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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, December 27, 2009, Vol. 13, No. 356
Headlines
ADAMS SQUARE: Moody's Downgrades Rating on Class S Notes to 'Ca'
ALLMERICA CBO: Fitch Affirms Ratings on Two Classes of Notes
ANDERSON MEZZANINE: Moody's Junks Rating on Class S Notes
ANSONIA CDO: S&P Downgrades Ratings on Eight 2006-1 Notes
ARES VII: Fitch Downgrades Ratings on Four Classes of Notes
BANC OF AMERICA: S&P Downgrades Ratings on 16 2006-1 Securities
BANC OF AMERICA: S&P Downgrades Ratings on 19 2006-4 Securities
BAYVIEW FINANCIAL: Moody's Cuts Ratings on Seven 2004-B Notes
BRIT ALLIANCE: Fitch Downgrades Ratings on Class A Notes
COMM 2006-C7: S&P Downgrades Ratings on 15 Classes of Securities
COMMERCIAL MORTGAGE: Moody's Affirms Ratings on Six 1999-C2 Certs.
CTX CDO: S&P Downgrades Ratings on Eight Classes of Notes
DUKE FUNDING: Moody's Downgrades Ratings on Three Classes of Notes
DVI RECEIVABLES: Fitch Takes Rating Actions on Various Classes
EQUINOX FUNDING: Moody's Downgrades Ratings on Three Classes
FOLEY SQUARE: Moody's Downgrades Ratings on Three 2007-1 Notes
G-FORCE CDO: Moody's Downgrades Rating on Six Classes of Notes
GARDEN CITY: Moody's Affirms 'Ba1' Rating; Outlook is Negative
GE COMMERCIAL: S&P Downgrades Ratings on 15 2005-C4 Securities
GEMSTONE CDO: Moody's Downgrades Ratings on Three Classes
GRESHAM CAPITAL: Moody's Takes Rating Actions on Various Classes
INNER HARBOR: Fitch Affirms Ratings on Four Classes of Notes
ISLES CBO: Fitch Downgrades Ratings on Two Classes of Notes
KIMBERLITE CDO: Moody's Downgrades Ratings on Eight Classes
L2L EDUCATION: Moody's Downgrades Ratings on Three Tranches
LASALLE COMMERCIAL: Fitch Puts Note Ratings on Negative Watch
LEHMAN XS: Moody's Downgrades Ratings on 12 2006-GP4 Notes
LIMEHOUSE CDO: Moody's Confirms Rating on Class A Notes at 'Ba1'
ML-CFC COMMERCIAL: S&P Downgrades Ratings on 15 2006-2 Securities
MICHIGAN MUNICIPAL: Moody's Affirms 'Ba1' Rating on 2001 Bonds
MORGAN STANLEY: S&P Downgrades Ratings on 15 2006-TOP23 Securities
MORGAN STANLEY: S&P Raises Rating on $23.1 Mil. Notes From 'CCC+'
MORGAN STANLEY: S&P Raises Rating on Two 2008-6 Notes to 'BB-'
MORTGAGE ASSET: Fitch Changes Recovery Ratings on Various Classes
MULBERRY STREET: Moody's Downgrades Ratings on Class A-1U Notes
N-STAR REL: S&P Retains Negative CreditWatch on Note Ratings
NEW MEXICO EDUCATION: Moody's Downgrades Ratings on Five Bonds
NEW MEXICO EDUCATION: Moody's Withdraws Ratings on Five Classes
SIERRA KINGS: Moody's Affirms 'Ba2' Rating on GO Bonds
SOLSTICE ABS: Moody's Confirms 'Ba1' Rating on Class A-1 Notes
SPARKS REGIONAL: Moody's Withdraws 'Caa1' Rating on 2001 Bonds
STOCKBRIDGE CDO: Moody's Confirms Rating on Class A-1 at 'Ba3'
SUNRISE CDO: Fitch Affirms Ratings on Two Classes of Notes
TABERNA PREFERRED: Fitch Downgrades Ratings on Four Classes
TRICADIA CDO: Fitch Downgrades Ratings on Five Classes of Notes
VERMONT STUDENT: Moody's Junks Rating on Series 2008C-2 Bonds
VERMONT STUDENT: Moody's Withdraws Underlying Ratings on Two Bonds
* Moody's Downgrades Ratings on 33 Tranches From 10 Trust CDOs
* Moody's Upgrades Ratings on Six Subordinate Auto Loan Tranches
* S&P Downgrades Ratings on 10 Tranches From Four Hybrid CDO Deals
* S&P Downgrades Ratings on 22 Classes From Four RMBS Transactions
* S&P Downgrades Ratings on 63 Classes From Three RMBS Deals
* S&P Downgrades Ratings on 110 Classes From 39 RMBS Transactions
* S&P Puts Ratings on Four Tranches on CreditWatch Negative
*********
ADAMS SQUARE: Moody's Downgrades Rating on Class S Notes to 'Ca'
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of one class of notes issued by Adams Square Funding II,
Ltd. The notes affected by the rating action are:
-- US$15,200,000 Class S Floating Rate Notes Due 2014 (current
balance of $11,493,169), Downgraded to Ca; previously on
August 26, 2008 Downgraded to Caa3 and Remained On Review for
Possible Downgrade
Adams Square Funding II, Ltd., is a collateralized debt obligation
issuance backed primarily by a portfolio of structured finance
securities.
The rating downgrade action is the result of deterioration in the
credit quality of the underlying portfolio. Due to portfolio
credit deterioration, the Class S Note tranche has not received
its scheduled periodic distribution of principal since the
November 2008 payment date. In addition, interest proceeds have
been deferred on the Class S Notes since December of 2008.
Moody's explained that credit deterioration of the collateral pool
is observed through numerous factors including a decrease in the
portfolio principal balance, an increase in the dollar amount of
defaulted securities, and failure of the coverage tests. The
principal balance of the portfolio has declined from
$958.2 million in August 2008 to $205.6 million in December 2009,
of which $171 million is reported by the Trustee as defaulted.
The current portfolio consists of only four performing assets.
The Trustee reports that the WARF of the performing portfolio is
946 as of December, 2009. The Trustee reports that the
transaction is failing all coverage tests.
Moody's notes that the transaction experienced on February 8,
2008, as reported by the Trustee, an Event of Default caused by a
failure of the Class A Principal Coverage Ratio to be greater than
or equal to 83.5%, pursuant Section 5.1(d) of the Indenture dated
March 8, 2007.
ALLMERICA CBO: Fitch Affirms Ratings on Two Classes of Notes
------------------------------------------------------------
Fitch Ratings affirms two classes of notes issued by Allmerica CBO
I, Ltd./Corp. A detailed list of rating actions follows at the
end of this press release.
This review was conducted under the framework described in the
report 'Global Structured Finance Rating Criteria'. Portfolio
default modeling was conducted in accordance with Fitch's 'Global
Rating Criteria for Corporate CDOs'. Recovery Ratings were
assigned in compliance with Fitch's 'Criteria for Structured
Finance Recovery Ratings' and 'Global Surveillance Criteria for
Corporate CDOs'.
The affirmation of the senior notes reflects the credit quality of
the remaining assets and adequate collateral coverage provided by
the underlying portfolio. Since all of the remaining assets in
the portfolio will mature after the stated maturity of the
transaction, Fitch also gave some consideration to the market
value risk of the positions while factoring in the rating
analysis. Fitch revised the Recovery Rating of these notes to
indicate the expectation they will receive at least 90% of the
interest and principal due, consistent with an 'RR1'.
The affirmation of the second priority senior notes reflects the
ongoing undercollateralization of these notes. Fitch expects
default of these notes to be imminent at the stated maturity date
with little to no recovery.
This review did not utilize the Global Cash Flow model given the
short remaining tenor of the structure and the high obligor
concentration of the portfolio. The transaction has one payment
date remaining prior to the state maturity on June 11, 2010 and
only four assets remaining in the portfolio. Instead, the current
principal cash balance was assumed to amortize the note principal
balances. An expected loss was assigned to the remaining four
performing assets and the expected return was then used to
consider the asset coverage to the pro-forma note balances when
determining their long term credit rating.
The Recovery Ratings of the senior notes and second priority
senior notes were based on the total expected future cash flows
projected to be available to these bonds in a base case default
scenario. Recovery Ratings are designed to provide a forward-
looking estimate of recoveries on currently distressed or
defaulted structured finance securities. Distressed securities
are defined as bonds that face a real possibility of default at or
prior to maturity and by definition are rated 'CCC' or below. For
further detail on Recovery Ratings, please see Fitch's report
'Global Surveillance Criteria for Corporate CDOs'.
Allmerica is a collateralized bond obligation that closed on
June 11, 1998, and is managed by Opus Investment Management. The
reinvestment period for this transaction ended in June 2003. The
portfolio currently has four assets remaining.
Fitch Ratings has taken these rating actions on the notes. Rating
actions include affirmations and the revision of Recovery Ratings.
-- $6,150,905 senior notes affirmed at 'CCC'; RR is revised to
'RR1' from 'RR3';
-- $103,136,501 secondary priority senior notes affirmed at
'C/RR6'.
ANDERSON MEZZANINE: Moody's Junks Rating on Class S Notes
---------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of one class of notes issued by Anderson Mezzanine Funding
2007-1, Ltd. The notes affected by the rating action are:
-- US$2,490,000 Class S Floating Rate Notes due July 2013,
Downgraded to Caa3; previously on December 11, 2008
Downgraded to B1 and Remained On Review for Possible
Downgrade
Anderson Mezzanine Funding 2007-1, Ltd, is a collateralized debt
obligation issuance backed by a portfolio of RMBS securities.
The rating downgrade action takes into consideration deterioration
in the credit quality of the underlying portfolio. Credit
deterioration of the collateral pool is observed through several
factors including a decrease in the portfolio principal balance,
failure of the coverage tests and an increase in the Moody's
weighted average rating factor. The principal balance of the
portfolio has declined from $135.4M in April 2009 to $94.4M in
December 2009. The Trustee reports that the transaction is
failing all coverage tests. The current portfolio consists of
only two performing assets. The Trustee reports that the WARF of
the portfolio is 9660 as of December, 2009.
ANSONIA CDO: S&P Downgrades Ratings on Eight 2006-1 Notes
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes from Ansonia CDO 2006-1 Ltd., a commercial real estate
collateralized debt obligation transaction. Two of the lowered
ratings remain on CreditWatch negative, and S&P removed six of the
lowered ratings from CreditWatch negative. At the same time, S&P
affirmed its ratings on 11 classes and removed them from
CreditWatch negative.
The rating actions reflect S&P's analysis of the transaction
following its downgrades of the underlying commercial mortgage-
backed securities collateral for Ansonia 2006-1 ($40.2 million,
5.2%). S&P lowered its ratings on the nondeferrable classes B
through G to 'D' due to interest shortfalls to these classes, as
well as the application of its revised criteria for CDO
transactions that have triggered an event of default.
The ratings on classes A-FX and A-FL remain on CreditWatch
negative due to Ansonia 2006-1's exposure to underlying CMBS
collateral with ratings on CreditWatch negative ($169 million,
22%).
S&P affirmed its 'CCC-' ratings on classes H through T, which are
deferrable interest classes, and removed them from CreditWatch
negative in accordance with its aforementioned EOD criteria.
According to the Nov. 24, 2009, trustee report, the transaction's
current assets included 121 classes ($731 million, 93.9%) of CMBS
pass-through certificates from 33 distinct transactions issued
between 1998 and 2006. The current assets also included seven
real estate investment trust securities ($40 million, 5.1%) and
two classes ($7.6 million, 1%) from GS Mortgage Securities Corp.
II's series 2006-CC1, which is a CMBS resecuritization
transaction. The aggregate principal balance of Ansonia 2006-1's
assets totals $778.6 million, and the transaction has significant
exposure to these CMBS transactions that Standard & Poor's has
recently downgraded:
* GS Mortgage Securities Trust 2006-GG6 (class N, O, and Q;
$24 million, 3.1%);
* JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC14
(class H; $5.9 million, 0.8%); and
* Banc of America Commercial Mortgage Inc.'s series 2005-4 (class
G; $4.9 million, 0.6%).
S&P will update or resolve the CreditWatch negative placements on
Ansonia 2006-1 in conjunction with S&P's CreditWatch resolutions
of the underlying CMBS assets.
If the controlling noteholders proceed with acceleration or
liquidation of the transaction following the EOD, S&P may lower
all of the ratings in accordance with S&P's EOD criteria.
Ratings Lowered And Remaining On Creditwatch Negative
Ansonia CDO 2006-1 Ltd.
Collateralized debt obligations
Rating
------
Class To From
----- -- ----
A-FX BB/Watch Neg BB+/Watch Neg
A-FL BB/Watch Neg BB+/Watch Neg
Ratings Lowered And Removed From Creditwatch Negative
Ansonia CDO 2006-1 Ltd.
Collateralized debt obligations
Rating
------
Class To From
----- -- ----
B D BB/Watch Neg
C D BB-/Watch Neg
D D B+/Watch Neg
E D B/Watch Neg
F D B-/Watch Neg
G D CCC-/Watch Neg
Ratings Affirmed And Removed From Creditwatch Negative
Ansonia CDO 2006-1 Ltd.
Collateralized debt obligations
Rating
------
Class To From
----- -- ----
H CCC- CCC-/Watch Neg
J CCC- CCC-/Watch Neg
K CCC- CCC-/Watch Neg
L CCC- CCC-/Watch Neg
M CCC- CCC-/Watch Neg
N CCC- CCC-/Watch Neg
O CCC- CCC-/Watch Neg
P CCC- CCC-/Watch Neg
Q CCC- CCC-/Watch Neg
S CCC- CCC-/Watch Neg
T CCC- CCC-/Watch Neg
ARES VII: Fitch Downgrades Ratings on Four Classes of Notes
-----------------------------------------------------------
Fitch Ratings has downgraded four classes of notes issued by Ares
VII CLO Ltd./Corp.
This review was conducted under the framework described in the
report 'Global Structured Finance Rating Criteria'. Cash flow and
portfolio default modeling were conducted in accordance with
Fitch's 'Global Criteria for Cash Flow Analysis in CDOs - Amended'
and 'Global Rating Criteria for Corporate CDOs'. Recovery Ratings
were assigned in compliance with Fitch's 'Criteria for Structured
Finance Recovery Ratings' and 'Global Surveillance Criteria for
Corporate CDOs'.
The downgrades are the result of the deteriorating credit profile
of the underlying loan portfolio. Currently there are 11
defaulted obligors comprising 9.1% of the portfolio, up from a
level of 3.3% at Fitch's last review in January 2009.
Additionally, obligors considered 'CCC+' or below now represent
about 40.3% of the performing portfolio, compared to about 26.1%
at the last review. Finally, approximately 32.2% of the
underlying portfolio ratings have a Negative Rating Outlook,
indicating the possibility of further negative rating migration.
The deterioration in the loan portfolio has led to the consistent
failures of the class B and class C overcollateralization (OC)
tests. As of the Nov. 2, 2009 trustee report, the class B OC test
was recorded at a level of 105% versus a trigger of 106.6%, while
the class C OC test was at 89.5% versus a trigger of 100.8%.
Because of these test failures, the class C notes have been
deferring their scheduled interest payments since the May 2009
payment date. The extent of collateral deterioration also caused
the failure of the class A OC test at the May 2009 payment, which
led to the deferral of class B interest at that time. However,
the class B deferred interest was repaid, along with scheduled
interest, at the following payment date in August 2009.
Failure of the class B OC test is currently causing all excess
interest proceeds, after class B interest is paid, to be diverted
toward redemption of the class A-1a and A-1b (collectively, class
A) notes. The class A notes are also being amortized from the
receipt of principal proceeds. Altogether, the class A notes have
been paid down about 24.2% of their initial class balances,
including about 18.4% since Fitch's last review. While the
amortization has partially repaid the class A notes, in Fitch's
opinion the rate of underlying collateral deterioration has
outpaced the benefits from this amortization.
The class B notes, meanwhile, have experienced a reduction in
collateral coverage due to the increase in defaults coupled with
the credit risk sales of several assets at significant discounts
to par since the last review. Additionally, the expected future
credit deterioration in the portfolio will add further stress to
these notes. Finally, while the class C notes could resume
receiving interest proceeds in the future if credit deterioration
is relatively benign, these notes are already undercollateralized
and are expected to experience a principal shortfall at their
maturity in May 2015.
In its review, Fitch analyzed the structure's sensitivity to
ongoing softness in U.S. corporate recoveries. To accomplish
this, Fitch reduced its average recovery rate assumptions for each
asset type by 30% in one sensitivity scenario and by 50% in a
second sensitivity scenario where explicit Recovery Ratings were
not available. All classes of notes displayed varying degrees of
sensitivity to lower recovery rates. This sensitivity, in
addition to the sizeable portion of underlying portfolio credits
with Negative Outlooks, has led Fitch to assign Negative Outlooks
on the class A notes and the class B notes.
The class A and B notes were also assigned Loss Severity (LS)
ratings. 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 'Criteria for Structured Finance Loss Severity
Ratings'. The LS rating should always be considered in
conjunction with the notes' long-term credit rating. Fitch does
not assign LS ratings to tranches rated 'CCC' and below.
The class C notes were assigned a Recovery Rating in this rating
review based on the total expected future cash flows projected to
be available to these bonds in a base case default scenario.
Recovery Ratings are designed to provide a forward-looking
estimate of recoveries on currently distressed or defaulted
structured finance securities. Distressed securities are defined
as bonds that face a real possibility of default at or prior to
maturity and by definition are rated 'CCC' or below.
Ares VII CLO is a cash flow collateralized loan obligation that
closed on May 7, 2003 and is managed by Ares Management, LLC.
Ares VII CLO exited its reinvestment period in May 2008 and
currently has a portfolio consisting of about 85% senior secured
loans and about 15% second lien loans.
Fitch has taken these rating actions on these notes. Rating
actions include downgrades, assignment of Loss Severity ratings,
Recovery Ratings, and Rating Outlooks:
-- $113,654,231 class A-1a notes downgraded to 'A/LS2' from
'AA'; Outlook Negative;
-- $129,565,823 class A-1b notes downgraded to 'A/LS2' from
'AA'; Outlook Negative;
-- $36,000,000 class B notes downgraded to 'B/LS4' from 'BBB';
Outlook Negative;
-- $51,000,000 class C notes downgraded to 'C/RR5' from 'CCC'.
BANC OF AMERICA: S&P Downgrades Ratings on 16 2006-1 Securities
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 16
classes of commercial mortgage-backed securities from Banc of
America Commercial Mortgage Trust 2006-1 and removed them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on nine 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 on the senior classes. The
downgrades of the subordinate and mezzanine classes also reflect
the credit support erosion S&P anticipate will occur upon the
eventual resolution of 17 specially serviced loans, as well as
S&P's analysis of two loans that S&P consider credit-impaired.
S&P downgraded classes K, L, M, N, O, and P to 'D' to reflect
recurring interest shortfalls that S&P expects will continue for
an extended period of time. The recurring interest shortfalls are
primarily due to nonrecoverable interest expenses totaling
$151,102 and legal expenses of $250,754 related to the Marriott
Courtyard Grand Cayman asset ($30 million total exposure, 1.5%).
The interest shortfalls also reflect appraisal subordinate
entitlement reductions in effect for eight of the 22 loans with
the special servicer. Classes K, L, M, N, O, and P have
experienced shortfalls for the past three months. As of the
Dec. 10, 2009, remittance date, the aggregate cumulative shortfall
of these classes was $719,239.
Classes G, H, and J are also experiencing interest shortfalls.
The interest shortfalls to these classes may be recovered
depending on the amount of expenses related to the Marriott
Courtyard Grand Cayman asset that is recovered from the trust in
future payment periods. The expenses are dependent on the level
of ASER shortfalls and may include other expenses. S&P will
continue to monitor the shortfalls and lower the ratings to 'D' if
S&P determine the shortfalls will continue for the foreseeable
future. As of the Dec. 10, 2009, remittance date, the aggregate
cumulative shortfall for the transaction was $2.1 million.
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
1.49x and a loan-to-value ratio of 110.1%. S&P further stressed
the loans' cash flows under S&P's 'AAA' scenario to yield a
weighted average DSC of 0.96x and an LTV of 147.2%. The implied
defaults and loss severity under the 'AAA' scenario were 79.6% and
37.3%, respectively. The DSC and LTV calculations excluded 17
specially serviced loans ($137.2 million, 6.9%) and two credit-
impaired loans ($14.1 million, 0.7%). S&P separately estimated
losses for these loans, which are included in the 'AAA' scenario
implied default and loss figures.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed the ratings on the
interest-only classes based on S&P's current criteria. S&P
published a request for comment proposing changes to the IO
criteria on June 1, 2009. After S&P finalize its criteria review,
S&P may revise its current IO criteria, which may affect
outstanding ratings, including the ratings on the IO certificates
S&P affirmed.
Credit Considerations
Twenty-two loans ($163.7 million, 8.3%) in the pool are with the
special servicer, Midland Loan Services Inc. The payment status of
the specially serviced loans is: 11 loans are 90-plus-days
delinquent ($91.5 million), one loan is 60 days delinquent
($8.7 million), six loans are in their grace periods
($39.2 million), and four loans ($24.3 million) are current.
Eleven loans have appraisal reduction amounts in effect totaling
$39.3 million.
The Marriott Courtyard Grand Cayman loan is the largest exposure
with the special servicer ($30.0 million total exposure, 1.4%).
The loan was transferred to the special servicer on Jan. 2, 2009,
due to damage from Hurricane Paloma in November 2008. The loan is
secured by a 232-room full-service hotel near Seven Mile Beach in
Grand Cayman. The hotel has been closed since November 2008 and
repairs are pending due to the damage from the hurricane. S&P
understand that the lender is currently in a dispute with the
insurance company over insurance proceeds to offset some of the
damages. S&P has been informed that the lender has taken
protective action to preserve its right for arbitration by filing
a writ against the insurance company because arbitration was not
initiated within the 12-month requirement. The special servicer
has deemed advances made to date as nonrecoverable. Current
financial information is unavailable. Standard & Poor's expects a
significant loss upon the resolution of this loan.
Each of the remaining 21 specially serviced loans account for less
than 0.9% of the pool balance. S&P estimated losses for 16
($109.1 million, 5.5%) of these 21 assets, resulting in an average
loss severity of 37.7%. The losses range from 10.0% to 68.4%.
Four of the remaining five loans have a common borrower, DBSI.
DBSI is a tenant-in-common sponsor and the master tenant, and it
filed for bankruptcy in November 2008. These four loans are in
the process of being reinstated. One loan was transferred to the
special servicer due to imminent default resulting from costs
related to remediating environmental issues.
Transaction Summary
As of the December 2009 remittance report, the collateral pool had
an aggregate trust balance of $1.9 billion, which is approximately
97.1% of the aggregate trust balance at issuance. There are 192
loans in the pool, the same as at issuance. Bank of America N.A.
is the master servicer for the transaction and provided financial
information for 97.3% of the loans, 96.3% of which was full-year
2008 or interim-2009 data. S&P calculated a weighted average DSC
of 1.49x for the loans based on the reported figures. S&P's
adjusted DSC and LTV were 1.49x and 110.1%, respectively. The DSC
and LTV calculations exclude 17 of the specially serviced loans
($137.2 million, 6.9%) and two credit-impaired loans
($14.1 million, 0.71%) for which S&P separately estimated losses.
Thirteen of the 17 loans that S&P excluded from its DSC and LTV
calculations had reported DSC numbers. The weighted average DSC
for these 13 loans was 1.18x based on the servicer-reported year-
end 2008 numbers. The transaction has not experienced any
principal losses to date. Thirty loans ($344.2 million, 17.4%)
are on the master servicer's watchlist. Twenty-eight loans
($218.4 million, 11.0%) have reported DSCs below 1.10x, and 24 of
these loans ($198.4 million, 10.0%) have reported DSCs of less
than 1.0x.
Summary Of Top 10 Loans
The top 10 loan exposures have an aggregate outstanding balance of
$691.6 million (34.9%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.52x for the top 10 loans.
S&P's adjusted DSC and LTV for the top 10 loans were 1.48x and
113.6%, respectively.
The Waterfront at Port Chester retail loan is the third-largest
loan in the pool and the largest exposure on the master servicer's
watchlist. The loan has an outstanding balance of $106.8 million
(5.4%) and appears on the watchlist due to a low DSC. The loan is
secured by a 302,058-sq.-ft. retail shopping center in downtown
Port Chester, N.Y. The property was built in 2004 and is anchored
by an American Multi Cinema movie theater and a Stop & Shop
grocery store. Occupancy was 100% based on a rent roll dated
Sept. 22, 2009, and the reported DSC was 1.12x for the six-months
ended June 30, 2009.
The Fairmont Sonoma Mission Inn & Spa loan is the fourth-largest
loan in the pool and the second-largest exposure on the master
servicer's watchlist. The loan has an outstanding balance of
$55.0 million (3.0%) and appears on the watchlist due to a low
DSC. The loan is secured by a 226-room full-service hotel and spa
built in 1926 in Sonoma, Calif., and was renovated in 2005.
Revenue per available room was $158.85 as of June 30, 2009, and
the reported DSC was negative for the six months ended June 30,
2009.
The Main Event Portfolio is the 10th-largest loan in the pool and
the third-largest exposure on the master servicer's watchlist.
The loan has an outstanding balance of $33.7 million (2.0%) and
appears on the watchlist due to storm damage sustained by one of
the tenant spaces. Insurance proceeds were paid to the borrower
who, in turn, paid the proceeds to the master servicer; the master
servicer is currently holding the funds in escrow. The master
servicer has indicated that it is in the process of obtaining
further information regarding the damage and the status of repairs
and is continuing to monitor the loan. The loan is secured by six
family entertainment centers containing 374,964 sq. ft., built
between 1998 and 2005, and located throughout the state of Texas
(Lewisville, Grapevine, Plano, Fort Worth, Shenandoah, and
Austin). For the nine months ended Sept. 30, 2009, DSC was 1.58x
and occupancy was 100%.
Standard & Poor's stressed the loans with the special servicer and
the remaining loans in the pool according to its conduit/fusion
criteria. The resultant credit enhancement levels support the
lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Banc of America Commercial Mortgage Trust 2006-1
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M A- AAA/Watch Neg 20.59
A-J BB+ AAA/Watch Neg 13.38
B BB AA+/Watch Neg 12.35
C BB- AA/Watch Neg 11.19
D B+ AA-/Watch Neg 10.16
E B A/Watch Neg 8.36
F B- A-/Watch Neg 7.33
G CCC+ BBB+/Watch Neg 6.05
H CCC BBB/Watch Neg 4.89
J CCC- BBB-/Watch Neg 3.47
K D BB+/Watch Neg 3.09
L D BB/Watch Neg 2.57
M D BB-/Watch Neg 2.19
N D B+/Watch Neg 2.06
O D B/Watch Neg 1.80
P D B-/Watch Neg 1.42
Ratings Affirmed
Banc of America Commercial Mortgage Trust 2006-1
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.88
A-2 AAA 30.88
A-3A AAA 30.88
A-3B AAA 30.88
A-SBFL AAA 30.88
A-4 AAA 30.88
A-1A AAA 30.88
XC AAA N/A
XP AAA N/A
N/A - Not applicable.
BANC OF AMERICA: S&P Downgrades Ratings on 19 2006-4 Securities
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 19
classes of commercial mortgage-backed securities from Banc of
America Commercial Mortgage Trust 2006-4 and removed them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on seven other classes from the same transaction.
The ratings actions follow S&P's analysis of the transaction using
its U.S. conduit and fusion CMBS criteria, which was the primary
driver of these actions. The downgrades also reflect credit
support erosion that S&P anticipate will occur upon the eventual
resolution of the specially serviced loans, as well as S&P's
concerns about one loan 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, Standard & Poor's calculated an
adjusted debt service coverage of 1.44x and a loan-to-value ratio
of 117.7%. S&P further stressed the loans' cash flows under its
'AAA' scenario to yield a weighted average DSC of 0.84x and an LTV
of 157.4%. The implied defaults and loss severity under the 'AAA'
scenario were 92.7% and 39.0%, respectively. All of the DSC and
LTV calculations excluded eight specially serviced assets
($76.0 million, 2.8%), one credit-impaired loan ($4.5 million,
0.2%), and one defeased loan ($4.4 million, 0.2%). S&P separately
estimated losses for the specially serviced and credit-impaired
assets, which S&P included in its 'AAA' scenario implied default
and loss figures. S&P also excluded one cooperative apartment
loan ($5.2 million, 0.2%) from its adjusted DSC and LTV
calculations. This loan did not default under S&P's 'AAA'
scenario due to extremely low leverage.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its ratings on the class XC
and XP interest-only certificates based on its current criteria.
S&P published a request for comment proposing changes to the IO
criteria on June 1, 2009. After S&P finalize its criteria review,
S&P may revise its current IO criteria, which may affect
outstanding ratings, including the ratings on the IO certificates
S&P affirmed.
Credit Considerations
Eighteen assets ($301.8 million, 11.2%) in the pool are with the
special servicer, LNR Partners Inc. One of these assets
($2.1 million, 0.1%) is real estate owned; five ($62.7 million,
2.3%) are in foreclosure; four ($61.4 million, 1.2%) are more than
90 days delinquent; one ($50.0 million, 1.9%) is 60 days
delinquent; one ($9.1 million, 0.3%) is 30 days delinquent; and
five ($124.1 million, 4.6%) are within their respective grace
periods. S&P estimated losses ranging from 19.9% to 66.5% for
eight assets ($76.0 million, 10.4%). Several of the remaining
specially serviced loans may be candidates for loan modifications
and may eventually be returned to the master servicer.
The Empirian Luxury Towers Apartments loan ($50.0 million, 1.9%)
is secured by a 572-unit multifamily complex in Philadelphia. The
loan was transferred to the special servicer on Aug. 10, 2009, due
to imminent default and is currently 60 days delinquent. A
combination of revenue and occupancy declines, along with
increases in operating costs, has led to deterioration in property
performance. As of Dec. 31, 2008, DSC for the property was 1.27x.
For the quarter ended March 31, 2009, DSC had declined to 0.71x,
and the property was 84.0% occupied. Modification discussions are
ongoing.
In addition to the specially serviced assets, S&P determined one
loan ($4.5 million, 0.2%) to be credit-impaired. The Applegate
Apartments loan is secured by a 93-unit multifamily complex in
Sarasota, Fla. As of Dec. 31, 2008, the property was 86% occupied
with a 0.54x DSC. As of the nine months ended Sept. 30, 2009, the
property was 85% occupied with a 0.63x DSC. In addition, the
property faces increased competition from newer properties in a
market in which landlords are offering rental concessions.
Consequently, S&P has deemed this loan to be at an increased risk
of default.
Transaction Summary
As of the December 2009 remittance report, the aggregate trust
balance was $2.7 billion, which represents 98.9% of the aggregate
trust balance at issuance. There are 164 assets in the pool,
which is unchanged since issuance. The master servicer for the
transaction is Bank of America N.A. The master servicer provided
financial information for 98.1% of the pool, and 97.0% of the
servicer-provided information was full-year 2008 or interim-2009
data. S&P calculated a weighted average DSC of 1.53x for the pool
based on the reported figures. S&P's adjusted DSC and LTV were
1.44x and 117.7%, respectively. S&P's adjusted figures exclude
eight specially serviced assets and one credit-impaired loan,
which have an aggregate balance of $80.5 million (3.0%), as well
as one cooperative apartment loan ($5.2 million, 0.2%) and one
defeased loan ($4.4 million, 0.2%). S&P estimated losses
separately for these loans. Based on the servicer-reported DSC
figures, S&P calculated a weighted average DSC of 1.09x for six of
the nine loans. Data was not reported for three loans. To date,
the transaction has not realized any principal losses. Twenty-
eight loans ($348.8 million, 13.0%) are on the master servicer's
watchlist. Twenty-four loans ($332.1 million, 12.3%) have a
reported DSC of less than 1.10x, and 17 of these loans
($225.8 million, 8.4%) have a reported DSC of less than 1.0x.
Summary Of Top 10 Loans
The principal balances of the 10th-, 11th-, and 12th-largest loans
are each $50.0 million. These three loans are all secured by
multifamily properties, but are unrelated. For purposes of the
top 10 loan summary, S&P included one of these three loans, the
Orsini Apartments loan, which is secured by a 296-unit multifamily
property in Los Angeles. The top 10 exposures have an aggregate
outstanding balance of $907.1 million (33.6%). Using servicer-
reported numbers, S&P calculated a weighted average DSC of 1.70x
for the top 10 loans. S&P's adjusted DSC and LTV for the top 10
loans were 1.49x and 110.7%, respectively.
The Technology Corners at Moffett Park loan ($187.4 million, 6.9%)
is the largest loan in the pool and is secured by a 715,988-sq.-
ft. office complex in Sunnyvale, Calif. The loan matures in
August 2016. Excluding a fitness center, the property is entirely
leased to Ariba Inc., which has subleased 57.8% of this space. As
of Dec. 31, 2008, the property had a reported DSC of 2.36x.
Ariba's lease, which expires in January 2013, has a contractual
rent that is approximately 95.3% above current market rents. S&P
took this disparity into consideration in its analysis of the loan
and adjusted the servicer-reported net cash flow down by 48.3% as
a result.
The 11th- and 12th-largest loans are secured by multifamily
properties in Philadelphia and Los Angeles, respectively. The
Empirian Luxury Towers Apartments loan ($50.0 million, 1.9%) is
with the special servicer, as S&P discussed above. The Tuscany
Apartments loan ($50.0 million, 1.9%) is secured by a 120-unit
multifamily complex in Los Angeles. The property had a 1.67x DSC
as of Dec. 31, 2008, and was 100% occupied as of July 1, 2009. If
S&P were to include these two exposures in its analysis of the
largest exposures in the pool, the reported DSC would be 1.65x,
and its adjusted DSC and LTV would be 1.44x and 115.5%,
respectively.
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
Banc of America Commercial Mortgage Trust 2006-4
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-4 AA- AAA/Watch Neg 30.33
A-1A AA- AAA/Watch Neg 30.33
A-M BBB+ AAA/Watch Neg 20.22
A-J BB+ AAA/Watch Neg 12.76
B BB AA+/Watch Neg 12.01
C BB- AA/Watch Neg 10.74
D B+ AA-/Watch Neg 9.86
E B+ A+/Watch Neg 9.23
F B+ A/Watch Neg 8.34
G B+ A-/Watch Neg 7.08
H B BBB+/Watch Neg 5.81
J B BBB/Watch Neg 4.80
K B- BBB-/Watch Neg 3.41
L B- BB+/Watch Neg 3.03
M B- BB/Watch Neg 2.78
N CCC+ BB-/Watch Neg 2.40
O CCC B+/Watch Neg 2.02
P CCC- B/Watch Neg 1.64
Q CCC- CCC+/Watch Neg 1.26
Ratings Affirmed
Banc of America Commercial Mortgage Trust 2006-4
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.33
A-2 AAA 30.33
A-3A AAA 30.33
A-3B AAA 30.33
A-AB AAA 30.33
XC AAA N/A
XP AAA N/A
BAYVIEW FINANCIAL: Moody's Cuts Ratings on Seven 2004-B Notes
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on seven
notes issued by Bayview Financial Revolving Asset Trust 2004-B.
The notes in the resecuritization are backed by several
securities, which in turn are backed by residential mortgage
loans. These rating actions have been triggered by changes in
performance and/or Moody's ratings on the underlying residential
mortgage-backed securities (underlying securities). The ratings
on the notes in the resecuritization are based on:
(i) The updated expected loss of the pool of loans backing
the underlying securities portfolio and the updated
ratings on the underlying securities portfolio
(ii) The available credit enhancement on the underlying
securities, and
(iii) The structure of the resecuritization transaction.
(1) Moody's first updated its loss assumptions on the underlying
pool of mortgage loans (backing the underlying securities) and
then arrived at updated ratings on the underlying securities.
Certain resecuritizations may contain underlying securities that
were not originally rated by Moody's. In this case, lifetime
roll-rates (probabilities of transition to default) were applied
to the current delinquency pipeline buckets to calculate a
pipeline default rate. This value was then multiplied by a
replication factor to account for additional loans that are
expected to default over the remaining life of the deal. The
replication factor differed for each deal based on pool factor and
current delinquency pipeline (higher pool factors and lower
delinquency pipelines resulted in higher replication factors, for
example). The final expected default number was then multiplied
by an expected loss severity (based on vintage and product type -
older vintages from better performing deals had lower expected
severities) to arrive at an estimated expected loss. In addition,
expected losses for deals with 50 or fewer loans remaining (these
deals referred to as "low pool factor") were subject to additional
stresses for replication factors and severities to account for
increased volatility. An implicit rating was determined by
comparing current available credit enhancement for the non-rated
tranche to the estimated expected loss for the deal.
The ratings on the underlying securities are then used to derive a
weighted average portfolio rating based on a weighted average
rating factor. To determine the portfolio WARF, Moody's assigns
the ratings on the underlying securities a Rating Factor based on
Moody's published 10-yr idealized loss expectations. Weights are
assigned to each Rating Factor based on the contribution (by
outstanding pledged balance) of the underlying security to the
resecuritized transaction.
(2) Second, Moody's determines the weighted average credit
enhancement available to the portfolio security by evaluating
the loss coverage level consistent with the ratings on the
underlying securities and the underlying mortgage pool losses
and weighting them based on the outstanding pledged balance of
the underlying securities.
(3) Finally, the ratings on the bonds issued in the
resecuritization are determined after taking into
consideration additional structural aspects of the
resecuritization. For transactions where only a single
tranche is issued, the weighted average portfolio rating (as
determined in step 1 above) is the rating assigned to the
tranche. Where multiple securities are issued, the loss
allocation and cash flow priority are taken into
consideration. For instance where the notes in the
resecuritization are tranched into a super senior tranche and
a support tranche, the support tranche is notched down to
reflect a higher severity of loss to that tranche. The rating
on the super senior tranche is determined based on the total
credit enhancement available i.e. the credit enhancement
assessed in step (2) and the additional enhancement from the
support tranche.
The probability of default for the junior-most security in the
resecuritization is the same as the probability of default for the
lowest rated underlying security. However, Moody's anticipates a
higher loss severity on the junior-most class due to its
subordinate position (both in terms of principal distribution and
loss allocation) and smaller size (when compared to underlying
certificate). Therefore, the ratings on junior securities in the
resecuritization are lower than the portfolio rating on the
combined underlying bonds.
Because the ratings on the notes in the resecuritization are
linked to the ratings on the underlying securities and their
mortgage pool performance, any rating action on the underlying
securities may trigger a further review of the ratings on the
notes in the resecuritization. The ratings on the notes in the
resecuritization address the ultimate payment of promised interest
and principal and do not address any other amounts that may be
payable on the notes.
For securities insured by a financial guarantor, the rating on the
securities is equal to the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described above.
Complete Rating Actions are:
Issuer: Bayview Financial Revolving Asset Trust 2004-B
-- Cl. A-1, Downgraded to B1; previously on July 30, 2004
Assigned Aaa
-- Cl. A-2, Downgraded to B1; previously on July 30, 2004
Assigned Aaa
-- Cl. M-1, Downgraded to Caa2; previously on July 30, 2004
Assigned Aa2
-- Cl. M-2, Downgraded to Ca; previously on July 30, 2004
Assigned A2
-- Cl. M-3, Downgraded to C; previously on July 30, 2004
Assigned A3
-- Cl. B-1, Downgraded to C; previously on July 30, 2004
Assigned Baa1
-- Cl. B-2, Downgraded to C; previously on July 30, 2004
Assigned Baa2
BRIT ALLIANCE: Fitch Downgrades Ratings on Class A Notes
--------------------------------------------------------
Fitch Ratings has downgraded and withdrawn the rating on the class
A notes issued by Brit Alliance ABSpoke 2005-X. This rating
action is a result of a negotiated settlement between the issuer
(Brit Alliance) and swap counterparty (Morgan Stanley Capital
Services) to terminate the transaction. The notes have sustained
a full loss and accordingly, the rating has been downgraded to 'D'
and subsequently withdrawn.
Brit Alliance ABSpoke 2005-X was an unfunded managed synthetic CDO
that references a portfolio of various ABS assets that closed on
June 7, 2006. The transaction was designed to provide credit
protection for realized losses on the referenced portfolio through
a credit default swap between the issuer and the swap
counterparty.
Fitch has downgraded and withdrawn this rating:
-- $30,000,000 class A notes to 'D' from 'CC'.
COMM 2006-C7: S&P Downgrades Ratings on 15 Classes of Securities
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage-backed securities from COMM 2006-C7
and removed them from CreditWatch with negative implications. In
addition, S&P affirmed its ratings on seven other 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 S&P's rating actions. S&P's analysis included a review
of the credit characteristics of all of the loans in the pool.
Using servicer-provided financial information, S&P calculated an
adjusted debt service coverage of 1.52x and a loan-to-value ratio
of 107.3%. S&P further stressed the loans' cash flows under S&P's
'AAA' scenario to yield a weighted average DSC of 0.94x and an LTV
of 147.8%. The implied defaults and loss severity under the 'AAA'
scenario were 78.4% and 39.2%, respectively. The DSC and LTV
calculations S&P noted above exclude one defeased loan
($21.4 million, 0.9%) and four ($16.8 million, 0.7%) of the nine
specially serviced loans. S&P separately estimated losses for
these four loans and included them in its 'AAA' scenario implied
default and loss figures.
The affirmations of the ratings on the principal and interest
certificate reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its rating on the class 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 finalizes 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 Considerations
As of the December 2009 remittance report, nine assets
($79.5 million, 3.3%) in the pool were with the special servicer,
CWCapital Asset Management LLC. The payment status of the
specially serviced assets is: one is real estate owned
($4.1 million, 0.2%), one is 90-plus-days delinquent
($1.5 million, 0.1%), five are 30 days delinquent ($25.5 million,
1.1%), one is less than 30 days delinquent ($40.9 million, 1.7%),
and one is in its grace period ($7.4 million, 0.3%).
The Lakeview Square Mall loan, which has a total exposure of
$41.5 million (1.7%), is the largest loan with the special
servicer. The loan is secured by a 254,880-sq.-ft. regional
shopping mall in Battle Creek, Michigan. The loan was transferred
to the special servicer on April 22, 2009, after the borrower,
General Growth Properties, filed for Chapter 11 bankruptcy
protection. As of June 30, 2009, the reported DSC was 1.15x and
occupancy was 91.9%. On Dec. 15, 2009, the bankruptcy court
confirmed a modification plan for 85 GGP loans, including this
loan. Standard & Poor's will continue to review the details of
the loan restructuring as they become available.
The eight remaining specially serviced loans have balances that
individually represent less than 0.4% of the total pool balance.
S&P estimated losses for four ($16.8 million, 0.7%) of these eight
assets, resulting in an average loss severity of 26.5%. Three of
the remaining four assets ($16.1 million, 0.7%) have a common
borrower, DBSI. DBSI is a tenant-in-common sponsor and the master
tenant, and it filed for bankruptcy in November 2008. Loan
modifications are in place for these three loans, and S&P
anticipates that the special servicer will return the loans to the
master servicer. The borrower for the fourth loan ($5.6 million,
0.2%) withdrew its request for a loan modification, and S&P
expects the special servicer to return the loan to the master
servicer.
Transaction Summary
As of the December 2009 remittance report, the collateral pool
balance was $2.376 billion, which is 97.0% of the balance at
issuance. The pool includes 155 loans, down from 156 at issuance.
As of the December 2009 remittance report, the master servicer,
Midland Loan Services Inc., provided financial information for
91.8% of the pool; 89% of the servicer-provided information was
full-year 2008 or interim 2009 data. S&P calculated a weighted
average DSC of 1.57x for the pool based on the reported figures.
S&P's adjusted DSC and LTV were 1.52x and 107.3%, respectively.
S&P's adjusted DSC and LTV figures exclude one defeased loan
($21.4 million, 0.9%) and four ($16.8 million, 0.7%) of the nine
specially serviced loans. S&P estimated losses separately for
these four loans. Thirty loans ($661.1 million, 27.8%) are on the
master servicer's watchlist, including three of the top 10 loans,
which are discussed below. Twenty-two loans ($276.8 million,
11.7%) have a reported DSC below 1.10x, and 14 of these loans
($212.8 million, 9.0%) have a reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$873.1 million (36.7%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.68x for the top 10 loans.
Three of the top 10 loans ($288.7 million, 12.2%) appear on the
master servicer's watchlist, which S&P discuss in detail below.
S&P's adjusted DSC and LTV for the top 10 loans are 1.48x and
99.5%, respectively.
The Bon-Ton Department Stores Portfolio loan is the third-largest
loan in the pool and the largest loan on the servicer's watchlist.
The loan was current in its debt service payments as of the
December 2009 remittance report and has a trust balance of
$121.6 million (5.1%). The loan is secured by 11 single-tenant
retail properties and one warehouse property totaling 2,003,186
sq. ft. across six states. The master servicer placed the loan on
its watchlist due to a period of low EBITDA as of fiscal year-end
Jan. 31, 2009.
The Granite Run Mall loan is the fourth-largest loan in the pool
and the second-largest loan on the master servicer's watchlist.
The loan was current in its debt service payments as of the
December 2009 remittance report and has a trust balance of
$116.7 million (4.9%). The loan is secured by 691,966 sq. ft. of
a 1,046,667-sq.-ft. regional mall in Media, Pa., and appears on
the watchlist because anchor tenant Boscov's had filed for Chapter
11 bankruptcy protection. As of an April 2009 update, Boscov's
has emerged from bankruptcy and will continue to operate with no
plans of closing. As of year-end 2008, the reported DSC was
1.12x, down from 1.19x at issuance.
The Indianapolis North Marriott loan is the 10th-largest loan in
the pool and the third-largest loan on the master servicer's
watchlist. The loan was current in its debt service payments as
of the December 2009 remittance report and has a trust balance of
$50.7 million (2.1%). The loan is secured by a 315-room full-
service hotel in Indianapolis, Ind. The reported DSC for the
trailing 12 months ended June 30, 2009, was 1.20x, down from 1.45x
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
COMM 2006-C7
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M A AAA/Watch Neg 20.60
A-J BBB AAA/Watch Neg 12.62
B BBB- AA/Watch Neg 10.43
C BB+ AA-/Watch Neg 9.40
D BB A/Watch Neg 7.85
E BB- A-/Watch Neg 6.95
F B+ BBB+/Watch Neg 5.66
G B+ BBB/Watch Neg 4.63
H B BBB-/Watch Neg 3.35
J B BB+/Watch Neg 2.83
K B- BB/Watch Neg 2.57
L B- BB-/Watch Neg 2.19
M B- B+/Watch Neg 2.06
N B- B/Watch Neg 1.80
O CCC+ B-/Watch Neg 1.42
Ratings Affirmed
COMM 2006-C7
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.90
A-2 AAA 30.90
A-3 AAA 30.90
A-AB AAA 30.90
A-4 AAA 30.90
A-1A AAA 30.90
X AAA N/A
N/A - Not applicable.
COMMERCIAL MORTGAGE: Moody's Affirms Ratings on Six 1999-C2 Certs.
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings of six classes and
downgraded nine classes of Commercial Mortgage Asset Trust,
Commercial Mortgage Pass-Through Certificates, Series 1999-C2.
The downgrades are due to higher realized and expected losses for
the pool resulting from anticipated losses from specially serviced
loans and interest shortfalls.
The affirmations are due to key rating parameters, including
Moody's loan to value ratio, Moody's debt service coverage ratio
and the Herfindahl Index, remaining within acceptable ranges. In
addition, the pool has benefited from increased credit support due
to loan payoffs and amortization.
Moody's placed nine classes of this transaction on review for
possible downgrade on September 21, 2009. 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 November 17, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by 54% to $356.5
million from $775.2 million at securitization. The Certificates
are collateralized by 31 mortgage loans ranging in size from less
than 1% to 10% of the pool, with the top ten loans representing
51% of the pool. Nine loans, representing 39% of the pool, have
defeased and are secured by U.S. Government securities compared to
53% at last review. The pool includes a credit tenant lease
component, which represents 15% of the pool.
One loan, representing 3% of the pool, is 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, resulting in an
aggregate $16.7 million loss (36% loss severity on average).
There are nine loans, representing 23% of the pool, currently in
special servicing. The largest specially serviced loan is the
Henry W. Oliver Building Loan ($30.1 million -- 8.4% of the
pool), which is secured by a 472,000 square foot Class B office
building located in downtown Pittsburgh, Pennsylvania. The loan
was transferred to special servicing in October 2009 due to
imminent default. The property was 88% leased as of September
2009, however, the largest tenant, Kirkpatrick & Lockhart, which
leases 48% of the net rentable area, is vacating the property at
its December 2009 lease expiration.
The second largest specially serviced loan is the Circuit City
Loan ($18.1 million -- 5.1% of the pool), which is secured by five
single tenant retail properties. The loans were transferred to
special servicing in November 2008 after the sole tenant, Circuit
City, filed for bankruptcy. The loan is REO.
The remaining three specially serviced loans are secured by a mix
of office, industrial and mixed-use properties. Moody's estimates
a $35.9 million aggregate loss for all of the specially serviced
loans (42% loss severity on average). The special servicer has
recognized an aggregate $18.9 million appraisal reduction on the
specially serviced loans.
Based on the most recent remittance statement, Classes H through
N have experienced cumulative interest shortfalls totaling
$1.5 million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
specially serviced loans. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
appraisal subordinate entitlement reductions and extraordinary
trust expenses.
Moody's was provided with full-year 2008 operating results for
100% of the pool, excluding the defeased and CTL loans. Excluding
specially serviced loans, Moody's weighted average LTV is 71%
compared to 90% at Moody's prior review in March 2009.
Excluding specially serviced loans, Moody's actual and stressed
DSCRs are 1.49X and 1.75X, respectively, compared to 1.13X and
1.38X at last review. Moody's actual DSCR is based on Moody's net
cash flow (NCF) and the loan's actual debt service. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stressed rate
applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple-notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 8, essentially the same as last review.
The three largest performing conduit loans represent 17% of the
pool. The largest conduit loan is the Westin Denver Tabor Center
Loan ($36.6 million -- 10.3% of the pool), which is secured by a
430-room full-service hotel located in downtown Denver, Colorado.
The hotel is part of an upscale mixed-use complex that includes a
570,000 square foot office building and an urban mall. The loan
sponsor is Host Marriott. Performance has been stable. Moody's
LTV and stressed DSCR are 63% and 2.06X, respectively, compared to
66% and 1.87X at last review.
The second largest loan is the Geneva Crossing Loan ($11.8 million
-- 3.3% of the pool), which is secured by a 123,000 square foot
unanchored retail center located in Carol Stream, Illinois. The
property is currently 92% leased, similar to last review. Despite
the stable occupancy, performance has declined due to increased
expenses. The loan is on the watchlist due to low debt service
coverage. Moody's LTV and stressed DSCR are 101% and 1.01X,
respectively, compared to 95% and 1.08X at last review.
The third largest loan is the Auerbach Retail Portfolio
($10.9 million -- 3.1% of the pool), which is secured by two
retail properties located in Industry, California. The properties
were 100% leased as of October 2009. Performance has improved due
to increased revenues, stable expenses and amortization. Moody's
LTV and stressed DSCR are 83% and 1.33X, respectively, compared to
93% and 1.19X at last review.
The CTL component includes eight loans secured by 21 properties
leased under bondable leases. The CTL exposures are ACCOR S.A.
($38.3 million -- 10.7% of the pool; Moody's commercial paper
rating P-3, negative outlook) and Cinemark USA Inc. ($16.8 million
-- 4.7%; Moody's senior unsecured rating B3, positive outlook).
Moody's rating action is:
-- Class A-2, $43,039,471, affirmed at Aaa; previously assigned
Aaa on 10/26/1999
-- Class A-3, $108,770,000, affirmed at Aaa; previously assigned
Aaa on 10/26/1999
-- Class X, Notional, affirmed at Aaa; previously assigned Aaa
on 10/26/1999
-- Class B, $38,759,000, affirmed at Aaa; previously upgraded to
Aaa from Aa2 on 2/17/2005
-- Class C, $38,759,000, affirmed at Aaa; previously upgraded to
Aaa from A2 on 2/17/2005
-- Class D, $11,627,000, affirmed at Aaa; previously upgraded to
Aaa from Aa1 on 5/16/2006
-- Class E, $29,069,000, downgraded to Aa3 from Aa1; previously
placed on review for possible downgrade on 9/21/2009
-- Class F, $15,503,000, downgraded to A3 from A1; previously
placed on review for possible downgrade on 9/21/2009
-- Class G, $15,503,000, downgarded to B1 from Baa1; previously
placed on review for possible downgrade on 9/21/2009
-- Class H, $15,503,000, downgraded to Caa1 from Ba1; previously
placed on review for possible downgrade on 9/21/2009
-- Class J, $7,751,000, downgraded to Caa3 from Ba3; previously
placed on review for possible downgrade on 9/21/2009
-- Class K, $11,627,000, downgarded to C from B2; previously
placed on review for possible downgrade on 9/21/2009
-- Class L, $7,751,000, downgarded to C from Caa1; previously
placed on review for possible downgrade on 9/21/2009
-- Class M, $7,751,000, downgarded to C from Ca; previously
placed on review for possible downgrade on 9/21/2009
-- Class N, $4,678,151, downgraded to C from Ca; previously
placed on review for possible downgrade on 9/21/2009
CTX CDO: S&P Downgrades Ratings on Eight Classes of Notes
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes from CTX CDO I Ltd., a hybrid commercial real estate
collateralized debt obligation transaction. Six of the lowered
ratings remain on CreditWatch negative, and S&P removed two of the
lowered ratings from CreditWatch negative. In addition, the
ratings on three additional classes remain on CreditWatch
negative.
The downgrades reflect S&P's analysis of the transaction following
S&P's downgrades of eight reference commercial mortgage-backed
securities classes and two CRE CDO classes. The securities are
from 10 transactions ($166.7 million, 33% of the pool balance).
Nine ratings on CTX CDO I Ltd. remain on CreditWatch negative due
to the transaction's exposure to underlying collateral with
ratings on CreditWatch negative ($221 million, 44%).
S&P's 'BB+' ratings on several senior classes reflect CTX CDO I
Ltd.'s rating dependency on the super-senior counterparty, MBIA
Insurance Corp. Due to the transaction's structural linkage to
MBIA Insurance Corp., the rating on any class from the transaction
may not be higher than the rating on MBIA Insurance Corp.
According to the Nov. 27, 2009, trustee report, the collateral for
CTX CDO I consists of credit default swaps referencing 42 CMBS
classes ($450 million, 90%) from 26 distinct transactions. The
collateral also includes three CMBS classes ($18.3 million, 3.7%),
one real estate investment trust bond ($15 million, 3%), and two
CRE CDO classes ($16.7 million, 3.3%). CTX CDO I has significant
exposure to recently downgraded CMBS classes from these
transactions:
-- Wachovia Bank Commercial Mortgage Trust's series 2006-C24
(class K; $25 million, 5%);
-- LB-UBS Commercial Mortgage Trust 2006-C4 (class K;
$20 million, 4%); and
-- GE Commercial Mortgage Corp.'s series 2006-C1 (class H;
$20 million, 4%).
S&P will update or resolve its CreditWatch negative placements on
CTX CDO I Ltd. after S&P resolves the CreditWatch placements
affecting the underlying CMBS collateral.
Ratings Lowered And Remaining On Creditwatch Negative
CTX CDO I Ltd.
Rating
------
Class To From
----- -- ----
C BB/Watch Neg BB+/Watch Neg
D BB-/Watch Neg BB+/Watch Neg
E B+/Watch Neg BB/Watch Neg
F B/Watch Neg B+/Watch Neg
G B-/Watch Neg B+/Watch Neg
H CCC/Watch Neg B-/Watch Neg
Ratings Lowered And Removed From Creditwatch Negative
CTX CDO I Ltd.
Rating
------
Class To From
----- -- ----
J CCC- CCC/Watch Neg
K CCC- CCC/Watch Neg
Ratings Remaining On Creditwatch Negative
CTX CDO I Ltd.
Class Rating
----- ------
Super-senior BB+/Watch Neg
A BB+/Watch Neg
B BB+/Watch Neg
DUKE FUNDING: Moody's Downgrades Ratings on Three Classes of Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of three classes of notes issued by Duke Funding IV, Ltd.
The notes affected by the rating action are:
Issuer: Duke Funding IV, Ltd.
-- US$190,000,000 Class A-1 First Priority Senior Secured Flt.
Rt. Notes due 2023, Downgraded to Ca; previously on
November 11, 2009 Downgraded to Caa3
-- US$90,000,000 Class A-2 First Priority Senior Secured Flt.
Rt. Notes due 2023, Downgraded to Ca; previously on
February 18, 2009 Downgraded to Caa3
-- US$5,000,000 Composite Securities, Downgraded to Ca;
previously on February 18, 2009 Downgraded to Caa3
Duke Funding IV, Ltd., is a collateralized debt obligation
issuance backed by a portfolio primarily comprised of Residential
Mortgage-Backed Securities from 2002-2004 vintages.
The rating downgrade action reflects deterioration in the credit
quality of the underlying portfolio. Credit deterioration of the
collateral pool is observed through several factors, including a
decline in performing par value, an increase in the weighted
average rating factor or WARF and in failure of coverage tests.
Moody's notes that the performing collateral pool decreased from
approximately $213.4 million in February 2009 to a current
reported balance of $132.7 million. The trustee reports that the
WARF of the portfolio is 3049. In addition, the trustee reports
that all Overcollateralization and Interest Coverage Tests are
currently failing.
Moody's also notes that on August 28, 2009, as reported by the
Trustee, an Event of Default described in Section 5.1 (i) of the
Indenture dated January 7, 2003, occurred due to a failure to
satisfy the minimum the Class A Collateral Coverage Ratio.
DVI RECEIVABLES: Fitch Takes Rating Actions on Various Classes
--------------------------------------------------------------
Fitch Ratings takes these actions on the long-term and Recovery
Ratings for the DVI transactions listed below:
DVI Receivables XIV LLC, Series 2001-1
-- Class A-4 notes revised to 'D/RR5' from 'D/RR3';
-- Class B notes revised to 'D/RR5' from 'D/RR6';
-- Class C, D, and E notes affirmed at 'D/RR6'.
DVI Receivables XVI LLC, Series 2001-2
-- Class A-3 notes affirmed at 'D/RR6';
-- Class A-4, B, C, D, and E notes downgraded to 'D/RR6' from
'C/RR6'.
DVI Receivables XVII LLC, Series 2002-1
-- Class A-3a, A-3b, B, C, D, and E notes affirmed at 'C/RR6'.
DVI Receivables XVIII LLC, Series 2002-2
-- Class A-3a and A-3b notes downgraded to 'C/RR6' from
'CCC/RR2';
-- Class B, C, D, and E notes affirmed at 'C/RR6'.
DVI Receivables XIX LLC, Series 2003-1
-- Class A-3a and A-3b notes downgraded to 'C/RR6' from
'CC/RR5';
-- Class B, C-1, C-2, D-1, D-2, E-1, and E-2 notes affirmed at
'C/RR6'.
In addition, Fitch withdraws all of the ratings listed above.
Fitch's actions are based on an analysis of scheduled remaining
cashflows for each transaction's collateral pool as provided by
the servicer. Expected monthly payments were modeled against each
transaction's liability structure. It was determined that for
each transaction, the remaining collateral payments would be
insufficient to pay in full the outstanding balance of any rated
class by their legal final maturity date. The non-payment of full
principal by legal final constitutes an event of default. All
outstanding classes in the 2001-1 and 2001-2 series have passed
their legal final maturity dates and as such all long-term ratings
from these two issuances are rated 'D'. For the 2002-1, 2002-2,
and 2003-1 series, a default appears imminent for each class and
as such all outstanding long-term ratings from these three
issuances are rated 'C'. Typically, Fitch will model asset-side
cashflows. Due to the relatively small remaining payments and
short collateral life, scheduled payments provided by the servicer
were utilized to determine expected principal and interest
allocations.
RR's were determined by applying all future scheduled payments,
including those that come due after a transaction's final legal
maturity date, to each transaction's liability structure.
Consistent with Fitch's Recovery Rating criteria, all payments of
principal and interest were then discounted at 10% and applied to
each class' outstanding balance to determine the expected recovery
percentage and arrive at the appropriate RR. An 'RR5' and 'RR6'
is consistent with recovery expectations of 11-30% and 0-10%,
respectively.
The ratings on all outstanding DVI transactions are also withdrawn
due to the expectation that continued performance deterioration
will lead to technical default by each class's legal final
maturity date. Furthermore, following discussions with the
servicer and based on historical performance, Fitch does not
expect any future material recoveries which might aid in the
repayment of principal for any trust.
EQUINOX FUNDING: Moody's Downgrades Ratings on Three Classes
------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of three classes of notes issued by Equinox Funding. The
notes affected by the rating action are:
-- US$37,500,000 Class A Floating Rate Notes due November 15,
2012, Downgraded to Caa3; previously on 5/14/2009 Downgraded
to Ba1 and Placed on Review for Possible Downgrade
-- US$22,500,000 Class B Floating Rate Notes due November 15,
2012, Downgraded to Ca; previously on 5/14/2009 Downgraded to
Caa3 and Placed on Review for Possible Downgrade
-- US$16,875,000 Class C Floating Rate Notes due November 15,
2012, Downgraded to C; previously on previously on 5/14/2009
Downgraded to Ca
Equinox Funding is a synthetic collateralized debt obligation
issuance referencing a portfolio of CLO and CBO tranches, the
majority of which are mezzanine tranches originated in 1999 and
2000.
The rating downgrade actions reflect deterioration in the credit
quality of the reference portfolio as reflected in the recent
rating actions taken with respect to the reference pool. Credit
deterioration of the reference pool is observed through a decline
in the average credit rating (as measured by an increase in the
weighted average rating factor) and an increase in the dollar
amount of C/Ca rated securities, among other measures. The
ratings of approximately 55.3% of the reference assets have been
downgraded since Moody's last review of the transaction in May
2009. Furthermore the Trustee reports that the WARF of the
portfolio is 7934 as of November 16, 2009.
FOLEY SQUARE: Moody's Downgrades Ratings on Three 2007-1 Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these CDS and two notes issued by Foley Square CDO
2007-1 Ltd., a collateralized debt obligation transaction
referencing a static portfolio of primarily non-investment grade
corporate bonds:
-- US$359,000,000 Class A Credit Default Swap (Current
Outstanding Amount of $350,810,316), Downgraded to Ba2;
previously on November 5, 2009 Baa3 Placed on Review for
Possible Downgrade;
-- US$14,000,000 Class B Floating Rate Senior Notes Due
2014, Downgraded to Ca; previously on November 5, 2009
Downgraded to Caa3 and Placed on Review for Possible
Downgrade;
-- US$21,500,000 Class E Floating Rate Deferrable
Subordinate Notes Due 2014 (current balance of $21,824,904),
Downgraded to C; previously on March 27, 2009 Downgraded to
Ca.
According to Moody's, the rating actions conclude the prior review
actions taken on November 5, 2009, when the rating of the Class A
CDS was placed under review for possible downgrade and the Class B
Notes were downgraded from B3 to Caa3 and placed on review for
possible downgrade. The rating actions taken are primarily due to
the downgrade of the insurance financial strength rating of Ambac
Assurance Corporation, the Guarantor under the Investment
Agreement in this transaction. The funds from the Investment
Agreement are used to meet credit event payments as well as to
make principal payments to the Notes whereas the earnings from the
Investment Agreement are used to pay intersest on the notes in
part. Ambac has experienced substantial credit migration in the
past few months. On April 13, 2009, the insurance financial
strength rating of Ambac was downgraded from Baa1 to Ba3, and it
was further downgraded to Caa2 on July 29, 2009.
Moody's explains that the rating actions are also the result of
further deterioration of the credit quality of the reference
portfolio. Since the previous rating action on the transaction in
April 2009, the subordination of the rated tranches has been
further reduced due to credit events on Abitibi-Consolidated Inc.,
Chemtura Corporation and R.H. Donnelly Corporation. These credit
events lead to a decrease of approximately 3% of the subordination
of the tranches. Based on the latest trustee report dated
September 21, 2009, the Class D overcollateralization ratio was
reported at 108.71% versus a test level of 109.7%, and the Class E
overcollateralization ratio was reported at 103.01% versus a test
level of 105.9%.
The rating action taken on the Class E Notes is mainly due to
Moody's assessment that there is a high likelihood that the issuer
will default on its obligation to repay the current outstanding
balance of the Class E Notes at its maturity, which may result in
significant losses to the Class E noteholders. In addition, the
interest payments on the Class E Notes are presently being
deferred as a result of the failure of the Class D
Overcollateralization Ratio Test.
Moody's rating analysis reflects its revised assumption with
respect to the default probability, the treatment of ratings on
"Review for Possible Downgrade" or with a "Negative Outlook," and
the calculation of the Diversity Score. The analysis also
reflects the expectation that recoveries for high-yield corporate
bonds will be below their historical averages. 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.
G-FORCE CDO: Moody's Downgrades Rating on Six Classes of Notes
--------------------------------------------------------------
Moody's Investors Service downgraded the rating of six classes and
upgraded the rating of one class of Notes issued by G-Force CDO
2006-1 Ltd. The downgrades are due to an Event of Default caused
by the non-payment of interest on a Non-PIKable class,
deterioration in the credit quality of the underlying portfolio
and the uncertainty surrounding potential collateral liquidation
in the current stressed environment. The upgrade is due to a
correction by Moody's in the way the priority of payments was
modeled.
On November 30, 2009, a default in the payment of Class E Notes
occurred. On December 4, 2009, after the default in the payment
of Class E was not cured within four business days, an EOD
occurred, pursuant to Section 5.1(a) of the Indenture.
On December 11, 2009, Moody's placed classes A-2, A-3, SSFL, JRFL,
B, C and D on review for possible downgrade due to the EOD and an
increase in interest shortfalls. During the review process,
Moody's corrected the way the priority of payments were modeled.
Proceeds to the grouped Class A Notes are calculated pro-rata to
the grouped Floating Rate Notes. Within each group, proceeds are
paid in a senor sequential manner: within the Class A Notes the
first priority is to the Class A-1 Notes, second to the class A-2
Notes, and third to the class A-3 Notes; within the Floating Rate
Notes the first priority is to the Class SSFL Notes and second to
the Class JRFL Notes. In the prior review, the priority of
payments was modeled by Moody's assuming the Class A Notes and
Floating Rate Notes were pro rata and pari passu across Notes
within each group. This remodeling affected classes A-2, A-3,
SSFL and JRFL, and the rating actions as to these classes -- a one
notch upgrade to Class A-2, and downgrades to Classes A-3, SSFL
and JRFL -- reflect the impact of both the remodeling and credit
migration. Classes B, C and D were only affected by negative
credit migration, which resulted in downgrades to each.
G-Force CDO 2006-1 Ltd. is a collateralized debt obligation backed
by commercial mortgage backed securities, commercial real estate
collateralized debt obligations and non-pooled, or rake, CMBS. As
of the November 30, 2009 payment date, the notes are
collateralized by 78 classes of CMBS collateral (80.4% of the
pool) from 37 separate transactions, seven classes of CRE CDOs
collateral (14.2% of the pool) from one transaction and five rake
bonds (5.4% of the pool).
Eleven pieces of collateral totaling $154.0 million (20.1% of the
pool) were reported as impaired securities by the trustee.
Moody's is estimating $149.6 million of losses from these and
other low speculative grade rated securities. The deal has
$70.2 million of realized losses to date.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: weighted average rating
factor, weighted average life, weighted average recovery rate, and
Moody's asset correlation. These parameters are modeled as actual
parameters for static deals and covenant for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's have completed updated credit estimates for the entire
pool and the results will be reflected in a future Trustee Report.
The WARF is a measure of the default probability within a
collateral pool. Moody's modeled a bottom dollar WARF of 3,516,
which is the adjusted WARF after factoring in potential ratings
migration on over 10.0% of collateral credit estimated or
currently placed on review for possible downgrade by Moody's,
compared to 3,007 at last review. The distribution of current
ratings and credit estimates is: Aaa-Aa3 (26.8% compared to 26.3%
at last review), A1-A3 (5.0% compared to 4.7% at last review),
Baa1-Baa3 (9.8% compared to 11.8% at last review), Ba1-Ba3 (18.9%
compared to 18.0% at last review), B1-B3 (7.8% compared to 11.9%
at last review), Caa1-NR (31.7% compared to 27.2% at last review).
WAL acts to adjust the credit exposure of the collateral pool.
Moody's modeled to the actual WAL of 5.4 years, compared to 6.0 at
last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR
of 26.7% compared to 22.7% at last review. The increased WARR
reflects the net remaining collateral balance after deducting for
realized losses.
MAC is a single factor that describes the pair-wise asset
correlations among the instruments within the collateral pool
(i.e. the measure of diversity). Moody's modeled a MAC of 8.53%
compared to 5.91% at last review.
As provided in Article V of the Indenture, during the occurrence
and continuance of an Event of Default, the Controlling Class of
the transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral Debt Securities
and the Notes, including liquidation. Moody's notes that the
transaction is exposed to CMBS and CRE CDO assets, a significant
portion of which have low speculative-grade ratings. These types
of assets have shown depressed market valuations recently which
could lead to extremely low recovery rates should a liquidation of
the collateral occur.
Moody's will continue to closely monitor the performance of this
transaction and the remedies the Trustee may exercise under the
direction elected by a Majority of the Controlling Class.
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
April 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.
The cash flow model, CDOEdge v3.2, was used to analyze the cash
flow waterfall and its effect on the capital structure of the
deal.
The rating actions are:
-- Class A-1, Affirmed at Aaa; previously on October 2, 2006
Assigned Aaa
-- Class A-2, Upgraded to Aaa; previously on December 11, 2009
Aa1 Placed Under Review for Possible Downgrade;
-- Class A-3, Downgraded to Ba1; previously on December 11, 2009
Baa2 Placed Under Review for Possible Downgrade;
-- Class SSFL, Downgraded to Aa1; previously on December 11,
2009 Aaa Placed Under Review for Possible Downgrade;
-- Class JRFL, Downgraded to Ba2; previously on December 11,
2009 Aa3 Placed Under Review for Possible Downgrade;
-- Class B, Downgraded to Caa3; previously on December 11, 2009
Ba2 Placed Under Review for Possible Downgrade;
-- Class C, Downgraded to C; previously on December 11, 2009 B1
Placed Under Review for Possible Downgrade;
-- Class D, Downgraded to C; previously on December 11, 2009 B2
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 on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated March, 9 2009.
GARDEN CITY: Moody's Affirms 'Ba1' Rating; Outlook is Negative
--------------------------------------------------------------
Moody's Investors Service has affirmed Garden City Hospital's Ba1
bond rating. The outlook remains negative. The affirmation
affects approximately $7 million of outstanding Series 1998A
bonds. GCH also has approximately $47 million of Series 2007A
fixed rate bonds outstanding (not rated by Moody's).
Legal Security: The bonds are an obligation of the Garden City
Hospital Obligated Group, of which GCH currently is the only
member. GCH is a member of Garden City and Subsidiaries (the
system). GCH accounts for approximately 95% of system assets and
94% of system revenues. The bonds are secured by a security
interest in Gross Revenues (as defined in the bond documents) and
a mortgage and pledge of tangible and intangible property of GCH.
Interest Rate Derivatives: None.
Challenges
* Stand-alone facility in competitive and economically challenged
southeastern Michigan market
* Despite improvement in liquidity to $26.4 million (69 days cash
on hand) at unaudited fiscal year end (FYE) 2009 (September year
end) from $22.5 million (59 days cash on hand) at FYE 2008, cash
to debt remains thin at 47%
* Inpatient admission trends remain stagnant in fiscal year (FY)
2009 (-0.3% decline)
* Pension estimated to be $14.6 million underfunded at FYE 2009
due to turmoil in equity markets, which could place additional
stress to the balance sheet in the near term
Strengths
* Growth in surgical volumes in FY 2009 (6% growth) following the
opening of the Garden City Hospital Surgery Center on the GCH
campus in August 2008
* Improved operating performance in unaudited FY 2009 with the
GCH-hospital recording an operating income of $1.2 million (0.8%
operating margin, after reclassifying investment income from
operating to non-operating revenue) and operating cash flow of
$9.8 million (6.7% operating cash flow margin) up from an
operating deficit of $1.2million (-0.8% operating margin) and
operating cash flow of $5.7 million (4.0% operating cash flow
margin) in FY 2008
* Cut back in capital spending and no new debt anticipated in
FY2010 which should mitigate pressures on balance sheet measures
* All fixed rate debt
* Non-unionized staff
Recent Developments/Results
Following two consecutive years of declining operating performance
in fiscal years 2007 and 2008, the GCH hospital recorded operating
income of $1.2 million (0.8% operating margin, after reclassifying
investment income from operating to non-operating revenue) and
operating cash flow of $9.8 million (6.7% operating cash flow
margin) in unaudited FY 2009. In FY 2008, the GCH-system recorded
an operating deficit of $2.7 million (-1.8% operating margin) and
operating cash flow of $4.6 million (3.0% operating cash flow
margin). The GCH hospital, which represents 93% of the system's
revenues and 98% of total assets, recorded an operating deficit of
$1.2 million (-0.8% operating margin, after reclassifying
investment income from operating to non-operating revenue) and
operating cash flow of $5.7 million (4.0% operating cash flow
margin) in FY 2008. The improved operating performance in
unaudited FY 2009 was driven in part, by: 1) improved surgical
volumes (6% growth) and continued growth in outpatient visits (9%
growth); 2) various expense reduction initiatives including pay
cuts by senior management, reduced employee work hours, reduction
in work force of 15 FTEs, and reduced rates from vendors and
suppliers. GCH also benefited from a decline in professional
liabilities of $3.8 million. The rebound in surgical volumes was
attributed to the new surgical center that opened in August of
2008 and had three additional operating rooms (9 total). Moody's
note, however, that despite the improvement in results, operating
performance in recent years has been variable and remains a credit
concern.
As a result of the improved operating performance in unaudited FY
2009, GCH-hospital's Moody's adjusted debt measures have improved
with debt to cash flow improving to 5.02 times from 8.57 times in
FY 2008 and maximum annual debt service (MADS) coverage improved
to 2.76 times from 1.64 times in FY 2008. The GCH-system had debt
to cash flow of 14.4 times and MADS coverage of 1.49 times in FY
2008.
In FY 2010, management anticipates the GCH-hospital to have a
somewhat softened level of operating performance with an operating
deficit of $400,000 (-0.3% operating margin) and operating cash
flow of $9.7 million (6.5% operating cash flow margin). The
anticipated performance is being driven by the assumption that
inpatient volumes will remain flat with some expected growth in
surgical volumes. Expense growth is also expected to remain
somewhat flat particularly with expected savings from salaries and
benefits and supplies. However, there is anticipated growth in
bad debt (5%) and depreciation (26%) expenses.
The GCH-hospital's liquidity also improved at FYE 2009 with
unrestricted cash and investments increasing to $26.4 million
(69.3 days cash on hand) from $22.5 million (59 days cash on hand)
at FYE 2008. The GCH-system's unrestricted cash and investments
balance was $22.9 million (56 days cash on hand) at FYE 2008. The
improved liquidity position was attributed to a rebate from GCH's
off-shore captive insurance company and good revenue cycle
management was evidenced by its low accounts receivables days (23
days). As a result of the improved liquidity position, cash to
debt improved to 47% at FYE 2009 from 40% at FYE 2008. GCH's
investments are allocated conservatively, with approximately 80%
invested in cash and fixed income securities.
GCH's defined benefit pension plan, which was froze in 2003, is
estimated to be approximately $14.6 million underfunded at FYE
2009. While no contributions were made in FY 2008 or FY 2009,
management anticipates a contribution of approximately $500,000 to
$2 million in FY 2010, which places some negative pressure on the
balance sheet.
GCH is budgeting to spend approximately $5 million towards capital
expenditures, primarily for IT investments which is down from the
$19 million spent in FY 2008 which was primarily spent from bond
funds for the new surgery center. Management also does not
anticipate issuing additional debt in the near term which should
help mitigate any pressures on the balance sheet.
GCH's location in the competitive and economically challenged
Detroit metropolitan area remains a key credit concern. GCH is
located in the western suburbs of Detroit and faces stiff
competition from 32,600 admission Oakwood Hospital and Medical
Center and 9,700 admission Oakwood Annapolis Hospital in Wayne
(both members of A2-rated Oakwood Health System), 12,800 admission
St. Mary Mercy Hospital in Livonia (a member of Aa2-rated Trinity
Health), and 12,900 admission Botsford General Hospital in
Farmington Hills. GCH holds approximately 14% market share of its
primary service area, which covers a seven mile radius surrounding
GCH including Garden City and surrounding communities. Market
share has held steady in the last year but had declined somewhat
over the last several years due in part to patients in the western
portion of the PSA migrating to Aa2-rated University of Michigan
Hospitals and Trinity Health's St. Joseph Mercy Hospital in Ann
Arbor.
Outlook
The negative outlook reflects Moody's concerns, despite improved
operating performance in FY 2009, the ongoing challenges in the
local economy, the competitive marketplace, and underfunded
pension funding status that could negatively impact operations
What could change the rating -- UP
* Improved and sustained operating performance; increasing
operating surpluses and cashflow generation; sizeable gains in
liquidity; material market share growth
What could change the rating -- DOWN
* Weaker operating performance; additional debt without
commensurate increase in cash flow; softer liquidity ratios
Key Indicators
Assumptions & Adjustments:
-- Based on financial statements for Garden City Hospital and
Subsidiaries consolidated financial statements
-- First number reflects audit year ended September, 30, 2008
-- Second number reflects unaudited financial statements ended
September 30, 2009 for the GCH hospital (excluding
subsidiaries)
-- Investment returns normalized at 6% unless otherwise noted
* Inpatient admissions: 9,005; 8,976
* Total operating revenues: $151.1 million; $146.2 million
* Moody's-adjusted net revenue available for debt service:
$6.5 million; $11.3 million
* Total debt outstanding: $57.4 million; $56.3 million
* Maximum annual debt service: $4.3 million; $4.1 million
* Moody's-adjusted MADS Coverage with normalized investment
income: 1.49 times; 2.76 times
* Debt-to-cash flow: 14.4 times; 5.02 times
* Days cash on hand: 56.3 days; 69.3 days
* Cash-to-debt: 40.0%; 46.9%
* Operating margin: -1.8%; 0.8%
* Operating cash flow margin: 3.0%; 6.7%
Outstanding Bonds (as of September 30, 2009):
-- Series 1998A Fixed Rate Revenue Bonds: $7.0 million
outstanding; rated Ba1
The last rating action was on September 11, 2008, when the bond
ratings of Garden City Hospital was affirmed at Ba1 and the
outlook was revised to negative from stable.
GE COMMERCIAL: S&P Downgrades Ratings on 15 2005-C4 Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage-backed securities from GE
Commercial Mortgage Corp.'s series 2005-C4 and removed them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on 10 other classes from the same transaction and
removed one of these ratings from CreditWatch with negative
implications.
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 S&P's rating actions. The downgrades of the mezzanine
and subordinate classes also reflect credit support erosion that
S&P anticipates will occur upon the eventual resolution of several
specially serviced assets. 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 1.59x and a loan-to-value ratio
of 102.8%. S&P further stressed the loans' cash flows under its
'AAA' scenario to yield a weighted average DSC of 0.97x and an LTV
of 134.6%. The implied defaults and loss severity under the 'AAA'
scenario were 76.6% and 35.0%, respectively. The DSC and LTV
calculations S&P noted above exclude two defeased loans
($10.8 million, 0.5%) and three ($75.1 million, 3.2%) of the 11
specially serviced loans. S&P separately estimated losses for the
three specially serviced loans and included them in its 'AAA'
scenario implied default and loss figures.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its rating on the class X-W
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 Considerations
As of the December 2009 remittance report, 11 assets
($383.3 million, 16.5%) in the pool were with the special
servicer, Midland Loan Services Inc. The payment status of the
specially serviced assets is: one is in foreclosure ($3.9 million,
0.2%); three are 90-plus days delinquent ($73.1 million, 3.2%);
one is 60 days delinquent ($18.4 million, 0.8%); two are 30 days
delinquent ($74.5 million, 3.2%); two are less than 30 days late
($91.2 million, 3.9%); one is in its grace period ($16.0 million,
0.7%); and one is current ($106.3 million, 4.6%).
Three of the specially serviced assets are top 10 loans
($260.4 million, 11.2%), which S&P discuss in detail below, and
seven of the specially serviced assets have appraisal reduction
amounts in effect totaling $75.0 million. S&P separately
estimated losses for three ($75.1 million; 3.2%) of the 11
specially serviced assets. Losses for these three assets ranged
from 23.6% to 74.3%. The special servicer is reviewing
modification proposals for three loans ($29.9 million, 1.3%), and
anticipates returning two loans ($17.9 million, 0.8%) to the
master servicer.
The DDR/Macquarie Mervyn's Portfolio loan, which has a total
exposure of $106.6 million (4.6%), is the largest loan with the
special servicer and the second-largest loan in the pool. The
loan has a trust balance of $106.3 million and a whole-loan
balance of $229.6 million. The whole loan is split into three
pari passu notes: a $106.3 million fixed-rate A-1 note that was
contributed to this transaction, a $106.3 million fixed-rate A-2
note included in the GMAC Commercial Mortgage Securities Inc.
Series 2006-C1 Trust transaction, and a $17.0 million floating-
rate note in the COMM 2005-FL11 transaction.
The loan is currently secured by 32 single-tenant retail
properties that were formerly operating as Mervyn's, a discount
department store chain. Mervyn's filed for bankruptcy on Aug. 29,
2008, and rejected all of its leases on or before Dec. 31, 2008.
Mervyn's subsequently closed all of its stores. The loan was
transferred to Midland, the special servicer for this loan, on
Oct. 22, 2008, due to imminent default. A modification of the
three notes was closed on Oct. 1, 2009, which provided a
prioritized $8.0 million paydown of the A-3 note, new funding for
tenant improvements and leasing commissions and debt service
reserves, and the release of collateral properties when sold for
115% of the allocated loan amount. To date, three of the stores
have been sold to Kohl's. In addition, three properties have been
completely leased, six have pending leases, and three additional
properties are expected to be sold by early next year.
The Grand Traverse Mall loan (3.6%) and the Oglethorpe Mall loan
(3.0%), the second- and third-largest loans, respectively, with
the special servicer, are both secured by retail properties owned
by General Growth Properties. On Dec. 15, 2009, the court
overseeing the GGP bankruptcy confirmed a modification plan for 85
GGP loans, including the Grand Traverse Mall and Oglethorpe Mall
loans. Standard & Poor's will continue to review the details of
the loan restructuring as they become available.
The Grand Traverse Mall loan, which has a total exposure of
$85.7 million (3.6%), is the fifth-largest loan in the pool. The
loan is secured by 310,150 sq. ft. of a 593,499-sq.-ft., regional
mall in Traverse City, Michigan. The loan was transferred to the
special servicer on April 29, 2009, due to the bankruptcy filing
of the borrower, GGP. The loan matures in October 2012. The
reported DSC was 1.17x for year-end 2008, and the occupancy was
93.8% as of March 31, 2009.
The Oglethorpe Mall loan ($71.0 million total exposure, 3.0%) is
the seventh-largest loan in the pool. The loan is secured by
631,244 sq. ft. of a 947,004-sq.-ft. super-regional mall in
Savannah, Ga. The loan was also transferred to the special
servicer on April 29, 2009, due to GGP's bankruptcy filing. For
the trailing three months ended March 31, 2009, the reported DSC
was 1.38x, and the occupancy as of June 30, 2009, was 97.1%. The
loan's original maturity date was in July 2012 but has been
extended until July 2017.
Transaction Summary
As of the December 2009 remittance report, the collateral pool
balance was $2.319 billion, which is 96.7% of the balance at
issuance. The pool includes 165 loans, down from 166 at issuance.
As of the December 2009 remittance report, the master servicer,
also Midland, provided financial information for 95.0% of the
pool, and 94.5% of the servicer-provided information was full-year
2008 or interim-2009 data. S&P calculated a weighted average DSC
of 1.66x for the pool based on the reported figures. S&P's
adjusted DSC and LTV were 1.59x and 102.8%, respectively. S&P's
adjusted DSC and LTV figures exclude two defeased loans
($10.8 million, 0.5%) and three ($75.1 million, 3.2%) of the 11
specially serviced loans. S&P estimated losses separately for the
three specially serviced loans. The transaction has experienced
one principal loss of $3,910,691 to date. Nineteen loans
($255.8 million, 11.0%) are on the master servicer's watchlist,
including one of the top 10 loans. Sixteen loans ($201.4 million,
8.7%) have a reported DSC below 1.10x, and 10 of these loans
($126.3 million, 5.4%) have a reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$808.9 million (34.9%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.82x for the top 10 loans.
Three of the top 10 loans ($260.4 million, 11.2%) are with the
special servicer, which S&P discussed in detail above. One of the
top 10 loans ($57.1 million, 2.5%) appears on the master
servicer's watchlist, which S&P discuss in detail below. S&P's
adjusted DSC and LTV for the top 10 loans are 1.59x and 99.5%,
respectively.
The Becker Portfolio loan is the ninth-largest loan in the pool
and the largest loan on the master servicer's watchlist. The loan
appears on the watchlist due to low DSC. As of the December 2009
remittance report, the loan is in its grace period and has a trust
balance of $57.1 million (2.5%). The loan is secured by nine
grocery-anchored, neighborhood and single-tenant retail centers,
which together contain a total of 955,448 sq. ft. located in
Pennsylvania, New Jersey, Indiana, and West Virginia. The whole
loan reported a trailing-five-month DSC for the period ended
May 31, 2009, of 1.05x, up from 1.00x as of year-end 2008. The A
note reported a trailing-five-month DSC for the period ended
May 31, 2009, of 1.40x, up from 1.34x as of year-end 2008. Per
the May 30, 2009, rent roll, the consolidated occupancy was 92%,
up from 90% 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
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2005-C4
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M A+ AAA/Watch Neg 20.50
A-J BBB+ AAA/Watch Neg 13.91
B BBB AA+/Watch Neg 12.88
C BBB- AA/Watch Neg 11.59
D BB+ AA-/Watch Neg 10.56
E BB A/Watch Neg 8.62
F BB- BBB+/Watch Neg 7.45
G B+ BBB-/Watch Neg 6.03
H B BB+/Watch Neg 5.00
J B- BB/Watch Neg 3.84
K CCC+ BB-/Watch Neg 3.32
L CCC B/Watch Neg 2.80
M CCC- B-/Watch Neg 2.42
N CCC- CCC+/Watch Neg 2.03
O CCC- CCC/Watch Neg 1.77
Rating Affirmed And Removed From Creditwatch Negative
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2005-C4
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
P CCC- CCC-/Watch Neg 1.38
Ratings Affirmed
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2005-C4
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.84
A-1D AAA 30.84
A-2 AAA 30.84
A-3A AAA 30.84
A-3B AAA 30.84
A-SB AAA 30.84
A-4 AAA 30.84
A-1A AAA 30.84
X-W AAA N/A
N/A - Not applicable.
GEMSTONE CDO: Moody's Downgrades Ratings on Three Classes
---------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of three classes of Notes issued by Gemstone CDO VI, Ltd.
The Notes affected by the rating action are:
Issuer: Gemstone CDO VI Ltd.
-- US$446,250,000 Class A-1 Floating Rate Notes due August
2046 (current balance of $390,006,140.13), Downgraded to Ca;
previously on April 23, 2008 Downgraded to Ba2 and Remained
On Review for Possible Downgrade
-- US$78,750,000 Class A-2 Floating Rate Notes due August 2046
(current balance of $78,780,000.00), Downgraded to C;
previously on April 23, 2008 Downgraded to Caa2 and Remained
On Review for Possible Downgrade
-- US$66,500,000 Class B Floating Rate Notes due August 2046
(current balance of $66,500,000.00), Downgraded to C;
previously on April 23, 2008 Downgraded to Ca
Gemstone CDO VI, Ltd., is a collateralized debt obligation
originally backed by a portfolio comprised primarily of
Residential Mortgage-Backed Securities from a 2006 vintage with
additional exposure also to Commercial Mortgage-Backed Securities.
CMBS from a 2006 vintage now represent the substantial amount of
performing underlying collateral.
The rating downgrade actions reflect deterioration in the credit
quality of the underlying portfolio. Credit deterioration of the
collateral pool is observed through several factors, including a
decline in the average credit rating (as measured by an increase
in the weighted average rating factor), an increase in the dollar
amount of defaulted securities, and an increase in the proportion
of securities rated Caa1and below. The ratings of approximately
85% of the underlying assets have been downgraded since Moody's
last review of the transaction in April 2008. As of November 30,
2009, the trustee reports a performing par of approximately
$118 million compared to $675 million in April 2008. The trustee
also reports that currently all Overcollateralization and Interest
Coverage tests are failing.
Moody's notes that on May 17, 2009, as reported by the Trustee, an
Event of Default occurred described in Section 5.1 (a) of the
Indenture dated August 17, 2006, due to a default in the payment
of interest on the Class B Notes.
GRESHAM CAPITAL: Moody's Takes Rating Actions on Various Classes
----------------------------------------------------------------
Moody's Investors Service announced these rating actions on notes
issued by Gresham Capital CLO 1 B.V. The Class A-1 Notes and the
Revolving Loan Facility Agreement remain Aaa mainly due to the
current over collateralization.
-- EUR75,000,000 Revolving Loan Facility Agreement (current
balance of EUR73,368,956), Confirmed at Aaa; previously on
March 4, 2009 Aaa Placed Under Review for Possible Downgrade;
-- EUR48,000,000 Class A2 Senior Secured Floating Rate Notes due
2026, Downgraded to A1; previously on March 23, 2006 Assigned
Aaa;
-- EUR16,500,000 Class B Deferrable Secured Floating Rate Notes
due 2026, Downgraded to Baa3; previously on March 4, 2009 Aa2
Placed Under Review for Possible Downgrade;
-- EUR18,000,000 Class C Deferrable Secured Floating Rate Notes
due 2026, Downgraded to Ba3; previously on March 19, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade;
-- EUR21,600,000 Class D Deferrable Secured Floating Rate Notes
due 2026, Downgraded to Caa2; previously on March 19, 2009
Downgraded to B2 and Placed Under Review for Possible
Downgrade.
This transaction is a managed cash collateralized loan obligation
with exposure to predominantly European senior secured loans, as
well as about 12% mezzanine loan and CLO exposure.
The rating actions reflect Moody's revised assumptions with
respect to default probability and the calculation of the
diversity score as described in the press release dated
February 4, 2009, titled "Moody's updates key assumptions for
rating CLOs." These revised assumptions have been applied to all
corporate credits in the underlying portfolio, the revised
assumptions for the treatment of ratings on "Review for Possible
Downgrade", "Review for Possible Upgrade", or with a "Negative
Outlook" being applied to those corporate credits that are
publicly rated.
Moody's also notes that a material proportion of the collateral
pool consists of debt obligations whose credit quality has been
assessed through Moody's credit estimates. As credit estimates do
not carry credit indicators such as ratings reviews and outlooks,
a stress of a quarter notch-equivalent assumed downgrade was
applied to each of these estimates.
According to Moody's, the rating actions taken on the notes are
also a result of credit deterioration of the underlying portfolio.
This is observed through a decline in the average credit rating as
measured through the portfolio weighted average rating factor
'WARF' (currently 2669), an increase in the amount of defaulted
securities (currently 5% of the portfolio), an increase in the
proportion of securities from issuers rated Caa1 and below
(currently 11.4% of the portfolio), and a failure of Class D and
Class E overcollateralization tests (including a deterioration of
the Class A overcollateralization test from 141.01% in February
2009 to 129.03% in November 2009). These measures were taken from
the recent trustee report dated 20 November 2009. 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 low speculative-grade
ratings and carry depressed market valuations that may herald poor
recovery prospects in the event of default. Moody's also
performed a number of sensitivity analyses, including
consideration of a further decline in portfolio WARF quality
combined with a decrease in the expected recovery rates. 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.
INNER HARBOR: Fitch Affirms Ratings on Four Classes of Notes
------------------------------------------------------------
Fitch Ratings has affirmed four classes of notes issued by Inner
Harbor 1999-1 Ltd./Corp. A detailed list of rating actions
follows at the end of this press release.
This review was conducted under the framework described in the
report 'Global Structured Finance Rating Criteria'. Portfolio
default modeling was conducted in accordance with Fitch's 'Global
Rating Criteria for Corporate CDOs'. Recovery Ratings were
assigned in compliance with Fitch's 'Criteria for Structured
Finance Recovery Ratings' and 'Global Surveillance Criteria for
Corporate CDOs'.
The affirmation of the class A-4A and A-4B notes reflects the
credit quality of the remaining assets and adequate collateral
coverage provided by the underlying portfolio. Furthermore, as of
the Dec. 2, 2009 trustee report, approximately $9 million is
currently held in the principal collection account as cash, most
of which is expected to be distributed to the class A-4A and A-4B
notes at the next payment date.
The affirmation of the class B-1L and B-2 notes reflects the
ongoing undercollateralization of these notes. Fitch expects
default of these notes to be imminent at the stated maturity.
Fitch revised the Recovery Rating of these notes to indicate the
expectation that the notes will recover between 11% and 21% of the
current principal and interest due, consistent with an 'RR5'.
This review did not utilize the Global Cash Flow model given the
two-year remaining tenor of the structure and the high obligor
concentration of the portfolio. The transaction has a stated
maturity of Jan. 15, 2012 and only nine performing assets
remaining in the portfolio. Instead, the current principal cash
balance and the projected recovery estimates on defaulted
collateral were assumed to amortize the note principal balances.
An expected loss was assigned to the remaining performing assets
and the expected return was then used to determine the asset
coverage when considering their long-term credit rating. The
structural features of the transaction were also factored into the
analysis. Since principal proceeds are first used to address any
interest shortfall for the junior notes prior to distribution to
the class A-4A and A-4B notes in the principal waterfall, the
expected shortfall amount was netted out from the available
proceeds for the class A-4A and A-4B notes.
The Recovery Ratings of the class A-4A, A-4B, B-1L and B-2 notes
were based on the total expected future cash flows projected to be
available to these bonds in a base case default scenario.
Recovery Ratings are designed to provide a forward-looking
estimate of recoveries on currently distressed or defaulted
structured finance securities. Distressed securities are defined
as bonds that face a real possibility of default at or prior to
maturity and by definition are rated 'CCC' or below. For further
detail on Recovery Ratings, please see Fitch's report 'Global
Surveillance Criteria for Corporate CDOs'.
Inner Harbor 1999-1 is a collateralized bond obligation that
closed on Dec. 21, 1999 and is managed by T. Rowe Price
Associates, Inc. The reinvestment period for this transaction
ended in January 2004. The portfolio currently has 11 total
assets remaining.
Fitch has taken these rating actions on the notes. Rating actions
include affirmations and the revision of Recovery Ratings.
-- $10,851,869 class A-4A affirmed at 'CCC/RR1';
-- $3,875,667 class A-4B affirmed at 'CCC/RR1';
-- $9,000,000 class B-1L affirmed at 'C', RR revised to 'RR5'
from 'RR6';
-- $5,500,000 class B-2 affirmed at 'C', RR revised to to 'RR5'
from 'RR6'.
ISLES CBO: Fitch Downgrades Ratings on Two Classes of Notes
-----------------------------------------------------------
Fitch Ratings has downgraded two classes of notes issued by Isles
CBO, Ltd/Corp.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria', 'Global
Rating Criteria for Corporate CDOs', 'Global Surveillance Criteria
for Corporate CDOs' and 'Criteria for Structured Finance Recovery
Ratings'.
The downgrade is the result of expected par coverage loss to the
class A-1 and A-2 note (class A notes) and an increase in the
possibility of default resulting from the structural feature that
directs principal to pay second-priority senior note interest
shortfalls prior to principal on the class A notes.
The class A notes receive interest and principal payments pro
rata, and have been paid down by approximately 88% since the last
review in 2008. The remaining portfolio collateral is comprised
of 11 performing high yield bonds with an aggregate par balance of
$17.1 million and an average rating of 'BB+', as well as two
defaulted high yield bonds which represent 14.87% of the
portfolio. Included in the performing portfolio are three bonds
representing $6 million that are scheduled to mature after the
stated maturity of the transaction in October 2010. The manager
plans to sell the bonds prior to the final distribution date.
Also available is approximately $4 million of principal cash,
which will be distributed on the next payment date in April 2010.
On the last payment date in October 2010, approximately 75% of the
interest due to the second senior notes was distributed from
principal proceeds prior to redeeming the class A notes to cure
the failing second priority par value test. Over the next two
payment dates, Fitch expects approximately $6.5 million of
principal proceeds to be used for interest shortfalls. The
leakage of principal for interest reduces total principal proceeds
available for the class A notes and increases the potential for a
class A note principal shortfall at maturity. The total return to
the class A notes will be reliant on the performance of the
performing assets, recoveries from defaulted bonds and the
proceeds received from the sale of long dated assets.
In its analysis, Fitch did not utilize the Global Cash Flow model
given the short remaining tenor of the transaction and the high
obligor concentration of the portfolio. Instead, the current
principal cash balance and the projected recovery estimates on
defaulted and long dated collateral were assumed to be used in
accordance with the principal waterfall. Additionally, an
expected loss was assigned to the remaining performing assets and
the expected return from these assets was also applied in
accordance with the principal waterfall. The sum of all available
proceeds was used to calculate the notes' expected total return
and to determine the long-term credit rating of the remaining
liabilities. The structural features of the transaction were also
factored into the analysis. Since principal proceeds are first
used to address any interest shortfall to the second-priority
senior notes prior to distribution to the class A notes in the
principal waterfall, this amount was netted out from the total
expected return to the notes.
The class A notes were assigned a Recovery Rating based upon the
total expected future cash flows projected to be available to
these bonds in a base case default scenario. Recovery Ratings are
designed to provide a forward-looking estimate of recoveries on
currently distressed or defaulted structured finance securities.
Distressed securities are defined as bonds that face a real
possibility of default at or prior to maturity and by definition
are rated 'CCC' or below. For further detail on Recovery Ratings,
please see Fitch's report 'Global Surveillance Criteria for
Corporate CDOs'.
Isles CBO is a collateralized bond obligation that closed
Oct. 27, 1998, and is currently managed by RiverSource
Investments, LLC. Payments on the rated notes are made semi-
annually in April and October and the reinvestment period ended in
October 2003. The scheduled maturity date is in October 2010.
Fitch has taken these rating actions on the notes below. Actions
include assigning Recovery Ratings and removal of the Rating
Outlook.
-- $1,747,696 class A-1 senior notes downgraded to 'CCC/RR2'
from 'BBB+';.
-- $13,690,283 class A-2 senior notes downgraded to 'CCC/RR2'
from 'BBB+'.
KIMBERLITE CDO: Moody's Downgrades Ratings on Eight Classes
-----------------------------------------------------------
Moody's Investors Service downgraded eight classes of Notes issued
by Kimberlite CDO 1, Ltd., due to the occurrence of an Event of
Default and deterioration in the credit quality of the underlying
portfolio. The Notes were placed on review for possible downgrade
on August 14, 2009, due to the deterioration in the credit quality
of the underlying portfolio and the potential for an EOD triggered
by further decreases to the Par Value Coverage Amount resulting
from additional ratings downgrades of the underlying collateral.
On November 13, 2009, the transaction entered into an EOD due to
the failure of its EOD Par Value Test. This action concludes
Moody's review. The rating action is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation transactions.
Kimberlite CDO I, Ltd. is a revolving commercial real estate
collateralized debt obligation transaction backed by a portfolio
of cash collateral (12% of the pool balance) and reference
obligations (82% of the pool balance). The current pool consists
of 92% commercial mortgage backed securities and 8% CRE CDOs. All
of the CMBS collateral was securitized between 2004 and 2006. The
aggregate collateral balance of the pool has decreased to
$747.9 million from $750.0 million at issuance, due to paydowns to
the unfunded super senior class.
All of the collateral and reference obligations are now rated at
Baa3 or lower, which has resulted in over $140.4 million in par
value haircuts. These haircuts have been factored into the
calculations of both the Overcollateralization Test and EOD Par
Value Test. As of November 22, 2009, the Trustee reports that the
transaction is failing its Super Senior Facility Par Value
Coverage Ratio (113.54% actual versus a trigger of 123.90%), Class
A/B Par Value Coverage Test (91.51% actual versus a trigger of
114.07%), as well as its EOD Par Value Test (97.89% actual versus
a trigger of 100.0%). Due to the failure of the transaction's EOD
Par Value Test, the transaction is currently in default. The
Trustee has not yet received notice from the controlling class
whether to accelerate the Notes or liquidate the collateral
portfolio.
Per Section 5.1(d) of the Indenture, EOD has been triggered as a
result of the Default Par Value Coverage Ratio falling below 100%.
During the occurrence and continuance of an Event of Default, a
Majority of the Controlling Class to the transaction may direct
the Trustee to take particular actions with respect to all or a
portion of the collateral or reference obligations or rights of
interest therein, including liquidation (in the case of Synthetic
Assets entered into pursuant to the Synthetic Asset Agreement,
designate an "Early Termination Date" under such Synthetic Asset
Agreement). Moody's notes that the transaction is exposed to a
significant concentration in CMBS assets, the majority of which
have low investment grade and below investment grade ratings. It
is also exposed to CRE CDOs with below investment grade ratings.
Both asset types have exhibited depressed market valuations
recently and thus may result in significant losses to the
transaction from any immediate sale of cash collateral and/or any
early termination of credit default swap contracts.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: weighted average rating
factor, weighted average life, weighted average recovery rate, and
Moody's asset correlation. These parameters are typically modeled
as actual parameters for static deals and as covenants for managed
deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's have completed updated credit estimates for the entire
pool and the results will be reflected in a future Trustee Report.
The bottom-dollar WARF is a measure of the default probability
within a collateral pool. Moody's modeled a bottom-dollar WARF,
excluding defaulted loans, of 3,373 compared to 1,561 at last
review. The distribution of current ratings and credit estimates
is: Baa1-Baa3 (22.0% compared to 57.9% at last review), Ba1-Ba3
(18.0% compared to 19.4% at last review), B1-B3 (30.1% compared to
17.4% at last review), Caa1-NR (30.0% compared to 5.3% at last
review).
WAL acts to adjust the credit exposure of the collateral pool.
Due to the current EOD status of the transaction resulting in
suspension of the revolving feature, Moody's modeled to the actual
WAL of 6.2 years, compared to the covenanted WAL of 8.8 years
modeled at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR,
excluding defaulted loans, of 8.1% compared to 14.2% at last
review.
MAC is a single factor that describes the pair-wise asset
correlations among the instruments within the collateral pool
(i.e. the measure of diversity). Moody's modeled a MAC,
excluding defaulted loans, of 30.1% compared to 38.3% at last
review.
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
April 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 REIT debt) within CRE
CDOs range from 30% to 60%, compared to 15% to 35% previously.
The cash flow model, CDOEdge v3.2, was used to analyze the cash
flow waterfall and its effect on the capital structure of the
deal.
The rating action is:
-- Cl. A, Downgraded to Caa2; previously on Aug 14, 2009 Ba3
Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Ca; previously on Aug 14, 2009 B2
Placed Under Review for Possible Downgrade
-- Cl. C, Downgraded to C; previously on August 14, 2009 Caa1
Placed Under Review for Possible Downgrade
-- Cl. D, Downgraded to C; previously on August 14, 2009 Caa2
Placed Under Review for Possible Downgrade
-- Cl. E, Downgraded to C; previously on August 14, 2009 Caa2
Placed Under Review for Possible Downgrade
-- Cl. F, Downgraded to C; previously on August 14, 2009 Caa2
Placed Under Review for Possible Downgrade
-- Cl. G, Downgraded to C; previously on August 14, 2009 Caa3
Placed Under Review for Possible Downgrade
-- Cl. H, Downgraded to C; previously on August 14, 2009 Caa3
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 9, 2009.
L2L EDUCATION: Moody's Downgrades Ratings on Three Tranches
-----------------------------------------------------------
Moody's has downgraded three tranches and confirmed one tranche of
notes issued by L2L Education Loan Trust 2006-1. The transaction
is sponsored, serviced and administered by EduCap Inc. The
underlying collateral consists of a pool of private student loans,
which are not guaranteed by either the Department of Education or
a private insurer.
The downgrades of the notes were driven by two primarily concerns,
the deterioration in performance of the underlying collateral pool
and operations risk. As of the reporting period ended
November 30, 2009, cumulative gross defaults, defined as accounts
ever reaching 120 days past due or greater, as a percent of the
original collateral pool balance were approximately 14%. Weaker
than expected performance of the collateral pool to date prompted
Moody's to revise its lifetime gross defaults from 17% to 21%.
In addition, the actions reflect Moody's concern about the
servicing and administration functions of the transaction. As the
Administrator and Master Servicer, EduCap plays several important
functions in this transaction, including: (i) assignment of the
loans that are delinquent to collection agencies for collection;
(ii) manage the sub-servicer; (iii) counseling borrowers to avoid
defaults; and (iv) directing the Indenture Trustee to make
payments related to program expenses. EduCap, a small unrated
entity, has not accessed the securitization market since its 2006
private loan transaction. If EduCap is terminated as
Administrator and Master Servicer, there could be a temporary
disruption in the administration and servicing functions until the
successors are appointed. This could negatively affect
performance of the collateral pool, including higher defaults and
lower recoveries on the defaulted loans.
The current ratings are based on the amount of credit enhancement
available to protect investors against projected net losses and
structural protections available in the transaction. Credit
enhancement in the transaction is provided by a non-declining
reserve fund (0.9% of the current pool balance), subordination and
excess spread (approximately 3.7%-4% per annum). Significant
structural protections include cumulative realized loss test,
which redirects cashflow allocations to senior classes), no
release of excess spread at 10% pool factor, and the change of
cash flow allocations among the senior classes upon the occurrence
of an event of default. The assigned ratings rely, in part, on
the amount of future recoveries on the defaulted loans, which are
expected to be 30%, collected over a period of 7-10 years. Lower
than expected recoveries will increase the remaining net losses on
the pool, and could place further downward pressure on the current
ratings.
Issuer: L2L Education Loan Trust 2006-1
* Pool Current Expected Cumulative Net Losses: 15% (as a
percentage of the original loan pool balance plus cumulative
loans added during acquisition period and capitalized interest)
-- Cl. A-2, Downgraded to Aa1; previously on Nov 12, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Aa1; previously on Nov 12, 2009 Aaa
Placed Under Review for Possible Downgrade
-- Cl. B, Confirmed at A3; previously on Nov 12, 2009 A3 Placed
Under Review for Possible Downgrade
-- Cl. C, Downgraded to B1; previously on Nov 12, 2009 Ba2
Placed Under Review for Possible Downgrade
LASALLE COMMERCIAL: Fitch Puts Note Ratings on Negative Watch
-------------------------------------------------------------
Fitch Ratings has placed these classes of LaSalle Commercial
Mortgage Securities Trust, Series 2006-MF2, on Rating Watch
Negative:
-- $303.3 million class A 'AAA';
-- $12.5 million class C 'BB+';
-- $8.1 million class D 'BB';
-- $3.6 million class E 'B';
-- Interest-only class X 'AAA'.
The $8.7 million class B remains on Rating Watch Negative.
In addition, these classes have incurred principal losses and are
downgraded:
-- Class F to 'D/RR6' from 'CCC/RR1';
-- Class G to 'D/RR6' from 'C/RR6'.
The Rating Watch Negative action is the result of increased loss
expectations associated with additional specially serviced loans
since Fitch's last rating action. Fitch expects these classes to
incur future interest shortfalls resulting from advances,
appraisal reductions, special servicing and legal fees. Fitch
does not expect current or future shortfalls to be recovered. In
addition, Fitch has observed higher loss severities in recently
liquidated loans than originally expected. As a result, rating
downgrades may be several categories.
The transaction is collateralized by small balance commercial
loans secured by multifamily, mobile home parks and mixed use
properties.
Fitch will resolve the Rating Watch status after a review of the
remaining loans in the transaction and updated information from
the special servicer on the workout of the loans currently in
special servicing.
LEHMAN XS: Moody's Downgrades Ratings on 12 2006-GP4 Notes
----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 12
tranches from Lehman XS Trust Series 2006-GP4. The collateral
backing the transaction consists primarily of first-lien,
adjustable-rate, negative amortization, Alt-A mortgage loans. The
downgrades are driven by the complete erosion of the
overcollateralization and junior bonds, leaving the senior bonds
exposed to future losses. Moody's has also updated the expected
loss on the transaction to reflect continued deterioration in
performance.
The Rating action is:
Issuer: Lehman XS Trust Series 2006-GP4
Pool current expected loss: 45% of original balance
-- Cl. 1-A1, Downgraded to Ca; previously on Feb 20, 2009
Downgraded to Caa3
-- Cl. 1-A2, Downgraded to C; previously on Feb 20, 2009
Downgraded to Ca
-- Cl. 2-A1, Downgraded to Caa3; previously on Feb 20, 2009
Downgraded to Caa1
-- Cl. 2-A2, Downgraded to C; previously on Feb 20, 2009
Downgraded to Caa3
-- Cl. 2-A3, Downgraded to C; previously on Feb 20, 2009
Downgraded to Ca
-- Cl. 3-A1A, Downgraded to B3; previously on Feb 20, 2009
Downgraded to Ba1
-- Cl. 3-A1B, Downgraded to Ca; previously on Feb 20, 2009
Downgraded to Ba2
-- Cl. 3-A2B, Downgraded to C; previously on Feb 20, 2009
Downgraded to Ca
-- Cl. 3-A3A, Downgraded to Ca; previously on Feb 20, 2009
Downgraded to Caa3
-- Cl. 3-A3B, Downgraded to C; previously on Feb 20, 2009
Downgraded to Ca
-- Cl. 3-A4, Downgraded to C; previously on Feb 20, 2009
Downgraded to Ca
-- Cl. 3-A5, Downgraded to Ca; previously on Feb 20, 2009
Downgraded to Caa3
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.
LIMEHOUSE CDO: Moody's Confirms Rating on Class A Notes at 'Ba1'
----------------------------------------------------------------
Moody's Investors Service announced that it has confirmed the
rating of one class of notes issued by Limehouse CDO 2008-1,
Limited. The notes affected by the rating action are:
Issuer: Limehouse CDO 2008-1, Limited
-- US$97,805,600 Class A Secured Floating Rate Notes Due
2042 (current balance of $92,081,880.46), Confirmed at Ba1;
previously on April 2, 2009 Downgraded to Ba1 and Remained On
Review for Possible Downgrade
Limehouse CDO 2008-1, Limited is a collateralized debt obligation
backed by a portfolio of primarily CLO assets. The majority of
the assets were originated between 2005 and 2007.
Moody's explained that the ratings are confirmed as the expected
losses posed to note holders are consistent with the current
ratings. Since Moody's last review of the transaction there has
been a decline in the performing par of the portfolio which has
been offset by an improvement in the average rating of the pool.
As of November 19, 2009, the trustee reports that the current
performing pool is $121.7 million compared to a balance of $127.4
million in April 2009. During the same time, Moody's Weighted
Average Rating Factor decreased from 1,794 to 1,217.
Limehouse CDO 2008-1, Limited Class A Note rating was initially
placed on Review for Possible Downgrade in December 2008 due to
the application of Moody's revised modeling parameter assumptions
for Collateralized Debt Obligations. In April 2009, the rating
assigned to the Class A tranche was downgraded from Aa3 to Ba1 and
remained on review for downgrade. The ratings assigned to a
majority of assets in the underlying portfolio remained on watch
for downgrade as Moody's continued its two-stage comprehensivee
rating review of CLOs. Since then, Moody's has concluded Stage II
of U.S. CLO review. The rating action is the result of Moody's
conclusion that changes in the portfolio remain within the range
of modeling assumptions that were considered during the April 2009
review.
ML-CFC COMMERCIAL: S&P Downgrades Ratings on 15 2006-2 Securities
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage-backed securities from ML-CFC
Commercial Mortgage Trust 2006-2 and removed them from CreditWatch
with negative implications. In addition, S&P affirmed its ratings
on seven other 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 its rating actions on the senior classes. The
downgrades of the mezzanine and subordinate classes also reflect
anticipated credit support erosion upon the eventual resolution of
several specially serviced assets, as well as S&P's analysis of
one asset that S&P 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
(DSC) of 1.59x and a loan-to-value ratio of 95.7%. S&P further
stressed the loans' cash flows under S&P's 'AAA' scenario to yield
a weighted average DSC of 1.05x and an LTV of 127.7%. The implied
defaults and loss severity under the 'AAA' scenario were 68.9% and
36.1%, respectively. The DSC and LTV calculations S&P noted above
exclude 11 ($66.0 million, 3.7%) of the 16 specially serviced
assets and one loan ($11.7 million, 0.7%) that S&P determined to
be credit-impaired. S&P separately estimated losses for these 12
loans and included them in S&P's 'AAA' scenario implied default
and loss figures.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its rating on the class 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 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 Considerations
As of the December 2009 remittance report, 16 assets
($198.9 million, 11.1%) in the pool were with the special
servicer, CWCapital Asset Management LLC. The payment status of
the specially serviced assets is: three are in foreclosure
($12.2 million, 0.7%); five are real estate owned ($30.1 million,
1.7%); three are 90-plus-days delinquent ($22.1 million, 1.2%);
one is 60 days delinquent ($5.7 million, 0.3%); two are 30 days
delinquent ($18.0 million, 1.0%); and two are less than 30 days
late ($110.9 million, 6.2%). Eleven of the specially serviced
assets have appraisal reduction amounts in effect totaling
$33.9 million.
One of the specially serviced assets is a top 10 loan
($103.3 million total exposure, 5.7%). Each of the remaining 15
specially serviced loans account for less than 0.9% of the pool
balance. S&P separately estimated losses for 11 ($66.0 million;
3.7%) of the 16 specially serviced assets. Losses for these 11
assets ranged from 14.3% to 78.4%, with a weighted average loss
severity of 56.1%. Of the remaining five assets, two are in
discussion for possible loan modifications, and three are recent
transfers.
The Penn Mutual Tower & Washington Square Garage loan, which has a
total exposure of $103.3 million (5.7%), is the largest loan with
the special servicer and the second-largest loan in the pool. The
loan is secured by an 853,880-sq.-ft. office complex in the
Philadelphia central business district. The loan was transferred
to the special servicer on Nov. 12, 2009, due to an imminent
payment default. One of the property's major tenants, Lippincott,
Williams and Wilkins, occupies 135,107 sq. ft., or 16% of the
gross leasable area under a lease that expired on Dec. 6, 2009.
The tenant will be vacating by year-end. Beneficial Mutual
Bancorp, another major tenant at the property, occupies 89,363 sq.
ft., or 10% of GLA, and has requested to expand into 45,000
additional sq. ft. The estimated cost of tenant improvements and
leasing cost to complete the renewal, relocation, and expansion is
approximately $8.0 million. The borrower is requesting multiple
modifications to the loan documents to finance the tenant
improvements and leasing costs.
In addition to the specially serviced loans, S&P considered one
loan ($11.7 million, 0.7%) to be credit-impaired. The O'Shea MHP
Portfolio loan is secured by six manufactured housing properties
in Michigan with a total of 666 units. As of year-end 2008, the
reported DSC was 1.22x. The loan is currently more than 30 days
delinquent and will be transferred to the special servicer once it
becomes 60 days delinquent. As a result, Standard & Poor's
considers this loan to be at increased risk of loss.
Transaction Summary
As of the December 2009 remittance report, the collateral pool
balance was $1.797 billion, which is 97.6% of the balance at
issuance. The pool includes 191 loans, which is unchanged from
issuance. As of the December 2009 remittance report, the master
servicers, Wachovia Bank N.A. and KeyBank Real Estate Capital
Markets Inc., provided financial information for 98.6% of the
pool, and 95.8% of the servicer-provided information was full-year
2008 or interim-2009 data. S&P calculated a weighted average DSC
of 1.65x for the pool based on the reported figures. S&P's
adjusted DSC and LTV were 1.59x and 95.7%, respectively. S&P's
adjusted DSC and LTV figures exclude 11 of the 16 specially
serviced loans and one credit-impaired loan. S&P estimated losses
separately for these 12 loans. The transaction has not
experienced any principal losses to date. Thirty-seven loans
($232.6 million, 13.0%) are on the master servicers' watchlists,
including one of the top 10 loans. Twenty-eight loans
($158.8 million, 8.8%) have a reported DSC below 1.10x, and 20 of
these loans ($109.1 million, 6.1%) have a reported DSC of less
than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$585.1 million (32.6%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 2.13x for the top 10 loans.
One of the top 10 loans ($103.3 million total exposure, 5.7%) is
with the special servicer, as S&P discussed in detail above. The
fifth-largest loan in the pool ($29.8 million, 1.7%) appears on
the master servicer's watchlist and is discussed below. S&P's
adjusted DSC and LTV for the top 10 loans are 1.89x and 82.9%,
respectively.
The BTR Capital Portfolio loan is the fifth-largest loan in the
pool and the largest loan on the servicer's watchlist. The loan
was current in its debt service payments as of the December 2009
remittance report and has a trust balance of $29.8 million (1.7%).
The loan is secured by a 1,871,624-sq.-ft. cross-collateralized
and cross-defaulted portfolio of six industrial/office/retail
buildings and one land site. The reported trailing-six-month DSC
for the period ended June 30, 2009, was 0.67x, down from 1.11x as
of year-end 2008. Occupancy according to the September 2009 rent
roll was approximately 76%.
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
ML-CFC Commercial Mortgage Trust 2006-2
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M A+ AAA/Watch Neg 20.49
A-J BBB+ AAA/Watch Neg 12.81
B BBB AA/Watch Neg 10.76
C BBB- AA-/Watch Neg 9.86
D BB+ A/Watch Neg 8.07
E BB A-/Watch Neg 7.04
F B+ BBB+/Watch Neg 5.38
G B BBB/Watch Neg 4.35
H CCC+ BBB-/Watch Neg 3.20
J CCC BB+/Watch Neg 2.69
K CCC- BB/Watch Neg 2.43
L CCC- B+/Watch Neg 2.05
M CCC- B/Watch Neg 1.92
N CCC- B-/Watch Neg 1.67
P CCC- CCC+/Watch Neg 1.41
Ratings Affirmed
ML-CFC Commercial Mortgage Trust 2006-2
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.74
A-2 AAA 30.74
A-3 AAA 30.74
A-SB AAA 30.74
A-4 AAA 30.74
A-1A AAA 30.74
X AAA N/A
N/A - Not applicable.
MICHIGAN MUNICIPAL: Moody's Affirms 'Ba1' Rating on 2001 Bonds
--------------------------------------------------------------
Moody's Investors Service has affirmed the Ba1 rating and negative
outlook assigned to the Michigan Municipal Bond Authority's Public
School Academy Facilities Program Revenue Bonds (YMCA Service
Learning Academy), Series 2001, affecting $11.1 million amount of
rated debt outstanding. YMCA Service Learning Academy, (now
Detroit Service Learning Academy), is a charter school located in
Detroit, Michigan. The Ba1 rating reflects the security pledge
provided by the first lien on all state aid payments to maximum of
20% of total annual state aid (less a 3% administrative fee for
the authorizing body) which are transferred directly from the
State Treasurer to the bond trustee for the benefit of
bondholders; a first lien on and security interest in the
facilities; a reserve funded at maximum annual debt service; a
supplemental reserve funded at 25% of maximum annual debt service;
and fully developed enrollment which is expected to provide
adequate debt service coverage. The negative outlook reflects
Moody's expectation that the Academy will remained challenged due
to its lack of significant revenue raising flexibility (per state
statute) and pressured revenue streams that are expected to remain
stressed through the midterm.
Charter School Established In 1999
With University Authorization
The Detroit Service Learning Academy is a charter school
authorized by Lake Superior State University for a seven-year
charter that expires on June 30, 2016, and is subject to renewal.
When DSLA originally opened in September 1999, it was operated by
Edison, a private, for-profit management company under a five-year
contract that expired in 2004. DSLA is currently governed by a
seven-member board and directed by an independent superintendent.
The management team, which no longer includes Edison, has
instituted sound fiscal policies, including monthly reporting to
LSSU as required by the current charter. LSSU has assigned a
dedicated staff person to monitor the charter's progress and
provides strong fiscal and administrative oversight. In addition,
the state requires annual reporting in the areas of financial
operations, management, and academic performance.
Full Enrollment; Risks Of Reduced State Aid Remain
DSLA benefited from several months of planning and development
prior to its opening in 1999 with 668 students in kindergarten
through fifth grades. By fiscal 2001 enrollment grew to 1,084
students in grades kindergarten through eighth and has remained
near its capacity (approximately 1,150) through the current school
year. Like with all Michigan schools, enrollment is a key
component to state aid revenues.
Moody's believes that the school will remain at full enrollment
capacity given the demonstrated demand for the existing facilities
and curriculum. The charter school's enrollment is drawn
primarily from the Detroit Public School System (general
obligation unlimited tax rated B1 with negative outlook). The
charter's core curriculum is based on a traditional arts and
sciences program with a fully integrated service learning program.
Demand for this charter school is evidenced by the large initial
enrollment in the first several years and a modest waiting list
that remains at approximately 50 students.
No additional enrollment growth is currently anticipated. Due to
the importance of enrollment in state aid receipts (84% of FY2009
revenues), this is expected to result in essentially flat to
declining revenues in the near to medium term due to the likely
reductions in state aid resulting from the State of Michigan's
(general obligation rated Aa3 with negative outlook) ongoing
budgetary challenges.
Enrollment-Based State Aid Pledged With Direct-Pay Mechanism
The bonds are secured by monthly installment payments transferred
directly to the Authority from the State Treasurer pursuant to a
financing agreement between the Authority, YMCA and DSLA. The
Authority has assigned its rights and interest in these monthly
payments to the trustee for bondholders' benefit. This lock-box
mechanism provides strong security for the bonds, and allows the
debt service account to fill up first, prior to payment of
operations. However, under current Michigan statute, no more than
20% of state aid payments received in each fiscal year may be
legally available to pay principal and interest on this obligation
or the DSLA's installment purchases. Twenty percent of state aid
provides 1.5 times coverage annual debt service in school year
2008 -09.
State aid payments are made on or before the 20th day of the month
or next business day, in eleven equal installments from October to
August, with no payment made in September, consistent with the
state aid payment schedule for Michigan traditional public school
districts. If state aid is insufficient to make the installment
purchase payment, DSLA pledges to use all other available funds to
meet its general obligation. The State Treasurer is also directed
to intercept and/or seek an advancement of 97% of the pledged and
appropriated state aid to be allocated for use by DSLA.
Bonds Also Secured By Two Reserve Funds And Pledged Assets
The bonds are additionally secured by a debt service reserve equal
to maximum annual debt service which represents the lesser of the
traditional three-pronged test -- funded with bond proceeds at
closing, and a supplemental reserve funded at 25% of maximum
annual debt service. If the Trustee withdraws funds from the debt
service reserve account to pay principal and interest on the
bonds, the DSLA must replenish the reserve fund within 120 days to
the required level. The supplemental reserve was funded initially
by Edison and pledged to bonds issued on behalf of participating
Edison schools and held by a separate trustee. Currently only two
charter schools, including the DSLA, benefit from the supplemental
reserve and both have severed management relationships with
Edison.
Bonds are also secured by a first mortgage on and security
interest in the DSLA facilities and land. The school encompasses
approximately four acres with land zoned for multi-family
residential use, but with special purpose zoning for the current
school. Should any portion of the property be sold during the
life of the bonds, proceeds must be used first for principal
repayment.
Recent Operating Surpluses Provide
Adequate Debt Service Coverage
The Academy, which uses full accrual accounting, has realized
sizable operating surpluses in the last several years, bringing
its cash position to a satisfactory $3.1 million (40% of
operations) in fiscal 2008. DSLA purchased a building and
undertook several capital projects in fiscal 2009, bringing cash
to a more moderate $1.4 million (17% of operations) at the end of
the fiscal year. Management reports that operating surpluses are
mainly a result of savings realized from its internal management
of operations after the exit of Edison and the implementation of
conservative budgeting and forecasting practices.
Debt service coverage by net revenues in 2008 was 1.7x and dropped
to a still satisfactory 1.4x in fiscal 2009. Covenants require
debt service coverage to remain at or above 1.4x annually, which
management expects to maintain for the foreseeable future.
Management also still expects to report balanced operations in
fiscal 2010 although it continues to contend with state aid
revenue cuts. Pressured state aid revenues are expected to be a
significant concern for fiscal 2011 and beyond as the State of
Michigan remains challenged with ongoing budgetary pressures.
Debt service represents a substantial fixed cost for the school
(10% of total revenue in fiscal 2009) however, this should remain
manageable given the absence of additional borrowing plans for
capital needs.
Michigan Municipal Bond Authority
The Michigan Municipal Bond Authority was established by statute
in 1985 and created for the purposes of making funds available to
underlying jurisdictions to finance public improvements, and for
other municipal purposes. To facilitate this, the Authority is
authorized to issue bonds and notes, the proceeds of which are
used to purchase municipal obligations. These bonds are not an
obligation of the Authority or the State of Michigan.
Outlook
The negative outlook reflects Moody's expectation that the Academy
will remained challenged due to its lack of significant revenue
raising flexibility (per state statute) and pressured revenue
streams that are expected to remain stressed through the midterm.
Maintenance of the current rating is contingent upon the charter
school's ability to demonstrate a track record of enrollment
stability, strong financial management and conservative budgeting
practices that facilitate adequate margins despite expected state
aid cuts.
Key Facts:
-- FY2009 enrollment: 1,128 students
-- FY2008 debt service coverage: 1.7x
-- FY2009 debt service coverage: 1.4x
-- FY2009 General Fund balance: $1.99 million (19.3% of General
Fund revenues)
The last rating action with respect to the Michigan Municipal Bond
Authority's Public School Academy Facilities Program Revenue Bonds
(YMCA Service Learning Academy), Series 2001 was on June 10, 2004,
when the Ba1 rating was affirmed and a negative outlook was
assigned.
MORGAN STANLEY: S&P Downgrades Ratings on 15 2006-TOP23 Securities
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage-backed securities from Morgan
Stanley Capital I Trust 2006-TOP23 and removed them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on six other classes from the same transaction.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit/fusion CMBS criteria, which was the primary driver of
the rating actions on the senior classes. The downgrades of the
subordinate and mezzanine classes also reflect credit support
erosion that S&P anticipate will occur upon the eventual
resolution of several specially serviced loans.
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
1.65x and a loan-to-value ratio of 96.7%. S&P further stressed
the loans' cash flows under S&P's 'AAA' scenario to yield a
weighted average DSC of 1.04x and an LTV of 133.0%. The implied
defaults and loss severity under the 'AAA' scenario were 63.0% and
35.6%, respectively. All of the DSC and LTV calculations S&P
noted above exclude three ($35.7 million, 2.3%) of the seven
specially serviced loans. S&P separately estimated losses for
these three specially serviced loans, which S&P included in its
'AAA' scenario implied default and loss figures.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its rating on the class 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 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 Considerations
As of the December 2009 remittance report, seven assets
($206.1 million, 13.2%) in the pool were with the special
servicer, Centerline Servicing Inc. (Centerline). A breakdown of
the specially serviced assets by payment status is: two are in
their grace periods (9.7%); one is 60 days delinquent (0.3%);
three are 90-plus days delinquent (1.8%); and one is in
foreclosure (1.4%). There is an appraisal reduction amount in
effect on one loan totaling $2.2 million.
The Beachwood Place Mall loan, which has a total exposure of
$142.0 million (9.0%), is the largest loan in the pool. The loan
is secured by a 348,459-sq.-ft. regional shopping mall in
Beachwood, Ohio. The loan was transferred to the special servicer
on April 20, 2009, after the borrower, General Growth Properties,
filed for Chapter 11 bankruptcy protection. As of year-end 2008,
the reported DSC was 1.83x and occupancy was 96%. On Dec. 15,
2009, the bankruptcy court approved a modification plan for 85 GGP
loans, which did not include this loan. Standard & Poor's will
continue to review the details of the GGP loan restructurings,
which are ongoing, as they become available.
The second-largest loan with Centerline is the Valley Corporate
Center loan ($22.3 million, 1.4%). This loan was transferred to
the special servicer on June 30, 2009, due to imminent default and
is currently in foreclosure. The loan is secured by a 153,131-
sq.-ft. office building in Van Nuys, Calif. Centerline had
countered a discounted payoff offer as of the December 2009
remittance report, but did not receive a response from the
borrower. S&P expects a moderate loss upon the eventual
resolution of this loan.
The third-largest loan with Centerline is the 4633 LaPalma Avenue
loan ($21.3 million, 1.4%). This loan was transferred to the
special servicer on Sept. 9, 2009, due to payment default and is
more than 90 days delinquent. The loan is secured by a 281,548-
sq.-ft. industrial property in Anaheim, Calif. The property is
unoccupied except for a small operational office presence. S&P
expects a moderate loss upon the eventual resolution of this
asset.
The fourth-largest loan with Centerline is the South Suburban
Industrial Portfolio (II) loan ($10.3 million, 0.7%). This loan
was transferred to the special servicer on Nov. 25, 2009, due to
imminent default and is in its grace period. The loan is secured
by four industrial buildings totaling 515,780 sq. ft. in Cook
County, Ill. S&P expects a moderate loss upon the eventual
resolution of this asset.
The three remaining specially serviced loans have balances that
individually represent less than 0.3% of the total pool balance.
S&P estimated losses for one ($3.1 million, 0.2%) of these three
assets, resulting in a loss severity of 34.2%. Of the remaining
two assets, one is secured by a 117-room limited-service hotel
(0.3%) in Orlando, Fla., and is more than 90 days late, and the
other is secured by a 41,885-sq.-ft. medical office building
(0.3%) in Henderson, Nev., that was transferred to the special
servicer in October 2009 and is now 60 days late.
Transaction Summary
As of the December 2009 remittance report, the collateral pool had
an aggregate trust balance of $1.57 billion, which is
approximately 97.1% of the balance at issuance. The pool consists
of 161 assets, which reflects the prepayment of a single loan
since issuance. The master servicer for the transaction is Wells
Fargo Inc. (Wells Fargo). Wells Fargo provided financial
information for 100% of the pool; 99.5% of the financial
information was full-year 2008 data or interim-2009 data. S&P
calculated a weighted average DSC of 1.78x for the pool based on
the servicer-reported figures. S&P's adjusted DSC and LTV were
1.65x and 96.7%, respectively. S&P's adjusted figures exclude
three of the seven specially serviced loans. S&P estimated losses
separately for these loans ($35.7 million, 2.3%), which had a
weighted average servicer-reported DSC of 1.40x. Twenty-one loans
($143.6 million, 9.2%) are on the master servicer's watchlist,
including one of the top 10 loans, which S&P discusses in detail
below. Sixteen loans ($67.2 million, 4.3%) have a reported DSC of
less than 1.10x, and 13 of these loans ($56.2 million, 3.6%) have
a reported DSC of less than 1.0x. The transaction has not
experienced any losses to date.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$696.3 million (44.5%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.85x for the top 10 loans.
One of the top 10 loans ($32.0 million, 2.0%) appears on the
master servicer's watchlist. S&P's adjusted DSC and LTV for the
top 10 loans are 1.60x and 90.8%, respectively.
The Nokia Building loan ($32.0 million, 2.0%) is the eighth-
largest loan in the pool and the largest loan on the master
servicer's watchlist. Debt service payments on the loan were
current as of the December 2009 remittance report. The loan is
secured by a single-tenant three-story office building and an
adjacent lab building totaling 190,837 sq. ft. in San Diego,
Calif. The loan appears on the watchlist because the lease for
the single tenant expires in October 2010. Deposits of monthly
escrow payments of $250,000 began in October 2009 because the
tenant has not yet renewed its lease. Based on net cash flow, the
reported DSC was 2.21x at year-end 2008, up from 2.03x at
issuance.
Standard & Poor's stressed the loans in the pool according to its
updated conduit/fusion criteria. The resultant credit enhancement
levels are consistent with S&P's lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Morgan Stanley Capital I Trust 2006-TOP23
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M A+ AAA/Watch Neg 17.51
A-J BBB+ AAA/Watch Neg 10.30
B BBB AA/Watch Neg 8.24
C BBB- AA-/Watch Neg 7.21
D BB+ A/Watch Neg 5.54
E BB A-/Watch Neg 4.64
F BB- BBB+/Watch Neg 3.86
G B+ BBB/Watch Neg 2.96
H B BBB-/Watch Neg 2.32
J B BB+/Watch Neg 2.06
K B- BB/Watch Neg 1.80
L CCC+ BB-/Watch Neg 1.42
M CCC B+/Watch Neg 1.16
N CCC B/Watch Neg 1.03
O CCC- B-/Watch Neg 0.77
Ratings Affirmed
Morgan Stanley Capital I Trust 2006-TOP23
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 27.81
A-2 AAA 27.81
A-3 AAA 27.81
A-AB AAA 27.81
A-4 AAA 27.81
X AAA N/A
N/A - Not applicable.
MORGAN STANLEY: S&P Raises Rating on $23.1 Mil. Notes From 'CCC+'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on Morgan
Stanley ACES SPC's $23.1 million floating-rate notes series 2008-7
to 'BBB-' from 'CCC+'.
Morgan Stanley ACES SPC is a multiuse trust. The series 2008-7
segregated portfolio is a single-tranche synthetic corporate
investment-grade collateralized debt obligation.
The rating action reflects a transaction restructuring in which
the reserve account balance and the threshold amount were
increased, which increased the transaction's credit enhancement
level. As a result, the synthetic rated overcollateralization
ratio for the series 2008-7 notes grew to more than 100% (at a
'BBB-' rating level).
MORGAN STANLEY: S&P Raises Rating on Two 2008-6 Notes to 'BB-'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A1 and A2 notes issued by Morgan Stanley ACES SPC's series 2008-6,
a corporate synthetic collateralized debt obligation transaction.
The upgrades reflect substitutions in the reference portfolio that
have improved the overall credit quality of the transaction and
have raised the synthetic rated overcollateralization ratio above
100% for both tranches.
Ratings Raised
Morgan Stanley ACES SPC Series 2008-6
Rating
------
Class To From
----- -- ----
A1 BB- B
A2 BB- B
MORTGAGE ASSET: Fitch Changes Recovery Ratings on Various Classes
-----------------------------------------------------------------
Fitch Ratings has revised the recovery ratings on classes 1A1,
1A2, 2A1, 2A2, 3A1, 3A2, and 4A of Mortgage Asset Securitization
Transactions, Inc. 2007-3.
These bonds were downgraded and assigned recovery ratings of 'RR6'
on Sept. 10, 2009 as part of Fitch's Prime review. The Recovery
Rating changes are a result of a revision in Fitch's mapping of
the senior classes to the underlying mortgage pools that
collateralize them. No long-term ratings are affected by this
review.
Fitch has revised the recovery ratings:
-- Class 1A1 (85554NAG5) to 'CCC/RR2' from 'CCC/RR6';
-- Class 1A2 (85554NAH3) to 'C/RR4' from 'C/RR6';
-- Class 2A1 (85554NAJ9) to 'CCC/RR2' from 'CCC/RR6';
-- Class 2A2 (85554NAK6) to 'C/RR4' from 'C/RR6';
-- Class 3A1 (85554NAL4) to 'CCC/RR2' from 'CCC/RR6';
-- Class 3A2 (85554NAM2) to 'C/RR4' from 'C/RR6';
-- Class 4A (85554NAN0) to 'CC/RR2' from 'CC/RR6'.
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. The methodology used to assign Recovery Ratings is
described in Fitch's Aug. 17 report 'Criteria for Structured
Finance Recovery Ratings' and Fitch's Dec. 16 report 'U.S. RMBS
Criteria for Recovery Ratings'.
MULBERRY STREET: Moody's Downgrades Ratings on Class A-1U Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of one class of notes issued by Mulberry Street CDO II,
Ltd. The notes affected by the rating action are:
Issuer: Mulberry Street Cdo Ii, Ltd.
-- US$30,000,000 Class A-1U Floating Rate Notes Due August
12, 2038, Downgraded to Caa3; previously on March 26, 2009
Downgraded to Caa2 and Remained On Review for Possible
Downgrade
Mulberry Street CDO II, Ltd, is a collateralized debt obligation
issuance backed by a portfolio primarily comprised of Commercial
Mortgage-Backed Securities, Residential Mortgage-Backed Securities
and Collateralized Loan Obligations each from 2003-2005 vintages.
The rating downgrade action reflects deterioration in the credit
quality of the Issuer's underlying asset portfolio. Credit
deterioration of the collateral pool is observed through several
factors, including a decline in the average credit rating (as
measured by an increase in the weighted average rating factor) and
a deterioration in performing par value. The ratings of
approximately 28% of the underlying assets have been downgraded
since Moody's last review of the transaction in March 2009. The
trustee reports that the WARF of the portfolio is 1,338 as of
November 16, 2009 compared to 590 in March 2009. In this same
period, there was significant deterioration in the performing par
balance, only a portion of which is accounted for by the
amortization of the Class A-1 Notes. In addition, the trustee
reports that all Overcollateralization Tests are currently
failing.
Moody's also notes that on April 28, 2008, as reported by the
Trustee, an Event of Default occurred as described in Section 5.1
(h) of the Indenture dated June 26, 2003 due to a failure to
satisfy the minimum Class A-1 Overcollateralization Ratio.
N-STAR REL: S&P Retains Negative CreditWatch on Note Ratings
------------------------------------------------------------
Standard & Poor's Ratings Services stated that its ratings on 19
classes from N-Star REL CDO IV Ltd.'s series 2005-1 and N-Star REL
CDO VI Ltd.'s series 2006-1 remain on CreditWatch with negative
implications.
The continued CreditWatch negative placements on these commercial
real estate collateralized debt obligation transactions reflect,
in part, S&P's assessment of each of the issuers' directions to
the trustees on the transactions to cancel certain subordinate
notes. The CreditWatch placements also reflect the significant
likelihood that S&P will take negative rating actions on these
classes. NS Advisors LLC, an affiliate of the issuers, is the
named collateral manager for the two transactions.
Based upon notices to the holders of each transaction, S&P
understand that portions of the class C and D notes from N-Star IV
and portions of the class C, D, and G notes from N-Star VI will be
cancelled at the direction of the respective issuers. Although
both transactions are currently passing their subordinate
overcollateralization ratio tests according to the most recent
trustee remittance reports, the cancellation of the notes from
each transaction would likely cause these ratios to rise. Based
upon S&P's understanding of the transactions' structures, this may
eventually result in the distribution of excess spread to equity
and subordinate noteholders rather than to pay down the balance of
the senior notes if the transactions were to fail their
subordinate O/C ratio tests. In S&P's opinion, this would, in
effect, reduce the credit enhancement available to support the
senior notes from each transaction.
S&P previously placed its ratings on these 19 classes on
CreditWatch negative due to credit deterioration that S&P observed
in the underlying collateral, which consists predominantly of
commercial real estate loans. The credit deterioration of the
underlying collateral may, at some point, adversely affect the
subordinate O/C ratio tests if defaults increase within the
respective transactions' collateral pools.
S&P will update or resolve its CreditWatch negative placements on
each transaction following its analysis of the impact of the note
cancellations to determine whether the current ratings on the
classes remain consistent with the level of creditworthiness of
each class. S&P may also update or resolve the CreditWatch
placements on the transactions following its analysis of the
underlying commercial real estate assets.
Ratings Remaining On Creditwatch Negative
N-Star REL CDO IV Ltd.
Collateralized debt obligations series 2005-1
Class Rating
----- ------
A AAA/Watch Neg
B AA/Watch Neg
C A/Watch Neg
D BBB/Watch Neg
E BBB-/Watch Neg
F BB/Watch Neg
G B/Watch Neg
N-Star REL CDO VI Ltd.
Collateralized debt obligations series 2006-1
Class Rating
----- ------
A-1 AAA/Watch Neg
A-R AAA/Watch Neg
A-2 AAA/Watch Neg
B AA/Watch Neg
C A+/Watch Neg
D A-/Watch Neg
E BBB+/Watch Neg
F BBB/Watch Neg
G BBB-/Watch Neg
H BB/Watch Neg
J BB/Watch Neg
K B/Watch Neg
NEW MEXICO EDUCATION: Moody's Downgrades Ratings on Five Bonds
--------------------------------------------------------------
Moody's Investors Service has downgraded underlying ratings of
five classes of Variable Rate Demand Bonds issued by New Mexico
Education Assistance Foundation. The underlying ratings reflect
the intrinsic quality of the bonds without considering the
financial strength of the letter-of-credit providers. The long-
term and short-term public ratings of the bonds, which are based
on the ratings of the LOC providers including Bank of America N.A.
(Aa3/P-1), Royal Bank of Canada (Aaa/P-1), and Lloyds TSB Bank Plc
(Aa3/P-1), are not affected. The underlying collateral consists
of government guaranteed student loans.
The bonds were placed under review for possible downgrade on
October 8, 2009, following the publication of Moody's revised
methodology in rating FFELP student loan backed VRDB transactions
titled "Updated Cash Flow Analysis for Variable Rate Transactions
Backed by Federal Family Education Loan Program Student Loans".
The changes in rating methodology reflect Moody's updated view on
the increased probability of investor puts of VRDBs to the LOC or
Standby Bond Purchase Agreement providers.
The downgrades assume the VRDBs will be put to the LOC providers
and held by them for the life of the transaction. The VRDBs will
bear the pre-determined interest rate, known as bank rate. Under
the bank rate, the trust is expected to generate negative 4%
excess spread per annum, which would reduce the collateral base
over time. Therefore, the VRDBs will not be paid off in full at
the legal maturity.
The complete rating actions are:
Issuer: New Mexico Education Assistance Foundation (2008
Indenture)
-- Education Loan Bonds, Series 2008A-1, Underlying Rating
Downgraded to Caa2 from Aaa; previously on October 8, 2009,
Aaa, Placed Under Review for Possible Downgrade
-- Education Loan Bonds, Series 2008A-2, Underlying Rating
Downgraded to Caa2 from Aaa; previously on October 8, 2009,
Aaa, Placed Under Review for Possible Downgrade
-- Education Loan Bonds, Series 2008A-3, Underlying Rating
Downgraded to Caa2 from Aaa; previously on October 8, 2009,
Aaa, Placed Under Review for Possible Downgrade
-- Education Loan Bonds, Series 2008A-4, Underlying Rating
Downgraded to Caa2 from Aaa; previously on October 8, 2009,
Aaa, Placed Under Review for Possible Downgrade
-- Education Loan Bonds, Series 2008A-5, Underlying Rating
Downgraded to Caa2 from Aaa; previously on October 8, 2009,
Aaa, Placed Under Review for Possible Downgrade
NEW MEXICO EDUCATION: Moody's Withdraws Ratings on Five Classes
---------------------------------------------------------------
Moody's Investors Service has withdrawn the underlying ratings of
five classes of Variable Rate Demand Bonds issued by New Mexico
Education Assistance Foundation. The underlying ratings reflect
the intrinsic quality of the bonds without considering the
financial strength of the letter-of-credit providers. The long-
term and short-term public ratings of the bonds, which are based
on the ratings of the LOC providers (Bank of America N.A. (Aa3/P-
1), Royal Bank of Canada (Aaa/P-1), and Lloyds TSB Bank Plc
(Aa3/P-1)), will be unaffected and outstanding. The underlying
collateral consists of government guaranteed student loans.
Moody's has withdrawn the underlying ratings of the VRDBs for
business reasons.
The complete rating actions are:
Issuer: New Mexico Education Assistance Foundation (2008
Indenture)
-- Education Loan Bonds, Series 2008A-1, Underlying Rating
Withdrawn; previously on December 18, 2009 Downgraded to Caa2
-- Education Loan Bonds, Series 2008A-2, Underlying Rating
Withdrawn; previously on December 18, 2009 Downgraded to Caa2
-- Education Loan Bonds, Series 2008A-3, Underlying Rating
Withdrawn; previously on December 18, 2009 Downgraded to Caa2
-- Education Loan Bonds, Series 2008A-4, Underlying Rating
Withdrawn; previously on December 18, 2009 Downgraded to Caa2
-- Education Loan Bonds, Series 2008A-5, Underlying Rating
Withdrawn; previously on December 18, 2009 Downgraded to Caa2
SIERRA KINGS: Moody's Affirms 'Ba2' Rating on GO Bonds
------------------------------------------------------
Moody's Investors Service has affirmed the Ba2 rating on Sierra
Kings Health Care District's general obligation bonds. The rating
remains on Watchlist for possible further downgrade. The next
debt service payment on the bonds is in February 2010, at which
point, assuming debt service is paid in full, the rating will
likely be removed from Watchlist. The likelihood of debt service
interruption as the district advances through the bankruptcy
process appears improbable. The Fresno County assessor-collector
has continued to levy and collect the property taxes that provide
the security for the bonds. The county has also indicated that it
will not discontinue levying and collecting for the bonds unless
ordered to do so by the judge presiding over the bankruptcy. This
is a somewhat remote possibility given the nature of the general
obligation security and the relatively limited judicial role in a
chapter 9 bankruptcy filing.
The underlying rating continues to reflect the instability within
the district's leadership positions and severely strained fiscal
operations. The district's CEO and CFO positions are being filled
by interim personnel on a contract basis. Though this staff will
help the district through the bankruptcy proceedings, the
organization may face another period of managerial disruption when
it finds permanent staff for these positions. The district's
fiscal operations continue to be severely stressed. The current
patient volume appears sufficient to support the hospital for the
short-term. However, the long-term viability of the hospital's
operations remains in question. The district's fiscal 2009 audit
is not yet available, but current estimates indicate that the
hospital has a scant five days of operating cash on hand. Moody's
notes that at this time, continued hospital operations are not a
prerequisite for continued debt service payment. The assessed
valuation that provides the property tax base for the bonds
contracted slightly in 2010 by falling 0.5%.
The last rating action was on October 3, 2009, when the ratings of
the district were downgraded to Ba2 from Baa3.
SOLSTICE ABS: Moody's Confirms 'Ba1' Rating on Class A-1 Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has confirmed the
rating of one class of notes issued by Solstice ABS III, Ltd. The
notes affected by the rating action are:
Issuer: Solstice ABS III, Ltd.
-- US$346,500,000 Class A-1 Senior Secured Floating Rate Notes
due 2033, Confirmed at Ba1; previously on June 23, 2009
Downgraded to Ba1 and Placed Under Review for Possible
Downgrade
Solstice ABS III, Ltd., is a collateralized debt obligation
issuance backed by a portfolio of RMBS, CDOs, ABS and CMBS assets.
The majority of the assets were originated pre-2003.
Moody's explained that the ratings are confirmed as the expected
losses posed to note holders are consistent with the current
ratings. The rating confirmation reflects the offsetting impact
of deterioration in the overall credit quality of the underlying
portfolio and significant principal amortization of Class A-1
Notes. Moody's notes that 17% of the underlying assets have
ratings that were downgraded since the last review of the
transaction in July 2009. In addition, Moody's ntoes that the
Issuer experience an event of default on July 20, 2009. Under the
terms of the Indenture following an event of default certain
parties to the transaction may be entitled to direct the Trustee
to take particular actions with respect to the collateral and the
notes, including collateral sale and liquidation. Moody's has
observed that liquidation of the types of structured finance
collateral assets held by the Issuer in a depressed market
environment for these assets often results in significant
shortfall when compared to par and loss ot Noteholders. However,
the Class A-1 Notes have experienced significant amortization and
the current rated balance of the Notes is well below the original
rated balance and also below levels in effect during the last
review of the transaction by Moody's.
SPARKS REGIONAL: Moody's Withdraws 'Caa1' Rating on 2001 Bonds
--------------------------------------------------------------
Moody's Investors Service has withdrawn the Caa1 rating assigned
to Sparks Regional Medical Center's Series 2001 bonds issued
through the Sebastian County Public Health Facilities Board, AR.
The full outstanding balance of the bonds were following the
acquisition of Sparks by HMA. Moody's no longer maintains a long-
term bond rating on Sparks.
The last rating action was on January 28, 2009 when the rating of
Sparks was downgraded to Caa1/Negative from B2 and the rating was
removed from watchlist.
STOCKBRIDGE CDO: Moody's Confirms Rating on Class A-1 at 'Ba3'
--------------------------------------------------------------
Moody's Investors Service announced that it has confirmed the
rating of one class of notes issued by Stockbridge CDO, Ltd. The
notes affected by the rating action are:
Issuer: Stockbridge CDO, Ltd
-- US$170,000,000 Class A-1 Floating Rate Senior Notes Due
November 18, 2039, Confirmed at Ba3; previously on March 18,
2009 Downgraded to Ba3 and Remained On Review for Possible
Downgrade
Stockbridge CDO, Ltd is a collateralized debt obligation backed by
a portfolio of CLO assets. The majority of the assets were
originated between 2002 and 2004.
Stockbridge CDO, Ltd Class A-1 Note ratings were initially
downgraded from Aaa to Aa3 and placed on Review for Possible
Downgrade in December 2008 due to the application of Moody's
revised modeling parameter assumptions for Collateralized Debt
Obligations. In March 2009, the Class A-1 tranche was downgraded
from Aa3 to Ba3 and remained on review for downgrade as the rating
of the majority of the underlying assets in the portfolio remained
on watch for downgrade as Moody's continued its two-stage
comprehensive review of CLO ratings. Since then, Moody's
concluded Stage II of U.S. CLO ratings review.
Moody's explained that the ratings are now confirmed as the
expected losses posed to note holders are consistent with the
current ratings. The trustee reports that the WARF of the
portfolio is 2208 as of November 5, 2009, compared to 1004 in
March 2009. This deterioration in collateral remains within the
range that was incorporated into modeling assumptions made during
the Moody's March 2009 review of the transaction, and thus does
not represent a meaningful credit deterioration from the prior
rating review.
Moody's also notes than on October 20, 2008, as reported by the
Trustee, an Event of Default occurred as described in Section 5.1
(d) of the Indenture dated November 18, 2004 due to a failure to
satisfy the minimum Class A-1/A-2 Par Value Ratio.
SUNRISE CDO: Fitch Affirms Ratings on Two Classes of Notes
----------------------------------------------------------
Fitch Ratings has affirmed two classes of notes issued by Sunrise
CDO I, Ltd./Corp. The details of the rating action follow at the
end of this press release.
As of the Nov. 30, 2009 trustee report, the current balance of the
portfolio is approximately $86.5 million. Approximately 14.6% of
the portfolio has been downgraded since Fitch's last rating action
in November 2007, resulting in approximately 79.2% of the
portfolio with a Fitch derived rating below investment grade and
75.3% with a rating in the 'CCC' rating category.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Structured Finance Portfolio Credit Model for projecting
future default levels for the underlying portfolio.
Based on the credit quality of the portfolio and sequential
distribution waterfall due to the failing class A interest
coverage test, Fitch believes that the likelihood of default for
the class A and class B notes can be assessed without performing
cash flow model analysis under the framework described in the
'Global Criteria for Cash Flow Analysis in CDOs - Amended' report.
The transaction previously entered into a basis swap whereby the
swap counterparty makes monthly interest payments to the class B
notes based on one month LIBOR and receives payments based on a
six-month LIBOR from the CDO on a semiannual basis. These
payments to the counterparty are senior to the interest and
principal payments due to the class A, so that effectively the
class B interest payments are senior to any payments to the class
A.
While the class A overcollateralization ratio is 131.4% according
to the Nov. 30, 2009 trustee report, due to an out-of-the money
interest rate swap, on the last payment date, principal proceeds
were used to pay the entire class A and part of the class B
accrued interest. This is expected to continue for at least
another year until the interest rate swap expires.
The ongoing erosion of the principal to pay interest combined with
a high proportion of distressed assets which exceeds the credit
enhancement available to the class A notes, leads to the
possibility of default for class A.
The class B notes are expected to continue receiving timely
interest distributions due to the basis swap, which expires in
2017. However, Fitch expects the class B notes to receive little,
if any, principal repayment and to ultimately default at or prior
to maturity. The DR rating is withdrawn because Fitch no longer
maintains Distressed Recovery Ratings, as explained in the
'Criteria for Structured Finance Recovery Ratings' report.
Sunrise I is a structured finance collateralized debt obligation
that closed on Dec. 19, 2001 and is managed by Credit Suisse.
The portfolio is composed of commercial and consumer asset-backed
securities (30.6%), SF CDOs (30.4%), corporate bonds (17.5%),
residential mortgage-backed securities (13.3%) and commercial
mortgage-backed securities (8.2%).
Fitch has affirmed these classes of Sunrise I as indicated:
-- $28,804,653 class A notes at 'CCC';
-- $45,100,000 class B notes 'C'; 'DR5' withdrawn.
TABERNA PREFERRED: Fitch Downgrades Ratings on Four Classes
-----------------------------------------------------------
Fitch Ratings has downgraded four classes and affirmed seven
classes of notes from Taberna Preferred Funding VI, Ltd./Inc.
following a payment default on scheduled interest due. A full
list of rating actions follows at the end of this press release.
The downgrades incorporate the transaction's non-payment of the
full interest due to the class A-1A, A-1B, A-2, and B notes on the
Nov. 5, 2009 payment date. In addition, the class C notes missed
their scheduled interest distribution for the second consecutive
payment date. Available interest proceeds were insufficient to
pay the $6.3 million interest rate hedge payment, resulting in a
payment shortfall to the hedge counterparty as interest proceeds
covered only 84.5% of the hedge payment. The class A-1A, A-1B, A-
2, and B notes received none of their interest due. These non-
payments to the notes are considered payment defaults.
Taberna VI entered into an Event of Default as a result of the
partial non-payment of interest to the class C notes on Aug. 5,
2009. Fitch received a notice of an event of default as of Aug.
11, 2009, followed by a notice of acceleration as of Sept. 10,
2009.
These notes are backed by $621.2 million of trust preferred
securities and subordinated debt issued by subsidiaries of real
estate investment trusts, real estate operating companies,
homebuilders and specialty finance companies, as well as senior
debt securities and commercial mortgage-backed securities.
The important factor for Fitch's downgrade is the failure to make
timely payments to classes whose rating addresses the ability of
the issuer to make timely interest payments.
Fitch has taken these actions:
-- $42,312,979 class A-1A downgraded to 'D' from 'BBB';
-- $258,109,173 class A-1B downgraded to 'D' from 'BBB';
-- $90,000,000 class A-2 downgraded to 'D' from 'B';
-- $18,000,000 class B downgraded to 'D' from 'B';
-- $97,000,000 class C affirmed at 'D';
-- $44,941,347 class D-1 affirmed at 'C';
-- $10,885,548 class D-2 affirmed at 'C';
-- $19,266,683 class E-1 affirmed at 'C';
-- $20,470,359 class E-2 affirmed at 'C';
-- $12,500,148 class F-1 affirmed at 'C';
-- $37,342,197 class F-2 affirmed at 'C'.
In addition, the class A-1A, A-1B, A-2, and B notes have been
removed from Rating Watch Negative.
TRICADIA CDO: Fitch Downgrades Ratings on Five Classes of Notes
---------------------------------------------------------------
Fitch Ratings has downgraded five classes of notes issued by
Tricadia CDO 2003-1, Ltd./Corp. as a result of continued credit
deterioration in the portfolio since Fitch's last rating action in
February 2009. Approximately 93.3% of the portfolio has been
downgraded since that time. The details of the rating action
follow at the end of this press release.
As of the Nov. 19, 2009 trustee report, the current balance of the
portfolio is approximately $172 million. The downgrades to the
portfolio have left approximately 92.4% of the portfolio with a
Fitch derived rating below investment grade and 58.4% with a
rating in the 'CCC' rating category, compared to 36.2% and 3.8%,
respectively, at last review. The percentage of the portfolio
considered defaulted by the transaction's governing documents has
increased to 22.5% from 2%.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Structured Finance Portfolio Credit Model for projecting
future default levels for the underlying portfolio. These default
levels were then compared to the breakeven levels generated by
Fitch's cash flow model of the CDO under the various default
timing and interest rate stress scenarios, as described in the
report 'Global Criteria for Cash Flow Analysis in Corporate CDOs'
for the class A-1LA, class A-1LB and A-2L notes. The degree of
deterioration within the portfolio has resulted in the class A-
1LA, class A-1LB and class A-2L notes having breakeven rates
generally consistent with the ratings assigned below.
Given the negative outlook to the performance of the underlying
assets, the class A-1LA notes are remaining on Outlook Negative.
Fitch does not assign Outlooks to tranches rated 'CCC' and below.
The Loss Severity rating of 'LS5' assigned to the class A-1LA
notes indicates the 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
'Criteria for Structured Finance Loss Severity Ratings'. The LS
rating should always be considered in conjunction with the notes'
long-term credit rating. Fitch does not assign LS ratings to
tranches rated 'CCC' and below.
Fitch considered future payment expectations for the class A-3L
and class A-4L notes to determine their appropriate ratings, as
their breakeven levels were lower than a 'CCC' default
expectation.
The class A-3L notes are undercollateralized, as indicated by the
98.6% senior A overcollateralization ratio from the Nov. 19, 2009
trustee report. While the class A-3L notes are still receiving
interest distributions, Fitch expects them to receive little, if
any, principal repayment by maturity and has downgraded them to
'C'.
The class A-4L notes are downgraded to 'C' because they are no
longer receiving interest and Fitch does not expect them to
receive any future distributions.
Tricadia 2003-1 is a structured finance collateralized debt
obligation that closed on Jan. 14, 2004 and is managed by Tricadia
CDO Management, LLC. The portfolio is composed entirely of CDOs,
of which, 97.1% are corporate CDOs and 2.9% are SF CDOs.
Fitch has downgraded these classes of Tricadia 2003-1 as
indicated:
-- $36,570,921 class A-1LA notes to 'B-/LS5' from 'BBB+';
Outlook Negative;
-- $8,500,000 class A-1LB notes to 'CCC' from 'BBB';
-- $45,070,921 class A-2L notes to 'CCC' from 'BBB';
-- $35,000,000 class A-3L notes to 'C' from 'BB';
-- $15,345,187 class A-4L notes to 'C' from 'BB-'.
VERMONT STUDENT: Moody's Junks Rating on Series 2008C-2 Bonds
-------------------------------------------------------------
Moody's Investors Service has downgraded the Aaa underlying
ratings of two classes of Variable Rate Demand Bonds issued by
Vermont Student Assistance Corporation (2008C Indenture). The
underlying ratings reflect the intrinsic quality of the bonds
without considering the financial strength of the letter-of-credit
providers. The long-term and short-term public ratings of the
bonds, which are based on the ratings of the LOC provider (Lloyds
TSB Bank Plc), are not affected. The underlying collateral
consists of government guaranteed student loans.
The bonds were placed under review for possible downgrade on
October 8, 2009 following the publication of Moody's revised
methodology on rating FFELP student loan backed VRDB transactions
titled "Updated Cash Flow Analysis for Variable Rate Transactions
Backed by Federal Family Education Loan Program Student Loans".
The changes in rating methodology reflect Moody's updated view on
the increased probability of investor puts of VRDBs to the LOC or
Standby Bond Purchase Agreement providers.
The downgrades assume the VRDBs will be put to the LOC provider,
Lloyds TSB Bank Plc, and held by the bank for the life of the
transaction. The VRDBs will bear the pre-determined interest
rate, known as bank rate. Under the bank rate, the trust is
expected to generate negative 3-4% excess spread per annum, which
would reduce the collateral base over time. Therefore, the VRDBs
will not be paid off in full at the legal maturity.
The complete rating actions are:
Issuer: Vermont Student Assistance Corporation
-- Education Loan Revenue Bonds, Senior Series 2008C-1,
Underlying Rating Downgraded to Caa2 from Aaa; previously on
October 8, 2009, Aaa, Placed Under Review for Possible
Downgrade
-- Education Loan Revenue Bonds, Senior Series 2008C-2,
Underlying Rating Downgraded to Caa2 from Aaa; previously on
October 8, 2009, Aaa, Placed Under Review for Possible
Downgrade
VERMONT STUDENT: Moody's Withdraws Underlying Ratings on Two Bonds
------------------------------------------------------------------
Moody's Investors Service has withdrawn the underlying ratings of
two classes of Variable Rate Demand Bonds issued by Vermont
Student Assistance Corporation (2008C Indenture). The underlying
ratings reflect the intrinsic quality of the bonds without
considering the financial strength of the letter-of-credit
providers. The long-term and short-term public ratings of the
bonds, which are based on the ratings of the LOC provider (Lloyds
TSB Bank Plc), will be unaffected and outstanding. The underlying
collateral consists of government guaranteed student loans.
Moody's has withdrawn the ratings of the VRDBs for business
reasons. Please refer to Moody's withdrawal policy, entitled
Moody's Guidelines for the Withdrawal of Ratings, on moodys.com.
The complete rating actions are:
Issuer: Vermont Student Assistance Corporation Education
* Education Loan Revenue Bonds, Senior Series 2008C-1, Underlying
Rating Withdrawn; previously on December 18, 2009 Downgraded to
Caa2
* Education Loan Revenue Bonds, Senior Series 2008C-2, Underlying
Rating Withdrawn; previously on December 18, 2009 Downgraded to
Caa2
* Moody's Downgrades Ratings on 33 Tranches From 10 Trust CDOs
--------------------------------------------------------------
Moody's announced that it has downgraded 33 tranches across 10
Trust Preferred CDOs and upgraded the rating of three pro-rata
tranches in one of the deals.
The downgrades for these CDOs which are exposed to trust preferred
securities issued by small to medium sized U.S. community bank and
insurance companies are due to a large increase of non-performing
assets since the last rating action. The current and last rating
actions' assumed defaulted amounts and model WARF are provided by
transaction in the text below. Moody's notes that the rating
actions reflect the continued pressure in this sector as the
number of bank failures and interest payment deferrals continue to
increase. According to FDIC data, 140 U.S. banks have failed to
date in 2009, as compared to 25 in all of 2008. Although U.S.
banks recently benefited from a dramatic improvement in market
conditions, the banking sector outlook remains negative.
Preferred Term Securities VIII, Ltd.
-- Current Model WARF: 1175
-- Current Assumed Defaulted Amount: 207,000,000
-- Model WARF for March 2009 rating actions: 3016
-- Assumed Defaulted Amount for March 2009 rating actions:
45,000,000
-- US$225,000,000 Floating Rate Class A-1 Senior Notes Due
January 3, 2033 (current balance of $128,846,983.57),
Downgraded to Baa1; previously on March 27, 2009 Downgraded
to A1;
-- US$100,800,000 Floating Rate Class A-2 Senior Notes Due
January 3, 2033, Downgraded to Ba3; previously on March 27,
2009 Downgraded to Ba1;
-- US$58,700,000 Floating Rate Class B-1 Mezzanine Notes Due
January 3, 2033 (current balance of $59,550,759.97),
Downgraded to C; previously on March 27, 2009 Downgraded to
Ca;
-- US$30,700,000 Fixed/Floating Rate Class B-2 Mezzanine
Notes Due January 3, 2033 (current balance of
$31,144,946.01), Downgraded to C; previously on March 27,
2009 Downgraded to Ca;
-- US$75,000,000 Fixed/Floating Rate Class B-3 Mezzanine
Notes Due January 3, 2033 (current balance of
$76,087,001.68), Downgraded to C; previously on March 27,
2009 Downgraded to Ca.
Preferred Term Securities IX, Ltd.
-- Current Model WARF: 948
-- Current Assumed Defaulted Amount: 152,480,000
-- Model WARF for March 2009 rating actions: 2057
-- Assumed Defaulted Amount for March 2009 rating actions:
32,140,000
-- US$245,000,000 Floating Rate Class A-1 Senior Notes Due
April 3, 2033 (current balance of $179,715,731.90),
Downgraded to A2; previously on March 27, 2009 Aa3.
Preferred Term Securities XII, Ltd.
-- Current Model WARF: 1108
-- Current Assumed Defaulted Amount: 260,2000,000
-- Model WARF for March 2009 rating actions: 1489
-- Assumed Defaulted Amount for March 2009 rating actions:
97,000,000
-- US$442,400,000 Floating Rate Class A-1 Senior Notes Due
December 24, 2033 (current balance of $370,109,488.66),
Downgraded to A3; previously on March 27, 2009 Downgraded to
A1.
Preferred Term Securities XVI, Ltd.
-- Current Model WARF: 1533
-- Current Assumed Defaulted Amount: 171,150,000
-- Model WARF for March 2009 rating actions: 1590
-- Assumed Defaulted Amount for March 2009 rating actions:
59,080,000
-- US$327,250,000 Floating Rate Class A-1 Senior Notes Due
2035 (current balance of $315,741,170), Downgraded to Baa3;
previously on March 27, 2009 Downgraded to A2;
-- US$69,900,000 Floating Rate Class A-2 Senior Notes Due
2035, Downgraded to Ba3; previously on March 27, 2009
Downgraded to Ba2;
-- US$12,000,000 Fixed/Floating Rate Class A-3 Senior Notes
Due 2035, Downgraded to Ba3; previously on March 27, 2009
Downgraded to Ba2;
-- US$63,650,000 Floating Rate Class B Mezzanine Notes Due
2035, Downgraded to Ca; previously on March 27, 2009
Downgraded to B3.
Preferred Term Securities XVII, Ltd.
-- Current Model WARF: 1733
-- Current Assumed Defaulted Amount: 98,460,000
-- Model WARF for March 2009 rating actions: 1672
-- Assumed Defaulted Amount for March 2009 rating actions:
45,820,000
-- US$270,800,000 Class A-1 Senior Notes (current balance of
$262,768,259.00), Downgraded to Baa2; previously on March 27,
2009 A2;
-- US$58,400,000 Class B Mezzanine Notes (current balance of
$56,990,584.00), Downgraded to Caa3; previously on March 27,
2009 B3.
Preferred Term Securities XXVI, Ltd.
-- Current Model WARF: 1605
-- Current Assumed Defaulted Amount: 268,500,000
-- Model WARF for March 2009 rating actions: 1382
-- Assumed Defaulted Amount for March 2009 rating actions:
83,500,000
-- US$530,250,000 Floating Rate Class A-1 Senior Notes Due
September 22, 2037 (current balance of $510,237,204.00),
Downgraded to Ba1; previously on March 27, 2009 A1;
-- US$140,250,000 Floating Rate Class A-2 Senior Notes Due
September 22, 2037 (current balance of $137,798,230.00),
Downgraded to B1; previously on March 27, 2009 Ba1;
-- US$59,900,000 Floating Rate Class B-1 Mezzanine Notes Due
September 22, 2037 (current balance of $59,312,279.00),
Downgraded to Ca; previously on March 27, 2009 B2;
-- US$37,500,000 Fixed/Floating Rate Class B-2 Mezzanine
Notes Due September 22, 2037 (current balance of
$37,993,839.00), Downgraded to Ca; previously on March 27,
2009 B2;
-- US$71,500,000 Floating Rate Class C-1 Mezzanine Notes Due
September 22, 2037 (current balance of $72,772,519.54),
Downgraded to C; previously on March 27, 2009 Downgraded to
Ca;
-- US$39,500,000 Fixed/Floating Rate Class C-2 Mezzanine
Notes Due September 22, 2037 (current balance of
$42,759,960.80), Downgraded to C; previously on March 27,
2009 Downgraded to Ca.
Preferred Term Securities XXVII, Ltd.
-- Current Model WARF: 1119
-- Current Assumed Defaulted Amount: 69,300,000
-- Model WARF for March 2009 rating actions: 1718
-- Assumed Defaulted Amount for March 2009 rating actions:
22,500,000
-- US$40,500,000 Floating Rate Class B Mezzanine Notes Due
December 22, 2037 (current balance of $40,168,515.16),
Downgraded to Caa3; previously on March 27, 2009 B3.
TPREF Funding II, Ltd.
-- Current Model WARF: 1860
-- Current Assumed Defaulted Amount: 120,000,000
-- Model WARF for March 2009 rating actions: 2566
-- Assumed Defaulted Amount for March 2009 rating actions:
35,000,000
-- US$100,000,000 Class A-2 Floating Rate Senior Notes Due
2032, Downgraded to A3; previously on March 27, 2009
Downgraded to A1.
Trapeza CDO II, LLC
-- Current Model WARF: 1131
-- Current Assumed Defaulted Amount: 107,346,000
-- Model WARF for March 2009 rating actions: 1931
-- Assumed Defaulted Amount for March 2009 rating actions:
37,631,000
-- US$132,000,000 Class A1A First Priority Senior Secured
Floating Rate Notes due 2033 (current balance of
$22,190,060), Downgraded to Aa1; previously on March 31, 2003
assigned Aaa;
-- US$100,000,000 Class A1B Second Priority Senior Secured
Floating Rate Notes due 2033, Downgraded to A3; previously on
March 27, 2009 Downgraded to A1;
-- US$27,000,000 Class B Third Priority Senior Secured
Floating Rate Notes due 2033, Downgraded to Ba1; previously
on March 27, 2009 Downgraded to Baa3;
-- US$43,500,000 Class C-1 Fourth Priority Secured Floating
Rate Notes due 2033 (current balance of $44,295,137.00),
Downgraded to Ca; previously on November 12, 2008 Caa2;
-- US $54,800,000 Class C-2 Fourth Priority Secured
Fixed/Floating Rate Notes due 2033 (current balance of
$55,801,690.00), Downgraded to Ca; previously on November 12,
2008 Caa2.
Trapeza CDO XIII, Ltd.
-- Current Model WARF: 1454
-- Current Assumed Defaulted Amount: 190,750,000
-- Model WARF for March 2009 rating actions: 1640
-- Assumed Defaulted Amount for March 2009 rating actions:
46,500,000
-- US$375,000,000 Class A-1 Senior Secured Floating Rate
Notes Due 2042 (current balance of $365,571,534.66),
Downgraded to Baa2; previously on March 27, 2009 A1;
-- US$97,000,000 Class A-2a Senior Secured Floating Rate
Notes Due 2042, Downgraded to Ba2; previously on March 27,
2009 Baa2;
-- US$5,000,000 Class A-2b Senior Secured Fixed/Floating
Rate Notes Due 2042, Downgraded to Ba2; previously on March
27, 2009 Baa2;
-- US$21,000,000 Class A-3 Senior Secured Floating Rate
Notes Due 2042, Downgraded to B1; previously on March 27,
2009 Ba1;
-- US$65,000,000 Class B Secured Deferrable Floating Rate
Notes Due 2042, Downgraded to Caa3; previously on March 27,
2009 B3;
-- US$58,000,000 Class C-1 Secured Deferrable Floating Rate
Notes Due 2042 (current balance of $58,294,138.54),
Downgraded to Ca; previously on March 27, 2009 Caa3;
-- US$5,000,000 Class C-2 Secured Deferrable Fixed/Floating
Rate Notes Due 2042 (current balance of $5,082,522.78),
Downgraded to Ca; previously on March 27, 2009 Caa3.
Moody's Investors Service also announced that it has upgraded the
ratings of these notes issued by Preferred Term Securities XIII,
Ltd.
-- Current Model WARF: 1415
-- Current Assumed Defaulted Amount: 100,150,000
-- Model WARF for March 2009 rating actions: 1492
-- Assumed Defaulted Amount for March 2009 rating actions:
41,250,000
-- US$27,000,000 Floating Rate Class A-2 Senior Notes Due
March 24, 2034, upgraded to Baa2; previously on March 27,
2009 downgraded to Ba1;
-- US$7,750,000 Fixed/Floating Rate Class A-3 Senior Notes
Due March 24, 2034, upgraded to Baa2; previously on March 27,
2009 downgraded to Ba1;
-- US$21,500,000 Fixed/Floating Rate Class A-4 Senior Notes
Due March 24, 2034, upgraded to Baa2; previously on March 27,
2009 downgraded to Ba1.
Moody's notes that the upgrade actions on the Class A-2, A-3 and
A-4 Notes of this transaction reflect updated analysis
incorporating certain rating stresses assumed by Moody's and
credit deterioration and Moody's conclusion that the impact of
these factors on the ratings of the notes is not as negative as
previously assessed in the last rating action on March 27, 2009,
despite the portfolio deterioration.
In concluding the rating analysis of these transactions, Moody's
has used a combination of these analysis: (1) Coverage level and
problem bank analysis, (2) Event of default analysis, (3) Cash-
flow modeling analysis (this includes but it is not limited to
interest rate hedging, recovery rate and correlation analysis),
(4) Pass-through of the underlying portfolio credit analysis.
* Moody's Upgrades Ratings on Six Subordinate Auto Loan Tranches
----------------------------------------------------------------
Moody's has upgraded six subordinate tranches from two near-prime
auto loan transactions that closed in 2006. Moody's has also
placed under review for possible upgrade, six tranches from two
near prime transactions that closed in 2007 and 2008. The
transactions are serviced by Wachovia Dealer Services, Inc.
(formerly WFS Financial Inc.). Wachovia Dealer Services, Inc. is
a wholly-owned subsidiary of Wachovia Bank, which, as of December
31, 2008, is a wholly-owned subsidiary of Wells Fargo & Company.
The actions reflects the stronger credit profile of the securities
based on the actual performance of their respective transaction
and credit enhancement relative to expected future losses in the
underlying receivables pool.
Upgrades for the Wachovia Auto Owner Trust 2006-1 and 2006-2
transactions were prompted by updated lower loss expectations
since previous rating actions in February, as well as, build up in
credit enhancement relative to remaining expected losses. Rating
actions in February were driven by the continuous increase in
monthly loss rates amidst the economic downturn as well as
heightened concern due to overweight in California for the loans
in these pools. However, ten more months of performance have
demonstrated substantial stabilization in both delinquencies and
losses. Cumulative losses as a percentage of the pool that has
liquidated, (original pool balance -- current pool balance), an
indicator of projected lifetime losses trajectories, have also
been leveling off for both transactions.
Moody's currently projects Wachovia Auto Loan Owner Trust 2006-1
and 2006-2 to incur a cumulative lifetime loss of 7.50%, which is
lower than the range of 8.0%-9.50% previously published in
February 2009 when tranches from these transactions were
downgraded. Hard credit enhancement for the upgraded tranches
(excluding excess spread) relative to future expected losses has
increased as the transaction has paid down and a significant
portion of the expected lifetime losses have already been
incurred. For Wachovia Auto Loan Owner Trust 2006-1, hard credit
support (excluding excess spread which is approximately 5.50% per
annum) is currently approximately 39%, 21% and 7% for classes B, C
and D respectively compared to future expected losses of
approximately 9% as a percentage of the remaining pool balance.
The pool factor of the transaction is approximately 23% and
overcollateralization is at its floor of 1% of the original pool
balance. The transaction also benefits from non-declining reserve
account of 0.50% of the original pool balance. For Wachovia Auto
Loan Owner Trust 2006-2, hard credit support (excluding excess
spread which is approximately 5.0% per annum) is currently
approximately 46%, 29% and 15% for classes B, C and D respectively
compared to future expected losses of approximately 9% as a
percentage of the remaining pool balance. The pool factor of the
transaction is approximately 23% and there is a non-declining
reserve account of 0.50%. Both transactions pay principal in
sequential order of seniority.
Moody's also placed classes B, C and D from Wachovia Auto Loan
Owner Trust 2007-1 and 2008-1 transactions on review for possible
upgrade. Although these transactions are performing weaker than
originally expected, they have also demonstrated signs of
improvement, enabling a build up in credit enhancement. Moody's
currently expects these transactions to incur cumulative lifetime
losses in the range of 8.50% to 9.50%. During its review, Moody's
will continue to refine its assessment of the transactions
relative to the credit enhancement available.
Complete action:
Issuer: Wachovia Auto Loan Owner Trust 2006-1
* Pool Current Expected Cumulative Net Losses: 7.50% (as a
percentage of the original loan pool balance)
-- Cl. B, Upgraded to Aaa; previously on Aug 13, 2009 Aa2
Placed Under Review for Possible Upgrade
-- Cl. C, Upgraded to Aa3; previously on Aug 13, 2009 Baa3
Placed Under Review for Possible Upgrade
-- Cl. D, Upgraded to B1; previously on Feb 20, 2009 Downgraded
to B3
Issuer: Wachovia Auto Loan Owner Trust 2006-2
* Pool Current Expected Cumulative Net Losses: 7.50% (as a
percentage of the original loan pool balance)
-- Cl. B, Upgraded to Aaa; previously on Aug 13, 2009 Aa2
Placed Under Review for Possible Upgrade
-- Cl. C, Upgraded to Aa1; previously on Aug 13, 2009 Baa1
Placed Under Review for Possible Upgrade
-- Cl. D, Upgraded to Baa2; previously on Aug 13, 2009 Ba3
Placed Under Review for Possible Upgrade
Issuer: Wachovia Auto Loan Owner Trust 2007-1
* Pool Current Expected Cumulative Net Losses: 8.50%-9.50% (as a
percentage of the original loan pool balance)
-- Cl. B, Aa3 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to Aa3
-- Cl. C, Baa2 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to Baa2
-- Cl. D, Ba3 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to Ba3
Issuer: Wachovia Auto Loan Owner Trust 2008-1
* Pool Current Expected Cumulative Net Losses: 8.50%-9.50%% (as a
percentage of the original loan pool balance)
-- Cl. B, A1 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to A1
-- Cl. C, Baa3 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to Baa3
-- Cl. D, Ba3 Placed Under Review for Possible Upgrade;
previously on Feb 20, 2009 Downgraded to Ba3
* S&P Downgrades Ratings on 10 Tranches From Four Hybrid CDO Deals
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
tranches from four U.S. cash flow and hybrid collateralized debt
obligation transactions to 'D' and removed one of these ratings
from CreditWatch with negative implications. At the same time,
S&P affirmed its 'CC' ratings on nine tranches from three of the
affected transactions.
All of the tranches S&P downgraded come from CDO transactions that
have triggered an event of default as a result of having missed an
interest payment on one or more of their nondeferrable tranches.
These rating actions reflect the implementation of S&P's criteria
for ratings on CDO transactions that have triggered an EOD and may
be subject to acceleration or liquidation
S&P will continue to monitor the CDO transactions S&P rate and
will take rating actions, including CreditWatch placements, when
S&P believes appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Duke Funding X Ltd. A-1 D CC
Duke Funding X Ltd. A-2 D CC
Vertical ABS CDO 2006-2 Ltd. A-1 D CC
Vertical ABS CDO 2006-2 Ltd. A-2 D CC
Big Horn St.Fdg. 2007-1 Ltd. SprSr Swap D CCC-/Watch Neg
Big Horn St.Fdg. 2007-1 Ltd. Jr Swap D CC
Big Horn St.Fdg. 2007-1 Ltd. S D CC
Big Horn St.Fdg. 2007-1 Ltd. A D CC
Big Horn St.Fdg. 2007-1 Ltd. B D CC
Kingfisher Capital CLO Ltd. A D CC
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Duke Funding X Ltd. A-3 CC
Duke Funding X Ltd. B-1 CC
Duke Funding X Ltd. B-2 CC
Vertical ABS CDO 2006-2 Ltd. A-S1VF CC
Vertical ABS CDO 2006-2 Ltd. A-3 CC
Vertical ABS CDO 2006-2 Ltd. B CC
Vertical ABS CDO 2006-2 Ltd. C CC
Big Horn St.Fdg. 2007-1 Ltd. C CC
Big Horn St.Fdg. 2007-1 Ltd. D CC
* S&P Downgrades Ratings on 22 Classes From Four RMBS Transactions
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 22
classes from four U.S. residential mortgage-backed securities
transactions backed by U.S. Alternative-A, prime jumbo, and
subprime collateral issued in 2005 and 2006. In addition, S&P
affirmed its ratings on 31 classes from the downgraded
transactions and one additional transaction.
Standard & Poor's has established loss projections for all rated
Alt-A, prime jumbo, and subprime transactions issued in 2005,
2006, and 2007.
S&P's lifetime projected losses have changed for these
transactions:
Orig. bal. Lifetime
Transaction (mil. $) exp. loss %
----------- ---------- -----------
GSR Mortgage Loan Trust 2005-AR4-grp 6 422 1.25
GSR Mortgage Loan Trust 2005-AR4 grp 7 863 3.02
HarborView Mortgage Ln Trust 2006-16 2.413 37.89
WaMu Mortgage Pass-Thru Certs 2006-AR6 452 5.07
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 the case
of Alt-A and subprime transactions, 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 its
base-case loss assumptions at a percentage specific to each rating
category, up to 150% for an 'AAA' rating. For example, in
general, S&P would assess whether one class could withstand
approximately 110% of its 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 its analysis.
For prime jumbo transactions, 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 its base-case loss
assumptions at a percentage specific to each rating category, up
to 235% for an 'AAA' rating. For example, in general, S&P would
assess whether one class could withstand approximately 127% of its
base-case loss assumptions to maintain a 'BB' rating, while S&P
would assess whether a different class could withstand
approximately 154% of its base-case loss assumptions to maintain a
'BBB' rating. Each class with an affirmed 'AAA' rating can, in
S&P's view, withstand approximately 235% of its 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 its 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 pool of loans backing these transactions consists
of fixed- and adjustable-rate U.S. subprime, Alt-A, and prime
jumbo mortgage loans that are secured by first and second liens on
one- to four-family residential properties.
Rating Actions
Bear Stearns Asset Backed Securities Trust 2006-SD3
Series 2006-SD3
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-IB 073888AM1 CCC BB
I-A-IC 073888BD0 CCC BB
I-PO 073888AE9 CCC BB
I-A-2B 073888BE8 CCC BB
I-A-3 073888AC3 CCC BB
I-B-1 073888AF6 CC CCC
II-1A-1 073888AN9 CCC AA
II-1A-2 073888BF5 CC AA
II-2A-1 073888AP4 CCC AA
II-2A-2 073888BG3 CC AA
II-3A-1 073888AQ2 CCC AA
II-X-1 073888AR0 CCC AA
II-3A-2 073888AS8 CC AA
II-X-2 073888AT6 CC AA
II-B-1 073888AU3 CC CCC
GSR Mortgage Loan Trust 2005-AR4
Series 2005-AR4
Rating
------
Class CUSIP To From
----- ----- -- ----
1B2 362341FU8 CC CCC
HarborView Mortgage Loan Trust 2006-14
Series 2006-14
Rating
------
Class CUSIP To From
----- ----- -- ----
2A-1A 41162NAC1 CCC A-
WaMu Mortgage Pass-Through Certificates Series 2006-AR6 Trust
Series 2006-AR6
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 93363BAA9 B+ BB+
1-A2 93363BAB7 B+ BB+
2-A1 93363BAE1 B+ BB-
2-A2 93363BAF8 B+ BB-
2-A3 93363BAG6 B+ BB-
Ratings Affirmed
Bear Stearns Asset Backed Securities Trust 2006-SD3
Series 2006-SD3
Class CUSIP Rating
----- ----- ------
I-A-IA 073888AA7 BB
I-A-2A 073888AB5 BB
I-X 073888AD1 BB
GSAMP Trust 2006-HE6
Series 2006-HE6
Class CUSIP Rating
----- ----- ------
A-1 36245AAA4 AAA
A-2 36245AAB2 B-
A-3 36245AAC0 CCC
A-4 36245AAD8 CCC
M-1 36245AAE6 CCC
M-2 36245AAF3 CCC
GSR Mortgage Loan Trust 2005-AR4
Series 2005-AR4
Class CUSIP Rating
----- ----- ------
1A1 362341FG9 BBB-
2A1 362341FH7 BBB-
3A1 362341FJ3 BBB-
3A2 362341FK0 AAA
3A3 362341FL8 BBB-
3A4 362341FM6 BBB-
3A5 362341FN4 BBB-
4A1 362341FP9 BBB-
5A1 362341FQ7 BBB-
6A1 362341FR5 AAA
X 362341FS3 AAA
1B1 362341FT1 CCC
2B1 362341FW4 BB+
2B2 362341FX2 CCC
2B3 362341FY0 CCC
HarborView Mortgage Loan Trust 2006-14
Series 2006-14
Class CUSIP Rating
----- ----- ------
1A-1A 41162NAA5 CCC
2A-1B 41162NAD9 CCC
2A-1C 41162NAE7 CCC
2A-2C 41162NAH0 CCC
WaMu Mortgage Pass-Through Certificates Series 2006-AR6 Trust
Series 2006-AR6
Class CUSIP Rating
----- ----- ------
1-A3 93363BAC5 CCC
2-A4 93363BAH4 CCC
B-1 93363BAJ0 CCC
* S&P Downgrades Ratings on 63 Classes From Three RMBS Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 63
classes from three U.S. Alternative-A and prime jumbo residential
mortgage-backed securities transactions issued in 2005 and 2007.
S&P removed 22 of the lowered ratings from CreditWatch with
negative implications. Additionally, S&P affirmed its ratings on
16 classes from two of these transactions.
The original balances and lifetime expected losses for these
transactions (and structure groups) S&P reviewed are:
Orig. bal. Lifetime
Transaction (mil. $) exp. loss (%)
----------- ---------- -------------
Banc of America Funding 2007-3 Trust
(Structure 3) 101 0.70
Banc of America Funding 2007-3 Trust
(Structure 4) 599 35.11
Banc of America Funding 2007-3 Trust
(Structure 5) 191 3.02
BCAP LLC Trust 2007-AA4
(Structure 4) 258 33.93
BCAP LLC Trust 2007-AA4
(Structure 5) 535 28.67
Credit Suisse First Boston Securities Corp.
(Structure 7) 299 1.33
Credit Suisse First Boston Securities Corp.
(Structure 8) 177 3.33
The downgrades, affirmations, and CreditWatch resolutions
incorporate S&P's current and projected losses based on the dollar
amounts of loans currently in the transactions' delinquency,
foreclosure, and real estate owned (REO) pipelines, as well as
S&P's projection of future defaults. S&P also incorporated
cumulative losses to date in S&P's analysis when assessing rating
outcomes.
S&P derived its loss assumptions using its criteria listed in the
"Related Research" section. As part of its analysis, S&P
considered the characteristics of the underlying mortgage
collateral, as well as macroeconomic influences. For example, the
risk profile of the underlying mortgage pools influences S&P's
default projections, while its outlook for housing price declines
and the health of the housing market influence its loss severity
assumptions. Furthermore, S&P adjusted its loss expectations for
each deal based on upward trends in delinquencies.
For Alt-A transactions, to maintain a 'AAA' rating, S&P consider
whether a class is able to withstand approximately 150% of its
base-case loss assumptions, subject to individual caps and
qualitative factors assumed on specific transactions. For a class
for which we've affirmed a 'B' rating, S&P consider whether a bond
is able to withstand its base-case loss assumptions. To maintain
a rating in categories between 'B' (the base case) and 'AAA', S&P
assess whether the class can withstand losses exceeding the base-
case assumption at a percentage specific to each rating category,
up to 150% for a 'AAA' rating. For example, S&P would assess
whether one class could withstand approximately 110% of its 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.
For prime jumbo transactions, to maintain a 'AAA' rating, S&P
consider whether a class is able to withstand approximately 235%
of its base-case loss assumptions, subject to individual caps and
qualitative factors applied to specific transactions. For a class
for which we've affirmed a 'B' rating, S&P consider whether a bond
is able to withstand S&P's base-case loss assumptions. To
maintain a rating in categories between 'B' (the base case) and
'AAA', S&P assesses whether the class can withstand losses
exceeding the base-case assumption at a percentage specific to
each rating category, up to 235% for a 'AAA' rating. For example,
S&P would assess whether one class could withstand approximately
127% of its base-case loss assumptions to maintain a 'BB' rating,
while S&P would assess whether a different class could withstand
approximately 154% of its base-case loss assumptions to maintain a
'BBB' rating.
The lowered ratings reflect S&P's belief that the amount of credit
enhancement available for the downgraded classes is not sufficient
to cover losses at the previous rating levels, given S&P's current
projected losses. The affirmations reflect S&P's belief that
there is sufficient credit enhancement to support the ratings at
their current levels. Certain senior classes also benefit from
senior-support classes that would provide support to a certain
extent before any applicable losses could affect the super-senior
certificates. The subordination of classes within each structure
provides credit support for the affected transactions.
The collateral backing these deals originally consisted
predominantly of prime jumbo or Alt-A, first-lien, fixed-rate,
adjustable-rate, or negative-amortization residential mortgage
loans secured by one- to four-family properties. In addition, the
collateral in structures 3 and 5 from Banc of America Funding
2007-3 Trust contained loans that were seasoned at the time of
securitization and which were taken into consideration during
S&P's analysis.
S&P monitors these transactions to incorporate updated losses and
delinquency pipeline performance to assess whether, in its view,
the applicable credit enhancement features are sufficient to
support the current ratings. S&P will continue to monitor these
transactions and take additional rating actions as S&P deem
appropriate.
Rating Actions
Banc of America Funding 2007-3 Trust
Series 2007-3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 059515AV8 CCC AAA/Watch Neg
1-A-2 059515AW6 CCC AAA/Watch Neg
1-A-3 059515AX4 CCC AAA/Watch Neg
2-A-1 059515AY2 CCC AAA/Watch Neg
X-IO 059515AZ9 CCC AAA
X-PO 059515BA3 CC AAA/Watch Neg
X-A-1 059515BE5 CCC AAA/Watch Neg
X-A-2 059515BF2 CCC AAA/Watch Neg
X-B-1 059515BG0 CC AA/Watch Neg
X-B-2 059515BH8 CC A/Watch Neg
X-B-3 059515BJ4 CC BBB/Watch Neg
X-B-4 059515BN5 CC BB/Watch Neg
X-B-5 059515BP0 D B/Watch Neg
T-A-1A 059515AA4 CCC AA/Watch Neg
T-A-1B 059515AB2 CC B/Watch Neg
T-A-2 059515AC0 CC B/Watch Neg
T-A-3A 059515AD8 CC B/Watch Neg
T-A-3B 059515AE6 CC B/Watch Neg
T-A-4 059515AF3 CC B/Watch Neg
T-A-5 059515AG1 CCC A/Watch Neg
T-A-6 059515AH9 CCC A/Watch Neg
T-A-7 059515AJ5 CC B/Watch Neg
T-A-8 059515AK2 CCC A/Watch Neg
T-M-1A 059515AL0 CC CCC
T-M-1B 059515AT3 CC CCC
BCAP LLC Trust 2007-AA4
Series 2007-AA4
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A-1 05530WAP2 CCC AAA
II-M-1 05530WAQ0 CC BBB
II-M-2 05530WAR8 CC B
II-M-3 05530WAS6 CC B-
II-M-4 05530WAT4 CC CCC
II-M-5 05530WAU1 CC CCC
II-M-6 05530WAV9 CC CCC
II-M-7 05530WAW7 CC CCC
I-1-A1 05530WAA5 CCC B+
I-1-A2 05530WAB3 CC B
I-2-A1 05530WAC1 CCC B+
1-2-X1 05530WBA4 CCC B+
I-2-A2 05530WAD9 CC B
I-3-A1 05530WAE7 CCC B+
I-3-A2 05530WAF4 CC B
I-B-1 05530WAG2 CC CCC
I-B-3 05530WAJ6 D CC
Credit Suisse First Boston Mortgage Securities Corp.
Series 2005-2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 225458ES3 BBB AAA
I-A-3 225458EU8 BBB AAA
I-A-5 225458EW4 BBB AAA
I-A-7 225458EY0 A AAA
I-A-8 225458EZ7 BBB AAA
I-A-9 225458FA1 BBB AAA
I-A-10 225458FB9 BBB AAA
III-A-2 225458FW3 BBB AAA
IV-A-1 225458FF0 A AAA
IV-A-3 225458FH6 BBB AAA
V-A-2 225458FK9 BBB AA-
V-A-3 225458FL7 BBB AA-
V-A-4 225458FM5 BBB AA-
V-A-5 225458FN3 BBB AA-
V-A-6 225458FP8 BBB AA-
V-A-7 225458FQ6 BBB AA-
VI-A-1 225458FR4 BBB AA-
C-B-1 225458FX1 CCC BB-
D-B-1 225458GA0 CCC B
C-B-3 225458FZ6 CC CCC
D-B-3 225458GC6 CC CCC
Ratings Affirmed
Banc of America Funding 2007-3 Trust
Series 2007-3
Class CUSIP Rating
----- ----- ------
3-A-2 059515BC9 AAA
3-A-3 059515BD7 AAA
Credit Suisse First Boston Mortgage Securities Corp.
Series 2005-2
Class CUSIP Rating
----- ----- ------
I-A-2 225458ET1 AAA
I-A-4 225458EV6 AAA
I-A-6 225458EX2 AAA
I-X 225458FS2 AAA
III-A-1 225458FE3 AAA
IV-A-2 225458FG8 AAA
C-X 225458FT0 AAA
A-P 225458FV5 AAA
II-A-1 225458FC7 AAA
II-A-2 225458FD5 AAA
V-A-1 225458FJ2 AAA
D-X 225458FU7 AAA
C-B-2 225458FY9 CCC
D-B-2 225458GB8 CCC
* S&P Downgrades Ratings on 110 Classes From 39 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 110
classes from 39 residential mortgage-backed securities
transactions backed by U.S. subprime mortgage loan collateral
issued in 2002. S&P removed seven of the lowered ratings from
CreditWatch with negative implications. S&P also downgraded six
of these classes to 'D'. In addition, S&P affirmed its ratings on
68 classes from 27 of the downgraded transactions, as well as four
additional deals and removed three of them from CreditWatch
negative.
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given S&P's current projected losses.
S&P downgraded the class MF-1, MF-2, MV-1, and MV-2 certificates
from Centex Home Equity Loan Trust 2002-A and the class M-2 and M-
3 certificates from New Century Home Equity Loan Trust 2002-1 to
'D' because the affected classes have sustained interest
shortfalls during previous remittance periods.
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 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
its base-case loss assumptions 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 its analysis.
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 pool 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
ABFC 2002-NC1 Trust
Series 2002-NC1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 04542BBA9 CC BBB
ABFC 2002-OPT1 Trust
Series 2002-OPT1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-4 04542BBP6 CC CCC
ABFC 2002-SB1 Trust
Series 2002-SB1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 04542BAS1 B+ BB
M-2 04542BAT9 CC CCC
ABFC 2002-WF1 Trust
Series 2002-WF1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 04542BAH5 BB- BB
M-3 04542BAJ1 B- B+
B 04542BAK8 B- B
ABFC 2002-WF2 Trust
Series 2002-WF2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 04542BBV3 A- AA+
M-2 04542BBW1 CCC A
M-3 04542BBX9 CCC BBB
Ameriquest Mortgage Securities Inc.
Series 2002-AR1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 03072SDB8 A- AAA
M-2 03072SDC6 CCC BBB
M-3 03072SDD4 CC CCC
M-4 03072SDE2 CC CCC
Ameriquest Mortgage Securities Inc.
Series 2002-C
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 03072SDF9 CCC BBB
Amortizing Residential Collateral Trust 2002-BC4
Series 2002-BC4
Rating
------
Class CUSIP To From
----- ----- -- ----
M1 86358RW60 A+ AA+
M2 86358RW78 B- A+
M3 86358RW86 CC BBB/Watch Neg
B1 86358RW94 CC BB-/Watch Neg
Amortizing Residential Collateral Trust 2002-BC5
Series 2002-BC5
Rating
------
Class CUSIP To From
----- ----- -- ----
M1 86358RZ67 AA AAA
M2 86358RZ75 CCC AA-
M3 86358RZ83 CC BB
Asset Backed Securities Corporation Home Equity Loan Trust
Series 2002-HE3
Rating
------
Class CUSIP To From
----- ----- -- ----
M3 04541GCT7 CC B
M4 04541GCU4 CC CCC
Centex Home Equity Loan Trust 2002-A
Series 2002-A
Rating
------
Class CUSIP To From
----- ----- -- ----
MF-1 152314EM8 D AA
MF-2 152314EN6 D BBB
MV-1 152314ER7 D B
MV-2 152314ES5 D CCC
Centex Home Equity Loan Trust 2002-C
Series 2002-C
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 152314FS4 B+ AA
M-2 152314FT2 CC A
Chase Funding Trust, Series 2002-1
Series 2002-1
Rating
------
Class CUSIP To From
----- ----- -- ----
IM-2 161546CK0 B- A
IB 161546CL8 CC BB
IIM-1 161546CP9 B- AA
IIM-2 161546CQ7 CCC A
IIB 161546CR5 CC BBB
Chase Funding Trust, Series 2002-2
Series 2002-2
Rating
------
Class CUSIP To From
----- ----- -- ----
IM-1 161551FU5 A AA
IM-2 161551FV3 CC BBB-
IB 161551FW1 CC BB
IIM-1 161551FY7 CCC A
IIM-2 161551FZ4 CC CCC
IIB 161551GA8 CC CCC
Chase Funding Trust, Series 2002-3
Series 2002-3
Rating
------
Class CUSIP To From
----- ----- -- ----
IM-1 161546CY0 BB+ AA
IM-2 161546CZ7 CC BB
IB 161546DA1 CC BB-
IIM-1 161546DC7 B- BB
IIM-2 161546DD5 CCC B
Chase Funding Trust, Series 2002-4
Series 2002-4
Rating
------
Class CUSIP To From
----- ----- -- ----
IM-1 161546DM5 AA- AA
IM-2 161546DN3 CCC A
IB 161546DP8 CC BBB
IIM-2 161546DS2 CCC BB-
CIT Home Equity Loan Trust 2002-1
Series 2002-1
Rating
------
Class CUSIP To From
----- ----- -- ----
AF-5 12558MAF9 AA AAA
AF-6 12558MAG7 AA AAA
AF-7 12558MAH5 AA AAA
MF-1 12558MAJ1 CC AA
MF-2 12558MAK8 CC A
MV-1 12558MAN2 CC AA+
MV-2 12558MAP7 CC A
CIT Home Equity Loan Trust 2002-2
Series 2002-2
Rating
------
Class CUSIP To From
----- ----- -- ----
AF 12558MAR3 AAA AAA/Watch Neg
MF-1 12558MAX0 CCC AA/Watch Neg
MF-2 12558MAY8 CC A/Watch Neg
AV 12558MBB7 AAA AAA/Watch Neg
MV-1 12558MBC5 CCC AA/Watch Neg
MV-2 12558MBD3 CC A/Watch Neg
Conseco Finance Home Equity Loan Trust 2002-B
Series 2002-B
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 20847TBV2 CC B
CWABS, Inc.
Series 2002-2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 126671QW9 CC A
B-1 126671QX7 CC BBB
CWABS, Inc.
Series 2002-3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 126671RN8 BB+ AA
M-2 126671RP3 B- A
B-1 126671RQ1 B- BBB
First Franklin Mortgage Loan Trust 2002-FF1
Series 2002-FF1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-2 32027NAP6 AAA AAA/Watch Neg
M-1 32027NAR2 CC AA+/Watch Neg
First Franklin Mortgage Loan Trust 2002-FF2
Series 2002-FF2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 32027NAV3 AA AAA
M-1 32027NAW1 CC BB
GSAMP Trust 2002-NC1
Series 2002-NC1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 36228FEW2 BB+ BBB
M-2 36228FEX0 CC CCC
Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2002-A
Series SPMD2002-A
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 43708AAG7 BB AA+
M-2 43708AAH5 CC BB
Long Beach Mortgage Loan Trust 2002-5
Series 2002-5
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 542514DB7 BBB AA
M-2 542514DC5 CCC A
M-3 542514DD3 CC CCC
Merrill Lynch Mortgage Investors Inc.
Series 2002-AFC1
Rating
------
Class CUSIP To From
----- ----- -- ----
BF-1 589929YA0 CC CCC
Merrill Lynch Mortgage Investors Inc.
Series 2002-NC1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 589929ZF8 BB A
B-1 589929ZC5 CC CCC
B-2 589929ZD3 CC CCC
Morgan Stanley ABS Capital I Inc. Trust 2002-HE3
Series 2002-HE3
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 61746RAB7 B AA+
M-2 61746RAC5 CC BB
Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM1
Series 2002-AM1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 61746WML1 BBB- AA+
M-2 61746WMM9 CC CCC
Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM2
Series 2002-AM2
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 61746WNS5 A+ AA
M-2 61746WNT3 CCC B
Morgan Stanley Dean Witter Capital I Inc. Trust 2002-NC1
Series 2002-NC1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 61746WMS6 CC CCC
New Century Home Equity Loan Trust, Series 2002-1
Series 2002-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-2 64352VCE9 D BB
M-3 64352VCF6 D BB
Option One Mortgage Loan Trust 2002-5
Series 2002-5
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 68389FCT9 BBB+ AAA
M-2 68389FCU6 CCC A
M-3 68389FCV4 CC BBB
M-4 68389FCW2 CC BBB
RASC Series 2002-KS2 Trust
Series 2002-KS2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-I-5 76110WNG7 AA AAA
A-I-6 76110WNH5 AA AAA
M-I-1 76110WNK8 CC A
M-I-2 76110WNL6 CC B
Salomon Home Equity Loan Trust, Series 2002-CIT1
Series 2002-CIT1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 79549AQJ1 AA- AA
M-2 79549AQK8 CCC A
M-3 79549AQL6 CC B
M-4 79549AQM4 CC CCC
M-5 79549AQN2 CC CCC
Salomon Mortgage Loan Trust, Series 2002-CB3
Series 2002-CB3
Rating
------
Class CUSIP To From
----- ----- -- ----
B-2 79549ARB7 B A+
Saxon Asset Securities Trust 2002-1
Series 2002-1
Rating
------
Class CUSIP To From
----- ----- -- ----
M-1 805564KW0 BBB AA
M-2 805564KX8 CC BBB
B 805564KY6 CC CCC
Structured Asset Securities Corp.
Series 2002-HF1
Rating
------
Class CUSIP To From
----- ----- -- ----
M1 86358RL47 AA- AA
M2 86358RL54 B- A
M3 86358RL62 CC CCC
Ratings Affirmed
ABFC 2002-NC1 Trust
Series 2002-NC1
Class CUSIP Rating
----- ----- ------
M-1 04542BAZ5 AA+
ABFC 2002-OPT1 Trust
Series 2002-OPT1
Class CUSIP Rating
----- ----- ------
M-1 04542BBL5 BBB
M-2 04542BBM3 BB
M-3 04542BBN1 CCC
ABFC 2002-SB1 Trust
Series 2002-SB1
Class CUSIP Rating
----- ----- ------
AII-1 04542BAQ5 AAA
ABFC 2002-WF1 Trust
Series 2002-WF1
Class CUSIP Rating
----- ----- ------
M-1 04542BAG7 AA
ABFC 2002-WF2 Trust
Series 2002-WF2
Class CUSIP Rating
----- ----- ------
A-2 04542BBT8 AAA
Amortizing Residential Collateral Trust 2002-BC4
Series 2002-BC4
Class CUSIP Rating
----- ----- ------
A 86358RW45 AAA
Asset Backed Securities Corporation Home Equity Loan Trust
Series 2002-HE3
Class CUSIP Rating
----- ----- ------
M2 04541GCS9 BBB
Asset Backed Securities Corporation Home Equity Loan Trust
Series 2002-HE1
Class CUSIP Rating
----- ----- ------
M1 04541GCG5 BBB
M2 04541GCH3 CCC
Centex Home Equity Loan Trust 2002-A
Series 2002-A
Class CUSIP Rating
----- ----- ------
AF-4 152314EJ5 AAA
AF-5 152314EK2 AAA
AF-6 152314EL0 AAA
AV 152314EQ9 AAA
Centex Home Equity Loan Trust 2002-C
Series 2002-C
Class CUSIP Rating
----- ----- ------
AF-4 152314FM7 AAA
AF-5 152314FN5 AAA
AF-6 152314FP0 AAA
Chase Funding Trust, Series 2002-1
Series 2002-1
Class CUSIP Rating
----- ----- ------
IA-5 161546CG9 AAA
IA-6 161546CH7 AAA
IM-1 161546CJ3 AA
IIA-1 161546CM6 AAA
IIA-2 161546CN4 AAA
Chase Funding Trust, Series 2002-2
Series 2002-2
Class CUSIP Rating
----- ----- ------
IA-5 161551FS0 AAA
IA-6 161551FT8 AAA
IIA-1 161551FX9 AAA
Chase Funding Trust, Series 2002-3
Series 2002-3
Class CUSIP Rating
----- ----- ------
IA-5 161546CW4 AAA
IA-6 161546CX2 AAA
IIA-1 161546DB9 AAA
Chase Funding Trust, Series 2002-4
Series 2002-4
Class CUSIP Rating
----- ----- ------
IA-5 161546DK9 AAA
IA-6 161546DL7 AAA
IIA-1 161546DQ6 AAA
IIM-1 161546DR4 BB+
CIT Home Equity Loan Trust 2002-1
Series 2002-1
Class CUSIP Rating
----- ----- ------
AV 12558MAM4 AAA
Conseco Finance Home Equity Loan Trust 2002-B
Series 2002-B
Class CUSIP Rating
----- ----- ------
A-3 20847TBQ3 AAA
M-1 20847TBS9 AA
M-2 20847TBT7 A
B-1 20847TBU4 BBB
CSFB ABS Trust 2002-HI23
Series 2002-HI23
Class CUSIP Rating
----- ----- ------
M-2 126331AD9 A+
B-1 126331AE7 BBB+
B-2 126331AH0 BB
CWABS, Inc.
Series 2002-3
Class CUSIP Rating
----- ----- ------
1-A-1 126671RM0 AAA
2-A-1 126671SR8 AAA
First Franklin Mortgage Loan Trust 2002-FF2
Series 2002-FF2
Class CUSIP Rating
----- ----- ------
A-1 32027NAU5 AAA
GSAMP Trust 2002-WF
Series 2002-WF
Class CUSIP Rating
----- ----- ------
A-1 36228FJM9 AAA
A-2B 36228FJP2 AAA
M-1 36228FJQ0 AA
M-2 36228FJR8 BB
B-1 36228FJS6 B-
Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2002-A
Series SPMD2002-A
Class CUSIP Rating
----- ----- ------
AF-4 43708AAD4 AAA
Merrill Lynch Mortgage Investors Inc.
Series 2002-AFC1
Class CUSIP Rating
----- ----- ------
MF-1 589929XY9 AA+
MF-2 589929XZ6 A
MV-2 589929YE2 A
Merrill Lynch Mortgage Investors Inc.
Series 2002-NC1
Class CUSIP Rating
----- ----- ------
M-1 589929ZE1 AAA
Morgan Stanley ABS Capital I Inc. Trust 2002-HE3
Series 2002-HE3
Class CUSIP Rating
----- ----- ------
A-2 61746RAA9 AAA
Option One Mortgage Loan Trust 2002-4
Series 2002-4
Class CUSIP Rating
----- ----- ------
M-1 68389FCN2 AAA
M-2 68389FCP7 BB-
M-3 68389FCQ5 B-
Salomon Home Equity Loan Trust, Series 2002-CIT1
Series 2002-CIT1
Class CUSIP Rating
----- ----- ------
A 79549AQH5 AAA
Salomon Mortgage Loan Trust, Series 2002-CB3
Series 2002-CB3
Class CUSIP Rating
----- ----- ------
M-2 79549AQZ5 AAA
B-1 79549ARA9 AA
Saxon Asset Securities Trust 2002-1
Series 2002-1
Class CUSIP Rating
----- ----- ------
AF-5 805564KQ3 AAA
AF-6 805564KR1 AAA
AV-1 805564KS9 AAA
Structured Asset Securities Corp.
Series 2002-HF1
Class CUSIP Rating
----- ----- ------
A 86358RL21 AAA
* S&P Puts Ratings on Four Tranches on CreditWatch Negative
-----------------------------------------------------------
Ratings Services placed its ratings on four tranches from four
U.S. corporate-backed synthetic collateralized debt obligation
transactions on CreditWatch with negative implications. At the
same time, S&P lowered its ratings on two tranches from one U.S.
synthetic CDO transaction backed by commercial mortgage-backed
securities due to the downgrade of the underlying collateral
backing the notes. In addition, S&P lowered its ratings on one
tranche from one U.S. synthetic CDO transaction backed by
residential mortgage-backed securities. Lastly, S&P lowered its
rating on the class A notes from True North No. 2 Ltd., a
corporate-backed synthetic CDO, after the transaction experienced
a principal loss. The CreditWatch placements and downgrades
followed S&P's monthly review of U.S. synthetic CDO transactions.
The CreditWatch negative placements reflect negative rating
migration in the respective portfolios and synthetic rated
overcollateralization ratios that had fallen below 100% as of the
November month-end run. The downgrades affecting RMBS-backed
synthetic CDOs reflected SROC ratios below 100% as of the November
month-end run and at a 90-day forward run.
RATING ACTIONS
ABACUS 2004-2 Ltd.
Rating
------
Class To From
----- -- ----
A CCC- CCC+
Aphex Capital NSCR 2007-5 Ltd.
Rating
------
Class To From
----- -- ----
A-1FL BBB+/Watch Neg AA/Watch Neg
A-2 BBB+/Watch Neg A/Watch Neg
Arch One Finance Ltd.
Series 2005-4
Rating
------
Class To From
----- -- ----
Secd Fltng Rate Nts B/Watch Neg B
Dublin Bay Ltd.
Rating
------
Class To From
----- -- ----
A B-/Watch Neg B-
North Street Referenced Linked Notes 2005-9 Ltd.
Rating
------
Class To From
----- -- ----
E CCC+/Watch Neg CCC+
STEERS Morningside Heights CDO Trust Series 2005-4
Rating
------
Class To From
----- -- ----
Trust Cert B+/Watch Neg B+
True North No. 2 Ltd.
US$4.904 bil. True North No. 2 Ltd.
Rating
------
Class To From
----- -- ----
A CC CCC-
*********
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. Marites Claro, Joy Agravante, Rousel Elaine Tumanda, 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 ***