughly 4% of the
collateral balance, and securities rated Caa1 or lower make up
approximately 16% of the underlying portfolio. Additionally, the
Class D overcollateralization test was reported at 101.3% versus a
test level of 101.4%.
Moody's notes that the rating confirmations on the Class B Notes,
the Class C Notes and the Class D Notes have incorporated the
aforementioned stresses as well as credit deterioration in the
underlying portfolio. However, the action reflects updated
analysis indicating that the impact of these factors on the
ratings of the Class B Notes, Class C Notes and Class D 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.
Pangaea CLO 2007-1 Ltd., issued on August 21, 2007, is a
collateralized loan obligation, backed primarily by a portfolio of
senior secured loans and middle market issuers.
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.
PORTOLA CLO: Moody's Downgrades Ratings on Four Classes of Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Portola CLO, Ltd.:
-- US$360,000,000 Class A Floating Rate Notes Due November 2021,
Downgraded to Aa1; previously on December 12, 2007 Assigned
Aaa;
-- US$44,500,000 Class B-1 Floating Rate Notes Due November
2021, Downgraded to A2; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- US$5,000,000 Class B-2 Fixed Rate Notes Due November 2021,
Downgraded to A2; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$16,500,000 Class E Deferrable Floating Rate Notes Due
November 2021, Downgraded to Caa2; previously on March 13,
2009 Downgraded to B3 and Placed Under Review for Possible
Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$22,000,000 Class C Deferrable Floating Rate Notes Due
November 2021, Confirmed at Baa3; previously on March 13,
2009 Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$17,500,000 Class D Deferrable Floating Rate Notes Due
November 2021, Confirmed at Ba3; previously on March 13, 2009
Downgraded to Ba3 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. 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 E overcollateralization test.
In particular, the weighted average rating factor has increased
over the last year and is currently 2827 versus a test level of
2669 as of the last trustee report, dated September 2, 2009.
Based on the same report, defaulted securities currently held in
the portfolio total about $34.6 million, accounting for roughly
7.3% of the collateral balance, and securities rated Caa1 or lower
make up approximately 14.46% of the underlying portfolio. The
Class E overcollateralization test was reported at 99.64% versus a
test level of 103.5%. Additionally, Moody's noted that the
portfolio includes a high concentration of obligations from
issuers in the Healthcare, Education and Childcare industry.
The rating actions also reflect 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
Portola CLO, Ltd., issued in December 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.
PPM GRAYHAWK: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by PPM Grayhawk CLO Ltd.:
-- US$64,000,000 Class A-1 Senior Notes Due 2021 Notes (current
balance of $61,465,085), Downgraded to A1; previously on
April 30, 2007 Assigned Aaa;
-- US$50,000,000 Class A-2b Senior Notes Due 2021 Notes,
Downgraded to A2; previously on March 4, 2009 Aa1 Placed
Under Review for Possible Downgrade;
-- US$16,000,000 Class A-3 Senior Notes Due 2021 Notes,
Downgraded to Baa2; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$22,000,000 Class B Deferrable Mezzanine Notes Due 2021
Notes, Downgraded to Ba2; previously on March 13, 2009
Downgraded to Baa3 and Remained On Review for Possible
Downgrade;
-- US$14,000,000 Class C Deferrable Mezzanine Notes Due 2021
Notes, Downgraded to Caa2; previously on March 13, 2009
Downgraded to Ba3 and Remained On Review for Possible
Downgrade;
-- US$14,450,000 Class D Deferrable Mezzanine Notes Due 2021
Notes (current balance of $12,033,267), Downgraded to Ca;
previously on March 13, 2009 Downgraded to B3 and Remained On
Review for Possible Downgrade;
-- US$9,000,000 Combination Notes Due 2021 Notes (current rated
balance of $7,578,939), Downgraded to Caa1; previously on
March 4, 2009 Baa2 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. 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 C and Class D
overcollateralization tests. In particular, the weighted average
rating factor has increased over the last year and is currently
3047 versus a test level of 2689 as of the last trustee report,
dated September 9, 2009. Based on the same report, defaulted
securities total about $24 million, accounting for roughly 6.5% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 10.5% of the underlying portfolio. The Class C
overcollateralization test was reported at 103.124% versus a test
level of 103.3%, and the Class D overcollateralization test was
reported at 99.729% versus a test level of 100.60%. Additionally,
interest payments on the Class D Notes are presently being
deferred as a result of the failure of the Class C
overcollateralization test. 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.
The rating actions also reflect 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 second lien loans
will be below their historical averages, consistent with Moody's
research. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
PPM Grayhawk CLO, Ltd., issued in April 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.
RHODE ISLAND HEALTH: Fitch Cuts Ratings on Bonds to 'BB-'
---------------------------------------------------------
Fitch Ratings has downgraded Rhode Island Health and Educational
Building Corporation's $18.6 million series 1999 revenue bonds
(St. Joseph Health Services of Rhode Island Issue) to 'BB-' from
'BB'. Fitch has also revised the Rating Outlook to Stable from
Negative.
The downgrade to 'BB-' reflects SJHS' weak liquidity position,
continued operating losses, poor debt service coverage, and
ongoing volume declines. As of July 31, 2009 (10-months
unaudited), SJHS had approximately $14 million in unrestricted
cash and investments, which equated to 30 days cash on hand, a 4.9
times cushion ratio, and cash to debt of 77%. Since Fitch's last
review in 2008, SJHS' liquidity position has deteriorated by
approximately $8 million from an unrestricted cash position of
approximately $22 million. Further, SJHS' operating performance
worsened in fiscal 2008 as the organization lost $9.8 million from
operations (negative 5.5% margin). Through 10 months ended
July 31, 2009, SJHS recorded an operating loss of approximately
$2.6 million, which equated to a negative 1.8% operating margin.
Management projects the full year loss to be between $3 million
and $4 million.
In fiscal 2008, SJHS violated its debt service coverage covenant,
for which the organization brought in a consultant to support
revenue cycle enhancement initiatives. Continuing erosion in
patient volumes is chiefly responsible for the financial decline,
with admissions dropping over 2% per year since 2004. Outpatient
activity has also dropped, as surgeries fell to 10,619 through
July 2009 from 11,371 from the prior year's period. Management
indicates that recent utilization declines are due to softening
inpatient volumes throughout the state as well as growing
outmigration and competition for surgical services. Additionally,
management notes that a nursing union contract dispute and the
closing of SJHS' transitional care unit contributed to volume
declines.
The Outlook revision to Stable reflects Fitch's belief that SJHS'
financial profile has stabilized at its current position as the
organization continues to implement its hospital consolidation
plan, while successfully pursuing its merger agreement with Roger
Williams Medical Center (RWMC). Management indicates that
consolidation efforts to move all inpatients to SJHS' Fatima
campus are underway and should be completed by January 2010.
Management estimates savings from the campus consolidation plan to
total $4 million. Additionally, SJHS' is on track to merge with
RWMC by January 2010; however, the agreement is not a full asset
merger as SJHS will maintain its outstanding debt. Management has
identified approximately $7 million in savings from consolidating
services and an additional $8 million in clinical expense savings,
which is expected to occur over a five year period. Fitch views
both the consolidation process and merger agreement favorably that
will ultimately improve bottom-line profitability.
Located in Rhode Island, SJHS consists of 271-bed Our Lady of
Fatima Hospital in North Providence, St. Joseph Hospital for
Specialty Care (115 beds) and St. Joseph Living Center (62
assisted living units) in Providence. SJHS had $180 million in
total revenue in 2008. SJHS has covenants to provide only annual
disclosure to the NRMSIRs, which Fitch views as a weak legal
covenant. SJHS has provided timely annual disclosure to the
NRMSIRs and management intends to provide quarterly disclosure.
SALOMON BROTHERS: Moody's Affirms Ratings on Seven 2001-C1 Notes
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of seven classes
and downgraded five classes of Salomon Brothers Commercial
Mortgage Trust 2001-C1, Commercial Mortgage Pass-Through
Certificates, Series 2001-C1. The downgrades are due to a decline
in loan diversity, higher expected losses for the pool resulting
from anticipated losses from loans in special servicing and
refinancing risk associated with loans approaching maturity in an
adverse environment. One hundred and five loans mature within the
next 24 months. Fifteen of these loans, representing 11% of the
pool, have a Moody's stressed debt service coverage ratio below
1.00X. On September 21, 2009, Moody's placed five classes on
review for possible downgrade due to concerns about potential
losses from loans in special servicing and loans with near-term
maturities. This action concludes the review. The rating action
is the result of Moody's on-going surveillance of commercial
mortgage backed securities transactions.
As of the September 18, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 33%
to $635.4 million from $952.7 million at securitization. The
Certificates are collateralized by 139 mortgage loans ranging in
size from less than 1% to 3% of the pool, with the top ten loans
representing 18% of the pool. Twenty-five loans, representing 21%
of the pool, have defeased and are collateralized by U.S.
government securities.
Twenty-seven loans, representing 21% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
Thirteen loans have been liquidated from the trust since
securitization, resulting in an aggregate $36 million loss. Eight
loans, representing 7% of the pool, are currently in special
servicing. The eight specially serviced loans are secured by a
mix of office, industrial, and retail properties. Five of the
loans (2% of the pool) are 90+ days delinquent, two loans (2%) are
in the process of foreclosure and one loan (3%) is current.
Moody's estimates an aggregate loss of approximately $18 million
(40% loss severity on average) for the specially serviced loans.
The special servicer has recognized an aggregate appraisal
reduction of $8.7 million for seven of the specially serviced
loans.
Moody's was provided with year-end 2008 operating results for 91%
of the pool. Moody's loan to value ratio for the conduit
component is 79%, excluding specially serviced loans with
estimated losses, compared to 83% at Moody's last review.
Moody's stressed debt service coverage ratio, excluding specially
serviced loans, is 1.42X compared to 1.24X at last review.
Moody's stressed DSCR is based on Moody's net cash flow and a
9.25% stressed rate applied to the loan balance.
Moody's uses a variation of the Herfindahl index to measure
diversity of loan size, where a higher number represents greater
diversity. Loan concentration has an important bearing on
potential rating volatility, including the risk of multiple-notch
downgrades under adverse circumstances. The credit neutral Herf
score is 40. The pool, excluding defeased loans and loans with
underlying ratings, has a Herf score of 73, which is worse than
the score of 94 at last review.
The top three conduit loans represent 7% of the pool. The largest
conduit loan is the Van Ness Post Center ($17.3 million -- 2.7%),
which is secured by a 109,000 square foot mixed use property and
an adjacent 144-space parking garage located in San Francisco,
California. The property was 64% leased as of June 2009 compared
to 98% at last review. The drop in occupancy is primarily due to
the loss of Circuit City (30% of NRA). Moody's LTV and stressed
DSCR are 97% and 1.14X, respectively, compared to 89% and 1.24X at
last review.
The second largest conduit loan is the Union Square Marketplace
Shopping Center Loan ($14.4 million -- 2.2%), which is secured by
a 189,000 square foot retail center located approximately 20 miles
southeast of Oakland in Union City, California. The property was
96% occupied as of March 2009 compared to 99% at last review.
Moody's LTV and stressed DSCR are 81% and 1.30X, respectively,
compared to 75% and 1.41X at last review.
The third largest conduit loan is the Greenhouse Marketplace
Shopping Center ($12.2 million -- 1.9%), which is secured by a
103,000 square foot retail center located approximately 10 miles
south of Oakland in San Leandro, California. Property performance
has been stable since last review. Moody's LTV and stressed DSCR
are 79% and 1.31X, respectively, compared to 81% and 1.27X at last
review.
Moody's rating action is:
-- Class A-3, $452,013,766, affirmed at Aaa; previously affirmed
at Aaa on 12/13/2006
-- Class X, Notional, affirmed at Aaa; previously affirmed at
Aaa on 12/13/2006
-- Class B, $40,490,000, affirmed at Aaa; previously upgraded to
Aaa from Aa1 on 12/13/2006
-- Class C, $40,489,000, affirmed at Aa1; previously upgraded to
Aa1 from A2 on 12/13/2006
-- Class D, $11,909,000, affirmed at Aa2; previously upgraded to
Aa2 from A3 on 12/13/2006
-- Class E, $14,290,000, affirmed at A1; previously upgraded to
A1 from Baa1 on 12/13/2006
-- Class F, $14,291,000, affirmed at Baa1; previously upgraded
to Baa1 from Baa2 on 12/13/2006
-- Class G, $14,290,000, downgraded to Ba3 from Baa3; previously
rated Baa3, on review for possible downgrade on 9/21/2009
-- Class H, $19,054,000, downgraded to Caa1 from Ba1; previously
rated Ba1, on review for possible downgrade on 9/21/2009
-- Class J, $19,054,000, downgraded to Ca from Ba3, previously
rated Ba3, on review for possible downgrade on 9/21/2009
-- Class K, $7,145,000, downgraded to C from B2; previously
rated B2, on review for possible downgrade on 9/21/2009
-- Class L, $2,363,223, downgraded to C from Caa1; previously
rated Caa1, on review for possible downgrade on 9/21/2009
SALT CREEK: Fitch Downgrades Ratings on 11 Classes of 2005-1 Notes
------------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 11 classes of notes issued by Salt Creek High Yield CSO
2005-1 Ltd.
Since February 2009, the transaction has suffered an approximate
8.5% decrease in credit enhancement due to trading losses and
exposure to credit events. In addition, 48.3% of the reference
portfolio has experienced negative credit migration since Feb.
2009. Currently, 35% of the portfolio has a Negative Outlook,
with an additional 4% on Rating Watch Negative. In Fitch's view,
the recent losses have exceeded expectations for the rating levels
throughout the capital structure.
Assets with a Fitch derived rating at or below 'CCC' comprise 19%
of the portfolio. This compares to the senior-most credit
enhancement levels of 13.5%.
Fitch has downgraded the class B-6$L notes to 'D' due to principal
losses from exposure to the Six Flags Premier Parks credit event.
Salt Creek is scheduled to mature on March 20, 2010. Fitch
reviewed portfolio credit risk under alternative scenarios in
addition to the standard application of the Portfolio Credit
Model. In its review, Fitch ran scenarios that limited
correlation and obligor concentration stresses to understand the
impact of correlated default assumptions on the model results,
given the short remaining life of the transaction. Fitch also
considered each tranches' ability to absorb individual distressed
or lowly rated obligors under various recovery scenarios,
including a 15% recovery rate assumption that is consistent with
recoveries on recent credit events. Fitch used both the modified
PCM results and the obligor default-sensitivity analysis to assess
credit risk for each class of notes.
Salt Creek is a synthetic collateralized debt obligation that
closed in March 2005 and is managed by TCW Asset Management Co.
Salt Creek provides investors leveraged access to the credit risk
of a diverse portfolio of credit default swaps referencing
primarily non-investment-grade corporate obligations. Salt Creek
gains access to the credit risk of the portfolio via a credit
default swap with J.P. Morgan Securities Ltd. (rated 'F1+/AA-'
with a Stable Outlook by Fitch), as swap counterparty.
The Loss Severity ratings indicate each tranche's potential loss
severity given default, as evidenced by the ratio of tranche size
to the base-case loss expectation for the collateral. The LS
rating should always be considered in conjunction with the
probability of default indicated by a tranche's long-term credit
rating. For more information on LS ratings, refer to Fitch's
criteria report entitled 'Criteria for Structured Finance Loss
Severity Ratings', dated Feb. 17, 2009 and available on Fitch's
web site at 'www.fitchratings.com'.
Fitch has downgraded, removed from Rating Watch Negative, and
assigned Outlooks and LS ratings to these classes as indicated:
-- US$34,000,000 series A-1$L notes downgraded to 'AA' from
'AAA'; assigned 'LS5'; Outlook Negative;
-- US$20,000,000 series A-2$L notes downgraded to 'A' from
'AA+'; assigned 'LS5'; Outlook Negative;
-- EUR20,000,000 series A-2EF notes downgraded to 'A' from
'AA+'; assigned 'LS5'; Outlook Negative;
-- US$30,000,000 series A-4$L notes downgraded to 'BBB' from
'AA-'; assigned 'LS5'; Outlook Negative;
-- US$1,000,000 series A-6$L notes downgraded to 'BB' from 'A';
assigned 'LS5'; Outlook Negative;
-- EUR3,000,000 series A-6EL-1 notes downgraded to 'BB' from
'A'; assigned 'LS5'; Outlook Negative;
-- US$15,000,000 series A-7$L notes downgraded to 'BB' from 'A-
'; assigned 'LS5'; Outlook Negative;
-- US$5,000,000 series B-2$L notes downgraded to 'CCC' from
'BBB';
-- US$3,000,000 series B-3$L notes downgraded to 'CCC' from
'BBB-';
-- US$500,000 series B-5$L notes downgraded to 'C' from 'BB-';
-- US$932,520 series B-6$L notes downgraded to 'D' from 'B+'.
SARATOGA CLO: Moody's Does Not Take Rating Action on Notes
----------------------------------------------------------
Moody's Investors Service announced that it has determined that
the ratings currently assigned to Saratoga CLO I, Ltd. (the
"Issuer") will not, at this time, be reduced or withdrawn solely
as a result of the execution of an amendment to its indenture
dated as of September 18, 2009 (the "Supplemental Indenture").
The Supplemental Indenture allows the Issuer to establish tax
blocker subsidiaries solely to acquire, hold and dispose of
certain securities (such as equity interests in an operating
company) it may receive in a bankruptcy proceeding or
restructuring ("Tax Sensitive Equity Securities"), and is designed
to ensure that the Issuer will not be deemed to be engaged in a
U.S. trade or business as a result of an exchange of collateral
obligations for such Tax Sensitive Equity Securities.
Saratoga CLO I, Ltd., is a high yield cash flow collateralized
loan obligation managed by Invesco Senior Secured Management, Inc.
The last rating actions on Saratoga CLO I, Ltd., occurred on
August 19, 2009. On that date, the Class A-2 Floating Rate Notes
Due 2019 were downgraded to A2 from Aaa; the Class B Floating Rate
Deferrable Notes Due 2019 were downgraded to Ba1 from Baa3 on
review for possible downgrade; the Class C Floating Rate
Deferrable Notes Due 2019 were downgraded to B3 from Ba3 on review
for possible downgrade; and the Class D Floating Rate Deferrable
Notes Due 2019 were downgraded to Caa3 from B2 on review for
possible downgrade.
SEAWALL SPC: S&P Downgrades Ratings on Various Classes of Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
notes issued by Seawall SPC's series BACM 2007-2 and JPMCC 2007-
LD12 and removed them from CreditWatch with negative implications.
Both deals are U.S. synthetic collateralized debt obligation
transactions.
The rating on Seawall SPC's series BACM 2007-2 is directly linked
to the rating on the class A-J certificates from Banc of America
Commercial Mortgage Trust 2007-2. The rating on Seawall SPC's
series JPMCC 2007-LD12 is directly linked to the rating on the
class A-J certificates from JPMorgan Chase Commercial Mortgage
Securities Trust 2007-LDP12. S&P lowered the two U.S. synthetic
CDO tranche ratings in conjunction with S&P's rating actions
affecting the related commercial mortgage-backed securities
transactions on Sept. 23, and Sept. 28, 2009, respectively.
Ratings Lowered And Removed From Creditwatch Negative
Seawall SPC
$31,062,982 series BACM 2007-2 class AJ floating-rate notes
Rating
------
Class To From
----- -- ----
Notes BB+ AAA/Watch Neg
Seawall SPC
$31,062,982 series JPMCC 2007-LD12 class AJ floating-rate notes
Rating
------
Class To From
----- -- ----
Notes BB- AAA/Watch Neg
SLATE CDO: Moody's Downgrades Rating on Classes of 2007-1 Notes
---------------------------------------------------------------
Moody's Investors Service downgraded the rating of all rated
classes of Notes of Slate CDO 2007-1, Ltd. The downgrades are due
to deterioration in the credit quality of the underlying pool as
well as the occurrence of and Event of Default on March 31, 2009.
This EOD was due to the Senior Test (Senior Test Adjusted Credit
Ratio) breaching its trigger, as set forth in the indenture. This
resulted in the Majority of the Controlling Class directing the
Acceleration of Maturity on July 2, 2009 per Section 5.2(a) of the
indenture. As such, Classes A1J, A2, A3, B1 and B2 are not
currently receiving any interest proceeds due.
Moody's review of Slate CDO 2007-1, Ltd. was prompted by the EOD
as well as the high number of defaulted securities noted in the
September 1, 2009 trustee report. The Notes are currently
collateralized by 48 classes of commercial mortgage backed
securities (63.0% of the pool) from 35 separate transactions and
33 classes of collateral debt obligations (37.0% of the pool)
issued between 2005 and 2007. As of the September 1, 2009
distribution date, 14 CMBS and CDO securities (17.0% of the pool)
were listed as defaulted and one CDO security (0.8%) was listed as
deferred interest payable-in-kind.
Since Moody's last review, among the Moody's rated CMBS and CDO
securities (97.6% of the pool), there have been seven downgrades
and no upgrades. As part of Moody's current review, credit
estimates were performed on all non-Moody's rated securities
(2.4%).
The aggregate collateral balance has decreased to $596.0 million
from $600.0 billion at issuance, due to Class A1SA and A1SB Notes
having been paid down by approximately $4.0 million. Moody's
currently estimates an additional $106.8 million in losses to the
Notes due to losses on defaulted and/or deferred interest PIK CMBS
and CDO collateral.
In Moody's review of the deal, Moody's undercollateralized the
Notes by $106.8 million after determining potential losses on
collateral tranches. This, along with EOD, led Moody's to
conclude that there is material change in the expect losses of the
rated Notes since last review.
Moody's uses a weighted average rating factor as an overall
indicator of the credit quality of a commercial real estate
collateralized debt obligation transaction. Based on Moody's
analysis, the current WARF is 4,075 compared to 3,440 at last
review and 580 at issuance. In Moody's current review, Moody's
modeled a WARF of 3,288, which is the WARF after excluding certain
defaulted and impaired collateral. Moody's also reviewed the
ratings or performed credit estimates on all the collateral
supporting the Notes. The distribution of ratings and credit
estimates, excluding certain defaulted and impaired assets, is:
Baa1-Baa3 (7.0% compared to 11.4% at last review), Ba1-Ba3 (17.1%
compared to 12.8% at last review), B1-B3 (50.0% compared to
51.4%), Caa1-NR (25.9% compared to 24.4%).
As provided 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 he
transaction is exposed to a significant concentration of CMBS
assets, the majority of which have low speculative-grade ratings.
The transaction 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
a sale and liquidation of the Collateral.
Moody's review incorporated updated asset correlation assumptions
for the commercial real estate sector consistent with one of
Moody's CDO rating models, CDOROM v2.5, which was released on
February 3, 2009. These correlations were updated in light of the
systemic seizure of credit markets and to reflect higher inter-
and intra-industry asset correlations. The updated asset
correlations, depending on vintage and issuer diversity, used for
CUSIP collateral (i.e. CMBS, CRE CDOs or real estate investment
trust debt) within CRE CDOs range from 30% to 60%, compared to 15%
to 35% previously.
Default probability is typically captured in the collateral WARF.
For CUSIP collateral, the additional default probability stress
sometimes applied to re-securitization collateral was not applied
to CMBS collateral reviewed recently as part of Moody's first
quarter 2009 CMBS ratings sweep. Based on Moody's current
expectations of commercial real estate performance, the CMBS
ratings are believed to be relatively stable for the next 12 to 18
months. However, for pre-2006 CMBS collateral, the default
probability re-securitization stress was applied to capture the
potential ratings volatility of the underlying collateral.
In addition to the asset correlations and default probability
assumptions for cash CRE CDOs, Moody's assumed a single delayed
default timing scenario in CDOEdge v3.2, one of its CRE CDO rating
models, to better reflect Moody's expectation of how the
underlying real estate will perform in this recession.
Previously, six default timing scenarios were used to analyze the
expected loss at each tranche.
The rating action is:
-- Class A1SA, $267,327,116, Floating Rate Notes Due 2052,
downgraded to B1 from Baa1; previously on 7/30/2009 Placed
Under Review for Possible Downgrade
-- Class A1SB, $130,693,257, Floating Rate Notes Due 2052,
downgraded to B1 from Baa1; previously on 7/30/2009 Placed
Under Review for Possible Downgrade
-- Class A1J, $67,500,000, Floating Rate Notes Due 2052,
downgraded to Caa2 from Ba1; previously on 7/30/2009 Placed
Under Review for Possible Downgrade
-- Class A2, $38,200,000, Floating Rate Notes Due 2052,
downgraded to Ca from Ba2; previously on 7/30/2009 Placed
Under Review for Possible Downgrade
-- Class A3, $27,800,000, Floating Rate Notes Due 2052,
downgraded to C from B2; previously on 7/30/2009 Placed Under
Review for Possible Downgrade
-- Class B1, $18,000,000, Floating Rate Notes Due 2052
downgraded to C from Caa1; previously on 7/30/2009 Placed
Under Review for Possible Downgrade
-- Class B2, $13,500,000, Floating Rate Notes Due 2052,
downgraded to C from Caa3; previously on 7/30/2009 Placed
Under Review for Possible Downgrade
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions both on 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 30, 2009.
SSB RV: S&P Affirms Ratings on Class D Notes at 'CCC-'
------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
C notes issued by SSB RV Trust 2001-1 to 'BBB' from 'A'. At the
same time, S&P affirmed its ratings on the class B and D notes at
'AA' and 'CCC-', respectively.
The downgrade of class C reflects S&P's assessment of the
deteriorating performance of the underlying collateral, which
consists of recreational vehicle loans that CIT acquired or
originated and ultimately sold to Salomon Brothers Realty Corp.,
as well as the resulting decline in available credit enhancement.
The affirmations of the class B and D ratings reflect S&P's
opinion that there is adequate credit support relative to
remaining losses at the current rating levels.
As of the September 2009 distribution date, the SSB RV Trust 2001-
1 transaction had a pool factor (outstanding balance as a
percentage of the original balance) of 8.72%; a cumulative net
loss rate of 7.90% of the original pool balance; and a 90-plus-day
delinquency rate of 1.05% of the current pool balance. This
transaction is also experiencing a growing principal shortfall
carryover (currently $5,272,629.29). S&P expects this transaction
to experience base-case cumulative net losses of 9.0%-10.0%.
S&P believes that the subordination, provided in part by class D,
will likely continue to erode given the accumulating principal
shortfalls, and that excess spread will likely continue to be
insufficient to cover monthly net losses. As a result, S&P
expects the credit enhancement available to cover expected
remaining losses for the series SSB RV Trust 2001-1 transaction to
continue to decline. S&P believes the downgrade of class C is
appropriate given the credit support available relative to
remaining losses.
Rating Lowered
SSB RV Trust 2001-1
Rating
------
Class To From
----- -- ----
C BBB A
Ratings Affirmed
SSB RV Trust 2001-1
Class Rating
----- ------
B AA
D CCC-
ST JOSEPH: S&P Downgrades Rating on Two Revenue Bonds to 'BB+'
--------------------------------------------------------------
Standard & Poor's Rating Services lowered its long-term rating to
'BB+' from 'BBB-' on St. Joseph County Hospital Authority, Ind.'s
series 2005 revenue bonds and series 1999 bonds, issued for
Madison Center Inc. At the same time, Standard & Poor's revised
its outlook to stable from negative on Madison Center's
outstanding debt.
"The lowered rating reflects a recent period of very uneven
operations, considerable balance sheet deterioration, and very
weak debt service coverage at the center," said Standard & Poor's
credit analyst Geraldine Poon. "While management has been
successful in improving its operating performance in the unaudited
fiscal year ended June 30, 2009, S&P is uncertain whether the
improvement is sustainable. In addition, the weak balance sheet
no longer provides an adequate operating cushion and there has
been considerable management turnover."
"However, Madison Center has limited competition, and S&P expects
it to maintain a strong market position. In addition, its
operating performance has improved in fiscal 2009. To maintain
its current rating, Madison Center will have to experience
continued positive operating results, at least stable liquidity
and improve its debt service coverage," Ms. Poon said.
No new debt is expected in the near future.
Madison Center provides a broad continuum of mental health and
chemical dependency services for adults and children living
primarily in St. Joseph County, located in northern Indiana and
several surrounding counties in Indiana and Michigan. These
services are essential, mandated services and offer significant
revenue diversity. The services provided include 24-hour
emergency care, inpatient and outpatient services, partial
hospitalization, and residential care. Madison Center is a
designated community mental health center for the South Bend area.
STANFIELD VEYRON: Moody's Downgrades Ratings on Various Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Stanfield Veyron CLO, Ltd.:
-- US$84,000,000 Class A-1-B Floating Rate Notes due 2018,
Downgraded to Aa3; previously on March 4, 2009 Aaa Placed
Under Review for Possible Downgrade;
-- US$50,000,000 Class A-2 Floating Rate Notes due 2018,
Downgraded to Aa2; previously on June 28, 2006 Assigned Aaa;
-- US$17,500,000 Class B Floating Rate Notes due 2018,
Downgraded to A3; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade;
-- US$28,750,000 Class C Floating Rate Deferrable Notes due
2018, Downgraded to Ba1; previously on March 17, 2009
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$35,000,000 Class D Floating Rate Deferrable Notes due
2018, Downgraded to B1; previously on March 17, 2009
Downgraded to Ba3 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. 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 2559 as of the last
trustee report, dated September 2, 2009. Based on the same
report, defaulted securities currently held in the portfolio total
about $14.8 million, accounting for roughly 3% of the collateral
balance, and securities rated Caa1 or lower make up approximately
13.3% of the underlying portfolio. 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.
The rating actions also reflect 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. 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. Other assumptions used in Moody's CLO monitoring are
described in the publication "CLO Ratings Surveillance Brief -
Second Quarter 2009," dated 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,
diversity score, and weighted average recovery rate, may be
different from the trustee's reported numbers.
Stanfield Veyron CLO, Ltd., issued on June 28, 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.
STONE TOWER: Moody's Downgrades Ratings on Class A-3 Notes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of these notes issued by Stone Tower CLO VII Ltd.:
-- US$34,000,000 Class A-3 Floating Rate Notes Due 2021,
Downgraded to A1; previously on March 4, 2009 Aa2 Placed
Under Review for Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$45,000,000 Class A-2 Floating Rate Notes Due 2021,
Confirmed at Aa1; previously on March 4, 2009 Aa1 Placed
Under Review for Possible Downgrade;
-- US$28,000,000 Class B Deferrable Floating Rate Notes Due
2021, Confirmed at Baa3; previously on March 13, 2009
Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$27,000,000 Class C Deferrable Floating Rate Notes Due
2021, Confirmed at Ba3; previously on March 13, 2009
Downgraded to Ba3 and Placed Under Review for Possible
Downgrade.
The rating actions primarily reflect 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
According to Moody's, the rating actions taken on the notes also
reflect the underlying portfolio's moderate credit deterioration.
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 2431 as of the
last trustee report, dated September 2, 2009. Based on the same
report, defaulted securities currently held in the portfolio total
about $15.5 million, accounting for roughly 2.55% of the
collateral balance, and securities rated Caa1 or lower make up
approximately 6.10% of the underlying portfolio. 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.
Stone Tower CLO VII Ltd., issued in August 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.
STRATA TRUST: Moody's Downgrades Ratings on 2006-10 Notes
---------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating on notes issued by Strata Trust, Series 2006-10, a
collateralized debt obligation transaction referencing a static
portfolio of corporate entities.
The rating action is:
-- US$15,000,000 Floating Rate Notes due June 21, 2003,
Downgraded to B2; previously on February 25, 2009 Downgraded
to B1
Moody's explained that the rating action taken is 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 289 initially to 1,113, equivalent to an average
rating of the current portfolio of Ba1. The reference portfolio
includes an exposure to CIT Group, Inc. which has experienced
substantial credit migration in the past few months, and are now
rated Ca. Since inception of the transaction, the subordination
of the rated tranche has been reduced due to credit events on
Washington Mutual, Inc. and Tribune Company. These credit events
lead to a decrease of approximately 1.42% of the subordination of
the tranche. The portfolio has the highest industry
concentrations in Sovereign & Public Finance (9%), Insurance (8%),
and Telecommunications(8%).
Moody's monitors 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 (September 2009)
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, and
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.
STRUCTURED ASSET: Moody's Corrects Ratings on 31 Tranches
---------------------------------------------------------
Moody's Investors Service has corrected the ratings of 31 tranches
from 3 transactions issued by Structured Asset Mortgage
Investments II Trust. Previously, certain loss and principal
allocation features of the transactions were not accurately
accounted for. Ratings have been adjusted to reflect the fact
that after the depletion of the subordinated certificates,
principal distribution for certain tranches will remain sequential
while losses are first allocated to senior support certificates.
Moody's has also updated the expected loss on the transaction to
reflect continued deterioration in performance.
The actions listed below reflect Moody's updated expected losses
on the transaction and the corrected sequential payment structure.
Complete rating actions are:
Issuer: Structured Asset Mortgage Investments II Trust 2006-AR7
-- Pool current expected loss: 35% of original balance
-- Cl. A-1A, Downgraded to Caa1; previously on Feb. 23, 2009
Downgraded to B1
-- Cl. A-1B, Downgraded to Caa1; previously on Feb. 23, 2009
Downgraded to B1
-- Cl. A-2A, Downgraded to Ca; previously on Feb. 23, 2009
Downgraded to Caa1
-- Cl. A-2B, Downgraded to Ca; previously on Feb. 23, 2009
Downgraded to Caa1
-- Cl. A-4, Downgraded to B3; previously on Feb. 23, 2009
Downgraded to Ba1
-- Cl. A-5, Downgraded to Ca; previously on Feb. 23, 2009
Downgraded to B3
-- Cl. A-6, Downgraded to C; previously on Feb. 23, 2009
Downgraded to Caa1
-- Cl. A-9, Downgraded to B3; previously on Feb. 23, 2009
Downgraded to Ba1
-- Cl. A-10, Downgraded to Caa2; previously on Feb. 23, 2009
Downgraded to B2
-- Cl. A-11, Downgraded to Ca; previously on Feb. 23, 2009
Downgraded to B3
Issuer: Structured Asset Mortgage Investments II Trust 2007-AR3,
Group 1
-- Pool current expected loss: 34% of original balance
-- Cl. I-A-1, Upgraded to Aa1; previously on Feb. 23, 2009
Downgraded to A1
-- Cl. I-A-3, Downgraded to Caa2; previously on Feb. 23, 2009
Downgraded to B3
-- Cl. I-A-4A, Downgraded to Ca; previously on Feb. 23, 2009
Downgraded to Caa3
-- Cl. Grantor Trust I-A-4B, Downgraded to Ca; previously on
Feb. 23, 2009 Downgraded to Caa3
-- Cl. Underlying I-A-4B, Downgraded to Ca; previously on
Feb. 23, 2009 Downgraded to Caa3
Issuer: Structured Asset Mortgage Investments II Trust 2007-AR3,
Group 2
-- Pool current expected loss: 36% of original balance
-- Cl. II-A-1, Downgraded to Caa2; previously on Feb. 23, 2009
Downgraded to Ba1
-- Cl. II-A-2, Downgraded to Ca; previously on Feb. 23, 2009
Downgraded to Caa2
-- Cl. II-A-3A, Downgraded to C; previously on Feb. 23, 2009
Downgraded to Ca
-- Cl. Grantor Trust II-A-3B, Downgraded to C; previously on
Feb. 23, 2009 Downgraded to Ca
-- Cl. Underlying II-A-3B, Downgraded to C; previously on
Feb. 23, 2009 Downgraded to Ca
Issuer: Structured Asset Mortgage Investments II Trust 2007-AR4
-- Pool current expected loss: 38% of original balance
-- Cl. A-1, Upgraded to Aa3; previously on Feb. 23, 2009
Downgraded to Baa1
-- Cl. A-3, Downgraded to Caa2; previously on Feb. 23, 2009
Downgraded to B2
-- Cl. A-4A, Downgraded to B2; previously on Feb. 23, 2009
Downgraded to Ba1
-- Cl. Grantor Trust A-4B, Downgraded to B2; previously on
Feb. 23, 2009 Downgraded to Ba1
-- Cl. Underlying A-4B, Downgraded to B2; previously on Feb. 23,
2009 Downgraded to Ba1
-- Cl. A-5, Downgraded to Caa2; previously on Feb. 23, 2009
Downgraded to B2
-- Cl. A-6, Downgraded to Ca; previously on Feb. 23, 2009
Downgraded to Caa3
-- Cl. X-1, Upgraded to Aa3; previously on Feb. 23, 2009
Downgraded to Baa1
-- Cl. X-2, Upgraded to Aa3; previously on Feb. 23, 2009
Downgraded to Baa1
-- Cl. B-1, Downgraded to C; previously on Feb. 23, 2009
Downgraded to Ca
-- Cl. B-2, Downgraded to C; previously on Feb. 23, 2009
Downgraded to Ca
The collateral backing these transactions consists primarily of
first-lien, adjustable-rate, negative amortization, 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.
TRIAXX FUNDING: Fitch Downgrades Ratings on Two Classes of Notes
----------------------------------------------------------------
Fitch Ratings has downgraded two classes of notes issued by Triaxx
Funding High Grade I, Ltd. The ratings are simultaneously
withdrawn due to lack of investor interest. A complete list of
ratings is at the end of this press release.
Triaxx Funding High Grade I Ltd. is a market value transaction
that invests in residential mortgage-backed securities using
proceeds raised by issuing notes and equity as well as using repo
funding. Since inception, the credit quality of the underlying
assets has deteriorated and market prices have declined
significantly from purchased levels. The ratings reflect the
continued distress in asset pricing, the short-term nature of the
repo financing, and delevering of the program that has led to
further realization of losses.
Classes B-1 and B-2 have no market value subordination as the repo
funding levels and the current market value levels are effectively
the same. The repo is maintained via collateral postings to the
repo which are senior to the notes. The class B-1 and B-2 notes
do have par coverage, though the likelihood of recovery to the
classes remains low. The portfolio may be liquidated at any time,
though the collateral posting mechanism has been in place for over
a year.
Fitch expects the class C and D notes to have no recovery
regardless of the performance of the portfolio.
Fitch has taken these rating actions and has withdrawn the ratings
on the notes issued by Triaxx:
-- $80,000,000 class B-1 downgraded to 'CC' from 'CCC';
-- $41,000,000 class B-2 downgraded to 'CC' from 'CCC';
-- $149,375,000 class C deferrable interest notes affirmed at
'C';
-- $8,000,000 class D deferrable interest notes affirmed at 'C'.
UNITED AIR: Moody's Assigns 'Ba1' Rating on 2009-1 Certificates
---------------------------------------------------------------
Moody's Investors Service assigned a Ba1 rating to the Pass
Through Certificates, Series 2009-1 of the 2009-1 Pass Through
Trust to be issued by United Air Lines, Inc. Class A Certificates
will be the only class issued in this offering. The transaction
documentation provides for the possible issuance of a subordinated
Class B tranche of certificates at a future date. The inter-
creditor agreement is structured such that all payments due on the
Certificates would be payable ahead of interest and principal due
on the Class B Certificates if and when issued. This increases
protection of this transaction's A tranche relative to that of
certain recent Enhanced Equipment Trust Certificates that do not
subordinate interest on B tranches to principal of A tranches.
Amounts due under the Certificates will, in any event, be
subordinated to any amounts due on the Class A Liquidity Facility.
The Class A Equipment Notes issued by United and acquired with the
proceeds of the Certificates will be the sole assets of the Pass
Through Trust. The Certificates' proceeds will facilitate the
refinancing, prior to maturity, of the outstanding tranches of
United's 2001-1 EETC. Moody's will withdraw its ratings on
United's 2001-1 EETC upon the completion of such refinancing. Two
presently unencumbered Boeing 767-300ER's will also be financed
and included in this transaction. United's obligations under the
indentures of the Notes will be secured by the aircraft this
transaction will finance. United's parent, UAL Corporation, will
guarantee United's obligations under the Notes.
Rating Rationale
The ratings of the Certificates consider the credit quality of UAL
Corporation (Caa1 corporate family rating, negative outlook) and
of United as obligor under the Notes, Moody's opinion of the
collateral protection of the Notes, the credit support provided by
the Class A liquidity facility, and certain structural
characteristics of the Notes such as the cross-collateralization
and cross-default provisions and the protections of Section 1110
of Title 11 of the United States Code. The assigned rating of Ba1
reflects Moody's opinion of the ability of the Pass Through
Trustee to make timely payment of interest and the ultimate
payment of principal on the final maturity date of November 1,
2016. Additionally, the cross-collateralization of the aircraft
securing each Note underlying the transaction enhances the
potential recovery for investors in the event of a default or of
the rejection of the aircraft by United in the event of a
bankruptcy event and pursuant to the provisions of the Code.
Moody's also considered in its analysis: 1) the large number and
type of aircraft included in this transaction (ten A319-100's, six
A320-200's, seven B767-300ER's, three B777-200ER's and five B747-
400's), 2) the relationship of the older age of the subject
aircraft to market valuations over time, 3) the large percentage
of wide-body aircraft in the pool (about 2/3rds of the value) and
4) the accelerated maturity of the notes and release of collateral
for the 747's and A319's.
Each of the aircraft type in the pool is integral to either of
United's domestic or international operations. The subject
aircraft, while of older vintages, represent the younger aircraft
in United's fleet. Moody's believes that these two factors and
the cross-default feature reduce the probability that United would
reject any of these aircraft in the event of its reorganization.
The wide-bodies, which have historically demonstrated higher
volatility of market values, will represent no less than 60% of
the collateral value over the life of the Trust. The accelerated
maturity of certain of the notes will result in a generally
proportionate reduction in the debt balance and the value of the
collateral pool, having nominal impact on collateral coverage.
This is based on Moody's assessment of current values of the
subject aircraft and its depreciation curve. Moody's believes
that these factors and the cross-collateralization feature would
support recovery in the event United was to disaffirm its
obligations under the Notes.
Any combination of future changes in the underlying credit quality
or ratings of United, material changes in the value of the
aircraft pledged as collateral, and changes in the status or terms
of the liquidity facilities or the credit quality of the liquidity
provider could cause Moody's to change its ratings of the
Certificates.
General Structure of the Series 2009-1A EETC's
The proceeds of the Certificates will initially be held in escrow
by the Depositary, JP Morgan Chase Bank N.A. (short-term rating of
P-1) until the Trust purchases from United the 31 equipment notes
underlying the 2009-1 EETC. United will use the proceeds of these
notes to effect the refinancing of its 2001-1 EETC and/or for
general corporate purposes. Moody's expects the funds placed with
the Depositary will be held in interest bearing accounts. This
interest and the scheduled payments on the issued Notes will be
sufficient to pay accrued interest on the outstanding
Certificates.
The Certificates issued to finance the aircraft are not
obligations of, nor are they guaranteed by, United or its parent,
UAL Corporation. However, the amounts payable by United under the
Notes will be sufficient to pay in full all principal and interest
on the Certificates when due. The Notes will be secured by a
perfected security interest in the aircraft. It is the opinion of
counsel to United, that the Notes will be entitled to benefits
under Section 1110 of the U.S. Bankruptcy Code. Under Section
1110 of the U.S. Bankruptcy Code, if United fails to pay its
obligations under the Notes, the collateral trustee has the right
to repossess any aircraft which have been rejected by United.
Scheduled interest payments on the Certificates will be supported
by a liquidity facility sized to pay up to three semi-annual
interest payments in the event United defaults on its obligations
under the Notes. The liquidity facility does not provide for
payments of principal due, nor interest on the Certificate
proceeds held in escrow during the Delivery Period. The liquidity
provider is Morgan Stanley Bank, N.A. (short-term rating of P-1).
The liquidity provider has a priority claim on proceeds from
liquidation of the Notes and other Trust property ahead of any of
the holders of the Certificates and is also the controlling party
following default in certain limited circumstances.
Cross-Collateralization
The ratings of the Certificates benefit from the cross-
collateralization of the Notes because Moody's believes this
feature potentially enhances recovery in the event of a default.
The structure provides that, in the event any aircraft is sold,
any surplus proceeds after satisfying the claims under the related
indenture will be made available to cover shortfalls under any of
the remaining Notes' indentures. Importantly, all surplus
proceeds from the sale of an aircraft are retained until the Notes
mature or the indentures are cancelled.
Moody's believes that the number of aircraft in the deal, the
large number of operators for the respective aircraft models, and
the large installed base of each should support recovery value
because of the operation of the cross-collateralization benefit
under a default scenario. Although the aircraft pool will
gradually decline through release of collateral over time such
that only 18 of the 31 aircraft will remain in the collateral pool
at the maturity date, the loan to values remain consistent because
of the proportional reduction in debt balances with each early
maturity and the structure of the waterfalls of the remaining
notes. The high average age of the aircraft and the number of
wide-bodies implies higher market value risk over time,
particularly for the B767's, once the Boeing 787's begin to
deliver. This tempered the amount of ratings benefit that Moody's
applied for cross-collateralization relative to that a similarly-
sized transaction that funded mainly new deliveries would receive.
This also reduces the amount of cushion in the transaction in the
event aircraft values demonstrate sustained declines from current
estimates.
The last rating action was on June 26, 2009 when Moody's assigned
a B2 rating to United's $175 million of secured notes due 2012.
These notes are secured by United's spare parts inventory.
Assignments:
Issuer: United Air Lines, Inc.
-- Senior Secured Pass-Through, Assigned Ba1
United Air Lines, Inc., and its parent UAL Corporation are based
in Chicago, Illinois. United is one of the largest passenger
airlines in the world.
VERMEER FUNDING: Fitch Downgrades Ratings on Four Classes of Notes
------------------------------------------------------------------
Fitch Ratings has downgraded four classes of notes issued by
Vermeer Funding I, Ltd./Inc. The details of the rating action
follow at the end of this press release.
The downgrades are the result of continued credit deterioration in
the portfolio since Fitch's last rating action in August 2008.
Approximately 68% of the portfolio has been downgraded since the
last review, with about 54.1% of the portfolio downgraded since
June 1, 2009.
The downgrades to the portfolio have left approximately 59.8% of
the portfolio with a Fitch-derived rating below investment grade
and 38.5% with a rating in the 'CCC' rating category or lower,
compared to 28.6% and 12.9%, respectively at last review. The
percentage of the portfolio considered defaulted has increased to
53.2% according to the Aug. 26, 2009 trustee report, from 0.4% at
last review.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs'.
Class A-1 and A-2 are downgraded to the rating levels indicated
below to reflect the diminished likelihood of these classes being
paid in full, given the deterioration in the underlying portfolio.
Despite the downgrades of the underlying assets, class A-1
benefits from the excess spread used to pay down this class as a
result of the failing A/B overcollateralization test. The class
A-1 notes have paid down approximately 80.5% since closing.
However, given the expected further downgrades in the underlying
assets, Fitch assigns a Negative Rating Outlook to both classes.
The classes A-1 and A-2 notes are assigned a Loss Severity rating
of 'LS4'. The LS ratings indicate each tranche's potential loss
severity given default, as evidenced by the ratio of tranche size
to the base-case loss expectation for the collateral, as explained
in 'Criteria for Structured Finance Loss Severity Ratings'. The
LS rating should always be considered in conjunction with the
probability of default for tranches.
The classes B and C notes are downgraded to 'C' to indicate
Fitch's belief that default is inevitable at or prior to maturity.
Fitch does not assign Outlooks or LS ratings to tranches rated
below the 'B' category.
Vermeer Funding is a structured finance collateralized debt
obligation that closed on July 15, 2004. The portfolio is
monitored by Rabobank International. The now static portfolio is
composed of 62.8% residential mortgage-backed securities, 13%
asset-backed securities, 11.4% CDOs, 9.4% corporate bonds, and
3.4% commercial mortgage-backed securities.
Fitch has downgraded and assigned Outlooks to these classes of
Vermeer Funding I, Ltd./Inc. as indicated:
-- $47,750,326 class A-1 notes to 'A/LS4' from 'AAA'; Outlook
Negative;
-- $38,500,000 class A-2 notes to 'B/LS4' from 'A'; Outlook
Negative;
-- $37,625,000 class B notes to 'C' from 'BB';
-- $15,033,896 class C notes to 'C' from 'CCC'.
WACHOVIA BANK: Fitch Takes Rating Actions on 25 2006-C28 Certs.
---------------------------------------------------------------
Fitch Ratings has taken various rating actions on 25 classes of
Wachovia Bank Commercial Mortgage Trust 2006-C28, commercial
mortgage pass-through certificates, including downgrades and
removal from Rating Watch Negative of 12 classes. 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 foresees potential losses
could reach as high as 10.1% for this transaction, should market
conditions not recover. The rating actions are based on losses of
5.8%, including 100% of the term losses and 25% of the losses
anticipated to occur at maturity; the 5.8% recognizes all of the
losses anticipated in the next five years. Given the uncertainty
surrounding macroeconomic conditions, commercial real estate
fundamentals, interest rates, liquidity and property performance,
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 that 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 65.7% of the
pool and, in certain cases, revised based on additional
information and/or property characteristics. Approximately 40.1%
of the recognized losses were due to loans reviewed in detail.
Approximately 16.7% of the mortgages mature within the next five
years and all in 2011. All losses associated with these loans are
recognized in the rating actions.
Fitch identified 34 Loans of Concern (12.1%) within the pool,
eight of which (3.5 %) are specially serviced. One of the
specially serviced loans is current (0.7%).
One of the loans within the top 15 (4.9 %) are expected to default
during the term, with an assumed loss severity of of 31.3%. The
largest contributors to loss are: Four Seasons Resort and Club -
Dallas, TX (4.9% of the pool), Lakeside Pool (1.2%) and Carefree
Pueblo (0.7%).
The Four Seasons Resort and Club is a 397 room full-service hotel
built in 1986 and renovated through 1999-2005. The resort is
currently one of the five AAA Five Diamond rated hotels in Texas
and includes such amenities as a spa, 34,370 square feet of
meeting space, four swimming pools, six upscale
restaurants/lounges, a private country club, 176,000 square foot
sports facility, two championship golf courses (TPC and Cottonwood
Valley) and the Byron Nelson Golf School. The servicer-reported
year-end 2008 DSCR was 1.12x down from 1.65x at issuance. As of
the same period, occupancy and RevPAR was 64.7% and $176.5,
respectively. Fitch's analysis resulted in a higher probability
of default prior to the loan's maturity due to anticipated
performance declines.
Lakeside Pool consists of a six building office park totaling
511,576 sf located in Tucker, GA. The servier-reported year-end
2008 occupancy and DSCR was 45% and 1.57x, respectively. Fitch's
analysis resulted in a higher probability of default prior to the
loan's maturity due to anticipated performance declines.
Carefree Pueblo transferred to special servicing on Oct. 22, 2008,
due to monetary default. The loan is collateralized by a 242 unit
senior adult living facility. As of Sept. 8, 2009, the property
was 71.5% occupied. The receiver is currently marketing the
property and losses are expected upon liquidation.
Fitch downgrades, removes from Rating Watch Negative, and assigns
Outlooks, Loss Severity ratings and Recovery Ratings to these
classes as indicated:
-- $278.6 million class A-J to 'BBB/LS3' from 'AAA'; Outlook
Negative;
-- $22.5 million class B to 'BBB/LS5' from 'AA+'; Outlook
Negative;
-- $58.4 million class C to 'BB/LS5' from 'AA'; Outlook
Negative;
-- $31.5 million class D to 'BB/LS5' from 'AA-'; Outlook
Negative;
-- $49.4 million class E to 'BB/LS5' from 'A'; Outlook Negative;
-- $40.5 million class F to 'B/LS5' from 'A-'; Outlook Negative;
-- $40.5 million class G to 'B-/LS5' from 'BBB+'; Outlook
Negative;
-- $40.5 million class H to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $44.9 million class J to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $18 million class K to 'B-/LS5' from 'BB'; Outlook Negative;
-- $9 million class L to 'B-/LS5' from 'BB-'; Outlook Negative;
-- $13.5 million class M to 'B-/LS5' from 'B'; Outlook Negative.
Fitch affirms and assigns an LS rating to this class:
-- $5 million class N to 'B-/LS5' from 'B-'; Outlook Negative.
Additionally, Fitch affirms and assigns LS ratings to these
classes as indicated:
-- $19.6 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $418.7 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $168.4 million class A-PB at 'AAA/LS1'; Outlook Stable;
-- $215 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $802.2 million Class A-4 at 'AAA/LS1'; Outlook Stable;
-- $613.3 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $250 million class A-4FL at 'AAA/LS1'; Outlook Stable;
-- Interest-only class IO at 'AAA'; Outlook Stable;
-- $359.5 million class A-M at 'AAA/LS3'; Outlook Stable.
-- $9 million class O at 'CCC/RR1';
-- $9 million class P at 'CC/RR4'.
Fitch does not rate the $49.4 million class Q or class FS.
WACHOVIA BANK: S&P Downgrades Ratings on 12 2007-ESH Certs.
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 12
classes of commercial mortgage pass-through certificates from
Wachovia Bank Commercial Mortgage Trust's series 2007-ESH and
removed them from CreditWatch with negative implications, where
they were placed on Aug. 28, 2009. At the same time, S&P affirmed
its ratings on the remaining eight classes and removed three of
the affirmed ratings from CreditWatch with negative implications.
The downgrades and affirmations follow S&P's analysis of the
appraisals for the Extended Stay Hotels portfolio, which secures
the single loan underlying this transaction, as well as S&P's
discussions with the special servicer, TriMont Real Estate
Advisors. The appraisals valued the portfolio at $2.8 billion on
an as-is basis, which is lower than S&P's estimated stressed value
at its last review in June 2009, and 65% lower than issuance
levels. Performance has continued to decline at the properties;
for the 12-month period ended August 2009, revenue per available
room had declined 16% from 2008.
ESH filed for chapter 11 bankruptcy on June 15, 2009. Standard &
Poor's will continue to monitor developments relating to the loan
underlying the transaction and may take additional rating actions,
particularly if the performance of the portfolio continues to
deteriorate beyond S&P's expectations.
The new appraisal value resulted in a significant appraisal
reduction amount and at this time the ARA has not caused interest
shortfalls to the trust. Although there is sufficient cash flow
to service debt, it is possible that changes to the loan terms
could occur as part of the bankruptcy proceeding. Any changes
could cause payment interruptions to the trust. At this time,
interest is being paid according to an interim cash collateral
order entered by the bankruptcy court. Additionally, based on
S&P's discussions with TriMont, the special servicer expects this
order to be renewed in October.
The transaction was recently referenced in a media report, which
indicated that Starwood Capital has expressed an interest in
acquiring the portfolio. Standard & Poor's has confirmed with
TriMont that initial discussions have been held. However, S&P did
not consider the proposal at this time due to the uncertainty of
the proposal and bankruptcy proceedings; any plan the special
servicer and Starwood make would likely require bankruptcy court
approval.
S&P has affirmed its ratings on the class XA and XB interest-only
certificates based on S&P's current criteria. S&P published a
request for comment proposing changes to its IO criteria on
June 1, 2009. Once S&P finalizes the criteria review, S&P may
revise its current IO criteria, which may affect outstanding
ratings, including the ratings on the IO certificates S&P
affirmed.
Ratings Lowered And Removed From Creditwatch Negative
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-ESH
Rating
------
Class To From
----- -- ----
A-3 AA- AA+/Watch Neg
A-4FL BB+ A/Watch Neg
A-4FX BB+ A/Watch Neg
B BB- A-/Watch Neg
CFL B- BBB/Watch Neg
CFX B- BBB/Watch Neg
D CCC+ BBB-/Watch Neg
E CCC BB/Watch Neg
F CCC- B+/Watch Neg
G CCC- B-/Watch Neg
H CCC- CCC+/Watch Neg
J CCC- CCC/Watch Neg
Ratings Affirmed And Removed From Creditwatch Negative
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-ESH
Rating
------
Class To From
----- -- ----
K CCC- CCC-/Watch Neg
L CCC- CCC-/Watch Neg
M CCC- CCC-/Watch Neg
Ratings Affirmed
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-ESH
Class Rating
----- ------
A-1 AAA
A-2FL AAA
A-2FX AAA
XA AAA
XB AAA
WACHOVIA BANK: S&P Downgrades Ratings on 19 2007-C34 Securities
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 19
classes of commercial mortgage-backed securities from Wachovia
Bank Commercial Mortgage Trust's series 2007-C34 and removed them
from CreditWatch with negative implications. 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 its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. S&P's downgrades of the subordinate
and mezzanine classes also reflect the credit support erosion S&P
anticipate will occur upon the eventual resolution of the
specially serviced loans, as well as S&P's analysis of loans that
S&P has determined to be credit-impaired. 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 1.37x and a loan-
to-value ratio of 116.8%. S&P further stressed the loans' cash
flows under S&P's 'AAA' scenario to yield a weighted average DSC
of 0.80x and an LTV of 163.5%. The implied defaults and loss
severity under the 'AAA' scenario were 94.4% and 43.1%,
respectively. All of the DSC and LTV calculations noted above
exclude the two specially serviced loans ($21.8 million, 1.5%) and
the four credit-impaired loans ($102.9 million, 7.0%). S&P
separately estimated losses for these loans, which are included in
S&P's 'AAA' scenario implied default and loss figures.
S&P affirmed its rating on the interest-only certificate based on
its current criteria. S&P published a request for comment
proposing changes to S&P's IO criteria on June 1, 2009. After S&P
finalize its criteria review, S&P may revise its IO criteria,
which may affect outstanding ratings, including the rating on the
IO certificate that S&P affirmed.
Credit Concerns
Two loans ($21.8 million, 1.5%) in the pool are with the special
servicer, CWCapital Asset Management LLC. Neither of the
specially serviced loans has an appraisal reduction amount (ARA)
in effect.
The Newforest Estates loan ($13.5 million, 0.9%) is more than 90
days delinquent. The loan is secured by a 227-unit multifamily
property, built in 1983 in San Antonio, Texas. As of year-end
2008, occupancy was 68% and DSC was 0.57x, compared with 71% and
1.48x, respectively, at issuance. Standard & Poor's expects a
significant loss upon the resolution of this loan.
The Four Points Allentown loan ($8.3 million, 0.6%) had been
delinquent but was recently brought current. The loan is secured
by a 147-room full-service hotel, built in 1974 in Allentown, Pa.
Occupancy and average daily rate suffered while the property was
undergoing renovations. As of year-end 2008, the property cash
flow was not sufficient to pay the loan debt service. Standard &
Poor's expects a significant loss upon the resolution of this
loan.
In addition to the specially serviced loans, S&P considered four
loans to be credit-impaired, including one top 10 loan, the
Sheraton Park Hotel-Anaheim, Calif. loan ($65.0 million, 4.4%).
S&P discusses the Sheraton Park Hotel in detail in the summary of
the top 10 loans section below.
Transaction Summary
As of the Sept. 17, 2009, remittance report, the collateral pool
balance was $1.473 billion, down from $1.479 billion at issuance.
The number of loans in the pool, at 109, is unchanged since
issuance. The master servicer for this transaction, Wachovia Bank
N.A., provided financial information for 94.0% of the pool; 99.9%
of the financial information was full-year 2008 data or interim
2009 data. S&P calculated a weighted average DSC of 1.37x for the
pool based on the reported figures. S&P's adjusted DSC and LTV
were 1.37x and 116.8%, respectively. S&P's adjusted DSC and LTV
figures exclude the two specially serviced loans and four credit-
impaired loans. S&P estimated losses separately for these six
loans ($124.7 million, 8.5%). Based on the servicer-reported DSC
figures, S&P calculated a weighted average DSC of 0.62x for these
six loans. Sixteen loans (19.9%) are on the master servicer's
watchlist, including two of the top 10 loans. Eighteen loans
($277.9 million, 18.9%) have a reported DSC below 1.10x, and nine
of these loans ($145.5 million, 9.9%) have a reported DSC of less
than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$628.3 million (42.7%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.41x for the top 10 loans.
S&P's adjusted DSC and LTV for the top 10 loans were 1.37x and
118.6%, respectively. S&P's DSC and LTV calculations exclude one
top 10 loan, currently on the watchlist, that S&P deemed to be
credit-impaired.
The credit-impaired loan and the other top 10 loan on the
watchlist are discussed below.
The Sheraton Park Hotel-Anaheim, Calif. loan ($65.0 million, 4.4%)
is the third-largest loan in the pool and the largest loan on the
watchlist. The loan was current in its debt service payments as
of the September 2009 remittance report. The loan appears on the
servicer's watchlist because the DSC is below 1.10x. The loan is
secured by a first mortgage encumbering the fee interest in a 490-
room full-service hotel located in the city of Anaheim in Orange
County, Calif., approximately 30 miles southeast of the Los
Angeles central business district. Due to the economic downturn,
the hotel's occupancy and average daily rate declined since
issuance. The June 30, 2009, DSC was 0.43x, down from 1.38x at
issuance. Due to the ongoing occupancy issues and low DSC, S&P
deemed the loan to be credit-impaired.
The 2100 Ross loan is the fifth-largest loan in the pool and the
second-largest loan on the watchlist. The loan has a trust
balance of $61.0 million (4.1 %) and a whole-loan balance of
$71.0 million. The loan appears on the servicer's watchlist due
to the recent loss of the largest tenant at the property, Ernst &
Young (244,000 sq. ft., 29% of the net rentable area {NRA}). The
loan is secured by a first mortgage encumbering a 34-story,
843,728-sq.-ft. office building in downtown Dallas. Constructed
in 1982 and renovated in 2003, the property comprises 829,606 sq.
ft. of office space and 19,757 sq. ft. of retail/storage space.
Current occupancy at the property is 64%, down from 94% at
issuance. Year-end 2008 DSC was 1.68x, compared with 1.64x at
issuance. With the departure of the largest tenant, S&P expects
the DSC based upon net operating income to fall to approximately
1.04x.
Standard & Poor's stressed the 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
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C34
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-3 A AAA/Watch Neg 30.13
A-1A A AAA/Watch Neg 30.13
A-M BBB- AAA/Watch Neg 20.09
A-J BB AAA/Watch Neg 14.06
B BB- AA+/Watch Neg 12.81
C B+ AA/Watch Neg 11.68
D B+ AA-/Watch Neg 10.55
E B+ A+/Watch Neg 9.79
F B A/Watch Neg 8.91
G B A-/Watch Neg 7.78
H B- BBB+/Watch Neg 6.53
J B- BBB/Watch Neg 5.27
K CCC+ BBB-/Watch Neg 4.27
L CCC BB+/Watch Neg 3.52
M CCC- BB/Watch Neg 3.14
N CCC- BB-/Watch Neg 2.64
O CCC- B+/Watch Neg 2.39
P CCC- B/Watch Neg 2.13
Q CCC- B-/Watch Neg 1.76
Ratings Affirmed
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C34
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.13
A-2 AAA 30.13
A-PB AAA 30.13
IO AAA N/A
N/A - Not applicable.
WASATCH CLO: Moody's Downgrades Ratings on Various Classes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Wasatch CLO Ltd.:
-- US$60,000,000 Class A-1a Senior Secured Floating Rate Notes
due 2022 (current balance of $59,652,628.86), Downgraded to
A1; previously on Nov. 14, 2006 Assigned Aaa
-- US$429,000,000 Class A-1b Senior Secured Floating Rate Notes
due 2022 (current balance of $423,537,229.40), Downgraded to
A1; previously on Nov. 14, 2006 Assigned Aaa
-- US$24,500,000 Class A-2 Senior Secured Floating Rate Notes
due 2022, Downgraded to Baa1; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade
-- US$42,500,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2022, Downgraded to Ba2; previously on March 17,
2009 Downgraded to Baa3 and Remained On Review for Possible
Downgrade
-- US$29,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2022, Downgraded to Caa2; previously on March 17,
2009 Downgraded to B1 and Remained On Review for Possible
Downgrade
-- US$13,000,000 Class D Secured Deferrable Floating Rate Notes
due 2022 (current balance of $13,295,048.99), Downgraded to
C; previously on March 17, 2009 Downgraded to B3 and Remained
On Review for Possible Downgrade
-- US$7,500,000 Type I Composite Notes due 2022 (rated balance
of $5,414,717.78), Downgraded to B2; previously on March 4,
2009 Baa2 Placed Under Review for Possible Downgrade
-- US$13,500,000 Type II Composite Notes due 2022 (rated balance
of $9,829,086.79), Downgraded to Ba2; previously on March 4,
2009 Baa2 Placed Under Review for Possible Downgrade
-- US$10,000,000 Type III Composite Notes due 2022 (rated
balance of $6,881,207.49), Downgraded to B3; previously on
March 4, 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. 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 Weighting Test, the
Class C Overcollateralization test, the Class D
Overcollateralization test. In particular, the weighted average
rating factor has increased over the last year and is currently
2798 versus a test level of 2785 as of the last trustee report,
dated August 31, 2009. Based on the same report, defaulted
securities total about $61 million, accounting for roughly 10% of
the collateral balance, and securities rated Caa1 or lower make up
approximately 10% 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 B and Class C
Overcollateralization tests.
The rating actions also reflect 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. Other assumptions used in
Moody's CLO monitoring are described in the publication "CLO
Ratings Surveillance Brief - Second Quarter 2009," dated 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, diversity score, and weighted average
recovery rate, may be different from the trustee's reported
numbers.
Wasatch CLO Ltd., issued in 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.
WHATELY CDO: Fitch Affirms Ratings on Three Classes of Notes
------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed three classes of
notes issued by Whately CDO, Ltd./Inc.
These rating actions are the result of continued credit
deterioration in the portfolio since Fitch's last rating action in
August 2008. Approximately 60.8% of the portfolio has been
downgraded since the last review, with about 26.8% of the
portfolio downgraded since June 1, 2009.
The downgrades to the portfolio have left approximately 51.3% of
the portfolio with a Fitch derived rating below investment grade
and 34.9% with a rating in the 'CCC' rating category or lower,
compared to 34.1% and 25.1%, respectively, when Fitch took its
last rating action.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs'. The
class A-1A notes are downgraded to 'CC' to reflect Fitch's opinion
that, based on the percentage of defaulted securities and the
portfolio and the performance expectations for the remainder of
the portfolio, there is a high probability the notes will default
at or prior to maturity.
The classes A-1BF, A-1BV, and A-2 notes are downgraded to 'C' and
the classes A-3, BF, and BV notes are affirmed at 'C' to indicate
Fitch's belief that default is inevitable at or prior to maturity.
Due to the decreased ability by the underlying assets to generate
interest, principal has been used to pay interest to the classes
A-1A, A-1B, and A-2 notes. Fitch expects that more principal will
be used in the future to service interest of these classes as a
higher proportion of the underlying assets are expected to stop
generating interest.
Whately is a structured finance collateralized debt obligation
that closed on June 9, 2004. The portfolio is monitored by Babson
Capital Management LLC. The portfolio is composed primarily of
residential mortgage-backed securities (75.4%), commercial
mortgage-backed securities (12.3%), asset-backed securities
(6.6%), and 5.7% CDOs.
Fitch has downgraded and affirmed these classes as applicable:
Whately CDO, Ltd./Inc.
-- $135,941,904 class A-1A notes downgraded to 'CC' from 'A-';
-- $6,000,000 class A-1BF notes downgraded to 'C' from 'B-';
-- $51,000,000 class A-1BV notes downgraded to 'C' from 'B-';
-- $27,000,000 class A-2 notes downgraded to 'C' from 'CCC';
-- $13,185,534 class A-3 notes affirmed at 'C';
-- $4,604,448 class BF notes affirmed at 'C';
-- $11,322,632 class BV notes affirmed at 'C'.
WIND RIVER: Moody's Downgrades Ratings on Seven Classes of Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Wind River CLO I, Ltd.:
-- US$365,000,000 Class A-1 Senior Secured Floating Rate Notes,
Due 2016, Downgraded to A1; previously on December 9, 2004
Assigned Aaa;
-- US$23,000,000 Class A-2 Senior Secured Floating Rate Notes,
Due 2016, Downgraded to Baa2; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- US$25,000,000 Class B-1 Senior Secured Deferrable Floating
Rate Notes, Due 2016, Downgraded to Ba2; previously on
March 18, 2009 Downgraded to Baa3 and Placed Under Review for
Possible Downgrade;
-- US$7,000,000 Class B-2 Senior Secured Deferrable Fixed Rate
Notes, Due 2016, Downgraded to Ba2; previously on March 18,
2009 Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$15,000,000 Class C-1 Senior Secured Deferrable Floating
Rate Notes, Due 2016, Downgraded to Caa2; previously on
March 18, 2009 Downgraded to Ba3 and Placed Under Review for
Possible Downgrade;
-- US$12,000,000 Class C-2 Senior Secured Deferrable Fixed Rate
Notes, Due 2016, Downgraded to Caa2; previously on March 18,
2009 Downgraded to Ba3 and Placed Under Review for Possible
Downgrade;
-- US$9,000,000 Class D Secured Deferrable Fixed Rate Notes, Due
2016, Downgraded to Caa3; previously on March 18, 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. 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 2784 versus a test
level of 2673 as of the last trustee report, dated September 14,
2009. Based on the same report, defaulted securities currently
held in the portfolio total about $47.7 million, accounting for
roughly 10% of the collateral balance, and securities rated Caa1
or lower make up approximately 14% of the underlying portfolio.
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.
Finally, Moody's noted that the portfolio includes a number of
investments in securities that mature after the maturity date of
the notes. These investments potentially expose the notes to
market risk in the event of liquidation at the time of the notes'
maturity.
The rating actions also reflect 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
Wind River CLO I, Ltd., issued in December of 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.
WIND RIVER: Moody's Downgrades Ratings on Eight Classes of Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes issued by Wind River CLO II -- Tate
Investors, Ltd.:
-- US$397,000,000 Class A-1 Senior Secured Floating Rate Notes,
Due 2017, Downgraded to Aa3; previously on September 9, 2005
Assigned Aaa;
-- US$32,500,000 Class A-2 Senior Secured Floating Rate Notes,
Due 2017, Downgraded to Baa1; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- US$24,250,000 Class B-1 Senior Secured Deferrable Floating
Rate Notes, Due 2017, Downgraded to Ba2; previously on March
18, 2009 Downgraded to Baa3 and Placed Under Review for
Possible Downgrade;
-- US$9,750,000 Class B-2 Senior Secured Deferrable Fixed Rate
Notes, Due 2017, Downgraded to Ba2; previously on March 18,
2009 Downgraded to Baa3 and Placed Under Review for Possible
Downgrade;
-- US$29,000,000 Class C Senior Secured Deferrable Floating Rate
Notes, Due 2017, Downgraded to Caa2; previously on March 18,
2009 Downgraded to Ba3 and Placed Under Review for Possible
Downgrade;
-- US$12,250,000 Class D-1 Secured Deferrable Floating Rate
Notes, Due 2017, Downgraded to Caa3; previously on March 18,
2009 Downgraded to B3 and Placed Under Review for Possible
Downgrade;
-- US$4,250,000 Class D-2 Secured Deferrable Fixed Rate Notes,
Due 2017, Downgraded to Caa3; previously on March 18, 2009
Downgraded to B3 and Placed Under Review for Possible
Downgrade;
-- US$8,900,000 Type II Composite Obligations, Due 2017 (rated
balance of $7,993,349), Downgraded to B1; previously on
March 4, 2009 Baa2 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. 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. Based on the trustee report dated September 1, 2009,
defaulted securities currently held in the portfolio total about
$46.4 million, accounting for roughly 8.4% of the collateral
balance, and securities rated Caa1 or lower make up approximately
12% of the underlying portfolio. Moody's notes that the weighted
average rating factor has increased over the last year and is
currently 2779 as of the same trustee report.
The rating actions also reflect 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 monitoring are described in the publication
"CLO Ratings Surveillance Brief - Second Quarter 2009," dated
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, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers.
Wind River CLO II -- Tate Investors, Ltd., issued in September 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.
* Fitch Downgrades Ratings on 748 Bonds From 479 RMBS Deals to 'D'
------------------------------------------------------------------
Fitch Ratings has downgraded 748 bonds in 479 residential
mortgage-backed securities transactions to 'D' indicating that the
bond has incurred a principal write-down. The bonds being
downgraded to 'D' as part of this review were all previously rated
'CCC','CC' or 'C' indicating that a default was expected. The
action is limited to just the bonds with write-downs. The
remaining bonds in these transactions have not been analyzed as
part of this review.
Of the 748 bonds impacted by these downgrades 357 are subprime,
177 are Alt-A, 123 are second-lien, and 72 are in scratch and dent
transactions. The remaining 19 bonds are in other transaction
types.
Fitch downgrades bonds to 'D' as part of the ongoing surveillance
process and will continue to monitor these transactions for
additional defaults.
The spreadsheet also contains Fitch's Recovery Ratings. 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.
* S&P Downgrades Ratings on 148 Classes from 13 RMBS Transactions
-----------------------------------------------------------------
* Standard & Poor's Ratings Services lowered its ratings on 148
classes from 13 residential mortgage-backed securities
transactions backed by U.S. subprime mortgage loan collateral
issued between 2005 and 2007. S&P removed 89 of the lowered
ratings from CreditWatch with negative implications. In addition,
S&P affirmed its ratings on 21 other classes from nine of the
transactions with lowered ratings, and S&P removed nine of the
affirmed ratings from CreditWatch negative.
Standard & Poor's has established loss projections for each
subprime transaction rated in 2005 and 2006. S&P derived these
losses using the criteria that S&P outlined in "Standard & Poor's
Revises U.S. Subprime And Alternative-A RMBS Loss Assumptions For
Transactions Issued In 2005, 2006, And 2007," published July 6,
2009. S&P changed its lifetime projected losses for some of the
transactions in this release:
Orig. bal. Lifetime
Transaction (mil. $) exp. loss (%)
----------- ---------- -------------
ACE Sec. Corp. Home Eq. Ln. Tr. 2006-NC3 1,501 51.76
Bear Stearns Asset Bkd. Sec. I Tr. 2005-CL1 279 14.16
CWABS Asset-Backed Cert. Tr. 2005-BC5 950 19.17
CWABS Asset-Backed Cert. Trust 2005-17 900 30.32
CWABS Asset-Backed Cert. Trust 2005-17 1,700 27.51
CWABS Asset-Backed Cert. Trust 2006-13 450 41.71
CWABS Asset-Backed Cert. Trust 2006-13 1,200 37.73
CWABS Asset-Backed Cert. Trust 2006-11 700 36.80
CWABS Asset-Backed Cert. Trust 2006-11 1,180 38.28
Encore Credit Receivables Trust 2005-2 1,400 10.17
Home Equity Asset Trust 2005-4 1,150 13.02
Structured Asset Sec. Corp. Tr. 2005-SC1 399 10.83
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings given its current projected losses.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating on a class, S&P assessed whether, in its
view, a class could absorb the base-case loss assumptions S&P used
in its analysis. In order to maintain a rating higher than 'B',
S&P assessed whether the class could withstand losses exceeding
the base-case assumption at a percentage specific to each rating
category, up to 150% for a 'AAA' rating. For example, in general,
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. Each class with an affirmed 'AAA'
rating can, in S&P's view, withstand approximately 150% of its
base-case loss assumptions under S&P's analysis.
S&P also lowered its ratings on certain senior classes due to
principal shortfalls/write-downs in the final period of particular
cash flow scenarios. These classes may not have experienced any
principal shortfalls/write-downs in any of the prior periods of
the particular stress scenario; however, the structural mechanics
of the transaction created circumstances in which one or more
classes within a transaction may have relied on principal proceeds
to satisfy interest amounts due in earlier periods, resulting in a
write-down in the final period.
Structures that utilize cross-collateralization and contain
multiple loan groups oftentimes use principal to satisfy interest
obligations. Based on certain stress scenarios, if a particular
group is performing worse than another group or set of groups,
that group can become undercollateralized when S&P compares the
group collateral balance with the related senior class balance(s).
Based on the defined interest amount needed to satisfy the
interest liability of the related class(es), interest shortfalls
may occur because a group collateral balance is insufficient to
produce the necessary interest obligations of the related
liabilities. Generally, cross-collateralization is designed to
allow overcollateralized groups to provide cash flow to
undercollateralized groups in order to mitigate this issue.
However, if the overcollateralized group has a pass-through rate
that is lower than the pass-through rate of the
undercollateralized group, available interest may not be
sufficient to satisfy the undercollateralized group's interest
requirement. Therefore, the principal portion of available funds
may be used to satisfy interest obligations based on the interest-
principal payment priority within the structure.
In the final period, a situation may occur in which available
funds are not sufficient to satisfy the interest and principal
requirements necessary to pay the bond in full, because, in prior
periods, principal was used to satisfy interest obligations.
Additionally, in some cases, even super-senior certificates can be
exposed to this issue due to the fact that structures may pay
principal pro rata with senior support classes. Although the
senior class was not exposed to a write-down in any of the prior
periods, it could be susceptible to a write-down in the final
period due to the aforementioned issues.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
Subordination provides credit support for the affected
transactions. In addition, some classes also benefit from
overcollateralization (prior to its depletion) and excess spread.
The underlying pools of loans backing these transactions consist
of fixed- and adjustable-rate U.S. subprime mortgage loans that
are secured by first and second liens on one- to four-family
residential properties.
Rating Actions
ACE Securities Corp. Home Equity Loan Trust Series 2006-NC3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1A 00442EAC9 CCC B/Watch Neg
A-1B 00442EAD7 CCC B/Watch Neg
A-2A 00442EAE5 BB AAA/Watch Neg
A-2B 00442EAF2 CCC AA/Watch Neg
A-2C 00442EAG0 CCC BB/Watch Neg
A-2D 00442EAH8 CCC B/Watch Neg
M-2 00442EAK1 CC CCC
M-3 00442EAL9 CC CCC
M-4 00442EAM7 CC CCC
M-5 00442EAN5 CC CCC
Bear Stearns Asset Backed Securities I Trust 2005-CL1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 073879U97 A AAA/Watch Neg
A-2 073879V21 BBB AAA/Watch Neg
A-3 073879V39 A AAA/Watch Neg
M-1 073879V47 CCC AA+/Watch Neg
M-2 073879V54 CCC AA/Watch Neg
M-3 073879V62 CCC AA-/Watch Neg
M-4 073879V70 CC A+/Watch Neg
M-5 073879V88 CC BBB/Watch Neg
M-6 073879V96 CC BBB-/Watch Neg
M-7 073879W20 CC BB/Watch Neg
CWABS Asset-Backed Certificates Trust 2005-17
Rating
------
Class CUSIP To From
----- ----- -- ----
2-AV 126670QX9 CCC AAA
3-AV-1 126670QY7 BB AAA
4-AV-2A 126670RB6 B AAA
4-AV-2B 126670SK5 B AAA
4-AV-3 126670RC4 CCC AAA
MV-1 126670RD2 CCC AA+
MV-2 126670RE0 CCC AA
MV-3 126670RF7 CCC AA-
MV-4 126670RG5 CC A+
MV-5 126670RH3 CC A
MV-6 126670RJ9 CC A-
MV-7 126670RK6 CC BBB+
MV-8 126670RL4 CC BBB
BV 126670RM2 CC BBB-
1-AF-2 126670QS0 CC BBB/Watch Neg
1-AF-3 126670QT8 CC BBB/Watch Neg
1-AF-4 126670QU5 CC BBB/Watch Neg
1-AF-5 126670QV3 CC BBB/Watch Neg
BF 126670QW1 CC BB
3-AV-2 126670QZ4 CCC AAA
CWABS Asset-Backed Certificates Trust 2005-BC5
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A-1 126670MZ8 AA AAA
2-A-2 126670NA2 AA AAA/Watch Neg
M-1 126670NE4 BBB AA+
M-2 126670NF1 B AA
M-3 126670NG9 CCC AA
M-4 126670NH7 CCC AA-
M-5 126670NJ3 CCC BBB
M-6 126670NK0 CCC B
M-7 126670NL8 CC CCC
M-8 126670NM6 CC CCC
B 126670NN4 CC CCC
CWABS Asset-Backed Certificates Trust 2006-11
Rating
------
Class CUSIP To From
----- ----- -- ----
1-AF-2 12666TAB2 CC CCC
1-AF-3 12666TAC0 CC CCC
1-AF-4 12666TAD8 CC CCC
1-AF-5 12666TAE6 CC CCC
1-AF-6 12666TAF3 CC CCC
2-AV 12666TAG1 CCC AAA/Watch Neg
3-AV-2 12666TAJ5 CCC AAA/Watch Neg
3-AV-3 12666TAK2 CCC AAA/Watch Neg
MV-1 12666TAL0 CCC AA+/Watch Neg
MV-2 12666TAM8 CCC AA/Watch Neg
MV-3 12666TAN6 CCC AA-/Watch Neg
MV-4 12666TAP1 CC BB/Watch Neg
MV-5 12666TAQ9 CC B/Watch Neg
MV-6 12666TAR7 CC B/Watch Neg
MV-7 12666TAS5 CC CCC
MV-8 12666TAT3 CC CCC
BV 12666TAU0 CC CCC
CWABS Asset-Backed Certificates Trust 2006-13
Rating
------
Class CUSIP To From
----- ----- -- ----
1-AF-1 23242EAA7 B BBB+/Watch Neg
1-AF-2 23242EAB5 CC BBB+/Watch Neg
1-AF-3 23242EAC3 CC BBB+/Watch Neg
1-AF-4 23242EAD1 CC BBB+/Watch Neg
1-AF-5 23242EAE9 CC BBB+/Watch Neg
1-AF-6 23242EAF6 CC BBB+/Watch Neg
2-AV 23242EAG4 CCC AAA/Watch Neg
3-AV-2 23242EAJ8 CCC AAA/Watch Neg
MV-1 23242EAL3 CCC AA+/Watch Neg
MV-2 23242EAM1 CCC AA/Watch Neg
MV-3 23242EAN9 CCC AA/Watch Neg
MV-4 23242EAP4 CCC AA-/Watch Neg
MV-5 23242EAQ2 CC A+/Watch Neg
MV-6 23242EAR0 CC BBB/Watch Neg
MV-7 23242EAS8 CC B/Watch Neg
MV-8 23242EAT6 CC CCC
BV 23242EAU3 CC CCC
3-AV-3 23242EAK5 CCC AAA/Watch Neg
Encore Credit Receivables Trust 2005-2
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 126673H39 AAA AAA/Watch Neg
2-A-4 126673H88 AAA AAA/Watch Neg
M-1 126673H96 AA+ AA+/Watch Neg
M-2 126673J29 AA AA/Watch Neg
M-3 126673J37 AA AA/Watch Neg
M-4 126673J45 BB AA/Watch Neg
M-5 126673J52 CCC AA-/Watch Neg
M-6 126673J60 CC A/Watch Neg
Home Equity Asset Trust 2005-4
Rating
------
Class CUSIP To From
----- ----- -- ----
M-4 437084LP9 A AA-
M-5 437084LQ7 BB A
M-6 437084LR5 CCC BB
M-7 437084LS3 CC CCC
B-1 437084LT1 CC CCC
Home Equity Asset Trust 2006-7
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 43709NAA1 CCC B/Watch Neg
2-A-1 43709NAB9 AAA AAA/Watch Neg
2-A-2 43709NAC7 A A/Watch Neg
2-A-3 43709NAD5 B- BB/Watch Neg
2-A-4 43709NAE3 CCC B/Watch Neg
M-1 43709NAG8 CC B-/Watch Neg
JPMorgan Mortgage Acquisition Trust 2006-CH2
Rating
------
Class CUSIP To From
----- ----- -- ----
AF-1a 46629QAA4 AA AAA/Watch Neg
AF-1b 46629QAB2 AA AAA/Watch Neg
AF-2 46629QAC0 CCC AAA/Watch Neg
AF-3 46629QAD8 CCC AAA/Watch Neg
AF-4 46629QAE6 CCC AAA/Watch Neg
AF-5 46629QAF3 CCC AAA/Watch Neg
AF-6 46629QAG1 CCC AAA/Watch Neg
MF-1 46629QAH9 CCC AA+/Watch Neg
MF-2 46629QAJ5 CCC AA/Watch Neg
MF-3 46629QAK2 CCC AA-/Watch Neg
MF-4 46629QAL0 CCC BBB+/Watch Neg
MF-5 46629QAM8 CCC BB/Watch Neg
MF-6 46629QAN6 CC B/Watch Neg
MF-7 46629QAP1 CC CCC
MF-8 46629QAQ9 CC CCC
MF-9 46629QAR7 CC CCC
AV-1 46629QAS5 CCC AAA/Watch Neg
AV-2 46629QAT3 AAA AAA/Watch Neg
AV-3 46629QAU0 CCC AAA/Watch Neg
AV-4 46629QAV8 CCC AAA/Watch Neg
AV-5 46629QAW6 CCC AAA/Watch Neg
MV-1 46629QAX4 CCC AA+/Watch Neg
MV-2 46629QAY2 CCC AA/Watch Neg
MV-3 46629QAZ9 CCC AA-/Watch Neg
MV-4 46629QBA3 CC A+/Watch Neg
MV-5 46629QBB1 CC A/Watch Neg
MV-6 46629QBC9 CC BBB/Watch Neg
MV-7 46629QBD7 CC BB/Watch Neg
MV-8 46629QBE5 CC B/Watch Neg
MV-9 46629QBF2 CC CCC
Structured Asset Securities Corporation Mortgage Loan Trust
2006-BC4
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 86359RAA4 CCC B
A3 86359RAC0 AA AAA
A4 86359RAD8 CCC BB
A5 86359RAE6 CCC B
M2 86359RAG1 CC CCC
M3 86359RAH9 CC CCC
Structured Asset Securities Corporation Mortgage Loan Trust
2007-BC1
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 86362PAA3 CCC AAA/Watch Neg
A2 86362PAB1 AAA AAA/Watch Neg
A3 86362PAC9 BBB- AAA/Watch Neg
A4 86362PAD7 CCC AAA/Watch Neg
A5 86362PAE5 CCC AAA/Watch Neg
A6 86362PAF2 CCC AAA/Watch Neg
M1 86362PAG0 CCC BBB/Watch Neg
M2 86362PAH8 CCC B/Watch Neg
M3 86362PAJ4 CC B/Watch Neg
M4 86362PAK1 CC CCC
M5 86362PAL9 CC CCC
M6 86362PAM7 CC CCC
Structured Asset Securities Corporation Trust 2005-SC1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 86359DTE7 CCC AAA/Watch Neg
1-A1X 86359DTF4 CCC AAA/Watch Neg
1-A2 86359DTG2 CCC AAA/Watch Neg
B1 86359DTH0 CC B-
Ratings Affirmed
ACE Securities Corp. Home Equity Loan Trust Series 2006-NC3
Class CUSIP Rating
----- ----- ------
M-1 00442EAJ4 CCC
CWABS Asset-Backed Certificates Trust 2005-BC5
Class CUSIP Rating
----- ----- ------
1-A 126670MY1 AAA
3-A-2 126670NC8 AAA
3-A-3 126670ND6 AAA
CWABS Asset-Backed Certificates Trust 2006-11
Class CUSIP Rating
----- ----- ------
1-AF-1 12666TAA4 CCC
Home Equity Asset Trust 2005-4
Class CUSIP Rating
----- ----- ------
1-A-2 437084LE4 AAA
2-A-3 437084LH7 AAA
M-1 437084LL8 AA+
M-2 437084LM6 AA
M-3 437084LN4 AA
Structured Asset Securities Corporation Mortgage Loan Trust
2006-BC4
Class CUSIP Rating
----- ----- ------
A2 86359RAB2 AAA
M1 86359RAF3 CCC
* S&P Downgrades Ratings on 159 Classes From 23 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 159
classes from 23 residential mortgage-backed securities
transactions backed by U.S. subprime mortgage loan collateral
issued in 2006 and 2007. S&P removed 105 of the lowered ratings
from CreditWatch with negative implications. In addition, S&P
affirmed its ratings on 38 other classes from 19 of the
transactions with lowered ratings, and S&P removed 20 of the
affirmed ratings from CreditWatch negative.
Standard & Poor's has established loss projections for all
subprime transactions rated in 2006 and 2007. S&P derived these
losses using the criteria that S&P outlined in "Standard & Poor's
Revises U.S. Subprime And Alternative-A RMBS Loss Assumptions For
Transactions Issued In 2005, 2006, And 2007," published July 6,
2009. S&P changed its lifetime projected losses for these two
transactions:
Orig. bal. Lifetime
Transaction (mil. $) exp. loss (%)
----------- ---------- -------------
ACE Sec. Corp. Home Eq. Loan Tr. 2006-NC2 885 45.15
Bear Stearns Asset Bckd Secs Trust 2006-4 202 46.52
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings given its current projected losses.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating on a class, S&P assessed whether, in S&P's
view, a class could absorb the base-case loss assumptions we
used in S&P's analysis. In order to maintain a rating higher than
'B', S&P assessed whether the class could withstand losses
exceeding the base-case assumption at a percentage specific to
each rating category, up to 150% for a 'AAA' rating. For example,
in general, 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. Each class with an
affirmed 'AAA' rating can, in S&P's view, withstand approximately
150% of S&P's base-case loss assumptions under its analysis.
S&P also lowered its ratings on certain senior classes due to
principal shortfalls/write-downs in the final period of particular
cash flow scenarios. These classes may not have experienced any
principal shortfalls/write-downs in any of the prior periods of
the particular stress scenario; however, the structural mechanics
of the transaction created circumstances in which one or more
classes within a transaction may have relied on principal proceeds
to satisfy interest amounts due in earlier periods, thus resulting
in a write-down in the final period.
The use of principal to satisfy interest obligations is generally
created within structures that utilize cross-collateralization and
contain multiple loan groups. Based on certain stress scenarios,
if a particular group is performing worse than another group or
set of groups, that group can become undercollateralized when S&P
compare the group collateral balance with the related senior class
balance(s). Based on the defined interest amount needed to
satisfy the interest liability of the related class(es), interest
shortfalls may occur due to a group collateral balance that is
insufficient to produce the necessary interest obligations of the
related liabilities. Generally, cross-collateralization is
designed to allow overcollateralized groups to provide cash flow
to undercollateralized groups in order to mitigate this issue.
However, if the overcollateralized group has a pass-through rate
that is lower than the pass-through rate of the
undercollateralized group, available interest may not be
sufficient to satisfy the undercollateralized group's interest
requirement. Therefore, the principal portion of available funds
may be used to satisfy interest obligations based on the
interest-principal payment priority within the structure.
In the final period, a situation may occur in which available
funds are not sufficient to satisfy the interest and principal
requirements necessary to pay the bond in full, as principal in
prior periods was used to satisfy interest obligations.
Additionally, in some cases, even super-senior certificates can be
exposed to this issue due to the fact that structures may pay
principal pro rata with senior support classes. Although the
senior class was not exposed to a write-down in any of the prior
periods, the senior class could be susceptible to a write-down in
the final period due to the aforementioned issues.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
Subordination provides credit support for the affected
transactions. In addition, some classes also benefit from
overcollateralization (prior to its depletion) and excess spread.
The underlying pools of loans backing these transactions consist
of fixed- and adjustable-rate U.S. subprime mortgage loans that
are secured by first and second liens on one- to four-family
residential properties.
Rating Actions
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC2
Series 2006-NC2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 00441XAA2 CCC AAA/Watch Neg
A-2B 00441XAC8 CCC AAA/Watch Neg
A-2C 00441XAD6 CCC AAA/Watch Neg
A-2D 00441XAE4 CCC AAA/Watch Neg
M-1 00441XAF1 CCC BB/Watch Neg
M-2 00441XAG9 CCC B/Watch Neg
M-3 00441XAH7 CC B-/Watch Neg
M-4 00441XAJ3 CC CCC
M-5 00441XAK0 CC CCC
M-6 00441XAL8 CC CCC
Ace Securities Corp. Home Equity Loan Trust, Series 2006-OP2
Series 2006-OP2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 00441YAA0 A- AA/Watch Neg
A-2A 00441YAB8 AAA AAA/Watch Neg
A-2B 00441YAC6 BBB+ AAA/Watch Neg
A-2C 00441YAD4 BBB AA/Watch Neg
A-2D 00441YAE2 BBB A/Watch Neg
M-1 00441YAF9 B- BBB/Watch Neg
M-2 00441YAG7 CCC B/Watch Neg
M-4 00441YAJ1 CC CCC
M-5 00441YAK8 CC CCC
M-6 00441YAL6 CC CCC
Asset Backed Securities Corporation Home Equity Loan Trust
Series AMQ 2006-HE7
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 04544QAA5 BB BB/Watch Neg
A-3 04544QAC1 AAA AAA/Watch Neg
A-4 04544QAD9 BB+ A/Watch Neg
A5 04544QAE7 BB BB/Watch Neg
M1 04544QAF4 CCC B/Watch Neg
Bear Stearns Asset Bckd Secs Trust 2006-4
Series 2006-4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 07389LAA7 CCC AAA/Watch Neg
A-2 07389LAB5 CCC AAA/Watch Neg
A-3 07389LAC3 CCC AAA/Watch Neg
M-1 07389LAD1 CC B/Watch Neg
M-2 07389LAE9 CC B-/Watch Neg
M-3 07389LAF6 CC CCC
M-4 07389LAG4 CC CCC
M-5 07389LAH2 CC CCC
BNC Mtg Ln Trust 2006-2
Series 2006-2
Rating
------
Class CUSIP To From
----- ----- -- ----
A4 055683AD8 CCC B
M1 055683AF3 CC CCC
Citigroup Mortgage Loan Trust 2006-HE3
Series 2006-HE3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 17310VAT7 CCC B/Watch Neg
A-2A 17310VAA8 AAA AAA/Watch Neg
A-2B 17310VAB6 CCC AAA/Watch Neg
A-2C 17310VAC4 CCC BB/Watch Neg
A-2D 17310VAD2 CCC B/Watch Neg
M-2 17310VAF7 CC CCC
M-3 17310VAG5 CC CCC
Fieldstone Mortgage Investment Trust, Series 2006-3
Series 2006-3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 316599AA7 BBB- A/Watch Neg
2-A1 316599AB5 AAA AAA/Watch Neg
2-A2 316599AC3 B- AAA/Watch Neg
2-A3 316599AD1 B- A/Watch Neg
2-A4 316599AE9 B- A/Watch Neg
M1 316599AF6 CCC B/Watch Neg
M2 316599AG4 CCC B-/Watch Neg
M3 316599AH2 D CCC
M4 316599AJ8 D CCC
M5 316599AK5 D CCC
M6 316599AL3 D CCC
M7 316599AM1 D CC
M8 316599AN9 D CC
M9 316599AP4 D CC
M10 316599AQ2 D CC
Home Equity Asset Trust 2006-8
Series 2006-8
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 43709QAA4 B- B/Watch Neg
2-A-1 43709QAB2 AAA AAA/Watch Neg
2-A-2 43709QAC0 BBB AA/Watch Neg
2-A-3 43709QAD8 B- BB/Watch Neg
2-A-4 43709QAE6 CCC B/Watch Neg
M-1 43709QAG1 CCC B-/Watch Neg
M-2 43709QAH9 CC CCC
Home Equity Asset Trust 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 43710LAA2 B- B/Watch Neg
2-A-1 43710LAB0 AAA AAA/Watch Neg
2-A-2 43710LAC8 BBB- AAA/Watch Neg
2-A-3 43710LAD6 B- A/Watch Neg
2-A-4 43710LAE4 CCC B/Watch Neg
M-1 43710LAF1 CC CCC
M-2 43710LAG9 CC CCC
HSI Asset Securitization Corporation Trust 2007-OPT1
Series 2007-OPT1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 40431JAA1 BBB- A/Watch Neg
II-A-1 40431JAB9 AAA AAA/Watch Neg
II-A-2 40431JAC7 BBB AAA/Watch Neg
II-A-3 40431JAD5 BB+ A/Watch Neg
II-A-4 40431JAE3 BB+ BBB/Watch Neg
M-1 40431JAF0 B- B/Watch Neg
M-5 40431JAK9 CC CCC
M-6 40431JAL7 CC CCC
M-7 40431JAM5 CC CCC
JPMorgan Mortgage Acquisition Trust 2006-WF1
Series 2006-WF1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2-A 46628SAC7 A- AAA/Watch Neg
A-2-B 46628SAD5 A- AAA/Watch Neg
A-3-A 46628SAE3 CCC BBB/Watch Neg
A-3-B 46628SAF0 CCC BBB/Watch Neg
A-4 46628SAG8 CCC B-/Watch Neg
A-5 46628SAH6 CCC B-/Watch Neg
A-6 46628SAJ2 CCC B-/Watch Neg
M-1 46628SAK9 CC CCC
M-2 46628SAL7 CC CCC
M-3 46628SAM5 CC CCC
JPMorgan Mortgage Acquisition Trust 2006-WMC3
Series 2006-WMC3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1SS 46629KAA7 CCC AA/Watch Neg
A-1MZ 46629KAB5 CCC B/Watch Neg
A-2 46629KAC3 AAA AAA/Watch Neg
A-3 46629KAD1 CCC AAA/Watch Neg
A-4 46629KAE9 CCC BB/Watch Neg
A-5 46629KAF6 CCC B/Watch Neg
M-1 46629KAG4 CC CCC
Long Beach Mortgage Loan Trust 2006-10
Series 2006-10
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 54251YAA6 CCC B/Watch Neg
II-A1 54251YAB4 AAA AAA/Watch Neg
II-A2 54251YAC2 CCC AA/Watch Neg
II-A3 54251YAD0 CCC B/Watch Neg
II-A4 54251YAE8 CCC B/Watch Neg
M-1 54251YAF5 CC CCC
Long Beach Mortgage Loan Trust 2006-8
Series 2006-8
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A1 54251UAB2 AAA AAA/Watch Neg
II-A2 54251UAC0 CCC BBB/Watch Neg
M-1 54251UAF3 CC CCC
Merrill Lynch Mortgage Investors Trust, Series 2006-RM4
Series 2006-RM4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 59023QAA9 CC B/Watch Neg
A-2A 59023QAB7 CC AAA/Watch Neg
A-2B 59023QAC5 CC AAA/Watch Neg
A-2C 59023QAD3 CC B/Watch Neg
A-2D 59023QAE1 CC B/Watch Neg
Merrill Lynch Mtg Investors Trust Series 2006-OPT1
Series 2006-OPT1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 59022VAA9 BBB- AAA/Watch Neg
A-2A 59022VAB7 AAA AAA/Watch Neg
A-2B 59022VAC5 A AAA/Watch Neg
A-2C 59022VAD3 BB+ AAA/Watch Neg
A-2D 59022VAE1 BB+ AAA/Watch Neg
M-1 59022VAF8 CCC B/Watch Neg
M-2 59022VAG6 CCC B-/Watch Neg
M-4 59022VAJ0 CC CCC
M-5 59022VAK7 CC CCC
NovaStar Mortgage Funding Trust Series 2006-6
Series 2006-6
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1A 66988RAA5 CCC AAA/Watch Neg
A-2A 66988RAB3 AAA AAA/Watch Neg
A-2B 66988RAC1 CCC AAA/Watch Neg
A-2C 66988RAD9 CCC AAA/Watch Neg
A-2D 66988RAE7 CCC AAA/Watch Neg
I 66988RBD8 AAA AAA/Watch Neg
M-1 66988RAF4 CCC A/Watch Neg
M-2 66988RAG2 CC BBB/Watch Neg
M-3 66988RAH0 CC BB/Watch Neg
M-4 66988RAJ6 CC B/Watch Neg
M-5 66988RAK3 CC CCC
M-6 66988RAL1 CC CCC
M-7 66988RAM9 CC CCC
Renaissance Home Equity Loan Trust 2006-3
Series 2006-3
Rating
------
Class CUSIP To From
----- ----- -- ----
AV3 75971EAC0 B- BBB
AF2 75971EAE6 BBB- AAA
AF3 75971EAF3 B- A
AF4 75971EAG1 B- BBB
AF5 75971EAH9 B- BBB
AF6 75971EAJ5 B- BBB
M-1 75971EAK2 CCC B
Securitized Asset Backed Receivables LLC Trust 2007-NC1
Series 2007-NC1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 81378AAA9 BB A/Watch Neg
A-2A 81378AAB7 AAA AAA/Watch Neg
A-2B 81378AAC5 B+ A/Watch Neg
A-2C 81378AAD3 B+ BBB/Watch Neg
M-1 81378AAE1 CCC B/Watch Neg
M-2 81378AAF8 CC CCC
Securitized Asset Bckd Rec LLC Trust 2006-NC3
Series 2006-NC3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 81377CAM0 CCC BB/Watch Neg
A-2A 81377CAA6 AAA AAA/Watch Neg
A-2B 81377CAB4 CCC BBB/Watch Neg
A-2C 81377CAC2 CCC BB/Watch Neg
M1 81377CAD0 CC B/Watch Neg
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2006-BC5
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 86359SAA2 CCC BBB/Watch Neg
A2 86359SAB0 AAA AAA/Watch Neg
A3 86359SAC8 BBB- AAA/Watch Neg
A4 86359SAD6 CCC A/Watch Neg
A5 86359SAE4 CCC BBB/Watch Neg
M1 86359SAF1 CC B/Watch Neg
M2 86359SAG9 CC CCC
M3 86359SAH7 CC CCC
Structured Asset Securities Corporation Mortgage Loan Trust
Series 2006-BC6
Rating
------
Class CUSIP To From
----- ----- -- ----
A1 86362VAA0 CCC AA/Watch Neg
A2 86362VAB8 AAA AAA/Watch Neg
A3 86362VAC6 BBB+ AAA/Watch Neg
A4 86362VAD4 CCC AA/Watch Neg
A5 86362VAE2 CCC AA/Watch Neg
M1 86362VAF9 CCC B/Watch Neg
M2 86362VAG7 CC B-/Watch Neg
M3 86362VAH5 CC CCC
M4 86362VAJ1 CC CCC
M5 86362VAK8 CC CCC
Washington Mutual Asset-Backed Certificates WMABS
Series 2006-HE3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 93934MAA5 CCC AA/Watch Neg
2-A-1 93934MAB3 AAA AAA/Watch Neg
2-A-2 93934MAC1 B- AAA/Watch Neg
2-A-3 93934MAD9 CCC AA/Watch Neg
2-A-4 93934MAE7 CCC A/Watch Neg
M-1 93934MAF4 CCC B/Watch Neg
M-2 93934MAG2 CCC B-/Watch Neg
M-3 93934MAH0 CC CCC
M-4 93934MAJ6 CC CCC
M-5 93934MAK3 CC CCC
Ratings Affirmed
Ace Securities Corp. Home Equity Loan Trust, Series 2006-OP2
Series 2006-OP2
Class CUSIP Rating
----- ----- ------
M-3 00441YAH5 CCC
BNC Mtg Ln Trust 2006-2
Series 2006-2
Class CUSIP Rating
----- ----- ------
A1 055683AA4 CCC
A2 055683AB2 AAA
A3 055683AC0 AAA
A5 055683AE6 CCC
Citigroup Mortgage Loan Trust 2006-HE3
Series 2006-HE3
Class CUSIP Rating
----- ----- ------
M-1 17310VAE0 CCC
HSI Asset Securitization Corporation Trust 2007-OPT1
Series 2007-OPT1
Class CUSIP Rating
----- ----- ------
M-2 40431JAG8 CCC
M-3 40431JAH6 CCC
M-4 40431JAJ2 CCC
Long Beach Mortgage Loan Trust 2006-8
Series 2006-8
Class CUSIP Rating
----- ----- ------
I-A 54251UAA4 CCC
II-A3 54251UAD8 CCC
II-A4 54251UAE6 CCC
Merrill Lynch Mtg Investors Trust Series 2006-OPT1
Series 2006-OPT1
Class CUSIP Rating
----- ----- ------
M-3 59022VAH4 CCC
Renaissance Home Equity Loan Trust 2006-3
Series 2006-3
Class CUSIP Rating
----- ----- ------
AV1 75971EAA4 AAA
AV2 75971EAB2 A
M-2 75971EAL0 CCC
M-3 75971EAM8 CCC
M-4 75971EAN6 CCC
* S&P Downgrades Ratings on Six Tranches From Two Hybrid CDO Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
tranches from two U.S. cash flow and hybrid collateralized debt
obligation transactions. The rating on one of the downgraded
tranches remains on CreditWatch with negative implications,
indicating a significant likelihood of further downgrades. In
addition, S&P affirmed its ratings on two classes from one
transaction. Lastly, S&P withdrew its rating on one tranche from
Eirles Two Ltd.'s series 92.
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 six downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $1.237 billion. One of the affected
transactions is a high-grade structured finance CDO of asset-
backed securities that was collateralized at origination primarily
by 'AAA' through 'A' rated tranches of RMBS and other SF
securities. The other transaction is a CDO of CDOs that was
collateralized at origination primarily by notes from other CDOs,
as well as by tranches from RMBS and other SF transactions.
In addition, S&P reviewed the rating assigned to Restructured
Asset Certificates w/Enhanced Returns Series 2004-13-ETrust and,
based on the current credit support available to the tranches,
have left the rating at its current level.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate, in S&P's opinion.
Rating And Creditwatch Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Aurelius Capital CDO 2007-1 Ltd. A CCC-/Watch Neg BBB-/Watch Neg
Aurelius Capital CDO 2007-1 Ltd. C CC BB/Watch Neg
Aurelius Capital CDO 2007-1 Ltd. D CC B-/Watch Neg
Aurelius Capital CDO 2007-1 Ltd. E CC CCC/Watch Neg
Eirles Two Ltd. Series 92 Nts NR BBB-
Paragon CDO Ltd. SprSr CC BB+/Watch Neg
Paragon CDO Ltd. A CC CCC-/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Paragon CDO Ltd. B CC
Paragon CDO Ltd. C CC
Rating Remaining On Creditwatch Negative
Transaction Class Rating
----------- ----- ------
Restructured Asset Certificates w/Enhanced Rest Asset B/Watch Neg
Returns, Series 2004-13-ETrust
*********
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. Howard C. Tolentino, 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
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $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
Beard at 240/629-3300.
*** End of Transmission ***